Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Pleural fluid: Are temperature and storage time critical preanalytical error factors in biochemical analyses?

Background: Biochemical analysis of fluid is the primary laboratory approach hi pleural effusion diagnosis. Standardization of the steps between collection and laboratorial analyses are fundamental to maintain the quality of the results. We evaluated the influence of temperature and storage time on sample stability. Methods: Pleural fluid from 30 patients was submitted to analyses of proteins, albumin, lactic dehydrogenase (LDH), cholesterol, triglycerides, and glucose. Aliquots were stored at 21 degrees, 4 degrees, and-20 degrees C, and concentrations were determined after 1, 2, 3, 4, 7, and 14 days. LDH isoenzymes were quantified in 7 random samples. Results: Due to the instability of isoenzymes 4 and 5, a decrease in LDH was observed in the first 24 h in samples maintained at -20 degrees C and after 2 days when maintained at 4 degrees C. Aside from glucose, all parameters were stable for up to at least day 4 when stored at room temperature or 4 degrees C. Conclusions: Temperature and storage time are potential preanalytical errors in pleural fluid analyses, mainly if we consider the instability of glucose and LDH. The ideal procedure is to execute all the tests immediately after collection. However, most of the tests can be done in refrigerated sample;, excepting LDH analysis. (C) 2010 Elsevier B.V. All rights reserved.

SPINAL POSTURAL ALIGNMENT VARIANCE ACCORDING TO SEX AND AGE IN 7-AND 8-YEAR-OLD CHILDREN

Purpose: Children`s postural alignment undergoes many adjustments due to the changes in body proportions during the stages of growth. The objective of this study was to quantitatively characterize and analyze spinal postural standards in 7- and 8-year-old children to verify which of the differences found were correlated to age and sex. Methods: Two hundred thirty public school students (Amparo, Sao Paulo, Brazil) aged 7 to 8 years were divided into groups according to postural alignment, which were further subdivided by sex and age, for comparison. Digital photos of upright Subjects were analyzed to evaluate posture. Lumbar and thoracic curvature, pelvic inclination, head posture, and lateral spine deviation were measured using CorelDraw (Ottawa, Canada) software guidelines and bone landmarks. Descriptive statistics and analysis of variance data analysis were utilized to verify differences among the groups. This was a cross-sectional, descriptive study. Results: Mean values for the variables analyzed were calculated. For lumbar lordosis, 7-year-old boys showed 38.49 degrees +/- 15.32 degrees in comparison to all other groups (42.29 degrees +/- 7.13 degrees). For thoracic kyphosis, the 7-year-old children presented 28.07 degrees +/- 7.73 degrees. and the 8-year-olds 30.32 degrees +/- 7.73 degrees. Pelvic inclination presented a mean value of 15.82 degrees +/- 5.46 degrees and single lateral spine deviation mean value of 3.48 degrees +/- 2.12 degrees. Conclusion: For the sample studied, differences based on sex and age were found for some of the body segments analyzed. The values found in this study may contribute to improved physiotherapeutic treatment when associated with other aspects of the clinical assessment and symptomatology. (J Manipulative Physiol Ther 2009;32: 154-159)

Error in body weight estimation leads to inadequate parenteral anticoagulation

Parenteral anticoagulation is a cornerstone in the management of venous and arterial thrombosis. Unfractionated heparin has a wide dose/response relationship, requiring frequent and troublesome laboratorial follow-up. Because of all these factors, low-molecular-weight heparin use has been increasing. Inadequate dosage has been pointed out as a potential problem because the use of subjectively estimated weight instead of real measured weight is common practice in the emergency department (ED). To evaluate the impact of inadequate weight estimation on enoxaparin dosage, we investigated the adequacy of anticoagulation of patients in a tertiary ED where subjective weight estimation is common practice. We obtained the estimated, informed, and measured weight of 28 patients in need of parenteral anticoagulation. Basal and steady-state (after the second subcutaneous shot of enoxaparin) anti-Xa activity was obtained as a measure of adequate anticoagulation. The patients were divided into 2 groups according the anticoagulation adequacy. From the 28 patients enrolled, 75% (group 1, n = 21) received at least 0.9 mg/kg per dose BID and 25% (group 2, n = 7) received less than 0.9 mg/kg per dose BID of enoxaparin. Only 4 (14.3%) of all patients had anti-Xa activity less than the inferior limit of the therapeutic range (<0.5 UI/mL), all of them from group 2. In conclusion, when weight estimation was used to determine the enoxaparin dosage, 25% of the patients were inadequately anticoagulated (anti-Xa activity <0.5 UI/mL) during the initial crucial phase of treatment. (C) 2011 Elsevier Inc. All rights reserved.

