Dynamically opted protection envelope (DOPE) - A cost-effective strategy of insuring an investment portfolio

Popular ways of hedging downside risk of a stock portfolio is by means of a constant proportion portfolio insurance (CPPI) strategy or by means of an options-based portfolio insurance strategy (OBPI). However both have drawbacks in terms of practical applicability given transaction costs. Moreover they are not useful in times of very low liquidity e.g. in a market crash. Here we shall first review the common portfolio insurance techniques and then posit an alternative approach using a zero-coupon bond to extract downside coverage to the extent desired by an investor. While the posited strategy will not guarantee full downside protection for the entire investment horizon, it is unaffected by transaction costs resulting from need to periodically reallocate funds and is a lot easier to implement practically compared to options-based strategies. Unlike CPPI and OBPI, it will work in a crash situation too.

Differential effects of natural palm oil, chemically and enzymatically-modified palm oil on weight gain, blood lipid metabolites and fat deposition in a pediatric pig model

Background: Increasing prevalence of obesity and overweight in the Western world, continue to be a major health threat and is responsible for increased health care costs. Dietary intervention studies show a strong positive association between saturated fat intake and the development of obesity and cardiovascular disease. This study investigated the effect of positional distribution of palmitic acid (Sn-1, 2 & 3) of palm oil on cardiovascular health and development of obesity, using weaner pigs as a model for young children.

Methods: Male and female weaner piglets were randomly allocated to 4 dietary treatment groups: 1) pork lard (LRD); 2) natural palm olein (NPO); 3) chemically inter-esterified PO (CPO) and 4) enzymatically inter-esterified PO (EnPO) as the fat source. Diets were formulated with 11% lard or with palm olein in order to provide 31% of digestible energy from fat in the diet and were balanced for cholesterol, protein and energy across treatments.

Results: From 8 weeks onwards, pigs on EnPO diet gained (P < 0.05) more weight than all other groups. Feed conversion efficiency (feed to gain) over the 12 week experimental period did not vary between treatment groups. Plasma LDL-C content and LDL-C/HDL-C ratio in pigs fed natural PO tended to be lower compared to all other diets. The natural PO lowered (P < 0.02) the plasma triglyceride (TG) content relative to the lard or EnPO diets, but was not different from the CPO diet. The natural PO diet was associated with lower (P < 0.05) saturated fat levels in subcutaneous adipose tissue than the CPO and EnPO diets that had lower saturated fat levels than the lard diet. Female pigs had lower lean and higher fat and fat:lean ratio in the body compared with male pigs. No difference in weight gain or blood lipid parameters was observed between sexes.

Conclusions: The observations on plasma TG, muscle and adipose tissue saturated fatty acid contents and back fat (subcutaneous) thickness suggest that natural palm oil may reduce deposition of body fat. In addition, dietary supplementation with natural palm oil containing palmitic acid at different positions in meat producing animals may lead to the production of meat and meat products with lower saturated fats. An increase in fat content and a decrease in lean content in female pigs resulted in an increased body fat:lean ratio but gender had no effect on blood lipid parameters or insulin concentrations.

Modification of tissue fatty acid composition in Murray cod (Maccullochella peelii peelii, Mitchell) resulting from a shift from vegetable oil diets to a fish oil diet.

The dynamics of fatty acid composition modifications were examined in tissues of Murray cod fed diets containing fish oil (FO), canola oil (CO) and linseed oil (LO) for a 25-week period and subsequently transferred to a FO (finishing/wash-out) diet for a further 16 weeks. At the commencement of the wash-out period, following 25 weeks of vegetable oil substitution diets, the fatty acid compositions of Murray cod fillets were reflective of the respective diets. After transfer to the FO diet, differences decreased in quantity and in numerousness, resulting in a revert to the FO fatty acid composition. Changes in percentages of the fatty acids and total accumulation in the fillet could be described by exponential equations and demonstrated that major modifications occurred in the first days of the finishing period. A dilution model was tested to predict fatty acid composition. In spite of a general reliability of the model (Y=0.9234X+0.4260, R²=0.957, P<0.001, where X is the predicted percentage of fatty acid; Y the observed percentage of fatty acid), in some instances the regression comparing observed and predicted values was markedly different from the line of equity, indicating that the rate of change was higher than predicted (i.e. Y=0.4205X+1.191, R²=0.974, P<0.001, where X is the predicted percentage of α-linolenic acid; Y the observed percentage of α-linolenic acid). Ultimately, using the coefficient of distance (D), it was shown that the fatty acid composition of fish previously fed the vegetable oil diets returned to the average variability of the fillet fatty acid composition of Murray cod after 70 or 97 days (LO and CO respectively).

