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.

The generalized inverse Weibull distribution

The inverse Weibull distribution has the ability to model failure rates which are quite common in reliability and biological studies. A three-parameter generalized inverse Weibull distribution with decreasing and unimodal failure rate is introduced and studied. We provide a comprehensive treatment of the mathematical properties of the new distribution including expressions for the moment generating function and the rth generalized moment. The mixture model of two generalized inverse Weibull distributions is investigated. The identifiability property of the mixture model is demonstrated. For the first time, we propose a location-scale regression model based on the log-generalized inverse Weibull distribution for modeling lifetime data. In addition, we develop some diagnostic tools for sensitivity analysis. Two applications of real data are given to illustrate the potentiality of the proposed regression model.

The generalized log-gamma mixture model with covariates: local influence and residual analysis

In a sample of censored survival times, the presence of an immune proportion of individuals who are not subject to death, failure or relapse, may be indicated by a relatively high number of individuals with large censored survival times. In this paper the generalized log-gamma model is modified for the possibility that long-term survivors may be present in the data. The model attempts to separately estimate the effects of covariates on the surviving fraction, that is, the proportion of the population for which the event never occurs. The logistic function is used for the regression model of the surviving fraction. Inference for the model parameters is considered via maximum likelihood. Some influence methods, such as the local influence and total local influence of an individual are derived, analyzed and discussed. Finally, a data set from the medical area is analyzed under the log-gamma generalized mixture model. A residual analysis is performed in order to select an appropriate model.

A generalized modified Weibull distribution for lifetime modeling

A four parameter generalization of the Weibull distribution capable of modeling a bathtub-shaped hazard rate function is defined and studied. The beauty and importance of this distribution lies in its ability to model monotone as well as non-monotone failure rates, which are quite common in lifetime problems and reliability. The new distribution has a number of well-known lifetime special sub-models, such as the Weibull, extreme value, exponentiated Weibull, generalized Rayleigh and modified Weibull distributions, among others. We derive two infinite sum representations for its moments. The density of the order statistics is obtained. The method of maximum likelihood is used for estimating the model parameters. Also, the observed information matrix is obtained. Two applications are presented to illustrate the proposed distribution. (C) 2008 Elsevier B.V. All rights reserved.

The exponentiated generalized gamma distribution with application to lifetime data

A four-parameter extension of the generalized gamma distribution capable of modelling a bathtub-shaped hazard rate function is defined and studied. The beauty and importance of this distribution lies in its ability to model monotone and non-monotone failure rate functions, which are quite common in lifetime data analysis and reliability. The new distribution has a number of well-known lifetime special sub-models, such as the exponentiated Weibull, exponentiated generalized half-normal, exponentiated gamma and generalized Rayleigh, among others. We derive two infinite sum representations for its moments. We calculate the density of the order statistics and two expansions for their moments. The method of maximum likelihood is used for estimating the model parameters and the observed information matrix is obtained. Finally, a real data set from the medical area is analysed.

Double generalized linear model for tissue culture proportion data: a Bayesian perspective

Joint generalized linear models and double generalized linear models (DGLMs) were designed to model outcomes for which the variability can be explained using factors and/or covariates. When such factors operate, the usual normal regression models, which inherently exhibit constant variance, will under-represent variation in the data and hence may lead to erroneous inferences. For count and proportion data, such noise factors can generate a so-called overdispersion effect, and the use of binomial and Poisson models underestimates the variability and, consequently, incorrectly indicate significant effects. In this manuscript, we propose a DGLM from a Bayesian perspective, focusing on the case of proportion data, where the overdispersion can be modeled using a random effect that depends on some noise factors. The posterior joint density function was sampled using Monte Carlo Markov Chain algorithms, allowing inferences over the model parameters. An application to a data set on apple tissue culture is presented, for which it is shown that the Bayesian approach is quite feasible, even when limited prior information is available, thereby generating valuable insight for the researcher about its experimental results.

Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

Parametric analyses of anxiety in zebrafish scototaxis

Scototaxis, the preference for dark environments in detriment of bright ones, is an index of anxiety in zebrafish. In this work, we analyzed avoidance of the white compartment by analysis of the spatiotemporal pattern of exploratory behavior (time spent in the white compartment of the apparatus and shuttle frequency between compartments) and swimming ethogram (thigmotaxis, freezing and burst swimming in the white compartment) in four experiments. In Experiment 1, we demonstrate that spatiotemporal measures of white avoidance and locomotion do not habituate during a single 15-min session. In Experiments 2 and 3, we demonstrate that locomotor activity habituates to repeated exposures to the apparatus, regardless of whether inter-trial interval is 15-min or 24-h; however, no habituation of white avoidance was observed in either experiment. In Experiment 4, we confined animals for three 15-min sessions in the white compartment prior to recording spatiotemporal and ethogram measures in a standard preference test. After these forced exposures, white avoidance and locomotor activity showed no differences in relation to non-confined animals, but burst swimming, thigmotaxis and freezing in the white compartment were all decreased. These results suggest that neither avoidance of the white compartment nor approach to the black compartment account for the behavior of zebrafish in the scototaxis test. (C) 2010 Elsevier B.V. All rights reserved.

