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.

Trends in dermatomyositis- and polymyositis-related mortality in the state of Sao Paulo, Brazil, 1985-2007: multiple cause-of-death analysis

Background: Dermatomyositis (DM) and polymyositis (PM) are rare systemic autoimmune rheumatic diseases with high fatality rates. There have been few population-based mortality studies of dermatomyositis and polymyositis in the world, and none have been conducted in Brazil. The objective of the present study was to employ multiple-cause of-death methodology in the analysis of trends in mortality related to dermatomyositis and polymyositis in the state of Sao Paulo, Brazil, between 1985 and 2007. Methods: We analyzed mortality data from the Sao Paulo State Data Analysis System, selecting all death certificates on which DM or PM was listed as a cause of death. The variables sex, age and underlying, associated or total mentions of causes of death were studied using mortality rates, proportions and historical trends. Statistical analysis were performed by chi-square and H Kruskal-Wallis tests, variance analysis and linear regression. A p value less than 0.05 was regarded as significant. Results: Over a 23-year period, there were 318 DM-related deaths and 316 PM-related deaths. Overall, DM/PM was designated as an underlying cause in 55.2% and as an associated cause in 44.8%; among 634 total deaths females accounted for 71.5%. During the study period, age-and gender-adjusted DM mortality rates did not change significantly, although PM as an underlying cause and total mentions of PM trended lower (p < 0.05). The mean ages at death were 47.76 +/- 20.81 years for DM and 54.24 +/- 17.94 years for PM (p = 0.0003). For DM/PM, respectively, as underlying causes, the principal associated causes of death were as follows: pneumonia (in 43.8%/33.5%); respiratory failure (in 34.4%/32.3%); interstitial pulmonary diseases and other pulmonary conditions (in 28.9%/17.6%); and septicemia (in 22.8%/15.9%). For DM/PM, respectively, as associated causes, the following were the principal underlying causes of death: respiratory disorders (in 28.3%/26.0%); circulatory disorders (in 17.4%/20.5%); neoplasms (in 16.7%/13.7%); infectious and parasitic diseases (in 11.6%/9.6%); and gastrointestinal disorders (in 8.0%/4.8%). Of the 318 DM-related deaths, 36 involved neoplasms, compared with 20 of the 316 PM-related deaths (p = 0.03). Conclusions: Our study using multiple cause of deaths found that DM/PM were identified as the underlying cause of death in only 55.2% of the deaths, indicating that both diseases were underestimated in the primary mortality statistics. We observed a predominance of deaths in women and in older individuals, as well as a trend toward stability in the mortality rates. We have confirmed that the risk of death is greater when either disease is accompanied by neoplasm, albeit to lesser degree in individuals with PM. The investigation of the underlying and associated causes of death related to DM/PM broaden the knowledge of the natural history of both diseases and could help integrate mortality data for use in the evaluation of control measures for DM/PM.

Avaliação nutricional e risco cardiovascular em executivos submetidos a check-up

OBJETIVO: Avaliar estado nutricional e risco cardiovascular de executivos. MÉTODOS: Estudo transversal. Foram avaliados 329 executivos de ambos os gêneros, com idade entre 31 e 70 anos, submetidos a check-up de saúde em hospital privado do município de São Paulo. Foram mensuradas as variáveis referentes a peso, estatura e circunferência da cintura (CC) e determinado o Índice de Massa Corporal (IMC). Foram analisados pressão arterial, níveis séricos de colesterol total e frações, triacilglicerol, glicose e ácido úrico. Prática habitual de atividade física foi avaliada por meio do Questionário Internacional de Atividade Física (IPAQ) e o risco cardiovascular pelo Escore de Framingham. A análise de variância e o método de Bonferroni foram utilizados para o tratamento estatístico. RESULTADOS: Média de idade foi 44,6 anos (DP=6,8), predominando o gênero masculino (89,7%). Quanto ao estilo de vida, 17% eram tabagistas e 7,3% sedentários. Os resultados médios encontrados para os exames clínicos e bioquímicos foram: pressão arterial 117,8 x 78,6 mmHg (DP=12 x 8,3), colesterol total 200,5 mg/dL (DP=35,9), LDL-c 121,8 mg/dL (DP=29,9), HDL-c 52,2 mg/dL (DP=10,9), triacilglicerol 133,7 mg/dL (DP=76,8), glicose 96,3 mg/dL (DP=20,5) e ácido úrico 6,0 e 4,2 mg/dL (DP=1,0 e 0,9) para homens e mulheres, respectivamente. O IMC médio foi de excesso de peso (26,1kg/m²; DP=6,8). A CC média estava normal entre as mulheres (79,6cm; DP=7,3) e indicou risco elevado para doenças crônicas entre os homens (96,1cm; DP=8,9). O Risco de Framingham médio foi de 5,7%. CONCLUSÃO: Os executivos estavam com excesso de peso e apresentaram baixo risco cardiovascular.

