Sparse Index Clones via the sorted ℓ 1 - Norm.

Index tracking and hedge fund replication aim at cloning the return time series properties of a given benchmark, by either using only a subset of its original constituents or by a set of risk factors. In this paper, we propose a model that relies on the Sorted ℓ 1 Penalized Estimator, called SLOPE, for index tracking and hedge fund replication. We show that SLOPE is capable of not only providing sparsity, but also to form groups among assets depending on their partial correlation with the index or the hedge fund return times series. The grouping structure can then be exploited to create individual investment strategies that allow building portfolios with a smaller number of active positions, but still comparable tracking properties. Considering equity index data and hedge fund returns, we discuss the real-world properties of SLOPE based approaches with respect to state-of-the art approaches.

Morphology and ultrastructure of the nephridial system of Hypania invalida (Grube, 1860) (Annelida, Polychaeta, Ampharetidae).

The excretory organs of the freshwater polychaete Hypania invalida have been examined using scanning and transmission electron microscopy. Three pairs of macroscopically and ultrastructurally different nephridia are present in the thorax. Intersegmental septa in the thorax are absent, with the exception of a single diaphragm between second and third chaetiger. The first pair of nephridia is anterior to this septum, the second pair crosses the septum, with the nephrostomes anterior and the ducts and the nephridiopori posterior to it, and the third pair of nephridia is entirely posterior to the diaphragm. The first two pairs of nephridia have ciliated nephrostomes of moderate size and long nephridial ducts that extend the length of the thorax. In contrast, the third pair is characterized by short ducts and very prominent nephrostomes. Macroscopically, seven different sections of nephridial duct cells can be distinguished along the length of the first two pairs of nephridia, whereas, on an ultrastructural basis, only six different regions can be identified. Only two regions of different duct cells can be recognized in the third pair of nephridia. Cells of the two anterior pairs of nephridia show typical characteristics of transport epithelia and most likely function as excretory organs. In contrast, the duct cells of the third pair are not that much differentiated and might primarily be responsible for the release of sexual products, as sperm was observed passing through these ducts. Podocyte-like cells were observed to accompany nephridial ducts.