Social separation and diazepam withdrawal increase anxiety in the elevated plus-maze and serotonin turnover in the median raphe and hippocampus

The present work aimed to evaluate the effects of social separation for 14 days (chronic stress) and of withdrawal from a 14-day treatment with diazepam (acute stress) on the exploratory behaviour of male rats in the elevated plus-maze and on serotonin (5-hydroxytryptamine) turnover in different brain structures. Social separation had an anxiogenic effect, evidenced by fewer entries into, and less time spent on the open arms of the elevated plus-maze. Separation also selectively increased 5-hydroxytryptamine turnover in the hippocampus and median raphe nucleus. Diazepam withdrawal had a similar anxiogenic effect in grouped animals and increased 5-hydroxytryptamine turnover in the same brain structures. Chronic treatment with imipramine during the 14 days of separation prevented the behavioural and neurochemical changes caused by social separation. It is suggested that the increase in anxiety determined by both acute and chronic stress is mediated by the activation of the median raphe nucleus-hippocampal 5-hydroxytryptamine pathway.

Anxiety-like symptoms induced by morphine withdrawal may be due to the sensitization of the dorsal periaqueductal grey

Withdrawal from morphine leads to the appearance of extreme anxiety accompanied of several physical disturbances, most of them linked to the activation of brainstem regions such as the locus coeruleus, ventral tegmental area, hypothalamic nuclei and periaqueductal grey (PAG). As anxiety remains one of the main components of morphine withdrawal the present study aimed to evaluating the influence of the dorsal aspects of the PAG on the production of this state, since this structure is well-known to be involved in defensive behaviour elicited by anxiety-evoking stimuli. Different groups of animals were submitted to 10 days of i.p. morphine injections, challenged 2 h after with an i.p. injection of naloxone (0.1 mg/kg), and submitted to the plus-maze, open-field and light-dark transition tests. The effects of morphine withdrawal on anxiety-induced Fos immunolabelling were evaluated in four animals that passed by the light-dark transition test randomly chosen for Fos-protein analysis. Besides the PAG, Fos neural expression was conducted in other brain regions involved in the expression of anxiety-related behaviours. Our results showed that morphine withdrawn rats presented enhanced anxiety accompanied of few somatic symptoms. Increased Fos immunolabelling was noted in brain regions well-known to modulate these states as the prelimbic cortex, nucleus accumbens, amygdala and paraventricular hypothalamus. Increased Fos labelling was also observed in the ventral and dorsal aspects of the PAG, a region involved in anxiety-related processes suggesting that this region could be a common neural substrate enlisted during anxiety evoked by dangerous stimuli as well as those elicited by opiate withdrawal. (c) 2008 Elsevier Inc. All rights reserved,

GABAergic REGULATION OF AUDITORY SENSORY GATING IN LOW- AND HIGH-ANXIETY RATS SUBMITTED TO A FEAR CONDITIONING PROCEDURE

The inferior colliculus (IC) is primarily involved in the processing of acoustic stimuli, being in a position to send auditory information to motor centers that participate in behaviors such as prey catching and predators` avoidance The role of the central nucleus of the IC (CIC) on fear and anxiety has been suggested on the basis that rats are able to engage in tasks to decrease the aversiveness of CIC stimulation, increased Fos immunolabeling during diverse aversive states and increased CIC auditory evoked potentials (AEP) induced by conditioned fear stimuli Additionally it was shown that brainstem AEP, represented by wave V, for which the main generator is the IC, is increased during experimentally induced anxiety Rats segregated according to their low or high emotional reactivity have been used as an important tool in the study of fear and anxiety The IC contains a high density of GABA receptors Since the efficacy of an anxiolytic compound is a function of the animal`s anxiety level, it is possible that GABA-benzodiazepine (Bzp) agents affect LA and HA animals differently In this study we investigated the GABA-Bzp influence on the modulation of AEP in rats with low (LA) or high-anxiety (HA) levels, as assessed by the elevated plus maze test (EPM) GABA-Bzp modulation on the unconditioned AEP response was analyzed by using intra CIC injections (0 2 mu l) of the GABA-Bzp agonists muscimol (121 ng) and diazepam (30 mu g) or the GABA inhibitors bicuculline (10 ng) and semicarbazide (7 mu g) In a second experiment, we evaluate the effects of contextual aversive conditioning on AEP using foot shocks as unconditioned stimuli On the unconditioned fear paradigm GABA inhibition in creased AEP in LA rats and decreases this measure in HA counterparts Muscimol was effective in reducing AEP in both LA and HA rats Contextual fear stimuli increased the magnitude of AEP In spite of no effect obtained with diazepam in LA rats the drug inhibited AEP in HA animals The specificity of the regulatory mechanisms mediated by GABA Bzp for the ascending neurocircuits responsible for the acquisition of aversive information in LA and HA animals shed light on the processing of sensory information underlying the generation of defensive reactions (C) 2010 IBRO Published by Elsevier Ltd All rights reserved

