scholarly journals A metaheuristic-based framework for index tracking with practical constraints

2021 ◽  
Author(s):  
Man-Chung Yuen ◽  
Sin-Chun Ng ◽  
Man-Fai Leung ◽  
Hangjun Che
Keyword(s):  
Optimization Technique ◽  
Tracking Error ◽  
Poor Performance ◽  
Index Tracking ◽  
Step Procedure ◽  
Future Data ◽  
Passive Strategies ◽  
Transaction Fees ◽  
Passive Strategy

AbstractRecently, numerous investors have shifted from active strategies to passive strategies because the passive strategy approach affords stable returns over the long term. Index tracking is a popular passive strategy. Over the preceding year, most researchers handled this problem via a two-step procedure. However, such a method is a suboptimal global-local optimization technique that frequently results in uncertainty and poor performance. This paper introduces a framework to address the comprehensive index tracking problem (IPT) with a joint approach based on metaheuristics. The purpose of this approach is to globally optimize this problem, where optimization is measured by the tracking error and excess return. Sparsity, weights, assets under management, transaction fees, the full share restriction, and investment risk diversification are considered in this problem. However, these restrictions increase the complexity of the problem and make it a nondeterministic polynomial-time-hard problem. Metaheuristics compose the principal process of the proposed framework, as they balance a desirable tradeoff between the computational resource utilization and the quality of the obtained solution. This framework enables the constructed model to fit future data and facilitates the application of various metaheuristics. Competitive results are achieved by the proposed metaheuristic-based framework in the presented simulation.

scholarly journals Behavioral medicine challenges in the shadow of a global pandemic

2020 ◽  
Author(s):  
Alyssa T Brooks ◽  
Hannah K Allen ◽  
Louise Thornton ◽  
Tracy Trevorrow
Keyword(s):  
Environmental Factors ◽  
Health Behavior ◽  
Health Behaviors ◽  
Natural Experiment ◽  
Direct Effects ◽  
Global Pandemic ◽  
Wide Range ◽  
Future Data ◽  
Short And Long Term

Abstract Health behavior researchers should refocus and retool as it becomes increasingly clear that the challenges of the COVID-19 pandemic surpass the direct effects of COVID-19 and include unique, drastic, and ubiquitous consequences for health behavior. The circumstances of the pandemic have created a natural experiment, allowing researchers focusing on a wide range of health behaviors and populations with the opportunity to use previously collected and future data to study: (a) changes in health behavior prepandemic and postpandemic, (b) health behavior prevalence and needs amidst the pandemic, and (c) the effects of the pandemic on short- and long-term health behavior. Our field is particularly challenged as we attempt to consider biopsychosocial, political, and environmental factors that affect health and health behavior. These realities, while daunting, should call us to action to refocus and retool our research, prevention, and intervention efforts

Individual effectiveness in outsourcing

2006 ◽  
Vol 25 (2) ◽  
pp. 127-133
Author(s):  
Sumita Raghuram
Keyword(s):  
Customer Satisfaction ◽  
Cultural Differences ◽  
Employee Selection ◽  
Poor Performance ◽  
Communication Media ◽  
Intensive Training ◽  
Human Element ◽  
The Past ◽  
Geographical Distances

Outsourcing has grown enormously over the past few years, however, most of the attention so far has focused on the economics of the transaction, and much less on the human element involved in the transaction. In this paper I focus on call agents and my observations are based upon existing literature and my personal interviews. I suggest that it is challenging for them to identify with client organizations because of cultural differences, tacit contexts and lean communication media used to connect across vast geographical distances. The weak client identification may result in poor performance, inability to build trust with customers and long-term customer satisfaction. However, there are differences across individuals in their ability to deal with these challenges. Those who have a higher self-efficacy, higher pro-activeness and higher cultural intelligence may be more capable than others in their effectiveness. Likewise, organization initiated practices such as careful employee selection, intensive training and use of visible markers of identity may heighten client identification.

scholarly journals Preparation and Characterization of PEBAX-5513/AgBF4/BMIMBF4 Membranes for Olefin/Paraffin Separation

Polymers ◽  
2020 ◽  
Vol 12 (7) ◽  
pp. 1550 ◽  
Author(s):  
So Young Kim ◽  
Younghyun Cho ◽  
Sang Wook Kang
Keyword(s):  
Electron Microscopy ◽  
Scanning Electron Microscopy ◽  
Poor Performance ◽  
Amide Group ◽  
Stabilizing Effect ◽  
Poly Ethylene Oxide ◽  
Poly Ethylene ◽  
Scanning Electron

In this study, we investigated a poly(ether-block-amide)-5513 (PEBAX-5513)/AgBF4/1-butyl-3-methylimidazolium tetrafluoroborate (BMIMBF4) composite membrane, which is expected to have a high stabilizing effect on the Ag+ ions functioning as olefin carriers in the amide group. Poly(ethylene oxide) (PEO) only consists of ether regions, whereas the PEBAX-5513 copolymer contains both ether and amide regions. However, given the brittle nature of the amide, the penetration of BMIMBF4 remains challenging. The nanoparticles did not stabilize after their formation in the long-term test, thereby resulting in a poor performance compared to previous experiments using PEO as the polymer (selectivity 3; permeance 12.3 GPU). The properties of the functional groups in the polymers were assessed using Fourier transform infrared spectroscopy, scanning electron microscopy, and thermogravimetric analysis, which confirmed that the properties endowed during the production of the film using the ionic liquid can impact the performance.

