基于已实现半协方差的投资组合优化

在传统的风险度量方法中,常见的协方差估计量并未区分资产收益的下侧风险和上侧收益,而一般的下偏矩估计量则存在非对称性和难以加总的缺点.本文引入已实现半协方差矩阵(RSCOV)作为风险度量进行波动率预测和投资组合研究.本文将RSCOV应用于两种常见的风险分散投资策略—风险平价(ERC)策略和全局方差最小(GMV)策略,并将机器学习中的在线加权集成(OWE)算法用于提升已实现波动率预测方法HAR-RV的样本外预测表现.通过研究发现,相比起已有的其他风险衡量方式,仅包含负向波动信息的下半RSCOV能够更好地被用于平衡组内各资产的风险贡献.基于A股市场2011-2018年的高频数据,本文通过实证研究发现,OWE-HARRV在月度预测步长下的效果优于HAR-RV,而下半RSCOV则能够使ERC策略以及GMV策略在保证一定平均收益的同时,降低了组合收益的极端损失.     

Mutations in the RNA exosome component gene EXOSC3 cause pontocerebellar hypoplasia and spinal motor neuron degeneration

RNA exosomes are multi-subunit complexes conserved throughout evolution and are emerging as the major cellular machinery for processing, surveillance and turnover of a diverse spectrum of coding and noncoding RNA substrates essential for viability. By exome sequencing, we discovered recessive mutations in EXOSC3 (encoding exosome component 3) in four siblings with infantile spinal motor neuron disease, cerebellar atrophy, progressive microcephaly and profound global developmental delay, consistent with pontocerebellar hypoplasia type 1 (PCH1; MIM 607596). We identified mutations in EXOSC3 in an additional 8 of 12 families with PCH1. Morpholino knockdown of exosc3 in zebrafish embryos caused embryonic maldevelopment, resulting in small brain size and poor motility, reminiscent of human clinical features, and these defects were largely rescued by co-injection with wild-type but not mutant exosc3 mRNA. These findings represent the first example of an RNA exosome core component gene that is responsible for a human disease and further implicate dysregulation of RNA processing in cerebellar and spinal motor neuron maldevelopment and degeneration.     

A mixed-model approach for genome-wide association studies of correlated traits in structured populations

Genome-wide association studies (GWAS) are a standard approach for studying the genetics of natural variation. A major concern in GWAS is the need to account for the complicated dependence structure of the data, both between loci as well as between individuals. Mixed models have emerged as a general and flexible approach for correcting for population structure in GWAS. Here, we extend this linear mixed-model approach to carry out GWAS of correlated phenotypes, deriving a fully parameterized multi-trait mixed model (MTMM) that considers both the within-trait and between-trait variance components simultaneously for multiple traits. We apply this to data from a human cohort for correlated blood lipid traits from the Northern Finland Birth Cohort 1966 and show greatly increased power to detect pleiotropic loci that affect more than one blood lipid trait. We also apply this approach to an Arabidopsis thaliana data set for flowering measurements in two different locations, identifying loci whose effect depends on the environment.     

An efficient multi-locus mixed-model approach for genome-wide association studies in structured populations

Population structure causes genome-wide linkage disequilibrium between unlinked loci, leading to statistical confounding in genome-wide association studies. Mixed models have been shown to handle the confounding effects of a diffuse background of large numbers of loci of small effect well, but they do not always account for loci of larger effect. Here we propose a multi-locus mixed model as a general method for mapping complex traits in structured populations. Simulations suggest that our method outperforms existing methods in terms of power as well as false discovery rate. We apply our method to human and Arabidopsis thaliana data, identifying new associations and evidence for allelic heterogeneity. We also show how a priori knowledge from an A. thaliana linkage mapping study can be integrated into our method using a Bayesian approach. Our implementation is computationally efficient, making the analysis of large data sets (n > 10,000) practicable.     

