Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

Dose–effect relationship in routine outpatient psychotherapy: Does treatment duration matter?

Objective: There is an ongoing debate concerning how outcome variables change during the course of psychotherapy. We compared the dose–effect model, which posits diminishing effects of additional sessions in later treatment phases, against a model that assumes a linear and steady treatment progress through termination. Method: Session-by-session outcome data of 6,375 outpatients were analyzed, and participants were categorized according to treatment length. Linear and log-linear (i.e., negatively accelerating) latent growth curve models (LGCMs) were estimated and compared for different treatment length categories. Results: When comparing the fit of the various models, the log-linear LGCMs assuming negatively accelerating treatment progress consistently outperformed the linear models irre- spective of treatment duration. The rate of change was found to be inversely related to the length of treatment. Conclusion: As proposed by the dose–effect model, the expected course of improvement in psychotherapy appears to follow a negatively accelerated pattern of change, irrespective of the duration of the treatment. However, our results also suggest that the rate of change is not constant across various treatment lengths. As proposed by the “good enough level” model, longer treatments are associated with less rapid rates of change.

A meta-analysis of cambium phenology and growth: linear and non-linear patterns in conifers of the northern hemisphere

Background and Aims Ongoing global warming has been implicated in shifting phenological patterns such as the timing and duration of the growing season across a wide variety of ecosystems. Linear models are routinely used to extrapolate these observed shifts in phenology into the future and to estimate changes in associated ecosystem properties such as net primary productivity. Yet, in nature, linear relationships may be special cases. Biological processes frequently follow more complex, non-linear patterns according to limiting factors that generate shifts and discontinuities, or contain thresholds beyond which responses change abruptly. This study investigates to what extent cambium phenology is associated with xylem growth and differentiation across conifer species of the northern hemisphere. Methods Xylem cell production is compared with the periods of cambial activity and cell differentiation assessed on a weekly time scale on histological sections of cambium and wood tissue collected from the stems of nine species in Canada and Europe over 1–9 years per site from 1998 to 2011. Key Results The dynamics of xylogenesis were surprisingly homogeneous among conifer species, although dispersions from the average were obviously observed. Within the range analysed, the relationships between the phenological timings were linear, with several slopes showing values close to or not statistically different from 1. The relationships between the phenological timings and cell production were distinctly non-linear, and involved an exponential pattern. Conclusions The trees adjust their phenological timings according to linear patterns. Thus, shifts of one phenological phase are associated with synchronous and comparable shifts of the successive phases. However, small increases in the duration of xylogenesis could correspond to a substantial increase in cell production. The findings suggest that the length of the growing season and the resulting amount of growth could respond differently to changes in environmental conditions.

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

O(N) Models with Topological Lattice Actions

A variety of lattice discretisations of continuum actions has been considered, usually requiring the correct classical continuum limit. Here we discuss “weird” lattice formulations without that property, namely lattice actions that are invariant under most continuous deformations of the field configuration, in one version even without any coupling constants. It turns out that universality is powerful enough to still provide the correct quantum continuum limit, despite the absence of a classical limit, or a perturbative expansion. We demonstrate this for a set of O(N) models (or non-linear σ-models). Amazingly, such “weird” lattice actions are not only in the right universality class, but some of them even have practical benefits, in particular an excellent scaling behaviour.

Environmental correlates of species rank − abundance distributions in global drylands