Underreporting of Energy Intake in Brazilian Women Varies According to Dietary Assessment: A Cross-Sectional Study Using Doubly Labeled Water

Objective Underreporting of energy intake is prevalent in food surveys, but there is controversy about which dietary assessment method provides greater underreporting rates. Our objective is to compare validity of self-reported energy intake obtained by three dietary assessment methods with total energy expenditure (TEE) obtained by doubly labeled water (DLW) among Brazilian women. Design We used a cross-sectional study. Subjects/setting Sixty-five females aged 18 to 57 years (28 normal-weight, 10 over-weight, and 27 obese) were recruited from two universities to participate. Main outcome measures TEE determined by DLW, energy intake estimated by three 24-hour recalls, 3-day food record, and a food frequency questionnaire (FFQ). Statistical analyses performed Regression and analysis of variance with repeated measures compared TEE and energy intake values, and energy intake-to-TEE ratios and energy intake-TEE values between dietary assessment methods. Bland and Altman plots were provided for each method. chi(2) test compared proportion of underreporters between the methods. Results Mean TEE was 2,622 kcal (standard deviation [SD] =490 kcal), while mean energy intake was 2,078 kcal (SD=430 kcal) for the diet recalls; 2,044 kcal (SD=479 kcal) for the food record and 1,984 kcal (SD=832 kcal) for the FFQ (all energy intake values significantly differed from TEE; P<0.0001). Bland and Altman plots indicated great dispersion, negative mean differences between measurements, and wide limits of agreement. Obese subjects underreported more than normal-weight subjects in the diet recalls and in the food records, but not in the FFQ. Years of education, income and ethnicity were associated with reporting accuracy. Conclusions The FFQ produced greater under- and overestimation of energy intake. Underreporting of energy intake is a serious and prevalent error in dietary self-reports provided by Brazilian women, as has been described in studies conducted in developed countries.

DETECTABILITY AND ERROR ESTIMATION IN ORBITAL FITS OF RESONANT EXTRASOLAR PLANETS

We estimate the conditions for detectability of two planets in a 2/1 mean-motion resonance from radial velocity data, as a function of their masses, number of observations and the signal-to-noise ratio. Even for a data set of the order of 100 observations and standard deviations of the order of a few meters per second, we find that Jovian-size resonant planets are difficult to detect if the masses of the planets differ by a factor larger than similar to 4. This is consistent with the present population of real exosystems in the 2/1 commensurability, most of which have resonant pairs with similar minimum masses, and could indicate that many other resonant systems exist, but are currently beyond the detectability limit. Furthermore, we analyze the error distribution in masses and orbital elements of orbital fits from synthetic data sets for resonant planets in the 2/1 commensurability. For various mass ratios and number of data points we find that the eccentricity of the outer planet is systematically overestimated, although the inner planet`s eccentricity suffers a much smaller effect. If the initial conditions correspond to small-amplitude oscillations around stable apsidal corotation resonances, the amplitudes estimated from the orbital fits are biased toward larger amplitudes, in accordance to results found in real resonant extrasolar systems.

Robust inference in an heteroscedastic measurement error model

In this paper we deal with robust inference in heteroscedastic measurement error models Rather than the normal distribution we postulate a Student t distribution for the observed variables Maximum likelihood estimates are computed numerically Consistent estimation of the asymptotic covariance matrices of the maximum likelihood and generalized least squares estimators is also discussed Three test statistics are proposed for testing hypotheses of interest with the asymptotic chi-square distribution which guarantees correct asymptotic significance levels Results of simulations and an application to a real data set are also reported (C) 2009 The Korean Statistical Society Published by Elsevier B V All rights reserved

Bayesian analysis of skew-t multivariate null intercept measurement error model

The multivariate skew-t distribution (J Multivar Anal 79:93-113, 2001; J R Stat Soc, Ser B 65:367-389, 2003; Statistics 37:359-363, 2003) includes the Student t, skew-Cauchy and Cauchy distributions as special cases and the normal and skew-normal ones as limiting cases. In this paper, we explore the use of Markov Chain Monte Carlo (MCMC) methods to develop a Bayesian analysis of repeated measures, pretest/post-test data, under multivariate null intercept measurement error model (J Biopharm Stat 13(4):763-771, 2003) where the random errors and the unobserved value of the covariate (latent variable) follows a Student t and skew-t distribution, respectively. The results and methods are numerically illustrated with an example in the field of dentistry.

