Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Hedging na produção de açúcar e álcool: uma integração de decisões financeiras e de produção

O risco financeiro ao qual o produtor agrícola está exposto no momento da comercialização do produto final demanda o uso de instrumentos de redução de risco, a fim de assegurar um preço que viabilize economicamente o processo produtivo. Este artigo analisa o problema de elaboração de estratégias de proteção financeira na presença de restrições de produção, através de um modelo de otimização multiperíodo determinístico. A incerteza é descrita através de árvores de cenários e o risco analisado através das abordagens clássicas de média-variância. O comportamento do modelo proposto é analisado no caso do mercado sucroalcooleiro, para a gestão financeira de usinas sucroalcooleiras, sendo as estratégias de hedging construídas com base no mercado futuro de álcool e açúcar.

A comparison of time-motion performance between age groups in judo matches

The aim of this study was to compare time-motion indicators during judo matches performed by athletes from different age groups. The following age groups were analysed: Pre-Juvenile (13-14 years, n=522), Juvenile (15-16 years, n 353); Junior (19 years, n = 349) and Senior (>20 years, n = 587). The time-motion indicators included: Total Combat Time, Standing Combat Time, Displacement Without Contact, Gripping Time, Groundwork Combat Time and Pause Time. Analysis of variance (ANOVA) one-way and the Tukey test, as well as the Kruskal-Wallis test and Mann-Whitney (for non-parametric data), were conducted, using P < 0.05 as significance level. The results showed that all analysed groups obtained a median of 7 (first quantile - 3, third quantile - 12) sequences of combat/pause cycles. In total time of combat, the result was: for Total Combat Time, Standing Combat Time and Gripping Time: Pre-Juvenile and Senior were significantly longer than Juvenile and Junior. Considering Displacement Without Contact, Junior was significantly longer than all other age groups. For Groundwork Combat Time, Senior was significantly longer than all other age groups and Pre-Juvenile was longer than Junior. These results can be used to improve the physiological performance in intermittent practices, as well as technicaltactical training during judo sessions.

A new long-term lifetime distribution induced by a latent complementary risk framework

In this paper, we proposed a new three-parameter long-term lifetime distribution induced by a latent complementary risk framework with decreasing, increasing and unimodal hazard function, the long-term complementary exponential geometric distribution. The new distribution arises from latent competing risk scenarios, where the lifetime associated scenario, with a particular risk, is not observable, rather we observe only the maximum lifetime value among all risks, and the presence of long-term survival. The properties of the proposed distribution are discussed, including its probability density function and explicit algebraic formulas for its reliability, hazard and quantile functions and order statistics. The parameter estimation is based on the usual maximum-likelihood approach. A simulation study assesses the performance of the estimation procedure. We compare the new distribution with its particular cases, as well as with the long-term Weibull distribution on three real data sets, observing its potential and competitiveness in comparison with some usual long-term lifetime distributions.

The McDonald inverted beta distribution

We introduce a five-parameter continuous model, called the McDonald inverted beta distribution, to extend the two-parameter inverted beta distribution and provide new four- and three-parameter sub-models. We give a mathematical treatment of the new distribution including expansions for the density function, moments, generating and quantile functions, mean deviations, entropy and reliability. The model parameters are estimated by maximum likelihood and the observed information matrix is derived. An application of the new model to real data shows that it can give consistently a better fit than other important lifetime models. (C) 2012 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

Chronic Pain and Depression in the Quality of Life of Women With Migraine - A Controlled Study

Background. Migraine is comorbid to depression and widespread chronic pain (WCP), but the influence of these conditions on the health-related quality of life (HRQoL) of individuals with episodic (EM) and chronic migraine (CM) is poorly understood. Objective.-To assess the prevalence of depressive symptoms and WCP in individuals with EM and CM, as well as to estimate the joint impact of these conditions on the HRQoL of these individuals. Methods.-All women aged 18 to 65 years with a first diagnosis of EM or CM from September of 2006 to September of 2008 seen in an outpatient headache service were invited to participate. They were asked to attend a separate appointment in the service, and to bring another woman of similar age that also agreed to participate. Depressive symptoms were assessed using the Beck Depression Inventory. Questions about WCP followed the protocol of the American College of Rheumatology. HRQoL was assessed using the Short-Form 36 (SF-36). Multivariate analysis modeled HRQoL as a function of headache status, depressive symptoms, and pain, using quantile regression. Results.-Sample consisted of 179 women, 53 in the EM group, 37 in the CM group and 89 in control group. Groups did not differ by demographics. Mean scores of SF-36 were 53.6 (standard deviation [SD] = 23.5) for EM, 44.2 (SD = 18.5) for CM and 61.8 (SD = 21.5) for controls. In multivariate analysis, SF-36 scores were predicted by a CM status (P =.02; -10.05 [95% CI -18.52; -1.58]) and by a Beck Depression Inventory score (P <.01; -1.27 [95% CI -1.55; -0.99]). The influence of WCP in the SF-36 scores approached significance (P =.08; -0.78 [95% CI -1.64; 0.88]). Age did not contribute to the model. Conclusion.-Women with migraine are at an increased chance of WCP, and the chance increases as a function of headache frequency. Both depressive symptoms and CM independently predict HRQoL status.

