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.

Impact of a program to prevent incivility towards and assault of healthcare staff in an ophtalmological emergency unit: study protocol for the PREVURGO On/Off trial.

BACKGROUND: The emergency department has been identified as an area within the health care sector with the highest reports of violence. The best way to control violence is to prevent it before it becomes an issue. Ideally, to prevent violent episodes we should eliminate all triggers of frustration and violence. Our study aims to assess the impact of a quality improvement multi-faceted program aiming at preventing incivility and violence against healthcare professionals working at the ophthalmological emergency department of a teaching hospital. METHODS/DESIGN: This study is a single-center prospective, controlled time-series study with an alternate-month design. The prevention program is based on the successive implementation of five complementary interventions: a) an organizational approach with a standardized triage algorithm and patient waiting number screen, b) an environmental approach with clear signage of the premises, c) an educational approach with informational videos for patients and accompanying persons in waiting rooms, d) a human approach with a mediator in waiting rooms and e) a security approach with surveillance cameras linked to the hospital security. The primary outcome is the rate of incivility or violence by patients, or those accompanying them against healthcare staff. All patients admitted to the ophthalmological emergency department, and those accompanying them, will be enrolled. In all, 45,260 patients will be included in over a 24-month period. The unit analysis will be the patient admitted to the emergency department. Data analysis will be blinded to allocation, but due to the nature of the intervention, physicians and patients will not be blinded. DISCUSSION: The strengths of this study include the active solicitation of event reporting, that this is a prospective study and that the study enables assessment of each of the interventions that make up the program. The challenge lies in identifying effective interventions, adapting them to the context of care in an emergency department, and thoroughly assessing their efficacy with a high level of proof.The study has been registered as a cRCT at clinicaltrials.gov (identifier: NCT02015884).

Blood pressure and LDL-cholesterol targets for prevention of recurrent strokes and cognitive decline in the hypertensive patient: design of the European Society of Hypertension-Chinese Hypertension League Stroke in Hypertension Optimal Treatment randomized trial.

BACKGROUND AND OBJECTIVES: The SBP values to be achieved by antihypertensive therapy in order to maximize reduction of cardiovascular outcomes are unknown; neither is it clear whether in patients with a previous cardiovascular event, the optimal values are lower than in the low-to-moderate risk hypertensive patients, or a more cautious blood pressure (BP) reduction should be obtained. Because of the uncertainty whether 'the lower the better' or the 'J-curve' hypothesis is correct, the European Society of Hypertension and the Chinese Hypertension League have promoted a randomized trial comparing antihypertensive treatment strategies aiming at three different SBP targets in hypertensive patients with a recent stroke or transient ischaemic attack. As the optimal level of low-density lipoprotein cholesterol (LDL-C) level is also unknown in these patients, LDL-C-lowering has been included in the design. PROTOCOL DESIGN: The European Society of Hypertension-Chinese Hypertension League Stroke in Hypertension Optimal Treatment trial is a prospective multinational, randomized trial with a 3 × 2 factorial design comparing: three different SBP targets (1, <145-135; 2, <135-125; 3, <125 mmHg); two different LDL-C targets (target A, 2.8-1.8; target B, <1.8 mmol/l). The trial is to be conducted on 7500 patients aged at least 65 years (2500 in Europe, 5000 in China) with hypertension and a stroke or transient ischaemic attack 1-6 months before randomization. Antihypertensive and statin treatments will be initiated or modified using suitable registered agents chosen by the investigators, in order to maintain patients within the randomized SBP and LDL-C windows. All patients will be followed up every 3 months for BP and every 6 months for LDL-C. Ambulatory BP will be measured yearly. OUTCOMES: Primary outcome is time to stroke (fatal and non-fatal). Important secondary outcomes are: time to first major cardiovascular event; cognitive decline (Montreal Cognitive Assessment) and dementia. All major outcomes will be adjudicated by committees blind to randomized allocation. A Data and Safety Monitoring Board has open access to data and can recommend trial interruption for safety. SAMPLE SIZE CALCULATION: It has been calculated that 925 patients would reach the primary outcome after a mean 4-year follow-up, and this should provide at least 80% power to detect a 25% stroke difference between SBP targets and a 20% difference between LDL-C targets.

Prevalence and factors of intensive care unit conflicts: the conflicus study.