Understanding the oil price-exchange rate nexus for the Fiji Islands

In this paper, we examine the relationship between oil price and the Fiji–US exchange rate using daily data for the period 2000–2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-à-vis the US dollar.

Bovine milk fat enriched in conjugated linoleic and vaccenic acids attenuates allergic airway disease in mice

Background: It has been argued that a reduction in the Western diet of anti-inflammatory unsaturated lipids, such as n-3 polyunsaturated fatty acids, has contributed to the increase in the frequency and severity of allergic diseases.

Objective: We investigated whether feeding milk fat enriched in conjugated linoleic acid and vaccenic acids (VAs) ('enriched' milk fat), produced by supplementing the diet of pasture-fed cows with fish and sunflower oil, will prevent development of allergic airway responses.

Methods: C57BL/6 mice were fed a control diet containing soybean oil and diets supplemented with milk lipids. They were sensitized by intraperitoneal injection of ovalbumin (OVA) on days 14 and 28, and challenged intranasally with OVA on day 42. Bronchoalveolar lavage fluid, lung tissues and serum samples were collected 6 days after the intranasal challenge.

Results: Feeding of enriched milk fat led to marked suppression of airway inflammation as evidenced by reductions in eosinophilia and lymphocytosis in the airways, compared with feeding of normal milk fat and control diet. Enriched milk fat significantly reduced circulating allergen-specific IgE and IgG1 levels, together with reductions in bronchoalveolar lavage fluid of IL-5 and CCL11. Treatment significantly inhibited changes in the airway including airway epithelial cell hypertrophy, goblet cell metaplasia and mucus hypersecretion. The two major components of enriched milk fat, cis-9, trans-11 conjugated linoleic acid and VA, inhibited airway inflammation when fed together to mice, whereas alone they were not effective.

Conclusion: Milk fat enriched in conjugated linoleic and VAs suppresses inflammation and changes to the airways in an animal model of allergic airway disease.

Computational exploration of the biological basis of Black-Scholes expected utility function

It has often been argued that there exists an underlying biological basis of utility functions. Taking this line of argument a step further in this paper, we have aimed to computationally demonstrate the biological basis of the Black-Scholes functional form as applied to classical option pricing and hedging theory. The evolutionary optimality of the classical Black-Scholes function has been computationally established by means of a haploid genetic algorithm model. The objective was to minimize the dynamic hedging error for a portfolio of assets that is built to replicate the payoff from a European multi-asset option. The functional form that is seen to evolve over successive generations which best attains this optimization objective is the classical Black-Scholes function extended to a multiasset scenario.

Solubilization of selected free fatty acids in palm oil by biodegradable ethoxylated surfactants

The solubilization of three major components, viz., palmitic, oleic, and linoleic acids, in palm oil by ethoxylated surfactants was investigated. The results were analyzed in terms of the molecular properties of surfactants and free fatty acids (FFAs). It was found that the solubilities of these FFAs in various micellar solutions depend not only on their octanol−water partition coefficients (Kow), but also on their physicochemical properties. The study on the solubilization kinetics was conducted by choosing palmitic acid as a model solubilizate and Tergitol 15-S-7 as the model surfactant. A first-order film diffusion model, which accounts for the direct uptake of organic molecules at a solid surface into surfactant micelles, was adopted to analyze the effect of surfactant on dissolution of palmitic acid. It was observed that the presence of surfactant reduced the mass-transfer coefficient. Instead, the overall mass-transfer rate was enhanced because of the much higher driving force from the increased solubilization capacity.