The McDonald extended distribution: properties and applications

We study a five-parameter lifetime distribution called the McDonald extended exponential model to generalize the exponential, generalized exponential, Kumaraswamy exponential and beta exponential distributions, among others. We obtain explicit expressions for the moments and incomplete moments, quantile and generating functions, mean deviations, Bonferroni and Lorenz curves and Gini concentration index. The method of maximum likelihood and a Bayesian procedure are adopted for estimating the model parameters. The applicability of the new model is illustrated by means of a real data set.

Iniquidades socioeconômicas na conformação dos padrões alimentares de crianças e adolescentes

OBJETIVO: Identificar e quantificar a influência dos fatores socioeconômicos sobre os padrões alimentares. MÉTODOS: Estudo transversal de base populacional com amostra de 1.136 crianças e adolescentes de 7 a 14 anos de idade, de ambos os sexos, matriculados na rede pública de Salvador (BA), Brasil. O consumo alimentar foi medido por meio do questionário qualitativo de frequência alimentar. Os padrões de consumo foram identificados por meio de análise de componentes principais. Para o estudo da influência dos indicadores socioeconômicos na conformação dos padrões alimentares, foram utilizados modelos de regressão quantílica. RESULTADOS: Os padrões alimentares extraídos foram classificados em padrão obesogênico e padrão tradicional. Nos modelos de regressão quantílica, ajustados por faixa etária e por sexo, o menor grau de instrução materna esteve associado negativamente, em níveis significantes, na maioria dos percentis, ao consumo de alimentos que integram o padrão obesogênico. A baixa renda associou-se negativamente aos maiores percentis (p>95). Os dados indicam não haver influência dos indicadores socioeconômicos sobre o consumo de alimentos que integram o padrão tradicional. CONCLUSÃO: Conclui-se que há influência dos fatores socioeconômicos na adesão ao padrão obesogênico de consumo. Esse conjunto de resultados requer a atenção dos gestores públicos para a identificação de um padrão de consumo ocidental, visualizado amplamente nos estudos em que se avaliam padrões de consumo adotados na atualidade pela população brasileira - sobretudo por crianças e adolescentes -, caracterizados por englobar componentes alimentares de risco para as doenças crônicas não transmissíveis.

Identifying common and specific microRNAs expressed in peripheral blood mononuclear cell of type 1, type 2, and gestational diabetes mellitus patients

Abstract Background Regardless the regulatory function of microRNAs (miRNA), their differential expression pattern has been used to define miRNA signatures and to disclose disease biomarkers. To address the question of whether patients presenting the different types of diabetes mellitus could be distinguished on the basis of their miRNA and mRNA expression profiling, we obtained peripheral blood mononuclear cell (PBMC) RNAs from 7 type 1 (T1D), 7 type 2 (T2D), and 6 gestational diabetes (GDM) patients, which were hybridized to Agilent miRNA and mRNA microarrays. Data quantification and quality control were obtained using the Feature Extraction software, and data distribution was normalized using quantile function implemented in the Aroma light package. Differentially expressed miRNAs/mRNAs were identified using Rank products, comparing T1DxGDM, T2DxGDM and T1DxT2D. Hierarchical clustering was performed using the average linkage criterion with Pearson uncentered distance as metrics. Results The use of the same microarrays platform permitted the identification of sets of shared or specific miRNAs/mRNA interaction for each type of diabetes. Nine miRNAs (hsa-miR-126, hsa-miR-1307, hsa-miR-142-3p, hsa-miR-142-5p, hsa-miR-144, hsa-miR-199a-5p, hsa-miR-27a, hsa-miR-29b, and hsa-miR-342-3p) were shared among T1D, T2D and GDM, and additional specific miRNAs were identified for T1D (20 miRNAs), T2D (14) and GDM (19) patients. ROC curves allowed the identification of specific and relevant (greater AUC values) miRNAs for each type of diabetes, including: i) hsa-miR-1274a, hsa-miR-1274b and hsa-let-7f for T1D; ii) hsa-miR-222, hsa-miR-30e and hsa-miR-140-3p for T2D, and iii) hsa-miR-181a and hsa-miR-1268 for GDM. Many of these miRNAs targeted mRNAs associated with diabetes pathogenesis. Conclusions These results indicate that PBMC can be used as reporter cells to characterize the miRNA expression profiling disclosed by the different diabetes mellitus manifestations. Shared miRNAs may characterize diabetes as a metabolic and inflammatory disorder, whereas specific miRNAs may represent biological markers for each type of diabetes, deserving further attention.