Influência da mídia em universitárias brasileiras de diferentes regiões

A mídia tem impacto na satisfação com a imagem corporal e risco para o desenvolvimento de transtornos alimentares. OBJETIVO: Avaliar a influência da mídia em universitárias e possíveis associações com idade, estado nutricional, renda e escolaridade do chefe da família. MÉTODOS: 2.489 estudantes do sexo feminino das cinco regiões do Brasil responderam à Sociocultural Attitudes Towards Appearance Scale (SATAQ-3). O escore na SATAQ foi comparado entre as regiões por meio de uma análise de variância. Uma análise de covariância foi utilizada para verificar a influência das variáveis estudadas no escore da SATAQ. Uma regressão logística foi realizada para verificar a interferência conjunta das variáveis em relação à influência da mídia. RESULTADOS: Não foram encontradas diferenças regionais na SATAQ total (p = 0,164) e subescalas Internalização atlética (p = 0,293) e Pressão (p = 0,150); houve diferença para as subescalas Internalização geral (p = 0,010) e Informação (p = 0,002). Idade, estado nutricional e renda influenciaram o resultado. CONCLUSÕES: O escore total na SATAQ foi similar entre as regiões, mas o Sul e o Nordeste apresentaram maiores pontuações para subescalas Internalização geral e Informação respectivamente. Estudantes com menos de 25 anos, com excesso de peso e maior renda foram em média mais influenciadas pela mídia.

Influence of the bipartite scrotum on the testicular and scrotal temperatures in goats

The influence of the scrotal bipartition and of the year period on the scrotal-testicular thermal regulation was evaluated in male goats raised in Piaui State, Brazil. Eighteen male goats at mating age were accomplished in this study and arranged into three Groups (6 animals each) obeying the classification as goats presenting no scrotal bipartition (Group I), goats showing scrotal bipartition at 50% of the testicular length (Group II), and goats with more than 50% of scrotal bipartition (Group III). The scrotal, testicular and spermatic funiculi temperatures were evaluated invasively with the aid of a digital thermometer and non-invasive with a pyrometer in the proximal, medial and distal portion. The data were acquired during the dry (October-November) and rainy (February-March) period of the year, measured in two shifts: morning (6h00-7h00) and afternoon (14h00-15h00). The results were submitted to variance analysis (ANOVA) following the SNK test for average comparison (p<0.05). The year period interfered on the scrotal-testicular thermal regulation, due to increased temperatures of the scrotal, testicular and spermatic funiculi during the dry period in comparison with the rainy period. The bipartition level was also a factor which contributed to the influence of scrotal-testicular temperature regulation, due to lower average scrotal-testicular temperature rates observed during both periods in the goats with higher levels of scrotal bipartition (>50%). It is possible to conclude that with the experimental conditions applied on this study, the level of scrotal bipartition and the climatic conditions interfere with the scrotal-testicular thermal regulation in goats.

Causas de variação nos preços de bovinos nelore elite no Brasil

Este trabalho teve por objetivo estudar as causas de variação nos preços de bovinos da raça nelore pertencentes a rebanhos de seleção, os quais foram comercializados em leilões, para verificar as influências das avaliações genéticas e dos julgamentos de exterior sobre esses preços. Para tanto, foram computados os preços de venda de 426 bovinos da referida raça em 12 leilões ocorridos em diversas localidades brasileiras (regiões Centro-Oeste, Norte e Sudeste), entre os anos de 2002 e 2005. O valor médio foi de R$ 3.325,49, sendo o mínimo de R$ 1.400,00 e o máximo de R$ 10.500,00. Esses dados foram digitados juntamente com outras informações que eram apresentadas nos catálogos dos leilões. As informações registradas incluíram o sexo de cada animal, o nome do leilão e as DEPs informadas nos catálogos. Além da avaliação da influência das informações dos catálogos, também foi avaliada a influência das informações dos reprodutores, pais dos animais vendidos nos leilões, envolvendo suas DEPs publicadas em um sumário de reprodutores da raça e as pontuações de suas progênies em julgamentos. Os métodos estatísticos aplicados foram análises de variâncias e análises de agrupamento (método K-médias). Como resultado, foi observado que animais com superioridade genética em características relacionadas a desempenho ponderal, considerando-se os efeitos diretos e maternos, foram valorizados ao serem comercializados nos leilões. Em contra-partida, a pontuação dos reprodutores nos julgamentos não teve influência significativa sobre os preços médios de venda de suas progênies nos leilões.