Bayesian analysis for a skew extension of the multivariate null intercept measurement error model

Skew-normal distribution is a class of distributions that includes the normal distributions as a special case. In this paper, we explore the use of Markov Chain Monte Carlo (MCMC) methods to develop a Bayesian analysis in a multivariate, null intercept, measurement error model [R. Aoki, H. Bolfarine, J.A. Achcar, and D. Leao Pinto Jr, Bayesian analysis of a multivariate null intercept error-in -variables regression model, J. Biopharm. Stat. 13(4) (2003b), pp. 763-771] where the unobserved value of the covariate (latent variable) follows a skew-normal distribution. The results and methods are applied to a real dental clinical trial presented in [A. Hadgu and G. Koch, Application of generalized estimating equations to a dental randomized clinical trial, J. Biopharm. Stat. 9 (1999), pp. 161-178].

Performance of balanced two-stage empirical predictors of realized cluster latent values from finite populations: A simulation study

Predictors of random effects are usually based on the popular mixed effects (ME) model developed under the assumption that the sample is obtained from a conceptual infinite population; such predictors are employed even when the actual population is finite. Two alternatives that incorporate the finite nature of the population are obtained from the superpopulation model proposed by Scott and Smith (1969. Estimation in multi-stage surveys. J. Amer. Statist. Assoc. 64, 830-840) or from the finite population mixed model recently proposed by Stanek and Singer (2004. Predicting random effects from finite population clustered samples with response error. J. Amer. Statist. Assoc. 99, 1119-1130). Predictors derived under the latter model with the additional assumptions that all variance components are known and that within-cluster variances are equal have smaller mean squared error (MSE) than the competitors based on either the ME or Scott and Smith`s models. As population variances are rarely known, we propose method of moment estimators to obtain empirical predictors and conduct a simulation study to evaluate their performance. The results suggest that the finite population mixed model empirical predictor is more stable than its competitors since, in terms of MSE, it is either the best or the second best and when second best, its performance lies within acceptable limits. When both cluster and unit intra-class correlation coefficients are very high (e.g., 0.95 or more), the performance of the empirical predictors derived under the three models is similar. (c) 2007 Elsevier B.V. All rights reserved.

Inference and local influence assessment in skew-normal null intercept measurement error model

In this article, we discuss inferential aspects of the measurement error regression models with null intercepts when the unknown quantity x (latent variable) follows a skew normal distribution. We examine first the maximum-likelihood approach to estimation via the EM algorithm by exploring statistical properties of the model considered. Then, the marginal likelihood, the score function and the observed information matrix of the observed quantities are presented allowing direct inference implementation. In order to discuss some diagnostics techniques in this type of models, we derive the appropriate matrices to assessing the local influence on the parameter estimates under different perturbation schemes. The results and methods developed in this paper are illustrated considering part of a real data set used by Hadgu and Koch [1999, Application of generalized estimating equations to a dental randomized clinical trial. Journal of Biopharmaceutical Statistics, 9, 161-178].

A multivariate ultrastructural errors-in-variables model with equation error

This paper deals with asymptotic results on a multivariate ultrastructural errors-in-variables regression model with equation errors Sufficient conditions for attaining consistent estimators for model parameters are presented Asymptotic distributions for the line regression estimators are derived Applications to the elliptical class of distributions with two error assumptions are presented The model generalizes previous results aimed at univariate scenarios (C) 2010 Elsevier Inc All rights reserved

Semiparametric Bayesian measurement error modeling

This work presents a Bayesian semiparametric approach for dealing with regression models where the covariate is measured with error. Given that (1) the error normality assumption is very restrictive, and (2) assuming a specific elliptical distribution for errors (Student-t for example), may be somewhat presumptuous; there is need for more flexible methods, in terms of assuming only symmetry of errors (admitting unknown kurtosis). In this sense, the main advantage of this extended Bayesian approach is the possibility of considering generalizations of the elliptical family of models by using Dirichlet process priors in dependent and independent situations. Conditional posterior distributions are implemented, allowing the use of Markov Chain Monte Carlo (MCMC), to generate the posterior distributions. An interesting result shown is that the Dirichlet process prior is not updated in the case of the dependent elliptical model. Furthermore, an analysis of a real data set is reported to illustrate the usefulness of our approach, in dealing with outliers. Finally, semiparametric proposed models and parametric normal model are compared, graphically with the posterior distribution density of the coefficients. (C) 2009 Elsevier Inc. All rights reserved.