Selection of the right risk measures for portfolio allocation

 An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments. A preselection procedure dealing with large datasets is also introduced to eliminate stocks that have low diversification potential before running the portfolio optimisation model. Portfolios are evaluated by four performance indices, i.e., the Sortino ratio, the Sharpe ratio, the Stutzer performance index, and the Omega measure. Experimental results demonstrate that high performance and also well-diversified portfolios are obtained if modified value-at-risk, variance, or semi-variance is concerned whereas emphasising only skewness, kurtosis or higher moments in general produces low performance and poorly diversified portfolios. In addition, the preselection applied to large datasets results in portfolios that have not only high performance but also high diversification degree.

A comparison of Australian rural and metropolitan cardiovascular risk and mortality: the Greater Green Triangle and North West Adelaide population surveys

Objectives:
Cardiovascular (CVD) mortality disparities between rural/regional and urban-dwelling residents of Australia are persistent. Unavailability of biomedical CVD risk factor data has, until now, limited efforts to understand the causes of the disparity. This study aimed to further investigate such disparities.

Rain or shine: happiness and risk-taking

In this paper, we focus on the effects of weather, such as sunshine, as an exogenous shifter of happiness using happiness data at the individual level, and estimate sunshine as a predictor of happiness. Then we relate the predicted happiness to risk-taking. By doing so, we estimate a relationship, stronger than a simple correlation, between happiness and risky behavior. Weather changes, and sunshine in particular, have substantial influences on personal happiness. However, unexpected weather changes appear to be more important than expected changes for happiness. We include several risk measures such as subjective risk-taking and financial assets in our analysis. Happier people appear to be more risk-averse in general and more specifically in financial decisions, and choose accordingly safer investments. This might be explained by the fact that happy people take more time for making decisions and have more self-control. In addition, predicted happiness affects expectations about longevity and inflation. Happy people expect to live longer and accordingly seem more concerned about the future than the present, and expect less inflation.

Counter-credit-risk yield spreads: a puzzle in China's corporate bond market

In this paper, using China's risk-free and corporate zero yields together with aggregate credit risk measures and various control variables from 2006 to 2013, we document a puzzle of counter-credit-risk corporate yield spreads. We interpret this puzzle as a symptom of the immaturity of China's credit bond market, which reveals a distorted pricing mechanism latent in the fundamental of this market. We also find interesting results about relationships between corporate yield spreads and interest rates and risk premia and the stock index, and these results are somewhat attributed to this puzzle.

A heuristic approach to Asian hedge fund allocation

The article offers information about hedge funds, which refers to pooled investments that are privately organized and professionally managed by investment managers. It examines the statistical properties of the 70 Asian hedge funds and shows the inappropriateness of the traditional mean-variance optimizer to form optimal hedge fund portfolios. The article also introduces a practical heuristic approach using the senti-variance as a measure for downside risk, and describes the risk measures and the methodology to generate optimal hedge fund portfolio.

Can social dancing prevent falls in older adults? a protocol of the Dance, Aging, Cognition,Economics (DAnCE) fall prevention randomised controlled trial

Background:  Falls are one of the most common health problems among older people and pose a major economic burden on health care systems. Exercise is an accepted stand-alone fall prevention strategy particularly if it is balance training or regular participation in Tai chi. Dance shares the ‘holistic’ approach of practices such as Tai chi. It is a complex sensorimotor rhythmic activity integrating multiple physical, cognitive and social elements. Small-scale randomised controlled trials have indicated that diverse dance styles can improve measures of balance and mobility in older people, but none of these studies has examined the effect of dance on falls or cognition. This study aims to determine whether participation in social dancing: i) reduces the number of falls; and ii) improves cognitive functions associated with fall risk in older people.

Methods/design: A single-blind, cluster randomised controlled trial of 12 months duration will be conducted. Approximately 450 participants will be recruited from 24 self-care retirement villages that house at least 60 residents each in Sydney, Australia. Village residents without cognitive impairment and obtain medical clearance will be eligible. After comprehensive baseline measurements including physiological and cognitive tests and self-completed questionnaires, villages will be randomised to intervention sites (ballroom or folk dance) or to a wait-listed control using a computer randomisation method that minimises imbalances between villages based on two baseline fall risk measures. Main outcome measures are falls, prospectively measured, and the Trail Making cognitive function test. Cost-effectiveness and cost-utility analyses will be performed.

