Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

Knowledge and valuation of Andean agroforestry species: the role of sex, age, and migration among members of a rural community in Bolivia

Background Agroforestry is a sustainable land use method with a long tradition in the Bolivian Andes. A better understanding of people’s knowledge and valuation of woody species can help to adjust actor-oriented agroforestry systems. In this case study, carried out in a peasant community of the Bolivian Andes, we aimed at calculating the cultural importance of selected agroforestry species, and at analysing the intracultural variation in the cultural importance and knowledge of plants according to peasants’ sex, age, and migration. Methods Data collection was based on semi-structured interviews and freelisting exercises. Two ethnobotanical indices (Composite Salience, Cultural Importance) were used for calculating the cultural importance of plants. Intracultural variation in the cultural importance and knowledge of plants was detected by using linear and generalised linear (mixed) models. Results and discussion The culturally most important woody species were mainly trees and exotic species (e.g. Schinus molle, Prosopis laevigata, Eucalyptus globulus). We found that knowledge and valuation of plants increased with age but that they were lower for migrants; sex, by contrast, played a minor role. The age effects possibly result from decreasing ecological apparency of valuable native species, and their substitution by exotic marketable trees, loss of traditional plant uses or the use of other materials (e.g. plastic) instead of wood. Decreasing dedication to traditional farming may have led to successive abandonment of traditional tool uses, and the overall transformation of woody plant use is possibly related to diminishing medicinal knowledge. Conclusions Age and migration affect how people value woody species and what they know about their uses. For this reason, we recommend paying particular attention to the potential of native species, which could open promising perspectives especially for the young migrating peasant generation and draw their interest in agroforestry. These native species should be ecologically sound and selected on their potential to provide subsistence and promising commercial uses. In addition to offering socio-economic and environmental services, agroforestry initiatives using native trees and shrubs can play a crucial role in recovering elements of the lost ancient landscape that still forms part of local people’s collective identity.

A meta-analysis of cambium phenology and growth: linear and non-linear patterns in conifers of the northern hemisphere

Background and Aims Ongoing global warming has been implicated in shifting phenological patterns such as the timing and duration of the growing season across a wide variety of ecosystems. Linear models are routinely used to extrapolate these observed shifts in phenology into the future and to estimate changes in associated ecosystem properties such as net primary productivity. Yet, in nature, linear relationships may be special cases. Biological processes frequently follow more complex, non-linear patterns according to limiting factors that generate shifts and discontinuities, or contain thresholds beyond which responses change abruptly. This study investigates to what extent cambium phenology is associated with xylem growth and differentiation across conifer species of the northern hemisphere. Methods Xylem cell production is compared with the periods of cambial activity and cell differentiation assessed on a weekly time scale on histological sections of cambium and wood tissue collected from the stems of nine species in Canada and Europe over 1–9 years per site from 1998 to 2011. Key Results The dynamics of xylogenesis were surprisingly homogeneous among conifer species, although dispersions from the average were obviously observed. Within the range analysed, the relationships between the phenological timings were linear, with several slopes showing values close to or not statistically different from 1. The relationships between the phenological timings and cell production were distinctly non-linear, and involved an exponential pattern. Conclusions The trees adjust their phenological timings according to linear patterns. Thus, shifts of one phenological phase are associated with synchronous and comparable shifts of the successive phases. However, small increases in the duration of xylogenesis could correspond to a substantial increase in cell production. The findings suggest that the length of the growing season and the resulting amount of growth could respond differently to changes in environmental conditions.

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

O(N) Models with Topological Lattice Actions

A variety of lattice discretisations of continuum actions has been considered, usually requiring the correct classical continuum limit. Here we discuss “weird” lattice formulations without that property, namely lattice actions that are invariant under most continuous deformations of the field configuration, in one version even without any coupling constants. It turns out that universality is powerful enough to still provide the correct quantum continuum limit, despite the absence of a classical limit, or a perturbative expansion. We demonstrate this for a set of O(N) models (or non-linear σ-models). Amazingly, such “weird” lattice actions are not only in the right universality class, but some of them even have practical benefits, in particular an excellent scaling behaviour.

