Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

Conjunctival MALT lymphoma: utility of FDG PET/CT for diagnosis, staging, and evaluation of treatment response.

A 67-year-old woman was referred for staging of a mucosa-associated lymphoid tumor lymphoma involving the left conjunctiva. CT scan had shown paravertebral and pelvic masses, and a breast nodule. FDG PET/CT demonstrated moderately increased uptake in the left ocular conjunctiva and confirmed the paravertebral and pelvic masses and the breast nodule. Moreover, abnormal FDG uptake was shown in 2 breast nodules, the flank, the gluteus maximus, and the gastric cardia. The patient received 6 cycles of rituximab-bendamustine chemotherapy with a complete clinical and metabolic response at the 6-month follow-up PET/CT and remained relapse-free without visual acuity problem after a 36-month follow-up.

Differential effects of two anti-apo-cytochrome c-specific monoclonal antibodies on the function of apo-cytochrome c-specific murine T cell clones.

A murine monoclonal antibody (SJL 2-4) specific for the antigen apo-cytochrome c was shown to inhibit both antigen-induced proliferation and lymphokine secretion by an apo-cytochrome c-specific BALB/c helper T cell clone. The inhibition was specific because additional apo-cytochrome c-specific T cell clones were not inhibited by the same monoclonal antibody. Time course studies of the inhibition indicated that the initial 8 hr of contact between T cell clones and antigen-presenting cells were critical for activation of the T cell clones. Inhibition of T cell functions by antigen-specific antibodies appeared to correlate with the antibody-antigen binding constant because a second monoclonal antibody (Cyt-1-59), with identical specificity but with a lower affinity constant for apo-cytochrome c, had very little inhibitory effect on the proliferation or lymphokine secretion of apo-cytochrome c-specific T cell clones.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Differential effect of long versus short wavelength light exposure on pupillary re-dilation in patients with outer retinal disease.

BACKGROUND: In patients with outer retinal degeneration, a differential pupil response to long wavelength (red) versus short wavelength (blue) light stimulation has been previously observed. The goal of this study was to quantify differences in the pupillary re-dilation following exposure to red versus blue light in patients with outer retinal disease and compare them with patients with optic neuropathy and with healthy subjects. DESIGN: Prospective comparative cohort study. PARTICIPANTS: Twenty-three patients with outer retinal disease, 13 patients with optic neuropathy and 14 normal subjects. METHODS: Subjects were tested using continuous red and blue light stimulation at three intensities (1, 10 and 100 cd/m2) for 13 s per intensity. Pupillary re-dilation dynamics following the brightest intensity was analysed and compared between the three groups. MAIN OUTCOME MEASURES: The parameters of pupil re-dilation used in this study were: time to recover 90% of baseline size; mean pupil size at early and late phases of re-dilation; and differential re-dilation time for blue versus red light. RESULTS: Patients with outer retinal disease showed a pupil that tended to stay smaller after light termination and thus had a longer time to recovery. The differential re-dilation time was significantly greater in patients with outer retinal disease (median = 28.0 s, P < 0.0001) compared with controls and patients with optic neuropathy. CONCLUSIONS: A differential response of pupil re-dilation following red versus blue light stimulation is present in patients with outer retinal disease but is not found in normal eyes or among patients with visual loss from optic neuropathy.

Differential regulations of AQP4 and Kir4.1 by triamcinolone acetonide and dexamethasone in the healthy and inflamed retina.

PURPOSE: Glucocorticoids are used to treat macular edema, although the mechanisms underlying this effect remain largely unknown. The authors have evaluated in the normal and endotoxin-induced uveitis (EIU) rats, the effects of dexamethasone (dex) and triamcinolone acetonide (TA) on potassium channel Kir4.1 and aquaporin-4 (AQP4), the two main retinal Müller glial (RMG) channels controlling retinal fluid movement. METHODS: Clinical as well as relatively low doses of dex and TA were injected in the vitreous of normal rats to evaluate their influence on Kir4.1 and AQP4 expression 24 hours later. The dose-dependent effects of the two glucocorticoids were investigated using rat neuroretinal organotypic cultures. EIU was induced by footpad lipopolysaccharide injection, without or with 100 nM intraocular dex or TA. Glucocorticoid receptor and channel expression levels were measured by quantitative PCR, Western blot, and immunohistochemistry. RESULTS: The authors found that dex and TA exert distinct and specific channel regulations at 24 hours after intravitreous injection. Dex selectively upregulated Kir4.1 (not AQP4) in healthy and inflamed retinas, whereas TA induced AQP4 (not Kir4.1) downregulation in normal retina and upregulation in EIU. The lower concentration (100 nM) efficiently regulated the channels. Moreover, in EIU, an inflammatory condition, the glucocorticoid receptor was downregulated in the retina, which was prevented by intravitreous injections of the low concentration of dex or TA. CONCLUSIONS: The results show that dex and TA are far from being equivalent to modulate RMG channels. Furthermore, the authors suggest that low doses of glucocorticoids may have antiedematous effects on the retina with reduced toxicity.