锥阀稳态液动力及阀芯表面压力分布数值模拟

基于Fluent流场仿真软件,对锥阀外流和内流情况下阀芯所受稳态液动力及阀芯表面压力分布进行了数值模拟和分析。结果表明,稳态液动力随着阀口压差的增大而增加;当阀口压差大于2.5MPa时,阀芯表面出现负压,阀口处发生气蚀;当阀口开度为1mm时,稳态液动力最大;在其他条件相同的情况下,锥阀内流时的液动力小于锥阀外流时的液动力。     

有机/无机杂化材料与多功能纤维研究进展

有机/无机杂化材料能够实现有机高分子材料与无机材料在纳米或分子水平上的复合,在发挥各自组分特性的同时,体现出特有的协同效应,如新性能、多功能.该原理同样适用于有机/有机杂化体系.随着产业用纤维材料的不断发展,其应用领域也随之拓展,开发新型高分子材料,实现纤维的多功能化成为研究热点.根据纤维多功能化的发展需求,结合有机/无机杂化机理,在分子水平上设计构筑杂化功能材料,采用结构设计、界面构筑的方法建立杂化功能材料与成纤高聚物杂化体系.以成纤高分子的结构设计及凝聚态控制、纳米纤维和低维纳米材料的结构可控制备及其功能化复合为例,简要介绍了有机/无机杂化原理在纤维多功能化方面的研究进展,最后提出了多功能化有机/无机杂化纤维的展望.     

时效时间对6063铝合金准静态压缩性能的影响

以6063铝合金汽车吸能型材为研究对象,采用准静态轴向加载方式,从组织、力学性能等方面研究不同时效制度对6063铝合金型材准静态压缩性能的影响。结果表明：当时效温度为200 ℃时,随着时效时间的延长,合金组织中大尺寸析出相的数量呈先增加后减少的趋势,粗晶层厚度基本不变;随着时效时间的延长,6063铝合金型材的强度、硬度升高,同时准静态压缩的承载能力增强,时效时间6 h时承载能力达到峰值;6063铝合金型材的吸能性能随时效时间的延长而提高,时效时间6 h的吸收功较2 h的提高了48%。     

一种基于小波的互连线模型自适应约减算法

基于偏微分方程的谱分解理论,针对VLSI中的互连线系统,提出了一种基于小波的自适应模型约减算法,选取逼近空间的一组基函数,通过积分合同变换,从而得到一个能够逼近原无穷维系统的有限低阶无源模型.该算法在不需要对互连线进行离散处理的情况下,能直接对非均匀互连线系统进行约减;利用了小波的多尺度和紧支撑特性,并采用自适应机制来平衡逼近精度和计算效率的矛盾.理论分析和数值仿真说明了该方法的有效性.     

不确定切换系统的动态输出反馈鲁棒H∞控制

研究一类由任意有限多个不确定子系统组成的切换系统的动态输出反馈鲁棒H∞控制问题.利用共同Lyapunov函数方法和凸组合技术,给出由矩阵不等式表示的控制器存在的充分条件,并设计了相应的子控制器和切换规则.采用消元法,将该矩阵不等式转化为一组线性矩阵不等式(LMIs).最后给出一个数值仿真实例证明结论的有效性.研究结果表明:通过切换,闭环系统在整个状态空间上的每个点都满足鲁棒H∞性能,而并不要求每个子系统在整个状态空间上都满足鲁棒H∞性能,甚至也不要求其渐进稳定.     

从线粒体DNA控制区基因探讨红腹锦鸡和白腹锦鸡的分类关系

用聚合链式反应(PCR)和直接测序的方法测定红腹锦鸡(Chrysolophus pictus)和白腹锦鸡(C.amherstiae)各5个样本线粒体DNA控制区的468 bp的序列,共发现26个变异位点.红腹锦鸡的序列变异率为0.90%,白腹锦鸡的序列变异率是0.17%,两者差异极显著.红腹锦鸡和白腹锦鸡的3种碱基(A,T,C)含量差异显著.根据Kumar双参数法计算两种锦鸡的遗传距离为0.035±0.008,按线粒体DNA控制区的进化速率2%/Myr计算,它们的分歧进化的时间大约是(1.75±0.40)Myr,结果支持它们是两个独立的种.红腹锦鸡和白腹锦鸡可能分别起源于秦岭以南地区和横断山脉.