Factors that trigger emergency physicians to contact a poison centre: findings from a Swiss study.

OBJECTIVE Poison centres offer rapid and comprehensive support for emergency physicians managing poisoned patients. This study investigates institutional, case-specific and poisoning-specific factors which influence the decision of emergency physicians to contact a poison centre. METHODS Retrospective, consecutive review of all poisoning-related admissions to the emergency departments (EDs) of a primary care hospital and a university hospital-based tertiary referral centre during 2007. Corresponding poison centre consultations were extracted from the poison centre database. Data were matched and analysed by logistic regression and generalised linear mixed models. RESULTS 545 poisonings were treated in the participating EDs (350 (64.2%) in the tertiary care centre, 195 (35.8%) in the primary care hospital). The poison centre was consulted in 62 (11.4%) cases (38 (61.3%) by the tertiary care centre and 24 (38.7%) by the primary care hospital). Factors significantly associated with poison centre consultation included gender (female vs male) (OR 2.99; 95% CI 1.69 to 5.29; p<0.001), number of ingested substances (>1 vs 1) (OR 2.84; 95% CI 1.65 to 4.9; p<0.001) and situation (accidental vs intentional) (OR 2.76; 95% CI 1.05 to 7.25; p=0.039). In contrast, age, medical history and hospital size did not influence poison centre consultation. Poison centre consultation was significantly higher during the week, and significantly less during night shifts. The poison centre was consulted significantly more when patients were admitted to intensive care units (OR 5.81; 95% CI 3.25 to 10.37; p<0.001). Asymptomatic and severe versus mild cases were associated with more frequent consultation (OR 4.48; 95% CI 1.78 to 11.26; p=0.001 and OR 2.76; 95% CI 1.42 to 5.38; p=0.003). CONCLUSIONS We found low rates of poison centre consultation by emergency physicians. It appears that intensive care unit admission and other factors reflecting either complexity or uncertainty of the clinical situation are the strongest predictors for poison centre consultation. Hospital size did not influence referral behaviour.

Abnormal bone geometry at the metacarpal bone shaft of rheumatoid arthritis patients with maintained muscle-bone relationship

OBJECTIVES:: Metacarpal juxta-articular bone is altered in Rheumatoid Arthritis (RA). However, a detailed analysis of disease related geometrical adaptations of the metacarpal shaft is missing. The aim of the present study was to assess the role of RA disease, forearm muscle cross-sectional area (CSA), age and sex on bone geometry at the metacarpal shaft. METHODS:: In 64 RA patients and 128 control subjects geometric properties of the third metacarpal bone mid-shaft and forearm muscle CSA were measured by peripheral quantitative computed tomography (pQCT). Linear models were performed for cortical CSA, total bone CSA, polar stress-strain Index (polar SSI, a surrogate for bone's resistance to bending and torsion), cortical thickness and Metacarpal Index (MI=cortical CSA/total CSA) with explanatory variables muscle CSA, age, RA status and sex. RESULTS:: Forearm muscle CSA was associated with cortical and total metacarpal CSA, and polar SSI. RA group status was associated with all bone parameters except cortical CSA. There was a significant interaction between RA status and age, indicating that the RA group had a greater age-related decrease in cortical CSA, cortical thickness and MI. CONCLUSIONS:: Bone geometry of the metacarpal shaft is altered in RA patients compared to healthy controls. While bone mass of the metacarpal shaft is adapted to forearm muscle mass, cortical thickness and MI are reduced but outer bone shaft circumference and polar SSI increased in RA patients. These adaptations correspond to an enhanced aging pattern in RA patients.

