Fuzzy portfolio allocation models through a new risk measure and fuzzy sharpe ratio

A new portfolio risk measure that is the uncertainty of portfolio fuzzy return is introduced in this paper. Beyond the well-known Sharpe ratio (i.e., the reward-to-variability ratio) in modern portfolio theory, we initiate the so-called fuzzy Sharpe ratio in the fuzzy modeling context. In addition to the introduction of the new risk measure, we also put forward the reward-to-uncertainty ratio to assess the portfolio performance in fuzzy modeling. Corresponding to two approaches based on TM and TW fuzzy arithmetic, two portfolio optimization models are formulated in which the uncertainty of portfolio fuzzy returns is minimized, while the fuzzy Sharpe ratio is maximized. These models are solved by the fuzzy approach or by the genetic algorithm (GA). Solutions of the two proposed models are shown to be dominant in terms of portfolio return uncertainty compared with those of the conventional mean-variance optimization (MVO) model used prevalently in the financial literature. In terms of portfolio performance evaluated by the fuzzy Sharpe ratio and the reward-to-uncertainty ratio, the model using TW fuzzy arithmetic results in higher performance portfolios than those obtained by both the MVO and the fuzzy model, which employs TM fuzzy arithmetic. We also find that using the fuzzy approach for solving multiobjective problems appears to achieve more optimal solutions than using GA, although GA can offer a series of well-diversified portfolio solutions diagrammed in a Pareto frontier.

Quantitative microbial risk assessment modelling for the use of reclaimed water in irrigated horticulture

Reuse of treated sewage effluent for the irrigation of horticultural crops is being propounded and practiced as a means of alleviating pressure on freshwater resources. Concerns have been raised. however, as to the risk to human health, primarily disease, associated with this practice. Quantitative Microbial Risk Assessment (QMRA) is a useful tool for estimating this risk. We describe how QMRA works and the current state of knowledge of the components of QMRA models for the horticultural reuse scenario.

Modelling solute transport in structured soils: performance evaluation of the ADR and TRM models

The movement of chemicals through the soil to the groundwater or discharged to surface waters represents a degradation of these resources. In many cases, serious human and stock health implications are associated with this form of pollution. The chemicals of interest include nutrients, pesticides, salts, and industrial wastes. Recent studies have shown that current models and methods do not adequately describe the leaching of nutrients through soil, often underestimating the risk of groundwater contamination by surface-applied chemicals and overestimating the concentration of resident solutes. This inaccuracy results primarily from ignoring soil structure and nonequilibrium between soil constituents, water, and solutes. A multiple sample percolation system (MSPS), consisting of 25 individual collection wells, was constructed to study the effects of localized soil heterogeneities on the transport of nutrients (NO−3, Cl−, PO3−4) in the vadose zone of an agricultural soil predominantly dominated by clay. Very significant variations in drainage patterns across a small spatial scale were observed (one-way ANOVA, p < 0.001 indicating considerable heterogeneity in water flow patterns and nutrient leaching. Using data collected from the multiple sample percolation experiments, this paper compares the performance of two mathematical models for predicting solute transport, the advective-dispersion model with a reaction term (ADR), and a two-region preferential flow model (TRM) suitable for modelling nonequilibrium transport. These results have implications for modelling solute transport and predicting nutrient loading on a larger scale.

`I`m less at risk than most guys`: gay men`s unrealistic optimism about becoming infected with HIV

Among the self-justifications that gay men use when engaging in high-risk sex is the thought that they are less at risk than most gay men. Two explanatory models of such 'unrealistic optimism' (UO) have been proposed: while the motivational account holds that UO arises because it serves the function of bringing comfort, the cognitive account holds that UO serves no particular function, being simply a by-product of normal cognitive strategies. This study investigated predictions derived from the motivational account. Gay men uninfected with HIV (n = 88) answered two test questions, requiring them to estimate, respectively, their own risk of becoming infected and that of the average gay man. The questions were presented in the two possible orders, and were either separated or not separated by unrelated filler material. The great majority of the men (89%) exhibited UO. Neither question order nor the interpolation of filler material affected responses to either test question. The results were inconsistent with the motivational account, but explicable in terms of the cognitive account. It seems that the cognitive account provides the better explanation of at least that form of UO measured in this study. Implications for AIDS educators are discussed.

Arsenic, mode of action at biologically plausible low doses : what are the implications for low dose cancer risk?

