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.

Octopus Standard Automated Perimetry, Pulsar Perimetry, Moorfields Motion Displacement Test and Heidelberg Retinal Tomography in Glaucoma Detection - A Comparison of Diagnostic Accuracy

Purpose: To investigate the accuracy of 4 clinical instruments in the detection of glaucomatous damage. Methods: 102 eyes of 55 test subjects (Age mean = 66.5yrs, range = [39; 89]) underwent Heidelberg Retinal Tomography (HRTIII), (disc area<2.43); and standard automated perimetry (SAP) using Octopus (Dynamic); Pulsar (TOP); and Moorfields Motion Displacement Test (MDT) (ESTA strategy). Eyes were separated into three groups 1) Healthy (H): IOP<21mmHg and healthy discs (clinical examination), 39 subjects, 78 eyes; 2) Glaucoma suspect (GS): Suspicious discs (clinical examination), 12 subjects, 15 eyes; 3) Glaucoma (G): progressive structural or functional loss, 14 subjects, 20 eyes. Clinical diagnostic precision was examined using the cut-off associated with the p<5% normative limit of MD (Octopus/Pulsar), PTD (MDT) and MRA (HRT) analysis. The sensitivity, specificity and accuracy were calculated for each instrument. Results: See table Conclusions: Despite the advantage of defining glaucoma suspects using clinical optic disc examination, the HRT did not yield significantly higher accuracy than functional measures. HRT, MDT and Octopus SAP yielded higher accuracy than Pulsar perimetry, although results did not reach statistical significance. Further studies are required to investigate the structure-function correlations between these instruments.

Innovative method for carbon dioxide determination in human postmortem cardiac gas samples using headspace-gas chromatography-mass spectrometry and stable labeled isotope as internal standard.

A novel approach to measure carbon dioxide (CO2) in gaseous samples, based on a precise and accurate quantification by (13)CO2 internal standard generated in situ is presented. The main goal of this study was to provide an innovative headspace-gas chromatography-mass spectrometry (HS-GC-MS) method applicable in the routine determination of CO2. The main drawback of the GC methods discussed in the literature for CO2 measurement is the lack of a specific internal standard necessary to perform quantification. CO2 measurement is still quantified by external calibration without taking into account analytical problems which can often occur considering gaseous samples. To avoid the manipulation of a stable isotope-labeled gas, we have chosen to generate in situ an internal labeled standard gas ((13)CO2) on the basis of the stoichiometric formation of CO2 by the reaction of hydrochloric acid (HCl) with sodium hydrogen carbonate (NaH(13)CO3). This method allows a precise measurement of CO2 concentration and was validated on various human postmortem gas samples in order to study its efficiency.

Metallic renal artery MR imaging stent: artifact-free lumen visualization with projection and standard renal MR angiography.

A cardiac-triggered free-breathing three-dimensional (3D) balanced fast field-echo projection renal magnetic resonance (MR) angiographic sequence was investigated for in-stent lumen visualization of a dedicated metallic renal artery stent. Fourteen prototype stents were deployed in the renal arteries of six pigs (in two pigs, three stents were deployed). Projection renal MR angiography was compared with standard contrast material-enhanced 3D breath-hold MR angiography. Artifact-free in-stent lumen visualization was achieved with both projection MR angiography and contrast-enhanced MR angiography. These promising results warrant further studies for visualization of in-stent restenosis.

Predictors of weight change in sedentary smokers receiving a standard smoking cessation intervention