Concomitant Vascular Reconstruction During Pancreatectomy for Malignant Disease: A Propensity Score-Adjusted, Population-Based Trend Analysis Involving 10 206 Patients

OBJECTIVE To assess trends in the frequency of concomitant vascular reconstructions (VRs) from 2000 through 2009 among patients who underwent pancreatectomy, as well as to compare the short-term outcomes between patients who underwent pancreatic resection with and without VR. DESIGN Single-center series have been conducted to evaluate the short-term and long-term outcomes of VR during pancreatic resection. However, its effectiveness from a population-based perspective is still unknown. Unadjusted, multivariable, and propensity score-adjusted generalized linear models were performed. SETTING Nationwide Inpatient Sample from 2000 through 2009. PATIENTS A total of 10 206 patients were involved. MAIN OUTCOME MEASURES Incidence of VR during pancreatic resection, perioperative in-hospital complications, and length of hospital stay. RESULTS Overall, 10 206 patients were included in this analysis. Of these, 412 patients (4.0%) underwent VR, with the rate increasing from 0.7% in 2000 to 6.0% in 2009 (P < .001). Patients who underwent pancreatic resection with VR were at a higher risk for intraoperative (propensity score-adjusted odds ratio, 1.94; P = .001) and postoperative (propensity score-adjusted odds ratio, 1.36; P = .008) complications, while the mortality and median length of hospital stay were similar to those of patients without VR. Among the 25% of hospitals with the highest surgical volume, patients who underwent pancreatic surgery with VR had significantly higher rates of postoperative complications and mortality than patients without VR. CONCLUSIONS The frequency of VR during pancreatic surgery is increasing in the United States. In contrast with most single-center analyses, this population-based study demonstrated that patients who underwent VR during pancreatic surgery had higher rates of adverse postoperative outcomes than their counterparts who underwent pancreatic resection only. Prospective studies incorporating long-term outcomes are warranted to further define which patients benefit from VR.

Associations between prion protein genotype and type traits in East Friesian milk sheep

Linear models were used to analyse the relationships between the prion protein genotypes and the height at the withers and rump, the heart girth and the length of the trunk of 440 East Friesian milk sheep. Significant associations were found between the ARR allele and the height of the withers and rump, and heart girth. The average height at the withers of the homozygous ARR/ARR sheep was 1.9 cm less than that of ARQ/ARQ sheep and 1.6 cm less than in sheep heterozygous for ARR; the height at the rump, length of the trunk and heart girth were similarly smaller. In the ARR/ARR ewes, the average height at the withers was 2.6 cm less and the height at the rump was 1.9 cm less than in the ARQ/ARQ ewes.

A multi-level decomposition of variance in somatic symptom reporting in families with adolescent children

OBJECTIVES: This paper examines four different levels of possible variation in symptom reporting: occasion, day, person and family. DESIGN: In order to rule out effects of retrospection, concurrent symptom reporting was assessed prospectively using a computer-assisted self-report method. METHODS: A decomposition of variance in symptom reporting was conducted using diary data from families with adolescent children. We used palmtop computers to assess concurrent somatic complaints from parents and children six times a day for seven consecutive days. In two separate studies, 314 and 254 participants from 96 and 77 families, respectively, participated. A generalized multilevel linear models approach was used to analyze the data. Symptom reports were modelled using a logistic response function, and random effects were allowed at the family, person and day level, with extra-binomial variation allowed for on the occasion level. RESULTS: Substantial variability was observed at the person, day and occasion level but not at the family level. CONCLUSIONS: To explain symptom reporting in normally healthy individuals, situational as well as person characteristics should be taken into account. Family characteristics, however, would not help to clarify symptom reporting in all family members.