Insatisfação com a imagem corporal em universitárias brasileiras

A insatisfação com a imagem corporal é avaliada por meio da diferença entre a figura real e a idealizada e pode influenciar comportamentos alimentares. OBJETIVO: Avaliar a insatisfação corporal de universitárias do sexo feminino nas cinco regiões do país e possíveis associações e correlações com a idade, o estado nutricional, a renda e o grau de escolaridade do chefe da família. MÉTODOS: 2.402 universitárias responderam à Escala de Silhuetas de Stunkard. As regiões foram comparadas por meio da análise de variância; correlações entre as variáveis foram analisadas pelos coeficientes de Pearson e Spearman. RESULTADOS: 64,4 por cento gostariam de ser menores do que sua figura atual, e mesmo as estudantes eutróficas escolheram figuras saudável e ideal menores. Na região Norte foram apontados os mais magros padrões ideais e de saúde e na região Centro-Oeste, os maiores. CONCLUSÃO: A ocorrência de insatisfação corporal foi bastante expressiva, com algumas diferenças regionais e sociodemográficas que devem ser consideradas

Caracterização físico-química e de frescor de filés de tilápia do Nilo (Oreochromis niloticus) oriundas da pesca extrativista no médio Rio Tietê/SP, Brasil

For increasing, the fish consumption in Brazil, is necessary offer products, with quality control to guarantee food safety to the consumers. The Medium Tiete river region is the largest producer of Nile tilapia (Oreochromus niloticus) from catching in the Sao Paulo state and, thus, the aim of this research was to evaluate the physical-chemical parameters (protein, moisture, lipid, ash and freshness (non-protein nitrogen, total volatile base nitrogen -TVB-N and pH) in fish fillets - Anhembi, Botucatu and Igaracu do Tiete. The data was examined further using random blocks design and submitted to test of variance analysis and Tukey Test for comparison of means. The data showed significant difference (5%) amont the places, for the centesimal composition and freshness, being found the following medium values: misture (77.9 to 81.69 g/100g), protein (13.72 to 18.25 g/100g), lipids (0.6 to 1.9 g/100g), ash (0.6 to 1.0g), NNP(61.6 to 78.0 mg/100g), pH (6.2 to 6.4) and TVB-N (5.0 to 10.5 mg/100g). The values found in the physical-chemical and freshness analysis are in according with brazilian's legislation, the processing of fish in the places studied are-irregular and cannot guarantee food safety to the consumers and the quality of the product.

Comparative study of the hygienic behavior of Carniolan and Africanized honey bees directed towards grouped versus isolated dead brood cells

In Apis mellifera, hygienic behavior involves recognition and removal of sick, damaged or dead brood from capped cells. We investigated whether bees react in the same way to grouped versus isolated damaged capped brood cells. Three colonies of wild-type Africanized honey bees and three colonies of Carniolan honey bees were used for this investigation. Capped worker brood cells aged 12 to 14 days old were perforated with the pin-killing method. After making holes in the brood cells, the combs were placed back into the hives; 24 h later the number of cleaned cells was recorded in areas with pin-killed and control brood cells. Four repetitions were made in each colony. Isolated cells were more frequently cleaned than grouped cells, though variance analysis showed no significant difference (P = 0.1421). Carniolan bees also were somewhat, though not significantly more hygienic than Africanized honey bees (P = 0.0840). We conclude that honey bees can detect and remove both isolated and grouped dead brood. The tendency towards greater hygienic efficiency directed towards grouped pin-killed brood may be a consequence of a greater concentration of volatiles emanating from the wounds in the dead pupae.

