Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Regulation of the integration of newly generated neurons in the adult hippocampus

Hippocampal adult neurogenesis results in the continuous formation of new neurons in the adult hippocampus, which participate to learning and memory. Manipulations increasing adult neurogenesis have a huge clinical potential in pathologies involving memory loss. Intringuingly, most of the newborn neurons die during their maturation. Thus, increasing newborn neuron survival during their maturation may be a powerful way to increase overall adult neurogenesis. The factors governing this neuronal death are yet poorly known. In my PhD project, we made the hypothesis that synaptogenesis and synaptic activity play a role in the survival of newborn hippocampal neurons. We studied three factors potentially involved in the regulation of the synaptic integration of adult-born neurons. First, we used propofol anesthesia to provoke a global increase in GABAergic activity of the network, and we evaluated the outcome on newborn neuron synaptic integration, morphological development and survival. Propofol anesthesia impaired the dendritic maturation and survival of adult-born neurons in an age-dependent manner. Next, we examined the development of astrocytic ensheathment on the synapses formed by newborn neurons, as we hypothesized that astrocytes are involved in their synaptic integration. Astrocytic processes ensheathed the synapses of newborn neurons very early in their development, and the processes modulated synaptic transmission on these cells. Finally, we studied the cell-autonomous effects of the overexpression of synaptic adhesion molecules on the development, synaptic integration and survival of newborn neurons, and we found that manipulating of a single adhesion molecule was sufficient to modify synaptogenesis and/or synapse function, and to modify newborn neuron survival. Together, these results suggest that the activity of the neuronal network, the modulation of glutamate transport by astrocytes, and the synapse formation and activity of the neuron itself may regulate the survival of newborn neurons. Thus, the survival of newborn neurons may depend on their ability to communicate with the network. This knowledge is crucial for finding ways to increase neurogenesis in patients. More generally, understanding how the neurogenic niche works and which factors are important for the generation, maturation and survival of neurons is fundamental to be able to maybe, one day, replace neurons in any region of the brain.

Interhemispheric visual integration in humans explored by multimodal brain imaging

Résumé: Les récents progrès techniques de l'imagerie cérébrale non invasives ont permis d'améliorer la compréhension des différents systèmes fonctionnels cérébraux. Les approches multimodales sont devenues indispensables en recherche, afin d'étudier dans sa globalité les différentes caractéristiques de l'activité neuronale qui sont à la base du fonctionnement cérébral. Dans cette étude combinée d'imagerie par résonance magnétique fonctionnelle (IRMf) et d'électroencéphalographie (EEG), nous avons exploité le potentiel de chacune d'elles, soit respectivement la résolution spatiale et temporelle élevée. Les processus cognitifs, de perception et de mouvement nécessitent le recrutement d'ensembles neuronaux. Dans la première partie de cette thèse nous étudions, grâce à la combinaison des techniques IRMf et EEG, la réponse des aires visuelles lors d'une stimulation qui demande le regroupement d'éléments cohérents appartenant aux deux hémi-champs visuels pour en faire une seule image. Nous utilisons une mesure de synchronisation (EEG de cohérence) comme quantification de l'intégration spatiale inter-hémisphérique et la réponse BOLD (Blood Oxygenation Level Dependent) pour évaluer l'activité cérébrale qui en résulte. L'augmentation de la cohérence de l'EEG dans la bande beta-gamma mesurée au niveau des électrodes occipitales et sa corrélation linéaire avec la réponse BOLD dans les aires de VP/V4, reflète et visualise un ensemble neuronal synchronisé qui est vraisemblablement impliqué dans le regroupement spatial visuel. Ces résultats nous ont permis d'étendre la recherche à l'étude de l'impact que le contenu en fréquence des stimuli a sur la synchronisation. Avec la même approche, nous avons donc identifié les réseaux qui montrent une sensibilité différente à l'intégration des caractéristiques globales ou détaillées des images. En particulier, les données montrent que l'implication des réseaux visuels ventral et dorsal est modulée par le contenu en fréquence des stimuli. Dans la deuxième partie nous avons a testé l'hypothèse que l'augmentation de l'activité cérébrale pendant le processus de regroupement inter-hémisphérique dépend de l'activité des axones calleux qui relient les aires visuelles. Comme le Corps Calleux présente une maturation progressive pendant les deux premières décennies, nous avons analysé le développement de la fonction d'intégration spatiale chez des enfants âgés de 7 à 13 ans et le rôle de la myelinisation des fibres calleuses dans la maturation de l'activité visuelle. Nous avons combiné l'IRMf et la technique de MTI (Magnetization Transfer Imaging) afin de suivre les signes de maturation cérébrale respectivement sous l'aspect fonctionnel et morphologique (myelinisation). Chez lés enfants, les activations associées au processus d'intégration entre les hémi-champs visuels sont, comme chez l'adulte, localisées dans le réseau ventral mais se limitent à une zone plus restreinte. La forte corrélation que le signal BOLD montre avec la myelinisation des fibres du splenium est le signe de la dépendance entre la maturation des fonctions visuelles de haut niveau et celle des connections cortico-corticales. Abstract: Recent advances in non-invasive brain imaging allow the visualization of the different aspects of complex brain dynamics. The approaches based on a combination of imaging techniques facilitate the investigation and the link of multiple aspects of information processing. They are getting a leading tool for understanding the neural basis of various brain functions. Perception, motion, and cognition involve the formation of cooperative neuronal assemblies distributed over the cerebral cortex. In this research, we explore the characteristics of interhemispheric assemblies in the visual brain by taking advantage of the complementary characteristics provided by EEG (electroencephalography) and fMRI (Functional Magnetic Resonance Imaging) techniques. These are the high temporal resolution for EEG and high spatial resolution for fMRI. In the first part of this thesis we investigate the response of the visual areas to the interhemispheric perceptual grouping task. We use EEG coherence as a measure of synchronization and BOLD (Blood Oxygenar tion Level Dependent) response as a measure of the related brain activation. The increase of the interhemispheric EEG coherence restricted to the occipital electrodes and to the EEG beta band and its linear relation to the BOLD responses in VP/V4 area points to a trans-hemispheric synchronous neuronal assembly involved in early perceptual grouping. This result encouraged us to explore the formation of synchronous trans-hemispheric networks induced by the stimuli of various spatial frequencies with this multimodal approach. We have found the involvement of ventral and medio-dorsal visual networks modulated by the spatial frequency content of the stimulus. Thus, based on the combination of EEG coherence and fMRI BOLD data, we have identified visual networks with different sensitivity to integrating low vs. high spatial frequencies. In the second part of this work we test the hypothesis that the increase of brain activity during perceptual grouping depends on the activity of callosal axons interconnecting the visual areas that are involved. To this end, in children of 7-13 years, we investigated functional (functional activation with fMRI) and morphological (myelination of the corpus callosum with Magnetization Transfer Imaging (MTI)) aspects of spatial integration. In children, the activation associated with the spatial integration across visual fields was localized in visual ventral stream and limited to a part of the area activated in adults. The strong correlation between individual BOLD responses in .this area and the myelination of the splenial system of fibers points to myelination as a significant factor in the development of the spatial integration ability.