Hospital use of young children in Switzerland: a nation-wide study based on a complete survey over 4 years

Background Young children are known to be the most frequent hospital users compared to older children and young adults. Therefore, they are an important population from economic and policy perspectives of health care delivery. In Switzerland complete hospitalization discharge records for children [<5 years] of four consecutive years [2002–2005] were evaluated in order to analyze variation in patterns of hospital use. Methods Stationary and outpatient hospitalization rates on aggregated ZIP code level were calculated based on census data provided by the Swiss federal statistical office (BfS). Thirty-seven hospital service areas for children [HSAP] were created with the method of "small area analysis", reflecting user-based health markets. Descriptive statistics and general linear models were applied to analyze the data. Results The mean stationary hospitalization rate over four years was 66.1 discharges per 1000 children. Hospitalizations for respiratory problem are most dominant in young children (25.9%) and highest hospitalization rates are associated with geographical factors of urban areas and specific language regions. Statistical models yielded significant effect estimates for these factors and a significant association between ambulatory/outpatient and stationary hospitalization rates. Conclusion The utilization-based approach, using HSAP as spatial representation of user-based health markets, is a valid instrument and allows assessing the supply and demand of children's health care services. The study provides for the first time estimates for several factors associated with the large variation in the utilization and provision of paediatric health care resources in Switzerland.

Coagulation activity before and after acute psychosocial stress increases with age

OBJECTIVE: To assess whether stress further increases hypercoagulation in older individuals. We investigated whether acute stress-induced changes in coagulation parameters differ with age. It is known that hypercoagulation occurs in response to acute stress and that a shift in hemostasis toward a hypercoagulability state occurs with age. However, it is not yet known whether acute stress further increases hypercoagulation in older individuals, and thus may increase their risk for cardiovascular disease (CVD). METHODS: A total of 63 medication-free nonsmoking men, aged between 20 and 65 years (mean +/- standard error of the mean = 36.7 +/- 1.7 years), underwent an acute standardized psychosocial stress task combining public speaking and mental arithmetic in front of an audience. We measured plasma clotting factor VII activity (FVII:C), fibrinogen, and D-dimer at rest, immediately, and 20 minutes after stress. RESULTS: Increased age predicted greater increases in fibrinogen (beta = 0.26, p = 0.041; DeltaR(2) = 0.05), FVII:C (beta = 0.40, p = .006; DeltaR(2) = 0.11), and D-dimer (beta = 0.51, p < .001; DeltaR(2) = 0.18) from rest to 20 minutes after stress independent of body mass index and mean arterial blood pressure. General linear models revealed significant effects of age and stress on fibrinogen, FVII:C, and D-dimer (main effects: p < .04), and greater D-dimer stress reactivity with older age (interaction age-by-stress: F(1.5/90.4) = 4.36, p = .024; f = 0.33). CONCLUSIONS: Our results suggest that acute stress might increase vulnerability in the elderly for hypercoagulability and subsequent hemostasis-associated diseases like CVD.

Factors related to treatment intensity in Swiss primary care

BACKGROUND: Questions about the existence of supplier-induced demand emerge repeatedly in discussions about governing Swiss health care. This study therefore aimed to evaluate the interrelationship between structural factors of supply and the volume of services that are provided by primary care physicians in Switzerland. METHODS: The study was designed as a cross-sectional investigation, based on the complete claims data from all Swiss health care insurers for the year 2004, which covered information from 6087 primary care physicians and 4.7 million patients. Utilization-based health service areas were constructed and used as spatial units to analyze effects of density of supply. Hierarchical linear models were applied to analyze the data. RESULTS: The data showed that, within a service area, a higher density of primary care physicians was associated with higher mortality rates and specialist density but not with treatment intensity in primary care. Higher specialist density was weakly associated with higher mortality rates and with higher treatment intensity density of primary care physicians. Annual physician-level data indicate a disproportionate increase of supplied services irrespective of the size of the number of patients treated during the same year and, even in high volume practices, no rationing but a paradoxical inducement of consultations occurred. The results provide empirical evidence that higher densities of primary care physicians, specialists and the availability of out-patient hospital clinics in a given area are associated with higher volume of supplied services per patient in primary care practices. Analyses stratified by language regions showed differences that emphasize the effect of the cantonal based (fragmented) governance of Swiss health care. CONCLUSION: The study shows high volumes in Swiss primary care and provides evidence that the volume of supply is not driven by medical needs alone. Effects related to the competition for patients between primary care physicians, specialists and out-patient hospital clinics and an association with the system of reimbursing services on a fee-for-service basis can not be excluded.