Differential effects of dietary canola and soybean oil intake on oxidative stress in stroke-prone spontaneously hypertensive rats

Background: Canola oil shortens the life span of stroke-prone spontaneously hypertensive (SHRSP) rats compared with rats fed soybean oil when given as the sole dietary lipid source. One possible mechanism leading to the damage and deterioration of organs due to canola oil ingestion is oxidative stress. This study investigated the effect of canola oil intake on oxidative stress in this animal model.
Method: Male SHRSP rats, were fed a defatted control diet containing 10% wt/wt soybean oil or a defatted treatment diet containing 10% wt/wt canola oil, and given water containing 1% NaCl. Blood pressure was measured weekly. Blood was collected prior to beginning the diets and at the end of completion of the study for analysis of red blood cell (RBC) antioxidant enzymes, RBC and plasma malondialdehyde (MDA), plasma 8- isoprostane and plasma lipids.
Results: Canola oil ingestion significantly decreased the life span of SHRSP rats compared with soybean oil, 85.8 ± 1.1 and 98.3 ± 3.4 days, respectively. Systolic blood pressure increased over time with a significant difference between the diets at the 6th week of feeding. Canola oil ingestion significantly reduced RBC superoxide dismutase, glutathione peroxidase and catalase activities, total cholesterol and low-density lipoprotein cholesterol compared with soybean oil. There were no significant differences in RBC MDA concentration between canola oil fed and soybean oil fed rats. In contrast, plasma MDA and 8-isoprostane concentration was significantly lower in the canola oil group compared to the soybean oil group.
Conclusion: In conclusion, canola oil ingestion shortens the life span of SHRSP rats and leads to changes in oxidative status, despite an improvement in the plasma lipids.

Salt loading in canola oil fed SHRSP rats induces endothelial dysfunction

This study aimed to determine if 50 days of canola oil intake in the absence or presence of salt loading affects: (1) antioxidant and oxidative stress markers, (2) aortic mRNA of NADPH oxidase (NOX) subunits and superoxide dismutase (SOD) isoforms and (3) endothelial function in SHRSP rats. SHRSP rats were fed a diet containing 10 wt/wt% soybean oil or 10 wt/wt% canola oil, and given tap water or water containing 1% NaCl for 50 days. Without salt, canola oil significantly increased RBC SOD, plasma cholesterol and triglycerides, aortic p22phox, NOX2 and CuZn-SOD mRNA, and decreased RBC glutathione peroxidase activity. With salt, canola oil reduced RBC SOD and catalase activity, LDL-C, and p22phox mRNA compared with canola oil alone, whereas plasma malondialdehyde (MDA) was reduced and RBC MDA and LDL-C were higher. With salt, the canola oil group had significantly reduced endothelium-dependent vasodilating responses to ACh and contractile responses to norepinephrine compared with the canola oil group without salt and to the WKY rats. These results indicate that ingestion of canola oil increases O2 - generation, and that canola oil ingestion in combination with salt leads to endothelial dysfunction in the SHRSP model.

Rapid determination of protein contents in microencapsulated fish oil supplements by ATR-FTIR spectroscopy and partial least square regression (PLSR) analysis

Following the recent success in quantitative analysis of essential fatty acid compositions in a commercial microencapsulated fish oil (?EFO) supplement, we extended the application of portable attenuated total reflection Fourier transform infrared (ATR-FTIR) spectroscopic technique and partial least square regression (PLSR) analysis for rapid determination of total protein contents-the other major component in most commercial ?EFO powders. In contrast to the traditional chromatographic methodology used in a routine amino acid analysis (AAA), the ATR-FTIR spectra of the ?EFO powder can be acquired directly from its original powder form with no requirement of any sample preparation, making the technique exceptionally fast, noninvasive, and environmentally friendly as well as being cost effective and hence eminently suitable for routine use by industry. By optimizing the spectral region of interest and number of latent factors through the developed PLSR strategy, a good linear calibration model was produced as indicated by an excellent value of coefficient of determination R2 = 0.9975, using standard ?EFO powders with total protein contents in the range of 140-450 mg/g. The prediction of the protein contents acquired from an independent validation set through the optimized PLSR model was highly accurate as evidenced through (1) a good linear fitting (R2 = 0.9759) in the plot of predicted versus reference values, which were obtained from a standard AAA method, (2) lowest root mean square error of prediction (11.64 mg/g), and (3) high residual predictive deviation (6.83) ranked in very good level of predictive quality indicating high robustness and good predictive performance of the achieved PLSR calibration model. The study therefore demonstrated the potential application of the portable ATR-FTIR technique when used together with PLSR analysis for rapid online monitoring of the two major components (i.e., oil and protein contents) in finished ?EFO powders in the actual manufacturing setting.