Arsenic is an established human carcinogen. However, there has been much controversy about the shape of the arsenic response curve, particularly at low doses. This controversy has been exacerbated by the fact that the  mechanism(s) of arsenic carcinogenesis are still unclear and because there are few satisfactory animal models for arsenic-induced carcinogenesis. Recent epidemiological studies have shown that the relative risk for cancer among populations exposed to ≤60 ppb As in their drinking water is often lower than the risk for the unexposed control population. We have found that treatment of human keratinocyte and fibroblast cells with 0.1 to 1 μM arsenite (As^III) also produces a low dose protective effect against oxidative stress and DNA damage. This response includes increased transcription, protein levels and enzyme activity of several base excision repair genes, including DNA polymerase β and DNA ligase I. At higher concentrations (> 10 μM), As induces down-regulation of DNA repair, oxidative DNA damage and apoptosis. This low dose adaptive (protective) response by a toxic agent is known as hormesis and is characteristic of many agents that induce oxidative stress. A mechanistic model for arsenic carcinogenesis based on these data would predict that the low dose risk for carcinogenesis should be sub-linear. The threshold dose where toxicity outweighs protection is hard to predict based on in vitro dose response data, but might be estimated if one could determine the form (metabolite) and concentration of arsenic responsible for changes in gene regulation in the target tissues.

Whose socioeconomic status influences a women's obesity risk: her mother's, her father's, or her own?

Background Evidence on the relative influence of childhood vs adulthood socioeconomic conditions on obesity risk is limited and equivocal. The objective of this study was to investigate associations of several indicators of mothers', fathers', and own socioeconomic status, and intergenerational social mobility, with body mass index (BMI) and weight change in young women.

Methods This population-based cohort study used survey data provided by 8756 women in the young cohort (aged 18–23 years at baseline) of the Australian Longitudinal Study on Women's Health. In 1996 and 2000, women completed mailed surveys in which they reported their height and weight, and their own, mother's, and father's education and occupation.

Results Multiple linear regression models showed that both childhood and adulthood socioeconomic status were associated with women's BMI and weight change, generally in the hypothesized (inverse) direction, but the associations varied according to socioeconomic status and weight indicator. Social mobility was associated with BMI (based on father's socioeconomic status) and weight change (based on mother's socioeconomic status), but results were slightly less consistent.

Conclusions Results suggest lasting effects of childhood socioeconomic status on young women's weight status, independent of adult socioeconomic status, although the effect may be attenuated among those who are upwardly socially mobile. While the mechanisms underlying these associations require further investigation, public health strategies aimed at preventing obesity may need to target families of low socioeconomic status early in children's lives.

A conceptual approach to information warfare : security risk analysis

With information warfare (IW) becoming a reality, the need for a new security methodology to deal with the new and unique attack threats and vulnerabilities associated with the new information technology security paradigm. With the shift from computer security to information warfare, logical transformation models (LTMS) were looked at as a solution to quantifying information system requirements. The paper will introduce the concepts involved with fourth generational models and it's application to IW. The basic advantages and disadvantages will also be discussed and presented.

CIIP-RAM - a step-wise security risk analysis methodology for critical information infrastructure protection

Wilh the protection of critical information infrastructure becoming a priority for all levels of management. there is a need for a new security methodology to deal with the new and unique attack threats and vulnerabilities associated with the new information technology security paradigm. The fourth generation security risk analysis melhod which copes wilh the shift from computer/information security to critical information iinfrastructure protectionl is lhe next step toward handling security risk at all levels. The paper will present the methodology of
fourth generation models and their application to critical information infrastructure protection and the associated advantagess of this methodology.

Trading in open marketplace using trust and risk

In this paper, we propose buying and selling models for agents to trade in the open multi-agent marketplace. Unlike auctions, we take into account of the fact that agents trading in such open environments has to maximize their profits and at the same time, protect themselves from fraud and deception. We attempt to address this issue by incorporating the element of trust and risk management into our proposed buying and selling model. During buying, agents learn to select their partners based on the trustworthiness of the potential partner as well as its personal risk attitude. During selling, agents learn to increase the chances of winning a deal by adjusting their profit rate, which is a measure that considers both trust and risk. The novelty of this proposal is that it ensures agents continuing to seek maximum expected utility in a dynamic trading environment. Our experimental results confirm the feasibility of our approach.

Association between obesity and diabetes using nested linear models

A data source with 7260 cases from the prospective observational study was used. Cases included both sexes and age ranging between 20yr and 7Oyr. Chi-squared tests and linear models were used to examine the effects of age (linear and quadratic), sex, smoking habit (currently a smoker or non-smoker), presence or absence of type 2 diabetes on obesity as measured by body mass index (BMI) and waist to hip ratio (WHR). Both these measures of
obesity were significantly affected by age, sex and the presence of diabetes. Cases with diabetes were significantly more obese (10%) between the ages 40yr to 59yr compared to patients without diabetes. These results accentuate the need to further examine the association between age, diabetes and obesity and other risk factors with cardiovascular diseases.