Discussion: This study offers a novel approach to balance training for older people. As a community-based approach to fall prevention, dance offers older people an opportunity for greater social engagement, thereby making a major contribution to healthy ageing. Providing diversity in exercise programs targeting seniors recognises the heterogeneity of multicultural populations and may further increase the number of taking part in exercise.

Balancing the risk of injury to gymnasts : how effective are the counter measures?

Background—To minimise injury risk and maximise gymnastics performance, coaches, parents, and health professionals working with young gymnasts need to understand and practise safe gymnastics.

Aims—To (a) identify the various injury counter measures specific to gymnastics, (b) critically review the literature describing each injury prevention measure, and (c) assess, using available risk factor and injury data, the weight of evidence to support each of these counter measures. Specific recommendations for further research and implementation strategies to prevent injury and improve safety are also given.

Methods—The relevant literature was identified through the use of Medline (1966 to May 1998) and SPORT Discus (1975 to May 1998) searches, hand searching of journals and reference lists, and discussions with key Australian gymnastics organisations.

Results—The key gymnastics injury counter measures identified in this review include coaching (physical preparation, education, spotting, and performance technique), equipment, and the health support system (medical screening, treatment, and rehabilitation). Categorisation of the type of evidence for the effectiveness of each of these counter measures in preventing injury showed that most of it is based on informal opinion/anecdotal evidence, uncontrolled data based studies, and several prospective epidemiological studies. There is no evidence from formally controlled trials or specific evaluation studies of counter measures for gymnastics.

Conclusions—Although gymnastics is a sport associated with young participants and frequent high volume, high impact training, there is a paucity of information on injury risk factors and the effectiveness of injury practices. Further controlled trials are needed to examine the extent to which injury prevention counter measures can prevent or reduce the occurrence of injury and re-injury. Particular attention should be devoted to improving training facilities, the design and testing of apparatus and personal equipment used by gymnasts, and coaching and the role of spotting in preventing injury.

A comparison of subjective and objective measures of physical activity and fitness in identifying associations with cardiometabolic risk factors

Purpose
To compare the ability of alternative measures of physical activity and fitness to quantify associations with health outcomes.

Methods
Associations between a range of subjective and objective physical activity and fitness measures and cardiometabolic risk factors were examined using data from 1,631 Australians aged 26–36 years. Anthropometry, fitness, blood pressure, and fasting blood glucose, insulin, and lipids were measured at study clinics. Participants completed the International Physical Activity Questionnaire (IPAQ) and 7-day pedometer diaries; they also reported sedentary behavior (sitting, television viewing).

Results
In men and women, associations were strongest for fitness, with those in the highest (vs. lowest) fitness quarter having a 75% to 80% lower prevalence of two or more primary risk factors (waist circumference, high-density lipoprotein cholesterol, and insulin resistance). In men, a 60% to 70% reduced prevalence of two or more risk factors was observed across extreme quarters of IPAQ leisure, IPAQ vigorous, sitting duration, and pedometer measures. Similar reductions in prevalence were observed only across extreme quarters of pedometer activity and television viewing in women.

Conclusions
Associations between alternative measures and cardiometabolic risk were relatively independent, suggesting that a range of physical activity and fitness measures may be needed to most accurately quantify associations between physical activity and health.

Framingham risk prediction equations for incidence of cardiovascular disease using detailed measures for smoking