Condylar displacement between centric relation and maximum intercuspation in symptomatic and asymptomatic individuals

Objective: To measure condylar displacement between centric relation (CR) and maximum intercuspation (MIC) in symptomatic and asymptomatic subjects. Materials and Methods: The sample comprised 70 non-deprogrammed individuals, divided equally into two groups, one symptomatic and the other asymptomatic, grouped according to the research diagnostic criteria for temporomandibular disorders (RDC/TMD). Condylar displacement was measured in three dimensions with the condylar position indicator (CPI) device. Dahlberg's index, intraclass correlation coefficient, repeated measures analysis of variance, analysis of variance, and generalized estimating equations were used for statistical analysis. Results: A greater magnitude of difference was observed on the vertical plane on the left side in both symptomatic and asymptomatic individuals (P = .033). The symptomatic group presented higher measurements on the transverse plane (P = .015). The percentage of displacement in the mesial direction was significantly higher in the asymptomatic group than in the symptomatic one (P = .049). Both groups presented a significantly higher percentage of mesial direction on the right side than on the left (P = .036). The presence of bilateral condylar displacement (left and right sides) in an inferior and distal direction was significantly greater in symptomatic individuals (P = .012). However, no statistical difference was noted between genders. Conclusion: Statistically significant differences between CR and MIC were quantifiable at the condylar level in asymptomatic and symptomatic individuals. (Angle Orthod. 2010;80:835-842.)

Influence of the slice position on chloride migration tests for concrete in marine conditions

Chloride migration tests are used to measure the concrete capacity to inhibit chloride attack. Many researchers carry out this test in a slice of concrete extracted from the central part of cylindrical specimens, discarding about 75% of the concrete used to mold the specimens. This fact generated the question: would it be possible to extract more slices from a same specimen without losing the confidence in the results? The main purpose of this work is to answer this question. Moreover, another aim of this study was to show the difference of chloride penetration between finished faces and the formwork surfaces of concrete beams and slabs. The results indicated that it is possible to use more slices of a single specimen for a chloride migration test. Moreover, it was demonstrated that there is a significant difference of chloride penetration between the finished surface and the formwork surface of the specimens. (C) 2008 Elsevier Ltd. All rights reserved.

A New Approach to Ammonium Sulphate Feeding for Fed-Batch Arthrospira (Spirulina) platensis Cultivation in Tubular Photobioreactor

Arthrospira platensis was cultivated in tubular photobioreactor using different photosynthetic photon flux densities (PPFD) and protocols of (NH(4))(2)SO(4) fed-hatch supply. Results were evaluated by variance analysis selecting maximum cell concentration (X(m)), cell productivity (P(x)), nitrogen-to-cell conversion factor (Y(X/N)) and biomass, protein and lipid contents as responses. At PPFD of 120 and 240 mu mol-photons/m(2) s, a parabolic profile of (NH(4))(2)SO(4) addition aiming at producing biomass with 7% nitrogen content ensured X(m) values (14.1 and 12.2 g/L, respectively) comparable to those obtained with NaNO(3). At PPFD of 240 mu mol-photons/m(2) s, P(x) (1.69 g/Ld) was 36% higher, although the photosynthetic efficiency (3.0%) was less than one-half that at PPFD of 120 mu mol-photons/m(2) s. Biomass was shown to be constituted by about 35% proteins and 10% lipids, without any dependence on PPFD or kind of nitrogen source. These results highlight the possible use of (NH(4))(2)SO(4) as alternative, cheap nitrogen source for A. platensis cultivation in tubular photobioreactors. (C) 2010 American Institute of Chemical Engineers Biotechnol. Prog., 26: 1271-1277, 2010

EVALUATION OF THE INTERACTION OF NUTRIENTS IN THE ZINC APPLICATION IN SEEDS OF THE RICE

The efficient fertilizer use contend micronutrient depends, also, of the interactions that occur with some nutrients. The objective was to study the interaction of zinc with the excessively nutrient ones in function of the application of different doses and sources of Zn saw seed in the culture of the rice. The experiment was carried through in conditions of vegetation house, in the FCAV/Unesp. The used experimental delineation was entirely cazualized, with three repetitions. The treatments had been five doses: 0; 1,0; 2,0; 4,0 and 8,0 g of Zn for kg of seed; e two zinc sources; sulphate of zinc (22% of Zn) and zinc oxide (50% of Zn). The experimental unit was a translucent polyethylene tray, filled with 5 washed thick sand, where 50 seeds of rice had been sown (to var. Caiapo). To the 30 days after the sowing, effected the cut of the plants, separating them in aerial part and roots. From the results of the dry substance and text of nutrients of the aerial part and root of the rice, the accumulation of the nutrients in the respective agencies of the plants was calculated. Becoming fullfilled it variance analysis and the when necessary unfoldings. It had effect of the interactions in distinguishing way between root and aerial part of rice, with regard to the doses and sources.