Differential peptide binding to CD40 evokes counteractive responses.

The antigen-presenting cell-expressed CD40 is implied in the regulation of counteractive immune responses such as induction of pro-inflammatory and anti-inflammatory cytokines interleukin (IL)-12 and IL-10, respectively. The mechanism of this duality in CD40 function remains unknown. Here, we investigated whether such duality depends on ligand binding. Based on CD40 binding, we identifed two dodecameric peptides, peptide-7 and peptide-19, from the phage peptide library. Peptide-7 induces IL-10 and increases Leishmania donovani infection in macrophages, whereas peptide-19 induces IL-12 and reduces L. donovani infection. CD40-peptide interaction analyses by surface plasmon resonance and atomic force microscopy suggest that the functional differences are not associated with the studied interaction parameters. The molecular dynamic simulation of the CD40-peptides interaction suggests that these two peptides bind to two different places on CD40. Thus, we suggest for the first time that differential binding of the ligands imparts functional duality to CD40.

Differential subcellular localization of phosphorylated neurofilament and tau proteins in degenerating neurons of the human entorhinal cortex.

A panel of novel monoclonal antibodies was tested on the human entorhinal cortex for the recognition of age- and disease-related changes of neurofilament proteins (NF). Several antibodies identified phosphorylated NF-H subunit, which occurred preferentially in those aged between 60 and 80 years and were localized in degenerating neurons. Such neurons also contained neurofibrillary tangles, but neurofilament aggregates did not co-localize with tangles, nor did the quantity nor the number of NF-positive neurons correlate with the severity of Alzheimer's disease. This points to a susceptibility of NF in a subset of neurons for phosphorylation- and metabolically related morphological changes during neurodegeneration.

Aging and motor programming: differential effects according to the selection of action

There are controversial reports about the effect of aging on movement preparation, and it is unclear to which extent cognitive and/or motor related cerebral processes may be affected. This study examines the age effects on electro-cortical oscillatory patterns during various motor programming tasks, in order to assess potential differences according to the mode of action selection. Twenty elderly (EP, 60-84 years) and 20 young (YP, 20-29 years) participants with normal cognition underwent 3 pre-cued response tasks (S1-S2 paradigm). S1 carried either complete information on response side (Full; stimulus-driven motor preparation), no information (None; general motor alertness), or required free response side selection (Free; internally-driven motor preparation). Electroencephalogram (EEG) was recorded using 64 surface electrodes. Alpha (8-12 Hz) desynchronization (ERD)/synchronization (ERS) and motor-related amplitude asymmetries (MRAA) were analyzed during the S1-S2 interval. Reaction times (RTs) to S2 were slower in EP than YP, and in None than in the other 2 tasks. There was an Age x Task interaction due to increased RTs in Free compared to Full in EP only. Central bilateral and midline activation (alpha ERD) was smaller in EP than YP in None. In Full just before S2, readiness to move was reflected by posterior midline inhibition (alpha ERS) in both groups. In Free, such inhibition was present only in YP. Moreover, MRAA showed motor activity lateralization in both groups in Full, but only in YP in Free. The results indicate reduced recruitment of motor regions for motor alertness in the elderly. They further show less efficient cerebral processes subtending free selection of movement in elders, suggesting reduced capacity for internally-driven action with age.

Differential contribution of mitochondria, NADPH oxidases, and glycolysis to region-specific oxidant stress in the anoxic-reoxygenated embryonic heart.