RATIONALE: Many sources of conflict exist in intensive care units (ICUs). Few studies recorded the prevalence, characteristics, and risk factors for conflicts in ICUs. OBJECTIVES: To record the prevalence, characteristics, and risk factors for conflicts in ICUs. METHODS: One-day cross-sectional survey of ICU clinicians. Data on perceived conflicts in the week before the survey day were obtained from 7,498 ICU staff members (323 ICUs in 24 countries). MEASUREMENTS AND MAIN RESULTS: Conflicts were perceived by 5,268 (71.6%) respondents. Nurse-physician conflicts were the most common (32.6%), followed by conflicts among nurses (27.3%) and staff-relative conflicts (26.6%). The most common conflict-causing behaviors were personal animosity, mistrust, and communication gaps. During end-of-life care, the main sources of perceived conflict were lack of psychological support, absence of staff meetings, and problems with the decision-making process. Conflicts perceived as severe were reported by 3,974 (53%) respondents. Job strain was significantly associated with perceiving conflicts and with greater severity of perceived conflicts. Multivariate analysis identified 15 factors associated with perceived conflicts, of which 6 were potential targets for future intervention: staff working more than 40 h/wk, more than 15 ICU beds, caring for dying patients or providing pre- and postmortem care within the last week, symptom control not ensured jointly by physicians and nurses, and no routine unit-level meetings. CONCLUSIONS: Over 70% of ICU workers reported perceived conflicts, which were often considered severe and were significantly associated with job strain. Workload, inadequate communication, and end-of-life care emerged as important potential targets for improvement.

Parental attitude towards alternative medicine in the paediatric intensive care unit.

The interest in alternative medicine (AM) is growing. In the USA and Canada, studies showed that 34% of adults and 11% of children use AM. In a prospective cohort study, we investigated the interest in AM among parents of critically ill children in the paediatric Intensive Care Unit (ICU) of a university hospital. From January 1996 to April 1997, we distributed questionnaires to the parents of critically ill children. These strictly anonymous questionnaires were completed at home and returned by mail. Exclusion criteria were short ( < 1 day) or repeated hospitalizations, and insufficient proficiency of the German language. The inclusion criteria were fulfilled by 591 patients; 561 received the questionnaire (95%) and 289 (52%) were returned. Of the respondents, 70% would appreciate AM as a complementary therapy on the ICU, 23% found AM equally or more important than conventional medicine whereas only 7% regarded AM as unimportant. On the ICU, 18% used AM; surprisingly 41% of them did not discuss it with physicians or nurses. An additional 21% would have liked to use AM, but did not do so. Typically, AM-users administered AM also at home to their children and themselves. Their children were however, older.CONCLUSIONS: A substantial proportion of parents used measures of alternative medicine in the intensive care unit, or would have like to do so. However, few had the confidence to discuss this wish with the medical personal. This suggests that alternative medicine is of great interest, even on an intensive care unit. Nevertheless, discussion about alternative medicine seems to be taboo in doctor-patient relations.

10 ans de lutte contre la violence domestique dans le canton de Vaud: résumé de la recherche menée par l'Unité de Médecine des Violences (UMV) sur mandat de la Commission cantonale de lutte contre la violence domestique (CCLVD)

[Sommaire] Introduction. - 1. Quelques données de base: le contexte juridique, la violence domestique: une réalité chiffrée, principales institutions du réseau d'aide dans le canton de Vaud. - 2. Résumé de la recherche "10 ans de lutte contre la violence domestique dans le canton de Vaud": contexte, méthode, résultats, recommandations à l'intention de la CCLVD. - 3. Axes stratégiques de la politique cantonale de prévention de lutte contre la violence domestique 2011-2015. - Bibliographie [Introduction (extrait)] La violence entre membres d'une même famille ou entre proches, à savoir la violence domestique, a longtemps été considérée comme une affaire privée et un tabou. Un important changement de mentalité s'est toutefois opéré ces 20 dernières années. La lutte contre la violence envers les femmes d'une manière générale et contre la violence domestique en particulier préoccupe de plus en plus les organes internationaux, nationaux et locaux et est reconnue comme une tâche d'intérêt public. [...] Dans le canton de Vaud, en 1999, le Bureau de l'égalité entre les femmes et les hommes (BEFH) a mandaté l'Unité de Prévention de l'Institut de médecine sociale et préventive du CHUV, afin de mener une étude sur la violence conjugale, auprès des institutions concernées2. Cette recherche visait à établir un état des lieux et à identifier les besoins prioritaires. En 2001, des recommandations ont émergé de cette étude sous la forme de 40 mesures. Six d'entre elles ont été retenues comme prioritaires par la Conseillère d'Etat Madame Jacqueline Maurer Mayor. Presque 10 ans après, en automne 2008, la Commission cantonale de lutte contre la violence domestique (CCLVD), instituée par le Conseil d'Etat afin de coordonner les efforts en vue de la prévention et de la lutte contre la violence domestique, a décidé de faire un bilan sur la réalisation de ces mesures, d'identifier les besoins actuels des professionnel-le-s de terrain et les problématiques émergeantes. Les résultats de cette étude, menée par L'Unité d médecine des violences (UMV) ont servi de fondement à la CCLVD dans l'établissement d'un plan stratégique 2011-2015, en matière de lutte contre la violence conjugale dans le canton de Vaud. Le présent document présente à la fois un éclairage contextuel sur la situation dans le canton de Vaud aujourd'hui et une synthèse de la recherche précitée.

