Robust portfolio asset allocation and risk measures

Many financial optimization problems involve future values of security prices, interest rates and exchange rates which are not known in advance, but can only be forecast or estimated. Several methodologies have therefore, been proposed to handle the uncertainty in financial optimization problems. One such methodology is Robust Statistics, which addresses the problem of making estimates of the uncertain parameters that are insensitive to small variations. A different way to achieve robustness is provided by Robust Optimization which, given optimization problems with uncertain parameters, looks for solutions that will achieve good objective function values for the realization of these parameters in given uncertainty sets. Robust Optimization thus offers a vehicle to incorporate an estimation of uncertain parameters into the decision making process. This is true, for example, in portfolio asset allocation. Starting with the robust counterparts of the classical mean-variance and minimum-variance portfolio optimization problems, in this paper we review several mathematical models, and related algorithmic approaches, that have recently been proposed to address uncertainty in portfolio asset allocation, focusing on Robust Optimization methodology. We also give an overview of some of the computational results that have been obtained with the described approaches. In addition we analyse the relationship between the concepts of robustness and convex risk measures.     

On the use of multi-parameter free energy relationships: the rearrangement of (Z)-arylhydrazones of 5-amino-3-benzoyl-1,2,4-oxadiazole into (2-aryl-5-phenyl-2H-1,2,3-triazol-4-yl)ureas

By using a multi-parameter approach (a combination of Hammett/Ingold-Yukawa-Tsuno/Fujita-Nishioka free energy relationships) the mononuclear rearrangements of heterocycles (MRH) rates for five new ortho-substituted and ten new di-, tri-, or tetra-substituted (Z)-arylhydrazones of 5-amino-3-benzoyl-1,2,4-oxadiazole into the relevant (2-aryl-5-phenyl-2H-1,2,3-triazol-4-yl)ureas (in dioxane/water and in a large range of pS⁺ values) have been related to the electronic and proximity effects exerted by the present substituents, also considering previous results on some mono meta- and para-substituted (Z)-arylhydrazones. In every case, excellent correlation coefficients have been calculated (r² or R²≥0.996). Once more the study of MRH has furnished an interesting panel of different reactivity (three pathways of reaction have been evidenced: general-base-catalyzed, uncatalyzed, and specific-acid-catalyzed) and this has been useful in enlightening how polysubstitution can differently affect the MRH rates. Moreover 2,6-disubstitution on the (Z)-arylhydrazono moiety causes a significant increase of the reactivity in all of the three studied pathways. All of the collected data appear useful for understanding structure-reactivity/activity relationships in polysubstituted compounds.     

A Palladium‐Catalyzed Carbonylation Approach to Eight‐Membered Lactam Derivatives with Antitumor Activity

The reactivity of 2‐(2‐alkynylphenoxy)anilines under PdI₂/KI‐catalyzed oxidative carbonylation conditions has been studied. Although a different reaction pathway could have been operating, N‐palladation followed by CO insertion was the favored pathway with all substrates tested, including those containing an internal or terminal triple bond. This led to the formation of a carbamoylpalladium species, the fate of which, as predicted by theoretical calculations, strongly depended on the nature of the substituent on the triple bond. In particular, 8‐endo‐dig cyclization preferentially occurred when the triple bond was terminal, leading to the formation of carbonylated ζ‐lactam derivatives, the structures of which have been confirmed by XRD analysis. These novel medium‐sized heterocyclic compounds showed antitumor activity against both estrogen receptor‐positive (MCF‐7) and triple negative (MDA‐MB‐231) breast cancer cell lines. In particular, ζ‐lactam 3 j′ may represent a novel and promising antitumor agent because biological tests clearly demonstrate that this compound significantly reduces cell viability and motility in both MCF‐7 and MDA‐MB‐231 breast cancer cell lines, without affecting normal breast epithelial cell viability.     

Hölder continuity of local minimizers of vectorial integral functionals

We study the regularity of vector-valued local minimizers in $ W^{1,p}, p > 1 $, of the integral functional where is an open set in $ \mathbb{R}^N $ and f is a continuous function, convex with respect to the last variable, such that $ 0 \leq f(x,u,t)\leq C(1+t^p) $.We prove that if f = f(x, t), or f = f(x, u, t) and $ p \leq N $, then local minimizers are locally Hölder continuous for any exponent less than 1. If f = f(x, u, t) and p < N then local minimizers are Höolder continuous for every exponent less than 1 in an open set $ \Omega_0 $ such that the Hausdorff dimension of $ \Omega \backslash \Omega_0 $ is less than N–p.AMS Subject Classification: 49N60.     