The ability of the developing myocardium to tolerate oxidative stress during early gestation is an important issue with regard to possible detrimental consequences for the fetus. In the embryonic heart, antioxidant defences are low, whereas glycolytic flux is high. The pro- and antioxidant mechanisms and their dependency on glucose metabolism remain to be explored. Isolated hearts of 4-day-old chick embryos were exposed to normoxia (30 min), anoxia (30 min), and hyperoxic reoxygenation (60 min). The time course of ROS production in the whole heart and in the atria, ventricle, and outflow tract was established using lucigenin-enhanced chemiluminescence. Cardiac rhythm, conduction, and arrhythmias were determined. The activity of superoxide dismutase, catalase, gutathione reductase, and glutathione peroxidase as well as the content of reduced and oxidized glutathione were measured. The relative contribution of the ROS-generating systems was assessed by inhibition of mitochondrial complexes I and III (rotenone and myxothiazol), NADPH oxidases (diphenylene iodonium and apocynine), and nitric oxide synthases (N-monomethyl-l-arginine and N-iminoethyl-l-ornithine). The effects of glycolysis inhibition (iodoacetate), glucose deprivation, glycogen depletion, and lactate accumulation were also investigated. In untreated hearts, ROS production peaked at 10.8 ± 3.3, 9 ± 0.8, and 4.8 ± 0.4 min (means ± SD; n = 4) of reoxygenation in the atria, ventricle, and outflow tract, respectively, and was associated with arrhythmias. Functional recovery was complete after 30-40 min. At reoxygenation, 1) the respiratory chain and NADPH oxidases were the main sources of ROS in the atria and outflow tract, respectively; 2) glucose deprivation decreased, whereas glycogen depletion increased, oxidative stress; 3) lactate worsened oxidant stress via NADPH oxidase activation; 4) glycolysis blockade enhanced ROS production; 5) no nitrosative stress was detectable; and 6) the glutathione redox cycle appeared to be a major antioxidant system. Thus, the glycolytic pathway plays a predominant role in reoxygenation-induced oxidative stress during early cardiogenesis. The relative contribution of mitochondria and extramitochondrial systems to ROS generation varies from one region to another and throughout reoxygenation.

Diffusion-weighted MR imaging of the spine at 3-T: feasibility, optimization of b-value and utility to differentiate benign from pathological vertebral compression fractures

Purpose: To evaluate the feasibility, determine the optimal b-value, and assess the utility of 3-T diffusion-weighted MR imaging (DWI) of the spine in differentiating benign from pathologic vertebral compression fractures.Methods and Materials: Twenty patients with 38 vertebral compression fractures (24 benign, 14 pathologic) and 20 controls (total: 23 men, 17 women, mean age 56.2years) were included from December 2010 to May 2011 in this IRB-approved prospective study. MR imaging of the spine was performed on a 3-T unit with T1-w, fat-suppressed T2-w, gadolinium-enhanced fat-suppressed T1-w and zoomed-EPI (2D RF excitation pulse combined with reduced field-of-view single-shot echo-planar readout) diffusion-w (b-values: 0, 300, 500 and 700s/mm2) sequences. Two radiologists independently assessed zoomed-EPI image quality in random order using a 4-point scale: 1=excellent to 4=poor. They subsequently measured apparent diffusion coefficients (ADCs) in normal vertebral bodies and compression fractures, in consensus.Results: Lower b-values correlated with better image quality scores, with significant differences between b=300 (mean±SD=2.6±0.8), b=500 (3.0±0.7) and b=700 (3.6±0.6) (all p<0.001). Mean ADCs of normal vertebral bodies (n=162) were 0.23, 0.17 and 0.11×10-3mm2/s with b=300, 500 and 700s/mm2, respectively. In contrast, mean ADCs were 0.89, 0.70 and 0.59×10-3mm2/s for benign vertebral compression fractures and 0.79, 0.66 and 0.51×10-3mm2/s for pathologic fractures with b=300, 500 and 700s/mm2, respectively. No significant difference was found between ADCs of benign and pathologic fractures.Conclusion: 3-T DWI of the spine is feasible and lower b-values (300s/mm2) are recommended. However, our preliminary results show no advantage of DWI in differentiating benign from pathologic vertebral compression fractures.

Stochastic demography and the neutral substitution rate in class-structured populations.

The neutral rate of allelic substitution is analyzed for a class-structured population subject to a stationary stochastic demographic process. The substitution rate is shown to be generally equal to the effective mutation rate, and under overlapping generations it can be expressed as the effective mutation rate in newborns when measured in units of average generation time. With uniform mutation rate across classes the substitution rate reduces to the mutation rate.

Differential expression of peroxisome proliferator-activated receptors (PPARs): tissue distribution of PPAR-alpha, -beta, and -gamma in the adult rat.

Peroxisome proliferator-activated receptors (PPARs) are members of the nuclear hormone receptor superfamily that can be activated by various xenobiotics and natural fatty acids. These transcription factors primarily regulate genes involved in lipid metabolism and also play a role in adipocyte differentiation. We present the expression patterns of the PPAR subtypes in the adult rat, determined by in situ hybridization using specific probes for PPAR-alpha, -beta and -gamma, and by immunohistochemistry using a polyclonal antibody that recognizes the three rat PPAR subtypes. In numerous cell types from either ectodermal, mesodermal, or endodermal origin, PPARs are coexpressed, with relative levels varying between them from one cell type to the other. PPAR-alpha is highly expressed in hepatocytes, cardiomyocytes, enterocytes, and the proximal tubule cells of kidney. PPAR-beta is expressed ubiquitously and often at higher levels than PPAR-alpha and -gamma. PPAR-gamma is expressed predominantly in adipose tissue and the immune system. Our results suggest new potential directions to investigate the functions of the different PPAR subtypes.