The role of the radiotherapy technologist in gamma knife radiosurgery within a multidisciplinary team: the Lausanne experience

Objective: Integration of the radiotherapy technologist "know-how" in the Gamma Knife treatment processMaterials and Methods: Gamma Knife (GK) treatments started in July 2010 at the GK Center in C.H.U.V. with the Leksell Gamma KnifeR Perfexion?(Elekta AB, Sweden). The multidisciplinary GK team involves neurosurgeons, radio-oncologists, physicists, neuroradiologists, nurses and technologists, aiming at a full integration for optimal patient management.Results: Between July and December 2010, 60 patients have been treated. Required stereotactic imaging involves IRM, CT scan (and angiography for AVM). All the steps in the treatment process (Leksell coordinate frame fixation, imaging, planning, treatment) are supervised by the members of the multidisciplinary team. In our experience, radiotherapy technologist (RTT) have acquired an important role in the multidisciplinary team communication and integration. Specifically, the RTT are responsible of: supervision of the image acquisition, performing the Gamma Knife unit control tests, patient setup, and patient surveillance during treatment.Conclusion: RTT have a fundamental role in the communication within the team, between the team and the patient and also to assure the patient security. Our experience shows that it is possible and required to involve RTT in all steps of the GK treatment process, to guarantee the best GK treatment possible.

Optimal T-cell receptor affinity for inducing autoimmunity.

T-cell receptor affinity for self-antigen has an important role in establishing self-tolerance. Three transgenic mouse strains expressing antigens of variable affinity for the OVA transgenic-I T-cell receptor were generated to address how TCR affinity affects the efficiency of negative selection, the ability to prime an autoimmune response, and the elimination of the relevant target cell. Mice expressing antigens with an affinity just above the negative selection threshold exhibited the highest risk of developing experimental autoimmune diabetes. The data demonstrate that close to the affinity threshold for negative selection, sufficient numbers of self-reactive T cells escape deletion and create an increased risk for the development of autoimmunity.

Optimal perfusion computed tomographic thresholds for ischemic core and penumbra are not time dependent in the clinically relevant time window.

BACKGROUND AND PURPOSE: This study aims to determine whether perfusion computed tomographic (PCT) thresholds for delineating the ischemic core and penumbra are time dependent or time independent in patients presenting with symptoms of acute stroke. METHODS: Two hundred seventeen patients were evaluated in a retrospective, multicenter study. Patients were divided into those with either persistent occlusion or recanalization. All patients received admission PCT and follow-up imaging to determine the final ischemic core, which was then retrospectively matched to the PCT images to identify optimal thresholds for the different PCT parameters. These thresholds were assessed for significant variation over time since symptom onset. RESULTS: In the persistent occlusion group, optimal PCT parameters that did not significantly change with time included absolute mean transit time, relative mean transit time, relative cerebral blood flow, and relative cerebral blood volume when time was restricted to 15 hours after symptom onset. Conversely, the recanalization group showed no significant time variation for any PCT parameter at any time interval. In the persistent occlusion group, the optimal threshold to delineate the total ischemic area was the relative mean transit time at a threshold of 180%. In patients with recanalization, the optimal parameter to predict the ischemic core was relative cerebral blood volume at a threshold of 66%. CONCLUSIONS: Time does not influence the optimal PCT thresholds to delineate the ischemic core and penumbra in the first 15 hours after symptom onset for relative mean transit time and relative cerebral blood volume, the optimal parameters to delineate ischemic core and penumbra.