Theoretical models predict lognormal species abundance distributions (SADs) in stable and productive environments, with log-series SADs in less stable, dispersal driven communities. We studied patterns of relative species abundances of perennial vascular plants in global dryland communities to: (i) assess the influence of climatic and soil characteristics on the observed SADs, (ii) infer how environmental variability influences relative abundances, and (iii) evaluate how colonisation dynamics and environmental filters shape abundance distributions. We fitted lognormal and log-series SADs to 91 sites containing at least 15 species of perennial vascular plants. The dependence of species relative abundances on soil and climate variables was assessed using general linear models. Irrespective of habitat type and latitude, the majority of the SADs (70.3%) were best described by a lognormal distribution. Lognormal SADs were associated with low annual precipitation, higher aridity, high soil carbon content, and higher variability of climate variables and soil nitrate. Our results do not corroborate models predicting the prevalence of log-series SADs in dryland communities. As lognormal SADs were particularly associated with sites with drier conditions and a higher environmental variability, we reject models linking lognormality to environmental stability and high productivity conditions. Instead our results point to the prevalence of lognormal SADs in heterogeneous environments, allowing for more evenly distributed plant communities, or in stressful ecosystems, which are generally shaped by strong habitat filters and limited colonisation. This suggests that drylands may be resilient to environmental changes because the many species with intermediate relative abundances could take over ecosystem functioning if the environment becomes suboptimal for dominant species.

Mining tissue microarray data to uncover combinations of biomarker expression patterns that improve intermediate staging and grading of clear cell renal cell cancer

PURPOSE: Tumor stage and nuclear grade are the most important prognostic parameters of clear cell renal cell carcinoma (ccRCC). The progression risk of ccRCC remains difficult to predict particularly for tumors with organ-confined stage and intermediate differentiation grade. Elucidating molecular pathways deregulated in ccRCC may point to novel prognostic parameters that facilitate planning of therapeutic approaches. EXPERIMENTAL DESIGN: Using tissue microarrays, expression patterns of 15 different proteins were evaluated in over 800 ccRCC patients to analyze pathways reported to be physiologically controlled by the tumor suppressors von Hippel-Lindau protein and phosphatase and tensin homologue (PTEN). Tumor staging and grading were improved by performing variable selection using Cox regression and a recursive bootstrap elimination scheme. RESULTS: Patients with pT2 and pT3 tumors that were p27 and CAIX positive had a better outcome than those with all remaining marker combinations. A prolonged survival among patients with intermediate grade (grade 2) correlated with both nuclear p27 and cytoplasmic PTEN expression, as well as with inactive, nonphosphorylated ribosomal protein S6. By applying graphical log-linear modeling for over 700 ccRCC for which the molecular parameters were available, only a weak conditional dependence existed between the expression of p27, PTEN, CAIX, and p-S6, suggesting that the dysregulation of several independent pathways are crucial for tumor progression. CONCLUSIONS: The use of recursive bootstrap elimination, as well as graphical log-linear modeling for comprehensive tissue microarray (TMA) data analysis allows the unraveling of complex molecular contexts and may improve predictive evaluations for patients with advanced renal cancer.

Abnormal bone geometry at the metacarpal bone shaft of rheumatoid arthritis patients with maintained muscle-bone relationship

OBJECTIVES:: Metacarpal juxta-articular bone is altered in Rheumatoid Arthritis (RA). However, a detailed analysis of disease related geometrical adaptations of the metacarpal shaft is missing. The aim of the present study was to assess the role of RA disease, forearm muscle cross-sectional area (CSA), age and sex on bone geometry at the metacarpal shaft. METHODS:: In 64 RA patients and 128 control subjects geometric properties of the third metacarpal bone mid-shaft and forearm muscle CSA were measured by peripheral quantitative computed tomography (pQCT). Linear models were performed for cortical CSA, total bone CSA, polar stress-strain Index (polar SSI, a surrogate for bone's resistance to bending and torsion), cortical thickness and Metacarpal Index (MI=cortical CSA/total CSA) with explanatory variables muscle CSA, age, RA status and sex. RESULTS:: Forearm muscle CSA was associated with cortical and total metacarpal CSA, and polar SSI. RA group status was associated with all bone parameters except cortical CSA. There was a significant interaction between RA status and age, indicating that the RA group had a greater age-related decrease in cortical CSA, cortical thickness and MI. CONCLUSIONS:: Bone geometry of the metacarpal shaft is altered in RA patients compared to healthy controls. While bone mass of the metacarpal shaft is adapted to forearm muscle mass, cortical thickness and MI are reduced but outer bone shaft circumference and polar SSI increased in RA patients. These adaptations correspond to an enhanced aging pattern in RA patients.