L'arrêt de la cigarette est généralement associé à une prise de poids. Celle-ci peut menacer la motivation des fumeurs à s'engager dans un processus d'arrêt du tabac et constitue un motif de rechute. L'ordre de grandeur et la cinétique de la prise de poids liée à une tentative d'arrêt chez les fumeurs pris en charge selon les recommandations cliniques actuelles est peu décrite dans la littérature médicale. Le but de cette étude était de quantifier cette prise de poids, d'en déterminer la cinétique ainsi que les facteurs qui l'influencent, chez des fumeurs sédentaires bénéficiant d'une intervention d'aide à l'arrêt du tabac individualisée, composée de conseils individuels et d'une substitution nicotinique associant plusieurs modes d'administration. Nous avons analysé des données récoltées durant un essai clinique randomisé contrôlé au cours duquel était étudié l'impact d'une activité physique modérée sur les taux d'arrêt du tabac après un an chez des fumeurs sédentaires. Nous avons modélisé l'évolution du poids de l'ensemble des participants au cours du temps, selon la technique statistique des « modèles mixtes longitudinaux ». En séparant les périodes d'abstinence de la cigarette de celles de rechute et de l'utilisation reportée de substituts nicotiniques. Cette approche nous a permis de prendre en compte chaque participant à l'étude, par opposition à un modèle plus simple qui séparerait les sujets abstinents de ceux qui rechutent à n'importe quel moment de la période de suivi. Nous avons également ajusté ces modèles pour l'âge, le sexe, le niveau de dépendance à la nicotine et le niveau de formation des participants. Parmi l'ensemble des participants, nous avons noté une augmentation du poids durant les trois premiers mois de l'intervention, suivie d'une stabilisation. Au total, la prise de poids moyenne s'est élevée à 3.3 kg pour les femmes et 3.9 kg pour les hommes. Durant les périodes d'abstinence, les caractéristiques suivantes étaient associées à la prise de poids : sexe masculin et forte dépendance nicotinique. Un âge supérieur à 43 ans était associé à une prise de poids également durant les périodes de rechute. Nous avons observé une tendance, non statistiquement significative, vers une réduction de la prise des poids avec l'utilisation de substituts nicotiniques. Notre étude apporte de nouvelles données sur l'évolution du poids chez les fumeurs sédentaires qui bénéficient d'une intervention d'aide à l'arrêt du tabac. Ils prennent donc du poids, de manière modérée et limitée aux premiers mois. Parmi eux, les hommes, les individus les plus dépendants à la nicotine et les plus âgés doivent s'attendre à une prise de poids supérieure à la moyenne.

Individual versus standard quality of life assessment in a phase II clinical trial in mesothelioma patients: feasibility and responsiveness to clinical changes.

BACKGROUND: In patients with malignant pleural mesothelioma undergoing a multimodality therapy, treatment toxicity may outweigh the benefit of progression-free survival. The subjective experience across different treatment phases is an important clinical outcome. This study compares a standard with an individual quality of life (QoL) measure used in a multi-center phase II trial. PATIENTS AND METHODS: Sixty-one patients with stage I-III technically operable pleural mesothelioma were treated with preoperative chemotherapy, followed by pleuropneumonectomy and subsequent radiotherapy. QoL was assessed at baseline, at day 1 of cycle 3, and 1, 3 and 6 months post-surgery by using the Rotterdam Symptom Checklist (RSCL) and the Schedule for the Evaluation of Quality of Life-Direct Weighting (SEIQoL-DW), a measure that is based on five individually nominated and weighted QoL-domains. RESULTS: Completion rates were 98% (RSCL) and 92% (SEIQoL) at baseline and 98%/89% at cycle 3, respectively. Of the operated patients (N=45) RSCL and SEIQoL were available from 86%/72%, 93%/74%, and 94%/76% at months 1, 3, and 6 post-surgery. Average assessment time for the SEIQoL was 24min compared to 8min needed for the RSCL. Median changes from baseline indicate that both RSCL QoL overall score and SEIQoL index remained stable during chemotherapy with a clinically significant deterioration (change>or=8 points) 1 month after surgery (median change of -66 and -14 for RSCL and SEIQoL, respectively). RSCL QoL overall scores improved thereafter, but remained beneath baseline level until 6 months after surgery. SEIQoL scores improved to baseline-level at month 3 after surgery, but worsened again at month 6. RSCL QoL overall score and SEIQoL index were moderately correlated at baseline (r=.30; p<or=.05) and at 6-month follow-up (r=.42; p<or=.05) but not at the other time points. CONCLUSION: The SEIQoL assessment seems to be feasible within a phase II clinical trial, but may require more effort from staff. More distinctive QoL changes in accordance with clinical changes were measured with the RSCL. Our findings suggest that the two measures are not interchangeable: the RSCL is to favor when mainly information related to the course of disease- and treatment is of interest.

