Risk management for mathematical optimization under uncertainty

We present a general multistage stochastic mixed 0-1 problem where the uncertainty appears everywhere in the objective function, constraints matrix and right-hand-side. The uncertainty is represented by a scenario tree that can be a symmetric or a nonsymmetric one. The stochastic model is converted in a mixed 0-1 Deterministic Equivalent Model in compact representation. Due to the difficulty of the problem, the solution offered by the stochastic model has been traditionally obtained by optimizing the objective function expected value (i.e., mean) over the scenarios, usually, along a time horizon. This approach (so named risk neutral) has the inconvenience of providing a solution that ignores the variance of the objective value of the scenarios and, so, the occurrence of scenarios with an objective value below the expected one. Alternatively, we present several approaches for risk averse management, namely, a scenario immunization strategy, the optimization of the well known Value-at-Risk (VaR) and several variants of the Conditional Value-at-Risk strategies, the optimization of the expected mean minus the weighted probability of having a "bad" scenario to occur for the given solution provided by the model, the optimization of the objective function expected value subject to stochastic dominance constraints (SDC) for a set of profiles given by the pairs of threshold objective values and either bounds on the probability of not reaching the thresholds or the expected shortfall over them, and the optimization of a mixture of the VaR and SDC strategies.

Endogenous fisheries management in a stochastic model: Why do fishery agencies use TAC

The aim of this paper is to explain under which circumstances using TACs as instrument to manage a fishery along with fishing periods may be interesting from a regulatory point of view. In order to do this, the deterministic analysis of Homans and Wilen (1997)and Anderson (2000) is extended to a stochastic scenario where the resource cannot be measured accurately. The resulting endogenous stochastic model is numerically solved for finding the optimal control rules in the Iberian sardine stock. Three relevant conclusions can be highligted from simulations. First, the higher the uncertainty about the state of the stock is, the lower the probability of closing the fishery is. Second, the use of TACs as management instrument in fisheries already regulated with fishing periods leads to: i) An increase of the optimal season length and harvests, especially for medium and high number of licences, ii) An improvement of the biological and economic variables when the size of the fleet is large; and iii) Eliminate the extinction risk for the resource. And third, the regulator would rather select the number of licences and do not restrict the season length.

Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Multirating decision model validation: the relevance of the quality of the securitization issues

Rating enables the information asymmetry existing in the issuer-investor relationship to be reduced, particularly for issues with a high degree of complexity, as is the case of securitizations. However, there may be a serious conflict of interest between the issuer’s choice and remuneration of the agency and the credit rating awarded, resulting in lower quality and information power of the published rating. In this paper, we propose an explicative model of the number of ratings requested, by analyzing the relevance of the number of ratings to measure the reliability, where multirating is shown to be associated to the quality, size, liquidity and the degree of information asymmetry relating to the issue. Thus, we consider that the regulatory changes that foster the widespread publication of simultaneous ratings could help to alleviate the problem of rating model arbitrage and the crisis of confidence in credit ratings in general and in the securitization issues, in particular.

Association between CASP8-652 6N Del Polymorphism (rs3834129) and Colorectal Cancer Risk: Results from a Multi-Centric Study

The common 2652 6N del variant in the CASP8 promoter (rs3834129) has been described as a putative low-penetrance risk factor for different cancer types. In particular, some studies suggested that the deleted allele (del) was inversely associated with CRC risk while other analyses failed to confirm this. Hence, to better understand the role of this variant in the risk of developing CRC, we performed a multi-centric case-control study. In the study, the variant 2652 6N del was genotyped in a total of 6,733 CRC cases and 7,576 controls recruited by six different centers located in Spain, Italy, USA, England, Czech Republic and the Netherlands collaborating to the international consortium COGENT (COlorectal cancer GENeTics). Our analysis indicated that rs3834129 was not associated with CRC risk in the full data set. However, the del allele was under-represented in one set of cases with a family history of CRC (per allele model OR = 0.79, 95% CI = 0.69-0.90) suggesting this allele might be a protective factor versus familial CRC. Since this multi-centric case-control study was performed on a very large sample size, it provided robust clarification of the effect of rs3834129 on the risk of developing CRC in Caucasians.

The DICER Model: Methodological Issues and Initial Results

31 p.

Regional IAM: analysis of risk-adjusted costs and benefits of climate policies

23 p.

Evaluation of Two Alternative Carbon Capture and Storage Technologies: A Stochastic Model

30 p.

Association between CASP8-652 6N Del Polymorphism (rs3834129) and Colorectal Cancer Risk: Results from a Multi-Centric Study

The common 2652 6N del variant in the CASP8 promoter (rs3834129) has been described as a putative low-penetrance risk factor for different cancer types. In particular, some studies suggested that the deleted allele (del) was inversely associated with CRC risk while other analyses failed to confirm this. Hence, to better understand the role of this variant in the risk of developing CRC, we performed a multi-centric case-control study. In the study, the variant 2652 6N del was genotyped in a total of 6,733 CRC cases and 7,576 controls recruited by six different centers located in Spain, Italy, USA, England, Czech Republic and the Netherlands collaborating to the international consortium COGENT (COlorectal cancer GENeTics). Our analysis indicated that rs3834129 was not associated with CRC risk in the full data set. However, the del allele was under-represented in one set of cases with a family history of CRC (per allele model OR = 0.79, 95% CI = 0.69-0.90) suggesting this allele might be a protective factor versus familial CRC. Since this multi-centric case-control study was performed on a very large sample size, it provided robust clarification of the effect of rs3834129 on the risk of developing CRC in Caucasians.

Muscle wasting in myotonic dystrophies: a model of premature aging

Myotonic dystrophy type 1 (DM1 or Steinert's disease) and type 2 (DM2) are multisystem disorders of genetic origin. Progressive muscular weakness, atrophy and myotonia are the most prominent neuromuscular features of these diseases, while other clinical manifestations such as cardiomyopathy, insulin resistance and cataracts are also common. From a clinical perspective, most DM symptoms are interpreted as a result of an accelerated aging (cataracts, muscular weakness and atrophy, cognitive decline, metabolic dysfunction, etc.), including an increased risk of developing tumors. From this point of view, DM1 could be described as a progeroid syndrome since a notable age dependent dysfunction of all systems occurs. The underlying molecular disorder in DM1 consists of the existence of a pathological (CTG) triplet expansion in the 3' untranslated region (UTR) of the Dystrophia ll/Iyotonica Protein Kinase (DMPK) gene, whereas (CCTG)n repeats in the first intron of the Cellular Nucleic acid Binding Protein/Zinc Finger Protein 9 (CNBP/ZNF9) gene cause DM2. The expansions are transcribed into (CUG)n and (CCUG)n-containing RNA, respectively, which form secondary structures and sequester RNA binding proteins, such as the splicing factor muscleblind-like protein (MBNL), forming nuclear aggregates known as foci. Other splicing factors, such as CUGBP, are also disrupted, leading to a spliceopathy of a large number of downstream genes linked to the clinical features of these diseases. Skeletal muscle regeneration relies on muscle progenitor cells, known as satellite cells, which are activated after muscle damage, and which proliferate and differentiate to muscle cells, thus regenerating the damaged tissue. Satellite cell dysfunction seems to be a common feature of both age-dependent muscle degeneration (sarcopenia) and muscle wasting in DM and other muscle degenerative diseases. This review aims to describe the cellular, molecular and macrostructural processes involved in the muscular degeneration seen in DM patients, highlighting the similarities found with muscle aging.