Statistical estimation of optimal portfolios for non‐Gaussian dependent returns of assets

This paper discusses the asymptotic efficiency of estimators for optimal portfolios when returns are vector‐valued non‐Gaussian stationary processes. We give the asymptotic distribution of portfolio estimators ? for non‐Gaussian dependent return processes. Next we address the problem of asymptotic efficiency for the class of estimators ?. First, it is shown that there are some cases when the asymptotic variance of ? under non‐Gaussianity can be smaller than that under Gaussianity. The result shows that non‐Gaussianity of the returns does not always affect the efficiency badly. Second, we give a necessary and sufficient condition for ? to be asymptotically efficient when the return process is Gaussian, which shows that ? is not asymptotically efficient generally. From this point of view we propose to use maximum likelihood type estimators for g, which are asymptotically efficient. Furthermore, we investigate the problem of predicting the one‐step‐ahead optimal portfolio return by the estimated portfolio based on ? and examine the mean squares prediction error. Copyright © 2008 John Wiley & Sons, Ltd.     

Strategic planning and forecasting

This paper examines the role of forecasting in strategic planning through the use of analytical portfolio models and corporate simulation models. It also outlines a conceptual framework on which it may be possible to develop a theory of strategic planning—namely, microeconomic theory. It, finally, describes a practical application of this theoretical framework, known as the strategy matrix. It concludes by noting the importance of forecasting as an input to the strategy matrix.     

Application of the linear partial information model to forecasting the Swiss timber market

Most often, statistical analyses only provide partial information about the appropriateness of different models, structures and parameters which may underlie the dynamic process that has generated a time series. Linear partial information (LPI), in particular, consists of linear restrictions such as LPI: p_a> p_b, p_a> p_c where p_a denotes the probability that structure a holds. Fuzzy information of this type can be put to use for decision-making by LPI analysis. In this paper, LPI analysis is applied to answer the question of whether subsidizing price, given an abnormal disturbance on the timber market, would contribute to continuous forest management, a stated goal of Swiss environmental policy.     

Testing Interval Forecasts: A GMM‐Based Approach

This paper proposes a new evaluation framework for interval forecasts. Our model‐free test can be used to evaluate interval forecasts and high‐density regions, potentially discontinuous and/or asymmetric. Using a simple J‐statistic, based on the moments defined by the orthonormal polynomials associated with the binomial distribution, this new approach presents many advantages. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypotheses. Third, Monte Carlo simulations show that for realistic sample sizes our GMM test has good small‐sample properties. These results are corroborated by an empirical application on SP500 and Nikkei stock market indexes. It confirms that using this GMM test leads to major consequences for the ex post evaluation of interval forecasts produced by linear versus nonlinear models. Copyright © 2011 John Wiley & Sons, Ltd.     

An empirical investigation of combinations of economic forecasts

This paper examines the effects of combining three econometric and three times-series forecasts of growth and inflation in the U.K. If forecasts are unbiased then a combination exploiting this fact will be more efficient than an unrestricted combination. Ex post econometric forecasts may be biased but ex ante they are unbiased. The results of the study are that a restricted linear combination of the econometric forecasts is superior to an unrestricted combination and also to the unweighted mean of the forecasts. However, it is not preferred to the best of the individual forecasts.     

Sexual reproduction in the Candida clade: cryptic cycles, diverse mechanisms, and alternative functions

To have sex, or not to have sex, is a question posed by many microorganisms. In favor of a sexual lifestyle is the associated rearrangement of genetic material that confers potential fitness advantages, including resistance to antimicrobial agents. The asexual lifestyle also has benefits, as it preserves complex combinations of genes that may be optimal for pathogenesis. For this reason, it was thought that several pathogenic fungi favored strictly asexual modes of reproduction. Recent approaches using genome sequencing, population analysis, and experimental techniques have now revised this simplistic picture. It is now apparent that many pathogenic fungi have retained the ability to undergo sexual reproduction, although reproduction is primarily clonal in origin. In this review, we highlight the current understanding of sexual programs in the Candida clade of species. We also examine evidence that sexual-related processes can be used for functions in addition to mating and recombination in these organisms.     