Toward the identification of the cardiac cGMP inhibited-phosphodiesterase catalytic site

Cyclic nucleotide phosphodiesterases (PDEs) comprise a complex group of enzymes; five major PDE families or classes with distinctive properties have been identified. Among these a great deal of interest has recently been focused on the so called cGMP-inhibited low K_m cAMP phosphodiesterase (cGI PDE) or PDE III. A number of positive inotropic agents, including the well-known milrinone, display a specific inhibition of PDE III as primary mechanism of action. Recent studies have been carried out to develop a pharmacophore model of the PDE III active site. We therefore performed molecular modelling and 3D-SAR studies so as to better define structural requirements for potent and selective enzymatic inhibition. The DISCO (DIStance COmparison) strategy has been applied on a set of compounds taken from literature and a milrinone analogue previously synthesized by us, all of which are characterized by a marked inotropic effect but with varying degrees of enzyme selectivity. A common pharmacophoric model was derived, validated and considered as starting point to perform a 3D-SAR study using the GRID force field and PCA (Principal Component Analysis) with the aim of rationally designing more selective inhibitors. This paper presents the results of this theoretical approach.     

Structural and stereochemical revision of isocyanide and isothiocyanate amphilectenes from the Caribbean marine sponge Cribochalina sp.

The absolute stereochemistry of amphilectene metabolites from Cribochalina sp. has been revised by a detailed NMR spectroscopic study of the Mosher ester derivatives of a related alcohol. The relative stereochemistry of the previously described amphilectenes has been reinvestigated and reassigned on the basis of the X-ray structural analysis carried out on one of them. The structure of a new amphilectene metabolite, which is an isothiocyanato analogue is also presented.     

Metmyoglobin-catalyzed exogenous and endogenous tyrosine nitration by nitrite and hydrogen peroxide

Metmyoglobin catalyzes the nitration of various phenolic compounds in the presence of nitrite and hydrogen peroxide. The reaction rate depends on the reactant concentrations and shows saturation behavior. Two competing paths are responsible for the reaction. In the first, myoglobin reacts according to a peroxidase-like cycle forming two active intermediates, which can induce one-electron oxidation of the substrates. The MbFe(IV)==O intermediate oxidizes nitrite to nitrogen dioxide, which, after reaction with the phenol or with a phenoxy radical, yields the nitrophenol. In the second mechanism, hydrogen peroxide reacts with iron-bound nitrite to produce an active nitrating species, which we assume to be a protein-bound peroxynitrite species, MbFe(III)--N(O)OO. The high nitrating power of the active species is shown by the fact that the catalytic rate constant is essentially independent of the redox properties of the phenol. The occurrence of one or other of these mechanisms depends on the nitrite concentration: at low [NO(2) (-)] the nitrating agent is nitrogen dioxide, whereas at high [NO(2) (-)] the peroxynitrite path is dominant. The myoglobin derivative that accumulates during turnover depends on the mechanism. When the path involving NO(2) (.) is dominant, the spectrum of the MbFe(IV)==O intermediate is observed. At high nitrite concentration, the Soret band appears at 416 nm, which we attribute to an iron-peroxynitrite species. The metMb/NO(2) (-)/H(2)O(2) system competitively nitrates the heme and the endogenous tyrosine at position 146 of the protein. Phenolic substrates protect Tyr146 from nitration by scavenging the active nitrating species. The exposed Tyr103 residue is not nitrated under the same conditions.     

Optical Limiting Devices Based on C60 Derivatives in Sol-Gel Hybrid Organic-Inorganic Materials

A guest-host solid state device based on hybrid organic-inorganic materials and fullerene derivatives has been fabricated for optical limiting applications. Different 3-glycidoxypropyltrimethoxysilane derived hybrid matrices have been synthesized to increase the optical limiting performances. These matrices have shown high laser damage fluences, low light scattering, good transmittance in the visible range and allowed to deposit 10–100 m thick films per single layer. The C₆₀ derivatives have been functionalized with Si tri-alkoxide terminal groups and have reached a final concentration in the solid matrix up to 2 × 10^–2 M·l^–1. A multilayer system with a bottleneck structure has been developed to optimize a laser protection device.     

Encapsulated living cells on microstructured surfaces

The immobilization of cells in defined arrays (cell patterning) is a key step towards cell-based biosensors or other cell-based devices. While cell patterning is usually achieved by modifying the surface on which only the cells should adhere and leaving the cells unmodified, we present here a different approach in which cells are first coated with polyelectrolytes and subsequently immobilized on patterned surfaces. By coating, the cells are protected and their interactions with the substrate are modified such that patterning is simplified. We used microcontact printing of polyelectrolytes to structure surfaces such that regions of opposite charges and the same charge as the cell coating were present and found that we can thus achieve patterning of the coated yeast cells. In accordance with prior work, we find that coating does not kill the cells and coated GFP-expressing cells still function after immobilization, which we checked by fluorescence microscopy.     

The fungal metabolite austdiol

The title compound, (7R,8S)‐7,8‐di­hydroxy‐3,7‐di­methyl‐6‐oxo‐7,8‐di­hydro‐6H‐isochromene‐5‐carb­aldehyde, C₁₂H₁₂O₅, is a trans‐vicinal diol. Of the two fused rings, which lie approximately in the same plane, the pyran ring is almost perfectly planar, while the cyclo­hexenone ring adopts a slightly distorted half‐chair conformation. The crystal packing is dictated by two strong intermolecular O—H⃛O interactions, one involving hydroxy and keto groups, the other involving two hydroxy groups. Molecules are linked together through twofold axes, forming zigzag ribbons extended along the a axis.