Independent association between lower level of social support and higher coagulation activity before and after acute psychosocial stress

OBJECTIVE: To investigate the relationship between social support and coagulation parameter reactivity to mental stress in men and to determine if norepinephrine is involved. Lower social support is associated with higher basal coagulation activity and greater norepinephrine stress reactivity, which in turn, is linked with hypercoagulability. However, it is not known if low social support interacts with stress to further increase coagulation reactivity or if norepinephrine affects this association. These findings may be important for determining if low social support influences thrombosis and possible acute coronary events in response to acute stress. We investigated the relationship between social support and coagulation parameter reactivity to mental stress in men and determined if norepinephrine is involved. METHODS: We measured perceived social support in 63 medication-free nonsmoking men (age (mean +/- standard error of the mean) = 36.7 +/- 1.7 years) who underwent an acute standardized psychosocial stress task combining public speaking and mental arithmetic in front of an audience. We measured plasma D-dimer, fibrinogen, clotting Factor VII activity (FVII:C), and plasma norepinephrine at rest as well as immediately after stress and 20 minutes after stress. RESULTS: Independent of body mass index, mean arterial pressure, and age, lower social support was associated with higher D-dimer and fibrinogen levels at baseline (p < .012) and with greater increases in fibrinogen (beta = -0.36, p = .001; DeltaR(2) = .12), and D-dimer (beta = -0.21, p = .017; DeltaR(2) = .04), but not in FVII:C (p = .83) from baseline to 20 minutes after stress. General linear models revealed significant main effects of social support and stress on fibrinogen, D-dimer, and norepinephrine (p < .035). Controlling for norepinephrine did not change the significance of the reported associations between social support and the coagulation measures D-dimer and fibrinogen. CONCLUSIONS: Our results suggest that lower social support is associated with greater coagulation activity before and after acute stress, which was unrelated to norepinephrine reactivity.

Maxillary sinus floor extension and posterior tooth inclination in adolescent patients with Class II Division 1 malocclusion treated with maxillary first molar extractions

INTRODUCTION Our objective was to investigate potential associations between maxillary sinus floor extension and inclination of maxillary second premolars and second molars in patients with Class II Division 1 malocclusion whose orthodontic treatment included maxillary first molar extractions. METHODS The records of 37 patients (18 boys, 19 girls; mean age, 13.2 years; SD, 1.62 years) treated between 1998 and 2004 by 1 orthodontist with full Begg appliances were used in this study. Inclusion criteria were white patients with Class II Division 1 malocclusion, sagittal overjet of ≥4 mm, treatment plan including extraction of the maxillary first permanent molars, no missing teeth, and no agenesis. Maxillary posterior tooth inclination and lower maxillary sinus area in relation to the palatal plane were measured on lateral cephalograms at 3 time points: at the start and end of treatment, and on average 2.5 years posttreatment. Data were analyzed for the second premolar and second molar inclinations by using mixed linear models. RESULTS The analysis showed that the second molar inclination angle decreased by 7° after orthodontic treatment, compared with pretreatment values, and by 11.5° at the latest follow-up, compared with pretreatment. There was evidence that maxillary sinus volume was negatively correlated with second molar inclination angle; the greater the volume, the smaller the inclination angle. For premolars, inclination increased by 15.4° after orthodontic treatment compared with pretreatment, and by 8.1° at the latest follow-up compared with baseline. The volume of the maxillary sinus was not associated with premolar inclination. CONCLUSIONS We found evidence of an association between maxillary second molar inclination and surface area of the lower sinus in patients treated with maxillary first molar extractions. Clinicians who undertake such an extraction scheme in Class II patients should be aware of this potential association and consider appropriate biomechanics to control root uprighting.