RTOG 0525: Exploratory Subset Analysis from a Randomized Phase III Trial Comparing Standard (std) Adjuvant Temozolomide (TMZ) with a Dose-dense (dd) Schedule for Glioblastoma (GBM)

Purpose/Objective(s): RTwith TMZ is the standard for GBM. dd TMZ causes prolongedMGMTdepletion in mononuclear cells and possibly in tumor. The RTOG 0525 trial (ASCO 2011) did not show an advantage from dd TMZ for survival or progression free survival. We conducted exploratory, hypothesis-generating subset analyses to detect possible benefit from dd TMZ.Materials/Methods: Patients were randomized to std (150-200 mg/m2 x 5 d) or dd TMZ (75-100 mg/m2 x 21 d) q 4 weeks for 6- 12 cycles. Eligibility included age.18, KPS$ 60, and. 1 cm2 tissue for prospective MGMTanalysis for stratification. Furtheranalyses were performed for all randomized patients (''intent-to-treat'', ITT), and for all patients starting protocol therapy (SPT). Subset analyses were performed by RPA class (III, IV, V), KPS (90-100, = 50,\50), resection (partial, total), gender (female, male), and neurologic dysfunction (nf = none, minor, moderate).Results: No significant difference was seen for median OS (16.6 vs. 14.9 months), or PFS (5.5 vs. 6.7 months, p = 0.06). MGMT methylation was linked to improved OS (21.2 vs. 14 months, p\0.0001), and PFS (8.7 vs. 5.7 months, p\0.0001). For the ITT (n = 833), there was no OS benefit from dd TMZ in any subset. Two subsets showed a PFS benefit for dd TMZ: RPA class III (6.2 vs. 12.6 months, HR 0.69, p = 0.03) and nf = minor (HR 0.77, p = 0.01). For RPA III, dd dramatically delayed progression, but post-progression dd patients died more quickly than std. A similar pattern for nf = minor was observed. For the SPT group (n = 714) there was neither PFS nor OS benefit for dd TMZ, overall. For RPA class III and nf = minor, there was a PFS benefit for dd TMZ (HR 0.73, p = 0.08; HR 0.77, p = 0.02). For nf = moderate subset, both ITT and SPT, the std arm showed superior OS (14.4 vs. 10.9 months) compared to dd, without improved PFS (HR 1.46, p = 0.03; and HR 1.74, p = 0.01. In terms of methylation status within this subset, there were more methylated patients in the std arm of the ITT subset (n = 159; 32 vs. 24%). For the SPT subset (n = 124), methylation status was similar between arms.Conclusions: This study did not demonstrate improved OS for dd TMZ for any subgroup, but for 2 highly functional subgroups, PFS was significantly increased. These data generate the testable hypothesis that intensive treatment may selectively improve disease control in those most likely able to tolerate dd therapy. Interpretation of this should be considered carefully due to small sample size, the process of multiple observations, and other confounders.Acknowledgment: This project was supported by RTOG grant U10 CA21661, and CCOP grant U10 CA37422 from the National Cancer Institute (NCI).

Dynamique réflexive et transférabilité des compétences : un usage intégré du e-Portfolio en spécialisation

Dernière étape avant le monde professionnel, un cursus de spécialisation est un lieu de discussion, au carrefour des savoirs et des savoir-faire, permettant aux étudiants d'envisager sous un angle nouveau les contenus enseignés à l'université. Il ne s'agit plus seulement d'acquérir des connaissances mais aussi de développer des compétences transférables à d'autres types d'activité. L'équipe en charge de la spécialisation en Analyse du discours et de la communication publics proposée par la Faculté des Lettres de l'Université de Lausanne a oeuvré à l'intégration d'un nouvel outil informatique, le e-Portfolio, destiné à faciliter l'expression et la documentation des compétences individuelles développées par l'étudiant lors de son parcours de formation.

