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"Lim, B"
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Machine Learning and Portfolio Optimization
The portfolio optimization model has limited impact in practice because of estimation issues when applied to real data. To address this, we adapt two machine learning methods, regularization and cross-validation, for portfolio optimization. First, we introduce
performance-based regularization
(PBR), where the idea is to constrain the sample variances of the estimated portfolio risk and return, which steers the solution toward one associated with less estimation error in the performance. We consider PBR for both mean-variance and mean-conditional value-at-risk (CVaR) problems. For the mean-variance problem, PBR introduces a quartic polynomial constraint, for which we make two convex approximations: one based on rank-1 approximation and another based on a convex quadratic approximation. The rank-1 approximation PBR adds a bias to the optimal allocation, and the convex quadratic approximation PBR shrinks the sample covariance matrix. For the mean-CVaR problem, the PBR model is a combinatorial optimization problem, but we prove its convex relaxation, a quadratically constrained quadratic program, is essentially tight. We show that the PBR models can be cast as robust optimization problems with novel uncertainty sets and establish asymptotic optimality of both sample average approximation (SAA) and PBR solutions and the corresponding efficient frontiers. To calibrate the right-hand sides of the PBR constraints, we develop new, performance-based
k
-fold cross-validation algorithms. Using these algorithms, we carry out an extensive empirical investigation of PBR against SAA, as well as L1 and L2 regularizations and the equally weighted portfolio. We find that PBR dominates all other benchmarks for two out of three Fama–French data sets.
This paper was accepted by Yinyu Ye, optimization
.
Journal Article
50 years of science in Singapore
\"As part of the commemorative book series on Singapore's 50 years of nation-building, this important compendium traces the history and development of the various sectors of Singapore science in the last 50 years or so. The book covers the government agencies responsible for science funding and research policy, the academic institutions and departments who have been in the forefront of the development of the nation's scientific manpower and research, the research centres and institutes which have been breaking new ground in both basic and applied science research, science museums and education, and the academic and professional institutions which the scientific community has set up to enable Singapore scientists to serve the nation more effectively. Each article is chronicled by eminent authors who have played important roles and made significant contributions in shaping today's achievement of science in Singapore\"-- Provided by publisher.
Book
Cardiac-resident macrophages protect against sepsis-induced cardiomyopathy
A subpopulation of cardiac-resident macrophages protect the heart against sepsis-induced cardiomyopathy by scavenging dysfunctional mitochondria ejected from cardiomyocytes; modulation or administration of these macrophages might be a potential therapeutic strategy.
Journal Article
Suitability of TAVI in low-risk patients
In the Evolut Low Risk study, transcatheter aortic valve implantation in low-risk patients with severe aortic stenosis compared favourably with surgical aortic valve replacement in terms of all-cause mortality or disabling stroke at 3 years.
Journal Article
Inhibiting fatty acid oxidation promotes cardiomyocyte proliferation
Inhibition of fatty acid metabolism to promote oxidation of glycolysis-derived pyruvate promotes cardiomyocyte proliferation and improves left ventricular function after myocardial infarction.
Journal Article
A wearable ultrasonic device to image cardiac function
Researchers have engineered a wearable device that adheres to the skin and uses ultrasound imaging and a deep learning model to produce a dynamic, real-time assessment of cardiac function.
Journal Article
Oral PCSK9 inhibitor is effective and safe
MK-0616, an oral inhibitor of PCSK9, safely and effectively lowers plasma levels of LDL cholesterol in a dose-dependent manner in patients with hypercholesterolaemia.
Journal Article
Preparticipation screening reduces SCD in young athletes
A legally mandated preparticipation screening programme for all young people in Italy engaging in competitive sports has resulted in a very low rate of sports-related cardiac arrest and sudden cardiac death.
Journal Article
Chemical insights, explicit chemistry, and yields of secondary organic aerosol from OH radical oxidation of methylglyoxal and glyoxal in the aqueous phase
Atmospherically abundant, volatile water-soluble organic compounds formed through gas-phase chemistry (e.g., glyoxal (C2), methylglyoxal (C3), and acetic acid) have great potential to form secondary organic aerosol (SOA) via aqueous chemistry in clouds, fogs, and wet aerosols. This paper (1) provides chemical insights into aqueous-phase OH-radical-initiated reactions leading to SOA formation from methylglyoxal and (2) uses this and a previously published glyoxal mechanism (Lim et al., 2010) to provide SOA yields for use in chemical transport models. Detailed reaction mechanisms including peroxy radical chemistry and a full kinetic model for aqueous photochemistry of acetic acid and methylglyoxal are developed and validated by comparing simulations with the experimental results from previous studies (Tan et al., 2010, 2012). This new methylglyoxal model is then combined with the previous glyoxal model (Lim et al., 2010), and is used to simulate the profiles of products and to estimate SOA yields. At cloud-relevant concentrations (~ 10−6 − ~ 10−3 M; Munger et al., 1995) of glyoxal and methylglyoxal, the major photooxidation products are oxalic acid and pyruvic acid, and simulated SOA yields (by mass) are ~ 120% for glyoxal and ~ 80% for methylglyoxal. During droplet evaporation oligomerization of unreacted methylglyoxal/glyoxal that did not undergo aqueous photooxidation could enhance yields. In wet aerosols, where total dissolved organics are present at much higher concentrations (~ 10 M), the major oxidation products are oligomers formed via organic radical–radical reactions, and simulated SOA yields (by mass) are ~ 90% for both glyoxal and methylglyoxal. Non-radical reactions (e.g., with ammonium) could enhance yields.
Journal Article