Psychoses of epilepsy: A study comparing the clinical features of patients with focal versus generalized epilepsies

In the literature, psychosis of epilepsy (POE) has been described as one of the most frequent psychiatric comorbidities of epilepsy, occurring particularly in association with temporal lobe epilepsy. However, the presence of such psychiatric disorders among patients with idiopathic generalized epilepsies has also been mentioned. In this study, we evaluated the clinical features of psychotic disorders in a series of patients with temporal lobe epilepsy related to mesial temporal sclerosis (TLE-MTS) and juvenile myoclonic epilepsy with the aim of describing and comparing the clinical patterns of the psychotic symptoms in such frequent and important epilepsy syndromes. POE occurred most frequently in patients with TLE-MTS (P=0.01), but no differences were observed between the groups with respect to the subtypes and core symptoms of psychoses. The clinical implications of POE in both epilepsy syndromes are discussed. (C) 2011 Elsevier Inc. All rights reserved.

Novel mutations of the BSCL2 and AGPAT2 genes in 10 families with Berardinelli-Seip congenital generalized lipodystrophy syndrome

P>Context Congenital generalized lipodystrophy, or Berardinelli-Seip syndrome, is a rare autosomal recessive disease caused by mutations in either the BSCL2 or AGPAT2 genes. This syndrome is characterized by an almost complete loss of adipose tissue usually diagnosed at birth or early infancy resulting in apparent muscle hypertrophy. Common clinical features are acanthosis nigricans, hepatomegaly with or without splenomegaly and high stature. Acromegaloid features, cardiomyopathy and mental retardation can also be present. Design We investigated 11 kindreds from different geographical areas of Brazil (northeast and southeast). All coding regions as well as flanking intronic regions of both genes were examined. Polymerase chain reaction (PCR) amplifications were performed using primers described previously and PCR products were sequenced directly. Results Four AGPAT2 and two BSCL2 families harboured the same set of mutations. BSCL2 gene mutations were found in the homozygous form in four kindreds (c.412C > T c.464T > C, c.518-519insA, IVS5-2A > G), and in two kindreds compound mutations were found (c.1363C > T, c.424A > G). In the other four families, one mutation of the AGPAT2 gene was found (IVS3-1G > C and c.299G > A). Conclusions We have demonstrated four novel mutations of the BSCL2 and AGPAT2 genes responsible for Berardinelli-Seip syndrome and Brunzell syndrome (AGPAT2-related syndrome).

Bipolar disorder and comorbid obsessive-compulsive disorder is associated with higher rates of anxiety and impulse control disorders

Objective: Although bipolar disorder (BD) with comorbid obsessive-compulsive disorder (OCD) is highly prevalent, few controlled studies have assessed this comorbidity. The objective of this study was to investigate the clinical characteristics and expression of comorbid disorders in female BD patients with OCD. Method: We assessed clinically stable female outpatients with BD: 15 with comorbid OCD (BD+OCD group) and 15 without (BD/no-OCD group). All were submitted to the Structured Clinical Interview for DSM-IV, with additional modules for the diagnosis of kleptomania, trichotillomania, pathological gambling, onychophagia and skin picking. Results: The BD+OCD patients presented more chronic episodes, residual symptoms and previous depressive episodes than the BD/no-OCD patients. Of the BD+OCD patients, 86% had a history of treatment-emergent mania, compared with only 40% of the BD/no-OCD patients. The following were more prevalent in the BD+OCD patients than the BD/no-OCD patients: any anxiety disorder other than OCD; impulse control disorders; eating disorders; and tic disorders. Conclusion: Female BD patients with OCD may represent a more severe form of disorder than those without OCD, having more depressive episodes and residual symptoms, and being at a higher risk for treatment-emergent mania, as well as presenting a greater anxiety and impulse control disorder burden.

Social anxiety disorder: what are we losing with the current diagnostic criteria?

Objective: To assess the rate of comorbidities and the functional impairment associated with the social anxiety disorder (SAD), with an emphasis on the so-called subthreshold clinical signs and symptoms. Method: Psychiatric comorbidities and psychosocial functioning were evaluated in 355 volunteers (college students) who had been diagnosed as SAD (n = 141), Subthreshold SAD (n = 92) or Controls (n = 122). Results: The rate of comorbidities was 71.6% in the SAD group and 50% in subjects with Subthreshold SAD, both significantly greater than Controls (28.7%). Concerning psychosocial functioning, the SAD group had higher impairment than the other two groups in all domains evaluated, and subjects with Subthreshold SAD presented intermediate values. Conclusion: The rates of psychiatric comorbidities and the impairment of psychosocial functioning increase progressively along the spectrum of social anxiety. The fact that Subthreshold SAD causes considerable disability and suffering in comparison with control subjects justifies a review of the validity of the diagnostic criteria.