Multiple Boris solvers for particle-in-cell (PIC) simulation

2021 ◽  
Author(s):  
Seiji Zenitani ◽  
Tsunehiko Kato
Keyword(s):  
Plasma Physics ◽  
Particle Motion ◽  
Charged Particles ◽  
Single Step ◽  
Pic Simulation ◽  
Particle In Cell ◽  
Step Procedure ◽  
Cell Simulation ◽  
Continuous Demand

<div> <div> <div> <p> Particle-in-cell (PIC) simulation has long been used in theoretical plasma physics. In PIC simulation, the Boris solver is the de-facto standard for solving particle motion, and it has been used over a half century. Meanwhile, there is a continuous demand for better particle solvers. In this contribution, we introduce a family of Boris-type schemes for integrating the motion of charged particles. We call the new solvers the multiple Boris solvers. The new solvers essentially repeat the standard two-step procedure multiple times in the Lorentz-force part, and we derive a single-step form for arbitrary subcycle number <em>n</em>. The new solvers give <em>n<sup>2</sup></em> times smaller errors, allow larger timesteps, but they are computationally affordable for moderate <em>n</em>. The multiple Boris solvers also reduce a numerical error in long-term plasma motion in a relativistic magnetized flow.</p> </div> </div> </div><p>Reference:</p><ul><li>S. Zenitani & T. N. Kato, <em>Multiple Boris integrators for particle-in-cell simulation</em>, Comput. Phys. Commun. <strong>247</strong>, 106954, doi:10.1016/j.cpc.2019.106954 (2020)</li> </ul>

scholarly journals Conditional Variance Forecasts for Long-Term Stock Returns

Risks ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 113 ◽  
Author(s):  
Enno Mammen ◽  
Jens Perch Nielsen ◽  
Michael Scholz ◽  
Stefan Sperlich
Keyword(s):  
Stock Returns ◽  
Conditional Variance ◽  
Price Ratio ◽  
Prediction Errors ◽  
Step Procedure ◽  
Short And Long Term ◽  
Smoothing Parameters ◽  
One Year ◽  
The One

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step procedure a fully nonparametric local-linear smoother and choose the set of covariates as well as the smoothing parameters via cross-validation. We find that volatility forecastability is much less important at longer horizons regardless of the chosen model and that the homoscedastic historical average of the squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the one-year and five-year horizon.

A New Algorithm for Long-Term Estimation Based on AR Model

2014 ◽  
Vol 614 ◽  
pp. 440-443 ◽  
Author(s):  
Wen Jun Su ◽  
Hai Tao Chen
Keyword(s):  
Spectral Density ◽  
Poor Performance ◽  
Ar Model ◽  
Estimation Methods ◽  
Wiener Model ◽  
Training Set ◽  
Power Spectral ◽  
Cross Spectral Density ◽  
Term Data

Traditional estimation methods have poor performance for long-term data forecast. Using Wiener model to estimate, power spectral density of the input signal, and cross-spectral density of the input and output signals are needed, that are difficult to obtain. And the large amount of calculation is needed using Wiener model. Using AR model and Kalman model, estimated results tend to mean of the training set while the estimated distance increases. For these cases, a new algorithm for long-term estimation based on AR model, named sampling AR model, is presented. Grouping the training set and using a different group of the training set to estimate each value. Sampling AR model improves the accuracy of long-term estimation.

HIV-Associated Burkitt Lymphoma: Case Report and Literature Review

Blood ◽  
2013 ◽  
Vol 122 (21) ◽  
pp. 5072-5072 ◽  
Author(s):  
Daniel Hartman Johnson ◽  
Thomas M. Reske ◽  
Herbert Twase ◽  
Marco Ruiz ◽  
Rachna Jetly-Shridhar
Keyword(s):  
Burkitt Lymphoma ◽  
Advanced Disease ◽  
Performance Status ◽  
Poor Performance ◽  
Incidence Rates ◽  
Cd4 Count ◽  
Poor Performance Status ◽  
Hiv Patients ◽  
Southern Louisiana