MAR-mediated integration of plasmid vectors for in vivo gene transfer and regulation.

BACKGROUND: The in vivo transfer of naked plasmid DNA into organs such as muscles is commonly used to assess the expression of prophylactic or therapeutic genes in animal disease models. RESULTS: In this study, we devised vectors allowing a tight regulation of transgene expression in mice from such non-viral vectors using a doxycycline-controlled network of activator and repressor proteins. Using these vectors, we demonstrate proper physiological response as consequence of the induced expression of two therapeutically relevant proteins, namely erythropoietin and utrophin. Kinetic studies showed that the induction of transgene expression was only transient, unless epigenetic regulatory elements termed Matrix Attachment Regions, or MAR, were inserted upstream of the regulated promoters. Using episomal plasmid rescue and quantitative PCR assays, we observed that similar amounts of plasmids remained in muscles after electrotransfer with or without MAR elements, but that a significant portion had integrated into the muscle fiber chromosomes. Interestingly, the MAR elements were found to promote plasmid genomic integration but to oppose silencing effects in vivo, thereby mediating long-term expression. CONCLUSIONS: This study thus elucidates some of the determinants of transient or sustained expression from the use of non-viral regulated vectors in vivo.

Neuroscience robotics to investigate multisensory integration and bodily awareness.

Humans experience the self as localized within their body. This aspect of bodily self-consciousness can be experimentally manipulated by exposing individuals to conflicting multisensory input, or can be abnormal following focal brain injury. Recent technological developments helped to unravel some of the mechanisms underlying multisensory integration and self-location, but the neural underpinnings are still under investigation, and the manual application of stimuli resulted in large variability difficult to control. This paper presents the development and evaluation of an MR-compatible stroking device capable of presenting moving tactile stimuli to both legs and the back of participants lying on a scanner bed while acquiring functional neuroimaging data. The platform consists of four independent stroking devices with a travel of 16-20 cm and a maximum stroking velocity of 15 cm/s, actuated over non-magnetic ultrasonic motors. Complemented with virtual reality, this setup provides a unique research platform allowing to investigate multisensory integration and its effects on self-location under well-controlled experimental conditions. The MR-compatibility of the system was evaluated in both a 3 and a 7 Tesla scanner and showed negligible interference with brain imaging. In a preliminary study using a prototype device with only one tactile stimulator, fMRI data acquired on 12 healthy participants showed visuo-tactile synchrony-related and body-specific modulations of the brain activity in bilateral temporoparietal cortex.