<Emphasis Type="Italic">Newton's Argument for Proposition 1 of the</Emphasis> Principia

The first proposition of the Principia records two fundamental properties of an orbital motion: the Fixed Plane Property (that the orbit lies in a fixed plane) and the Area Property (that the radius sweeps out equal areas in equal times). Taking at the start the traditional view, that by an orbital motion Newton means a centripetal motion – this is a motion ``continually deflected from the tangent toward a fixed center' – we describe two serious flaws in the Principia's argument for Proposition 1, an argument based on a polygonal impulse approximation. First, the persuasiveness of the argument depends crucially on the validity of the Impulse Assumption: that every centripetal motion can be represented as a limit of polygonal impulse motions. Yet Newton tacitly takes the Impulse Assumption for granted. The resulting gap in the argument for Proposition 1 is serious, for only a nontrivial analysis, involving the careful estimation of accumulating local errors, verifies the Impulse Assumption. Second, Newton's polygonal approximation scheme has an inherent and ultimately fatal disability: it does not establish nor can it be adapted to establish the Fixed Plane Property. Taking then a different view of what Newton means by an orbital motion – namely that an orbital motion is by definition a limit of polygonal impulse motions – we show in this case that polygonal approximation can be used to establish both the fixed plane and area properties without too much trouble, but that Newton's own argument still has flaws. Moreover, a crucial question, haunted by error accumulation and planarity problems, now arises: How plentiful are these differently defined orbital motions? Returning to the traditional view, that Newton's orbital motions are by definition centripetal motions, we go on to give three proofs of the Area Property which Newton ``could have given' – two using polygonal approximation and a third using curvature – as well as a proof of the Fixed Plane Property which he ``almost could have given.' (Received August 14, 2002) Published online March 26, 2003 Communicated by G. Smith     

Overview: development in bacteria: spore formation in Bacillus subtilis

Like eukaryotes, bacteria possess complex developmental programs that drive environmental adaptation and morphological differentiation. In some species, these morphological changes are quite elaborate and result in major changes in cell appearance, including the formation of ornate appendages. The ease with which some bacteria can be manipulated makes them highly attractive model systems for developmental analysis. In this set of reviews, we tackle the best studied of these systems, spore formation in Bacillus subtilis. Construction of a spore initiates in response to starvation, takes each cell about 8 h and is directed by a tightly controlled genetic program. First, the cell creates an internal protoplast with its own copy of the chromosome. Over the next several hours, development continues as proteins synthesized within the protoplast as well as in the surrounding cell cytoplasm coalesce into the various complex structures that comprise the spore. The resulting cell is metabolically dormant and as close to indestructible as any cell found on earth. Nonetheless, the spore retains the ability to revive almost immediately when nutrient returns to the environment. Here, we review the genetic control of spore formation, the structure and assembly of several major spore components, the process of germination, and the environmental and disease implications of spores. As these reviews document, spore formation in B. subtilis has been among the most productive systems for understanding both the broad themes and the molecular basis of development. Not only does this system continue to add to our understanding of these questions, but it provides a particularly powerful means to address the cell biological dimension of development.     

Risk factor beta conditional value‐at‐risk

We propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio returns given the historical values of the underlying macroeconomic factors and the asset betas with respect to these factors. Value‐at‐Risk is then found as an appropriate percentile of the corresponding hypothetical distribution of the portfolio profits and losses. The backtesting results for the six Fama–French benchmark portfolios and the S&P500 index show that this approach yields reasonably accurate estimates of the portfolio Value‐at‐Risk. Copyright © 2008 John Wiley & Sons, Ltd.     

Lack of Na+,K+-ATPase expression in intercalated cells may be compensated by Na+-ATPase: A study on MDCK – C11 cells

The lack of Na⁺,K⁺-ATPase expression in intercalated cells (IC) is an intriguing condition due to its fundamental role in cellular homeostasis. In order to better understand this question we compared the activities of Na⁺,K⁺-ATPase and Na⁺-ATPase in two MDCK cell clones: the C11, with IC characteristics, and the C7, with principal cells (PC) characteristics. The Na⁺,K⁺-ATPase activity found in C11 cells is far lower than in C7 cells and the expression of its β-subunit is similar in both cells. On the other hand, a subset of C11 without α-subunit expression has been found. In C11 cells the Na⁺-ATPase activity is higher than that of the Na⁺,K⁺-ATPase, and it is increased by medium alkalinization, suggesting that it could account for the cellular Na⁺-homeostasis. Although further studies are necessary for a better understanding of these findings, the presence of Na⁺-ATPase may explain the adequate survival of cells that lack Na⁺,K⁺-ATPase. Received 09 July 2008; received after revision 03 August 2008; accepted 12 August 2008     