Turn-around pedagogies: improving the education of at-risk students

Internationally, normative discourses about literacy standards have rapidly proliferated, and spaces for teachers to engage in serious intellectual inquiry seem to be shutting down. Our concern about the impact of these forces on teachers led us to design a cross-generational teacher research project across two states of Australia to tackle some of the toughest challenges teachers face in their workplaces, including the issue of unequal outcomes in literacy achievement. In this article we report on how the project design sustained an intellectual community of inquiry and fostered ‘turn-around pedagogies'. We include excerpts from recent teacher writing (Comber and Kamler, 2005) to illustrate how teachers used technology and popular culture to reengage their most at-risk students. We argue that crossgenerational models of practitioner inquiry hold great promise for improving the learning engagement of students, the productivity of schools and the professional renewal of the teacher workforce.

Profiles of poor performers in medical practice : models for prevention and intervention

Recent research on evidence-based medical practice has highlighted trends and patterns among medically qualified poor performers, and has produced a profile of risky performers in the profession. Drawing on empirically derived examples from medical practitioners based on reviews of recent government-ordered inquiries of hospitals in Australia, behaviours and practices that increase the risk of poor performance are identified. These findings permit development of a preventive approach to intervene before the problematic performance generates complaints to regulatory bodies. Preventive risk assessment measures to serve the interests of patients and the public are reviewed. These findings will be of interest to individual practitioners, and to those who regulate the profession, such as medical associations, medical councils and medical defense unions.

Parametric conditional frailty models for recurrent cardiovascular events in the lipid study

Background Analysis of recurrent event data is frequently needed in clinical and epidemiological studies. An important issue in such analysis is how to account for the dependence of the events in an individual and any unobserved heterogeneity of the event propensity across individuals.Methods We applied a number of conditional frailty and nonfrailty models in an analysis involving recurrent myocardial infarction events in the Long-Term Intervention with Pravastatin in Ischaemic Disease study. A multiple variable risk prediction model was developed for both males and females. Results A Weibull model with a gamma frailty term fitted the data better than other frailty models for each gender. Among nonfrailty models the stratified survival model fitted the data best for each gender. The relative risk estimated by the elapsed time model was close to that estimated by the gap time model. We found that a cholesterol-lowering drug, pravastatin (the intervention being tested in the trial) had significant protective effect against the occurrence of myocardial infarction in men (HR¼0.71, 95% CI0.60–0.83). However, the treatment effect was not significant in women due to smaller sample size (HR¼0.75, 95% CI 0.51–1.10). There were no significant interactions between the treatment effect and each recurrent MI event (p¼0.24 for men and p¼0.55 for women). The risk of developing an MI event for a male who had an MI event during follow-up was about 3.4 (95% CI 2.6–4.4) times the risk compared with those who did not have an MI event. The corresponding relative risk for a female was about 7.8 (95% CI 4.4–13.6). Limitations The number of female patients was relatively small compared with their male counterparts, which may result in low statistical power to find real differences in the effect of treatment and other potential risk factors.Conclusions The conditional frailty model suggested that after accounting for all the risk factors in the model, there was still unmeasured heterogeneity of the risk for myocardial infarction, indicating the effect of subject-specific risk factors. These risk prediction models can be used to classify cardiovascular disease patients into different risk categories and may be useful for the most effective targeting of preventive therapies for cardiovascular disease.

Safeguarding Australia from cyber-terrorism : a proposed cyber-terrorism SCADA risk framework for Australia

Terrorist groups are currently using information and communication technologies (ICTs) to orchestrate their conventional physical attacks. More recently, terrorists have been developing a new form of capability within the cyber-arena to coordinate cyber-based attacks. This paper identifies that cyber-terrorism capabilities are an integral, imperative, yet under-researched component in establishing, and enhancing cyber-terrorism risk assessment models for SCADA systems. This paper is an extension of work previously published by Beggs and
Warren 2008, it presents a high level overview of a cyber-terrorism SCADA risk framework that has been adopted and validated by SCADA industry practitioners. The paper proposes a managerial framework which is designed to measure and protect SCADA systems from the threat of cyber-terrorism within Australia. The findings and results of an industry focus group are presented in support of the developed framework for SCADA industry adoption and acceptance.