Machine learning algorithms for spatial data. Case studies: Environmental pollution, natural hazards, renewable resources

This paper presents general problems and approaches for the spatial data analysis using machine learning algorithms. Machine learning is a very powerful approach to adaptive data analysis, modelling and visualisation. The key feature of the machine learning algorithms is that they learn from empirical data and can be used in cases when the modelled environmental phenomena are hidden, nonlinear, noisy and highly variable in space and in time. Most of the machines learning algorithms are universal and adaptive modelling tools developed to solve basic problems of learning from data: classification/pattern recognition, regression/mapping and probability density modelling. In the present report some of the widely used machine learning algorithms, namely artificial neural networks (ANN) of different architectures and Support Vector Machines (SVM), are adapted to the problems of the analysis and modelling of geo-spatial data. Machine learning algorithms have an important advantage over traditional models of spatial statistics when problems are considered in a high dimensional geo-feature spaces, when the dimension of space exceeds 5. Such features are usually generated, for example, from digital elevation models, remote sensing images, etc. An important extension of models concerns considering of real space constrains like geomorphology, networks, and other natural structures. Recent developments in semi-supervised learning can improve modelling of environmental phenomena taking into account on geo-manifolds. An important part of the study deals with the analysis of relevant variables and models' inputs. This problem is approached by using different feature selection/feature extraction nonlinear tools. To demonstrate the application of machine learning algorithms several interesting case studies are considered: digital soil mapping using SVM, automatic mapping of soil and water system pollution using ANN; natural hazards risk analysis (avalanches, landslides), assessments of renewable resources (wind fields) with SVM and ANN models, etc. The dimensionality of spaces considered varies from 2 to more than 30. Figures 1, 2, 3 demonstrate some results of the studies and their outputs. Finally, the results of environmental mapping are discussed and compared with traditional models of geostatistics.

A prospective, randomized, open label, phase iii clinical trial of novottf-100a vs best standard of care chemotherapy in patients with recurrent glioblastoma

BACKGROUND: Glioblastoma, the most common adult primary malignant brain tumor, confers poor prognosis (median survival of 15 months) notwithstanding aggressive treatment. Combination chemotherapy including carmustine (BCNU) or temozolomide (TMZ) with the MGMT inhibitor O6-benzylguanine (O6BG) has been used, but has been associated with dose-limiting hematopoietic toxicity. OBJECTIVE: To assess safety and efficacy of a retroviral vector encoding the O6BG-resistant MGMTP140K gene for transduction and autologous transplantation of hematopoietic stem cells (HSCs) in MGMT unmethylated, newly diagnosed glioblastoma patients in an attempt to chemoprotect bone marrowduring combination O6BG/TMZ therapy. METHODS: Three patients have been enrolled in the first cohort. Patients underwent standard radiation therapy without TMZ followed by G-CSF mobilization, apheresis, and conditioning with 600 mg/m2 BCNU prior to infusion of gene-modified cells. Posttransplant, patients were treated with 28-day cycles of single doseTMZ (472 mg/m2) with 48-hour intravenous O6BG (120 mg/m2 bolus, then 30 mg/m2/d). RESULTS: The BCNU dose was nonmyeloablative with ANC ,500/mL for ≤3 d and nadir thrombocytopenia of 28,000/mL. Gene marking in pre-infusion colony forming units (CFUs) was 70.6%, 79.0%, and 74.0% in Patients 1, 2, and 3, respectively, by CFU-PCR. Following engraftment, gene marking in white blood cells and sorted granulocytes ranged between 0.37-0.84 and 0.33-0.83 provirus copies, respectively, by real-time PCR. Posttransplant gene marking in CFUs from CD34-selected cells ranged from 28.5% to 47.4%. Patients have received 4, 3, and 2 cycles of O6BG/TMZ, respectively, with evidence for selection of gene-modified cells. One patient has received a single dose-escalated cycle at 590 mg/m2 TMZ. No additional extra-hematopoietic toxicity has been observed thus far and all three patients exhibit stable disease at 7-8 months since diagnosis CONCLUSIONS: We believe that these data demonstrate the feasibility of achieving significant engraftment of MGMTP140K-modified cells with a well-tolerated dose of BCNU. Further follow-up will determine whether this approach will allow for further dose escalation of TMZ and improved survival.