On argument ex suppositione falsa

In my opinion it cannot be denied but that your discourse carries with it much of probability, arguing, as we say, ex suppositione, namely, granting that the Earth moves with the two motions assigned it by Copernicus; but, if one excludes those motions, all that you have said is vain and invalid; and for the exclusion of that hypothesis, it is very manifestly hinted by your discourse itself.     

Ex post and ex ante prediction of unobserved multivariate time series: a structural‐model based approach

A methodology for estimating high‐frequency values of an unobserved multivariate time series from low‐frequency values of and related information to it is presented in this paper. This is an optimal solution, in the multivariate setting, to the problem of ex post prediction, disaggregation, benchmarking or signal extraction of an unobservable stochastic process. Also, the problem of extrapolation or ex ante prediction is optimally solved and, in this context, statistical tests are developed for checking online the ocurrence of extreme values of the unobserved time series and consistency of future benchmarks with the present and past observed information. The procedure is based on structural or unobserved component models, whose assumptions and specification are validated with the data alone. Copyright © 2007 John Wiley & Sons, Ltd.     

Quantum decoherence and the approach to equilibrium (II)

In a previous paper [Hemmo, M & Shenker, O (2003). Quantum decoherence and the approach to equilibrium I. Philosophy of Science, 70, 330–358] we discussed a recent proposal by Albert [(2000). Time and chance. Cambridge, MA: Harvard University Press. Chapter 7] to recover thermodynamics on a purely dynamical basis, using the quantum theory of the collapse of the quantum state of [Ghirardi, G, Rimini, A and Weber, T., (1986). Unified dynamics for microscopic and macroscopic systems. Physical Review, D 34, 470–479]. We proposed an alternative way to explain thermodynamics within no collapse interpretations of quantum mechanics. In this paper some difficulties faced by both approaches are discussed and solved: the spin echo experiments, and the problem of extremely light gases. In these contexts, we point out several ways in which the above quantum mechanical approaches as well as some other classical approaches to the foundations of statistical mechanics may be distinguished experimentally.     

Identifying the conformational state of bi-liganded haemoglobin

While most researchers agree on the global features of cooperative ligand binding to haemoglobin (Hb), the internal mechanisms remain open to debate. This is not due to inaccurate measurements, but is rather a consequence of the cooperative ligand binding that decreases the equilibrium populations of the partially liganded states and makes observation of the transitions between these substates more difficult. For example, the equilibrium population of the doubly liganded tetramers is typically less than 5% of the total Hb. As a result many models with widely varying mechanisms may fit the oxygen equilibrium curve, but may not be consistent with observations of other parameters, such as ligand-binding kinetics or subunit association equilibria. The wide range of methods and models has led to divergent conclusions about the properties of specific substates. One notable debate concerns the properties of the doubly liganded forms. The simple two-state model predicts a shift in the allosteric equilibrium based on the number of ligands bound, but not on their distribution within the tetramer. From studies of dimer-tetramer equilibria of various pure and hybrid forms, it was concluded that a tetramer with two ligands bound on the same α β dimer (species 21, an asymmetric hybrid) shows an enhanced tetramer stability, similar to singly liganded Hb, relative to the other three types of doubly liganded tetramers which resemble the triply liganded forms [Ackers et al. (1992), Science 255: 54–63]. The implications of this model and the relevant experiments will be reviewed here. Received 27 April 1998; received after revision 17 July 1998; accepted 10 August 1998     

What is mechanistic evidence,and why do we need it for evidence-based policy?