A prediction model for assessing residential radon concentration in Switzerland

Indoor radon is regularly measured in Switzerland. However, a nationwide model to predict residential radon levels has not been developed. The aim of this study was to develop a prediction model to assess indoor radon concentrations in Switzerland. The model was based on 44,631 measurements from the nationwide Swiss radon database collected between 1994 and 2004. Of these, 80% randomly selected measurements were used for model development and the remaining 20% for an independent model validation. A multivariable log-linear regression model was fitted and relevant predictors selected according to evidence from the literature, the adjusted R², the Akaike's information criterion (AIC), and the Bayesian information criterion (BIC). The prediction model was evaluated by calculating Spearman rank correlation between measured and predicted values. Additionally, the predicted values were categorised into three categories (50th, 50th-90th and 90th percentile) and compared with measured categories using a weighted Kappa statistic. The most relevant predictors for indoor radon levels were tectonic units and year of construction of the building, followed by soil texture, degree of urbanisation, floor of the building where the measurement was taken and housing type (P-values <0.001 for all). Mean predicted radon values (geometric mean) were 66 Bq/m³ (interquartile range 40-111 Bq/m³) in the lowest exposure category, 126 Bq/m³ (69-215 Bq/m³) in the medium category, and 219 Bq/m³ (108-427 Bq/m³) in the highest category. Spearman correlation between predictions and measurements was 0.45 (95%-CI: 0.44; 0.46) for the development dataset and 0.44 (95%-CI: 0.42; 0.46) for the validation dataset. Kappa coefficients were 0.31 for the development and 0.30 for the validation dataset, respectively. The model explained 20% overall variability (adjusted R²). In conclusion, this residential radon prediction model, based on a large number of measurements, was demonstrated to be robust through validation with an independent dataset. The model is appropriate for predicting radon level exposure of the Swiss population in epidemiological research. Nevertheless, some exposure misclassification and regression to the mean is unavoidable and should be taken into account in future applications of the model.

Concomitant Vascular Reconstruction During Pancreatectomy for Malignant Disease: A Propensity Score-Adjusted, Population-Based Trend Analysis Involving 10 206 Patients

OBJECTIVE To assess trends in the frequency of concomitant vascular reconstructions (VRs) from 2000 through 2009 among patients who underwent pancreatectomy, as well as to compare the short-term outcomes between patients who underwent pancreatic resection with and without VR. DESIGN Single-center series have been conducted to evaluate the short-term and long-term outcomes of VR during pancreatic resection. However, its effectiveness from a population-based perspective is still unknown. Unadjusted, multivariable, and propensity score-adjusted generalized linear models were performed. SETTING Nationwide Inpatient Sample from 2000 through 2009. PATIENTS A total of 10 206 patients were involved. MAIN OUTCOME MEASURES Incidence of VR during pancreatic resection, perioperative in-hospital complications, and length of hospital stay. RESULTS Overall, 10 206 patients were included in this analysis. Of these, 412 patients (4.0%) underwent VR, with the rate increasing from 0.7% in 2000 to 6.0% in 2009 (P < .001). Patients who underwent pancreatic resection with VR were at a higher risk for intraoperative (propensity score-adjusted odds ratio, 1.94; P = .001) and postoperative (propensity score-adjusted odds ratio, 1.36; P = .008) complications, while the mortality and median length of hospital stay were similar to those of patients without VR. Among the 25% of hospitals with the highest surgical volume, patients who underwent pancreatic surgery with VR had significantly higher rates of postoperative complications and mortality than patients without VR. CONCLUSIONS The frequency of VR during pancreatic surgery is increasing in the United States. In contrast with most single-center analyses, this population-based study demonstrated that patients who underwent VR during pancreatic surgery had higher rates of adverse postoperative outcomes than their counterparts who underwent pancreatic resection only. Prospective studies incorporating long-term outcomes are warranted to further define which patients benefit from VR.