Abstract Introduction HIV associated Burkitt lymphoma (BL) is a highly aggressive lymphoma. Compared to other AIDS related non-Hodgkin lymphoma’s its clinical presentation is less predictable and characterized by rapid clinical changes. The paradigm shift to treat HIV associated disease with highly effective intensive chemotherapy regimens while managing immunosuppression has made it possible to achieve remission and long-term survival. Southern Louisiana has one the of the highest incidence rates of HIV and cancers in the US. The authors present a challenging case of a 33-year old HIV+ male from southern Louisiana with advanced stage BL. The patient presented with advanced disease and a poor performance status. His initial providers recommended palliation only and significant education was needed to allow aggressive treatment. The patient tolerated induction chemotherapy and remains in remission. This is a case based review of local and nationwide epidemiology and the trial data supporting different treatment options for HIV associated Burkitt lymphoma. Case Our patient is a 33 year-old male who presented with severe cachexia, poor performance status and clinical symptomatic cord compression. He was diagnosed with advanced stage Burkitt lymphoma including bone marrow involvement. His CD4 count was 277 with an HIV viral load of 571,000 copies/mL. Although he had a poor performance status and his primary team favored palliation only he underwent induction chemotherapy with 4 cycles of infusional dose adjusted R-EPOCH with IT CNS chemoprophylaxis. HAART therapy with efavirenz/emtricitabine/tenofovir was started during his initial admission. He tolerated this regimen well, clinically dramatically improved being independent in his ADL/IADLs, and remains in remission. Discussion The pathogenesis of HIV-associated Burkitt lymphoma is linked to oncogenic virus co-infection (40% EBV association) and chronic HIV antigen stimulation that provoke expansion of polyclonal B-cells. This leads to oncogenic chromosomal translocations - most notably t(8;14) causing constitutive expression of oncogene c-Myc. HIV patients have a 60 to 200-fold increased incidence of NHL. Relative risk for BL in HIV patients is 261-fold higher compared to the general population. Unlike the nationwide reported 19 per 100,000 person-years, data from a large HIV clinic in southern Louisiana continues to show an incidence rate of 23 per 100,000 person-years. Louisiana continues to have comparatively high incidence rates in HIV (4th in US) and cancer (11th in US) with the highest rates in southern Louisiana parishes. It is important for community physicians, especially in these areas, to feel more confident when treating these HIV associated malignancies. Historically highly immunosuppressive chemotherapy has been avoided in HIV patients with lymphoma as studies in the 1990’s showed increased toxicity. The addition of the monoclonal C20 antibody rituximabin the treatment of AIDS associated NHLs was also controversial, as trial results showed increase infectious death rates. However, these clinical trials confirmed similar death rates from infections in individuals with a CD4 count >50. In addition concomitant use of HAART with chemotherapy has improved overall survival. Although the more dose intense Burkitt regimens have not been studied extensively in HIV-associated BL, CODOX-M/IVAC and DA-EPOCH +/- Rituximab (depending on CD4 count) have shown good efficacy and tolerance and are treatment regimens of choice this disease. A recent trial with 14 patients with HIV associated BL receiving RD-CODOXM/IVAC had 86% progression free survival rate at 1 year; patients receiving concomitant HAART had 100% PFS rate at 1 year. In another trial, 10 HIV associated BL patients receiving DA-EPOCH-R showed a 100% overall survival rate at 57 months. Conclusion HIV associated Burkitt lymphoma should be treated with HAART and high dose chemotherapy. Long-term remission has been shown with regimens including CODOX-M/IVAC and DA-EPOCH +/-Rituximab (R use discouraged in low CD4 counts). This case based report outlines the relatively high prevalence of disease in Southern Louisiana and emphasizes that remission is possible in patients with poor performance status and advanced disease. Disclosures: No relevant conflicts of interest to declare.

Optimal Index Tracking Under Transaction Costs and Impulse Control

1998 ◽  
Vol 01 (03) ◽  
pp. 315-330 ◽  
Author(s):  
I. R. C. Buckley ◽  
R. Korn
Keyword(s):  
Transaction Costs ◽  
Optimal Strategy ◽  
Impulse Control ◽  
Tracking Error ◽  
Management Problem ◽  
Index Tracking ◽  
Cash Management ◽  
Proportional Transaction Costs ◽  
Control Techniques ◽  
Mean Variance

We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.

Motion Planning of Tomato Harvesting Manipulators with 7 DOF

2010 ◽  
Vol 97-101 ◽  
pp. 2840-2844 ◽  
Author(s):  
Xi Feng Liang ◽  
Yong Wei Wang
Keyword(s):  
Motion Planning ◽  
Degrees Of Freedom ◽  
Numerical Solutions ◽  
Optimization Technique ◽  
Tracking Error ◽  
Absolute Error ◽  
Initial Position ◽  
End Effector ◽  
Mathematical Relationships ◽  
Computation Load

This work presents a motion planning approach for tomato harvesting manipulators with seven degrees of freedom (7 DOF) based on an optimization technique and alternative method. It is to find optimal joint perturbations during the path planning so that a manipulator reaches a goal from an initial position with high accuracy. The optimization model consists of the objective function defined by the tracking error and the representation of a set of mathematical relationships that describe the kinematic restrictions of the manipulator. In this method, only a forward kinematics is used and the complex mathematics in numerical solutions of an inverse kinematics is avoided to reduce the computation load. Simulation results show that the tomato harvesting manipulator can move the end-effector to the target from an initial position along a specified geometric trajectory in its workspace. Simultaneously, the joint displacements vary smoothly within their limits during tracking. The position absolute error, moving velocity and precision of the end-effector are 0.53mm, 0.18m/s and 3.75% respectively, which fulfill the requirements of tomato picking with well working efficiency.

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