What is the most relevant standard of success in assisted reproduction?: The cumulated singleton/twin delivery rates per oocyte pick-up: the CUSIDERA and CUTWIDERA.

National and international registries are essential tools for establishing new standards and comparing success rates, but they do not take into account the total pregnancy/delivery rate per oocyte recovery. In Switzerland and Germany, because of legal constraints, a maximum of three two-pronuclear zygotes are allocated for transfer whereas all the supernumerary pronuclear zygotes are immediately cryopreserved, preventing selection of the transferred embryos. We report on a 10 years' experience (1993-2002) of our centre which performs transfers of unselected embryos and cryopreservation at the two-pronuclear zygote stage. As approximately 30% of all deliveries are from cryo cycles, it is essential to take into account the contribution of the cryo transfers, and we propose therefore to evaluate, as a measure of IVF performance, the cumulated delivery rate per oocyte pick-up. This delivery rate is broken down further into the cumulated singleton delivery rate (CUSIDERA) and the cumulated twin delivery rate (CUTWIDERA). The sum (S) of these two rates is a measure of efficacy while the ratio CUTWIDERA/S as a percentage is a measure of safety of IVF treatments. Using these new indexes, the average 10 year efficacy and safety of our IVF programme were 26 and 19%, respectively. Both CUSIDERA and CUTWIDERA can be calculated easily in any clinical situation and yield useful parameters for patient counselling and internal/external benchmarking purposes.

Manufacturing and characterization of a recombinant adeno-associated virus type 8 reference standard material.

Gene therapy approaches using recombinant adeno-associated virus serotype 2 (rAAV2) and serotype 8 (rAAV8) have achieved significant clinical benefits. The generation of rAAV Reference Standard Materials (RSM) is key to providing points of reference for particle titer, vector genome titer, and infectious titer for gene transfer vectors. Following the example of the rAAV2RSM, here we have generated and characterized a novel RSM based on rAAV serotype 8. The rAAV8RSM was produced using transient transfection, and the purification was based on density gradient ultracentrifugation. The rAAV8RSM was distributed for characterization along with standard assay protocols to 16 laboratories worldwide. Mean titers and 95% confidence intervals were determined for capsid particles (mean, 5.50×10(11) pt/ml; CI, 4.26×10(11) to 6.75×10(11) pt/ml), vector genomes (mean, 5.75×10(11) vg/ml; CI, 3.05×10(11) to 1.09×10(12) vg/ml), and infectious units (mean, 1.26×10(9) IU/ml; CI, 6.46×10(8) to 2.51×10(9) IU/ml). Notably, there was a significant degree of variation between institutions for each assay despite the relatively tight correlation of assay results within an institution. This outcome emphasizes the need to use RSMs to calibrate the titers of rAAV vectors in preclinical and clinical studies at a time when the field is maturing rapidly. The rAAV8RSM has been deposited at the American Type Culture Collection (VR-1816) and is available to the scientific community.

An image quality comparison of standard and dual-side read CR systems for pediatric radiology.

An objective analysis of image quality parameters was performed for a computed radiography (CR) system using both standard single-side and prototype dual-side read plates. The pre-sampled modulation transfer function (MTF), noise power spectrum (NPS), and detective quantum efficiency (DQE) for the systems were determined at three different beam qualities representative of pediatric chest radiography, at an entrance detector air kerma of 5 microGy. The NPS and DQE measurements were realized under clinically relevant x-ray spectra for pediatric radiology, including x-ray scatter radiations. Compared to the standard single-side read system, the MTF for the dual-side read system is reduced, but this is offset by a significant decrease in image noise, resulting in a marked increase in DQE (+40%) in the low spatial frequency range. Thus, for the same image quality, the new technology permits the CR system to be used at a reduced dose level.