Oil price uncertainty and sovereign risk: evidence from Asian economies

In this paper, we test whether oil price uncertainty predicts credit default swap (CDS) returns for eight Asian countries. We use the Westerlund and Narayan, 2011 and Westerlund and Narayan, 2012 predictability test that accounts for any persistence in and endogeneity of the predictor variable. The estimator also accounts for any heteroskedasticity in the regression model. In-sample evidence reveals that oil price uncertainty predicts CDS returns for three Asian countries, whereas out-of-sample evidence suggests that oil price uncertainty predicts CDS returns for six countries.

Civil society after Saddam: oil unions and democracy in Iraq

Following the intervention in Iraq by coalition forces one decade ago, the Bush Administration underwent an enormous and unprecedented project to bring the ‘Western’ liberal model of democracy to Iraq. For the first few years the project to bring democracy to Iraq had its share of successes as the Iraqi people proved themselves capable of understanding and utilizing democratic mechanisms and institutions. This culminated in a series of nation-wide elections from 2005 onwards that brought a democratically elected government to power (Isakhan, 2012). However, one of the unfortunate consequences of the war and the US effort to bring democracy to Iraq was that many key ethno-religious political factions viewed it as an opportunity to pedal their own relatively narrow and very divisive political rhetoric (Davis, 2007). This meant that the Iraqi government was constituted not so much by a body who wanted to draw Iraq together behind a common ideology and to work towards a collective and egalitarian future, as it was by representatives who would fight on behalf of their ethno-religious constituencies. Not surprisingly, a great deal of academic literature has emerged which has analysed and criticised the formal political parties and institutions of the post-Saddam era (Dawisha, 2009). Indeed, the bulk of contemporary scholarship on Iraqi politics focuses on issues such as: the increasingly authoritarian tendencies of the Iraqi government; the obstinacy and ineptitude of many elements of Iraq’s political elite; the systemic corruption that is hollowing out the coffers of the state; the moribund bureaucracy that are struggling to deliver basic services and; of course, the deep-seated divisions within and between those that represent Iraq’s three main ethno-religious blocks: the Shia Arabs, the Sunni Arabs and the Kurds.

Youth depression alleviation: the Fish Oil Youth Depression Study (YoDA-F): A randomized, double-blind, placebo-controlled treatment trial.

US authorities have recommended 'black-box' warnings for antidepressants because of the increased risk of suicidality for individuals up to age 25. There is thus a clinical and ethical imperative to provide effective treatment for youth depression with an acceptable risk-benefit balance. Long-chain omega-3 polyunsaturated fatty acids (PUFAs) play an important role in a range of physiological processes in living organisms. Supplementation with omega-3 PUFAs has been shown to have a range of beneficial effects on both physical and mental health, and results of previous trials suggest that omega-3 PUFAs may be a safe and effective treatment for depression. However, conclusions from these trials have been limited by their relatively small sample sizes.

Economic growth with coal, oil and renewable energy consumption in China: prospects for fuel substitution

We examine the relationship between Chinese aggregate production and consumption of three main energy commodities: coal, oil and renewable energy. Both autoregressive distributed lag (ARDL) and vector error correction modeling (VECM) show that Chinese growth is led by all three energy sources. Economic growth also causes coal, oil and renewables consumption, but with negative own-price effects for coal and oil and a strong possibility of fuel substitution through positive cross-price effects. The results further show coal consumption causing pollution, while renewable energy consumption reduces emissions. No significant causation on emissions is found for oil. Hence, making coal both absolutely and relatively expensive compared to oil and renewable energy encourages shifting from coal to oil and renewable energy, thereby improving economic and environmental sustainability.