Since Markowitz’s seminal work on the meanvariance model in modern portfolio theory, many studies have been conducted on computational techniques and recently meta-heuristics for portfolio selection problems. In this work, we propose and investigate a new hybrid algorithm integrating the population based incremental learning and differential evolution algorithms for the portfolio selection prob...

where t runs from 0 onwards, the supremum is taken over stopping times τ of X , and c > 0 is a given and fixed constant. Using direct martingale arguments we first show that when μ ≤ 0 it is optimal to stop at once and when μ ≥ σ/2 it is optimal not to stop at all. By employing the method of Lagrange multipliers we then show that the nonlinear problem for 0 < μ < σ/2 can be reduced to a family ...

We consider the Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed for financial return data. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM model can be interpreted as the addition of noise to a (skew) VG base. In this presentation, we will not only discuss the parameter estimation of the general model, but als...

Electronic trading of equities and other securities makes heavy use of “arrival price” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they do not modify the execution speed in response to price motions observed during trading. We show that substant...

The Mean-Variance Portfolio Theory continues to be the cardinal tool for much of portfolio management. Traditional concerted literature on the Mean-Variance theory can be segmented almost exclusively into (i) chapters in books that provide simply a write up on the theory and (ii) books that contain a purely mathematical analysis without emphasizing the financial implications and interpretations...

In this paper, a novel prediction based mean-variance (PBMV) model has been proposed, as an alternative to the conventional Markowitz mean-variance model, to solve the constrained portfolio optimization problem. In the Markowitz mean-variance model, the expected future return is taken as the mean of the past returns, which is incorrect. In the proposed model, first the expected future returns a...

The 3' ends of three genomic RNAs (gRNAs) of cowpea chlorotic mottle virus (CCMV) terminate in a highly conserved tRNA-like structure (3'TLS). To examine the intrinsic role played the 3'TLS in packaging, the competence of each gRNA lacking the 3' TLS (DeltaTLS-gRNA) to interact with dissociated coat protein (CP) subunits and form virions was assayed in vitro. In contrast to the well established...

Background. Congenital CMV (cCMV) is the leading non-genetic cause of sensorineural hearing loss (SNHL) in the U.S. Approximately 40-60% of infants with symptomatic cCMV infection develop long term sequelae such as hearing loss. Currently, there are no identified predictors of hearing loss. The objectiveis to determine clinical predictors of SNHL in infants with symptomatic cCMV infection. Meth...

BACKGROUND Cytomegalovirus (CMV) is a common cause of congenital infection worldwide and infants with symptomatic congenital CMV (cCMV) infection are at significantly increased risk of developing adverse long-term outcomes. This study aimed to determine the prevalence of cCMV infections in symptomatic infants under 3 weeks in Tehran, IRAN and to evaluate the usefulness of serologic markers in t...