Integration of local-scale hydrological and regional-scale geophysical based on a nonlinear Bayesian sequential simulation approach

Significant progress has been made with regard to the quantitative integration of geophysical and hydrological data at the local scale. However, extending the corresponding approaches to the regional scale represents a major, and as-of-yet largely unresolved, challenge. To address this problem, we have developed a downscaling procedure based on a non-linear Bayesian sequential simulation approach. The basic objective of this algorithm is to estimate the value of the sparsely sampled hydraulic conductivity at non-sampled locations based on its relation to the electrical conductivity, which is available throughout the model space. The in situ relationship between the hydraulic and electrical conductivities is described through a non-parametric multivariate kernel density function. This method is then applied to the stochastic integration of low-resolution, re- gional-scale electrical resistivity tomography (ERT) data in combination with high-resolution, local-scale downhole measurements of the hydraulic and electrical conductivities. Finally, the overall viability of this downscaling approach is tested and verified by performing and comparing flow and transport simulation through the original and the downscaled hydraulic conductivity fields. Our results indicate that the proposed procedure does indeed allow for obtaining remarkably faithful estimates of the regional-scale hydraulic conductivity structure and correspondingly reliable predictions of the transport characteristics over relatively long distances.

Integration or individuation : are the salvation goods promised by first-century Christian preaching still attractive ?

(Résumé de l'ouvrage) The idea that religion has to succeed in a «market», selling «salvation goods», has proved to be extremely attractive to scholars in sociology and the study of religion. Max Weber used the term «salvation good» to compare different religious traditions. Pierre Bourdieu employed the term in order to analyze «religious economy». And recently, an American group of researchers advocating «rational choice of religion» put the theme at the forefront of current debates. This book - the fruit of an International Congress in Lausanne in April 2005 - brings together leading specialists in the fields of sociology and the study of religion who discuss the terms «salvation goods» (or religious goods) and «religious market». The authors test the applicability of these concepts by using specific examples and they either deliberately advocate or criticize Weberian, Bourdieusian or rational-choice perspectives.

Quantitative integration of high-resolution hydrogeophysical data through Monte-Carlo-type conditional simulations

Geophysical techniques can help to bridge the inherent gap with regard to spatial resolution and the range of coverage that plagues classical hydrological methods. This has lead to the emergence of the new and rapidly growing field of hydrogeophysics. Given the differing sensitivities of various geophysical techniques to hydrologically relevant parameters and their inherent trade-off between resolution and range the fundamental usefulness of multi-method hydrogeophysical surveys for reducing uncertainties in data analysis and interpretation is widely accepted. A major challenge arising from such endeavors is the quantitative integration of the resulting vast and diverse database in order to obtain a unified model of the probed subsurface region that is internally consistent with all available data. To address this problem, we have developed a strategy towards hydrogeophysical data integration based on Monte-Carlo-type conditional stochastic simulation that we consider to be particularly suitable for local-scale studies characterized by high-resolution and high-quality datasets. Monte-Carlo-based optimization techniques are flexible and versatile, allow for accounting for a wide variety of data and constraints of differing resolution and hardness and thus have the potential of providing, in a geostatistical sense, highly detailed and realistic models of the pertinent target parameter distributions. Compared to more conventional approaches of this kind, our approach provides significant advancements in the way that the larger-scale deterministic information resolved by the hydrogeophysical data can be accounted for, which represents an inherently problematic, and as of yet unresolved, aspect of Monte-Carlo-type conditional simulation techniques. We present the results of applying our algorithm to the integration of porosity log and tomographic crosshole georadar data to generate stochastic realizations of the local-scale porosity structure. Our procedure is first tested on pertinent synthetic data and then applied to corresponding field data collected at the Boise Hydrogeophysical Research Site near Boise, Idaho, USA.

Systems Genetics of Metabolism: The Use of the BXD Murine Reference Panel for Multiscalar Integration of Traits.

Metabolic homeostasis is achieved by complex molecular and cellular networks that differ significantly among individuals and are difficult to model with genetically engineered lines of mice optimized to study single gene function. Here, we systematically acquired metabolic phenotypes by using the EUMODIC EMPReSS protocols across a large panel of isogenic but diverse strains of mice (BXD type) to study the genetic control of metabolism. We generated and analyzed 140 classical phenotypes and deposited these in an open-access web service for systems genetics (www.genenetwork.org). Heritability, influence of sex, and genetic modifiers of traits were examined singly and jointly by using quantitative-trait locus (QTL) and expression QTL-mapping methods. Traits and networks were linked to loci encompassing both known variants and novel candidate genes, including alkaline phosphatase (ALPL), here linked to hypophosphatasia. The assembled and curated phenotypes provide key resources and exemplars that can be used to dissect complex metabolic traits and disorders.

Multisensory Integration: Flexible Use of General Operations.

Research into the anatomical substrates and "principles" for integrating inputs from separate sensory surfaces has yielded divergent findings. This suggests that multisensory integration is flexible and context dependent and underlines the need for dynamically adaptive neuronal integration mechanisms. We propose that flexible multisensory integration can be explained by a combination of canonical, population-level integrative operations, such as oscillatory phase resetting and divisive normalization. These canonical operations subsume multisensory integration into a fundamental set of principles as to how the brain integrates all sorts of information, and they are being used proactively and adaptively. We illustrate this proposition by unifying recent findings from different research themes such as timing, behavioral goal, and experience-related differences in integration.