Current prediction models for risk of cardiovascular disease (CVD) incidence incorporate smoking as a dichotomous yes/no measure. However, the risk of CVD associated with smoking also varies with the intensity and duration of smoking and there is a strong association between time since quitting and the risk of disease onset. This study aims to develop improved risk prediction equations for CVD incidence incorporating intensity and duration of smoking and time since quitting. The risk of developing a first CVD event was evaluated using a Cox’s model for participants in the Framingham offspring cohort who attended the fourth examination (1988–92) between the ages of 30 and 74 years and were free of CVD (n=3751). The full models based on the smoking variables and other risk factors, and reduced models based on the smoking variables and non-laboratory risk factors demonstrated good discrimination, calibration and global fit. The incorporation of both time since quitting among past smokers and pack-years among current smokers resulted in better predictive performance as compared to a dichotomous current/non-smoker measure and a current/quitter/never smoker measure. Compared to never smokers, the risk of CVD incidence increased with pack-years. Risk among those quitting more than five years prior to the baseline exam and within five years prior to the baseline exam were similar and twice as high as that of never smokers. A CVD risk equation incorporating the effects of pack-years and time since quitting provides an improved tool to quantify risk and guide preventive care.

Non-equivalence of direct and indirect measures of unrealistic optimism

Individuals typically believe that they are less likely than the average person to experience negative events. Such “unrealistic optimism” (UO) has been assessed in two ways: directly (via a single question, requiring comparison of own risk to that of the average person) and indirectly (via separate questions about own risk and that of the average person). The study examined the equivalence of the direct and indirect measures of female students' UO for unwanted pregnancy. Participants (N = 120) answered questions about their own risk, that of the average female student, and their own risk relative to that of the average female student; responses and response times were recorded. There was only a moderate association between direct- and indirect-UO. Direct-UO was strongly associated with estimate of own risk, but only moderately associated with estimate of the average student's risk. Response times for the comparative risk and own risk questions did not differ, but participants took significantly longer to answer the question about average student's risk. The results suggest that the two measures of UO are not equivalent, but, rather, that individuals answering a comparative risk question focus mainly on their own risk, at the expense of that of the average person.

Quantitative microbial risk assessment models for consumption of raw vegetables irrigated with reclaimed water

Quantitative microbial risk assessment models for estimating the annual risk of enteric virus infection associated with consuming raw vegetables that have been overhead irrigated with nondisinfected secondary treated reclaimed water were constructed. We ran models for several different scenarios of crop type, viral concentration in effluent, and time since last irrigation event. The mean annual risk of infection was always less for cucumber than for broccoli, cabbage, or lettuce. Across the various crops, effluent qualities, and viral decay rates considered, the annual risk of infection ranged from 10–3 to 10–1 when reclaimed-water irrigation ceased 1 day before harvest and from 10–9 to 10–3 when it ceased 2 weeks before harvest. Two previously published decay coefficients were used to describe the die-off of viruses in the environment. For all combinations of crop type and effluent quality, application of the more aggressive decay coefficient led to annual risks of infection that satisfied the commonly propounded benchmark of ≤10–4, i.e., one infection or less per 10,000 people per year, providing that 14 days had elapsed since irrigation with reclaimed water. Conversely, this benchmark was not attained for any combination of crop and water quality when this withholding period was 1 day. The lower decay rate conferred markedly less protection, with broccoli and cucumber being the only crops satisfying the 10–4 standard for all water qualities after a 14-day withholding period. Sensitivity analyses on the models revealed that in nearly all cases, variation in the amount of produce consumed had the most significant effect on the total uncertainty surrounding the estimate of annual infection risk. The models presented cover what would generally be considered to be worst-case scenarios: overhead irrigation and consumption of vegetables raw. Practices such as subsurface, furrow, or drip irrigation and postharvest washing/disinfection and food preparation could substantially lower risks and need to be considered in future models, particularly for developed nations where these extra risk reduction measures are more common.

Television viewing habits associated with obesity risk factors: a survey of Melbourne schoolchildren.