It has recently been argued that successful evidence-based policy should rely on two kinds of evidence: statistical and mechanistic. The former is held to be evidence that a policy brings about the desired outcome, and the latter concerns how it does so. Although agreeing with the spirit of this proposal, we argue that the underlying conception of mechanistic evidence as evidence that is different in kind from correlational, difference-making or statistical evidence, does not correctly capture the role that information about mechanisms should play in evidence-based policy. We offer an alternative account of mechanistic evidence as information concerning the causal pathway connecting the policy intervention to its outcome. Not only can this be analyzed as evidence of difference-making, it is also to be found at any level and is obtainable by a broad range of methods, both experimental and observational. Using behavioral policy as an illustration, we draw the implications of this revised understanding of mechanistic evidence for debates concerning policy extrapolation, evidence hierarchies, and evidence integration.     

Optimization of the cellular import of functionally active SH2-domain-interacting phosphopeptides

Phosphopeptides interacting with src homology 2 (SH2) domains can activate essential signaling enzymes in vitro. When delivered to cells, they may disrupt protein-protein interactions, thereby influencing intracellular signaling. We showed earlier that phosphopeptides corresponding to the inhibitory motif of Fcγ receptor IIb and a motif of the Grb2-associated binder 1 adaptor protein activate SH2-containing tyrosine phosphatase 2 in vitro. To study the ex vivo effects of these peptides, we have now compared different methods for peptide delivery: (i) permeabilization of the target cells and (ii) the use of cell-permeable vectors, which are potentially able to transport biologically active compounds into B cells. We found octanoyl-Arg₈ to be an optimal carrier for the delivery of phosphopeptides to the cells. With this strategy, the function of cell-permeable SHP-2-binding phosphopeptides was analyzed. These peptides modulated the protein phosphorylation in B cells in a dose- and time-dependent manner. Received 27 July 2006; received after revision 4 September 2006; accepted 18 September 2006     

A new parsimonious recurrent forecasting model in singular spectrum analysis

Singular spectrum analysis (SSA) is a powerful nonparametric method in the area of time series analysis that has shown its capability in different applications areas. SSA depends on two main choices: the window length L and the number of eigentriples used for grouping r. One of the most important issues when analyzing time series is the forecast of new observations. When using SSA for time series forecasting there are several alternative algorithms, the most widely used being the recurrent forecasting model, which assumes that a given observation can be written as a linear combination of the L?1 previous observations. However, when the window length L is large, the forecasting model is unlikely to be parsimonious. In this paper we propose a new parsimonious recurrent forecasting model that uses an optimal m(<L?1) coefficients in the linear combination of the recurrent SSA. Our results support the idea of using this new parsimonious recurrent forecasting model instead of the standard recurrent SSA forecasting model.     

Simple integrated rate equations for reversible bimolecular reactions

Summary If the complete rate equations for reversible, one-step, bimolecular reactions are written withP _e–P as the concentration variable (whereP _e is the equilibrium, andP is the instantaneous, product concentration), the 3 possible stoichiometries can be reduced to a single straightforward differential equation. This can be solved very economically. For each stoichiometry, weret is time,k ₁ is the forward rate constant,K _e is the equilibrium constant, and P isP–P _o. The termsP _c–P _o andD+P _c–P _o are the physically possible and physically impossible roots of the quadratic equation forP _e–P _o in terms of the initial concentrations andK _c.D is the discriminant in this equation. All 3 quantities can be calculated if the equilibrium constant is known. A plot oft against ln{[1–P/(D+P _c–P _o)]/[1–P/(P _c–P _o)]} should be a straight line for any second order reaction. For each stoichiometry,P _c–P _o approachesA _o, the initial concentration of the first reactant, as the equilibrium constant increases. When a second reactant is present,D+P _e–P _o approachesB _o. The limiting equation is then that of an irreversible bimolecular reaction. For AP+Q,D approaches –K _e as the equilibrium constant becomes large, and the value of the second logarithmic term in the integrated equation approaches zero. The limiting equation is that of an irreversible, unimolecular reaction.Acknowledgments. I thank Dr. Athel Cornish-Bowden for many helpful discussions. This work was partially supported by a grant from Utah State University.     

Quarterly liverpool model with current partial information: An exercise in forecasting

This paper applies an algorithm for the solution of partial current information in rational expectation models to the quarterly Liverpool macroeconomic model of the U.K. The algorithm is shown to produce marginally superior results in forecasts both in ex-post and ex-ante forecasts and can be viewed as an additional tool for the forecaster's kit-bag.