Objectives: To examine whether children’s television viewing may be a useful indicator of risk of obesity-promoting versus healthy eating behaviours, low-level physical activity (PA) and overweight or obesity among children of primary school entry and exit ages. Design: Cross-sectional study, stratified by area-level socioeconomic status. Participants and setting: 1560 children (613 aged 5–6 years [50% boys], and 947 aged 10–12 years [46% boys]) from 24 primary schools in Melbourne, Australia, randomly selected proportionate to school size between 1 November 2002 and 30 December 2003 . Main outcome measures: Parents’ reports of the time their child spends watching television, their participation in organised physical activities (PA), and their food intake; each child’s measured height and weight and their PA levels as assessed by accelerometry for one week. Results: After adjusting for the age and sex of child, the parents’ level of education, clustering by school, and all other health behaviour variables, children who watched television for > 2 h/day were significantly more likely than children who watched television for ≤ 2 h/day to: to have one or more serves/day of high energy drinks (adjusted odds ratio [AOR], 2.31; 95% CI, 1.61–3.32), and to have one or more serves/day of savoury snacks (AOR, 1.50; 95% CI, 1.04–2.17). They were also less likely to have two or more serves/day of fruit (AOR, 0.58; 95% CI, 0.46–0.74), or to participate in any organised PA (AOR, 0.52; 95% CI, 0.34–0.80). Conclusions: Health practitioners in the primary care setting may find that asking whether a child watches television for more than 2 hours daily can be a useful indicator of a child’s risk of poor diet and low physical activity level.

Impact of an empowerment-based parent education program on the reduction of youth suicide risk factors

Purpose: To evaluate the impact of parent education groups on youth suicide risk factors. The potential for informal transmission of intervention impacts within school communities was assessed.

Methods: Parent education groups were offered to volunteers from 14 high schools that were closely matched to 14 comparison schools. The professionally led groups aimed to empower parents to assist one another to improve communication skills and relationships with adolescents. Australian 8th-grade students (aged 14 years) responded to classroom surveys repeated at baseline and after 3 months. Logistic regression was used to test for intervention impacts on adolescent substance use, deliquency, self-harm behavior, and depression. There were no differences between the intervention (n = 305) and comparison (n = 272) samples at baseline on the measures of depression, health behavior, or family relationships.

Results: Students in the intervention schools demonstrated increased maternal care (adjusted odds ratio [AOR] 1.9), reductions in conflict with parents (AOR .5), reduced substance use (AOR .5 to .6), and less delinquency (AOR .2). Parent education group participants were more likely to be sole parents and their children reported higher rates of substance use at baseline. Intervention impacts revealed a dose-response with the largest impacts associated with directly participating parents, but significant impacts were also evident for others in the intervention schools. Where best friend dyads were identified, the best friend’s positive family relationships reduced subsequent substance use among respondents. This and other social contagion processes were posited to explain the transfer of positive impacts beyond the minority of directly participating families.

Conclusions: A whole-school parent education intervention demonstrated promising impacts on a range of risk behaviors and protective factors relevant to youth self-harm and suicide.

Randomised controlled trial evaluating the effectiveness of behavioural interventions to modify cardiovascular risk factors in men and women with imparied glucose tolerance: outcomes at 6 months

Aims: To evaluate the efficacy of interventions to promote a healthy diet and physical activity in people with impaired glucose tolerance (IGT). Methods: A randomised controlled trial in Newcastle upon Tyne, UK, 1995–98. Participants included 67 adults (38 men; 29 women) aged 24–75 years with IGT. The intervention consisted of regular diet and physical activity counselling based on the stages of change model. Main outcome measures were changes between baseline and 6 months in nutrient intake; physical activity; anthropometric and physiological measurements including serum lipids; glucose tolerance; insulin sensitivity. Results: The difference in change in total fat consumption was significant between intervention and control groups (difference −21.8 (95% confidence interval (CI) −37.8 to −5.8) g/day, P=0.008). A significantly larger proportion of intervention participants reported taking up vigorous activity than controls (difference 30.1, (95% CI 4.3–52.7)%, P=0.021). The change in body mass index was significantly different between groups (difference −0.95 (95% CI −1.5 to −0.4) kg/m2, P=0.001). There was no significant difference in change in mean 2-h plasma glucose between groups (difference −0.19 (95% CI −1.1 to 0.71) mmol/l, NS) or in serum cholesterol (difference 0.02 (95% CI −0.26 to 0.31) mmol/l, NS). The difference in change in fasting serum insulin between groups was significant (difference −3.4 (95% CI −5.8 to −1.1) mU/l, P=0.005). Conclusions: After 6 months of intensive lifestyle intervention in participants with IGT, there were changes in diet and physical activity, some cardiovascular risk factors and insulin sensitivity, but not glucose tolerance. Further follow-up is in progress to investigate whether these changes are sustained or augmented over 2 years.