Associations between prion protein genotype and type traits in East Friesian milk sheep

Linear models were used to analyse the relationships between the prion protein genotypes and the height at the withers and rump, the heart girth and the length of the trunk of 440 East Friesian milk sheep. Significant associations were found between the ARR allele and the height of the withers and rump, and heart girth. The average height at the withers of the homozygous ARR/ARR sheep was 1.9 cm less than that of ARQ/ARQ sheep and 1.6 cm less than in sheep heterozygous for ARR; the height at the rump, length of the trunk and heart girth were similarly smaller. In the ARR/ARR ewes, the average height at the withers was 2.6 cm less and the height at the rump was 1.9 cm less than in the ARQ/ARQ ewes.

A multi-level decomposition of variance in somatic symptom reporting in families with adolescent children

OBJECTIVES: This paper examines four different levels of possible variation in symptom reporting: occasion, day, person and family. DESIGN: In order to rule out effects of retrospection, concurrent symptom reporting was assessed prospectively using a computer-assisted self-report method. METHODS: A decomposition of variance in symptom reporting was conducted using diary data from families with adolescent children. We used palmtop computers to assess concurrent somatic complaints from parents and children six times a day for seven consecutive days. In two separate studies, 314 and 254 participants from 96 and 77 families, respectively, participated. A generalized multilevel linear models approach was used to analyze the data. Symptom reports were modelled using a logistic response function, and random effects were allowed at the family, person and day level, with extra-binomial variation allowed for on the occasion level. RESULTS: Substantial variability was observed at the person, day and occasion level but not at the family level. CONCLUSIONS: To explain symptom reporting in normally healthy individuals, situational as well as person characteristics should be taken into account. Family characteristics, however, would not help to clarify symptom reporting in all family members.

Hospital use of young children in Switzerland: a nation-wide study based on a complete survey over 4 years

Background Young children are known to be the most frequent hospital users compared to older children and young adults. Therefore, they are an important population from economic and policy perspectives of health care delivery. In Switzerland complete hospitalization discharge records for children [<5 years] of four consecutive years [2002–2005] were evaluated in order to analyze variation in patterns of hospital use. Methods Stationary and outpatient hospitalization rates on aggregated ZIP code level were calculated based on census data provided by the Swiss federal statistical office (BfS). Thirty-seven hospital service areas for children [HSAP] were created with the method of "small area analysis", reflecting user-based health markets. Descriptive statistics and general linear models were applied to analyze the data. Results The mean stationary hospitalization rate over four years was 66.1 discharges per 1000 children. Hospitalizations for respiratory problem are most dominant in young children (25.9%) and highest hospitalization rates are associated with geographical factors of urban areas and specific language regions. Statistical models yielded significant effect estimates for these factors and a significant association between ambulatory/outpatient and stationary hospitalization rates. Conclusion The utilization-based approach, using HSAP as spatial representation of user-based health markets, is a valid instrument and allows assessing the supply and demand of children's health care services. The study provides for the first time estimates for several factors associated with the large variation in the utilization and provision of paediatric health care resources in Switzerland.

Coagulation activity before and after acute psychosocial stress increases with age

OBJECTIVE: To assess whether stress further increases hypercoagulation in older individuals. We investigated whether acute stress-induced changes in coagulation parameters differ with age. It is known that hypercoagulation occurs in response to acute stress and that a shift in hemostasis toward a hypercoagulability state occurs with age. However, it is not yet known whether acute stress further increases hypercoagulation in older individuals, and thus may increase their risk for cardiovascular disease (CVD). METHODS: A total of 63 medication-free nonsmoking men, aged between 20 and 65 years (mean +/- standard error of the mean = 36.7 +/- 1.7 years), underwent an acute standardized psychosocial stress task combining public speaking and mental arithmetic in front of an audience. We measured plasma clotting factor VII activity (FVII:C), fibrinogen, and D-dimer at rest, immediately, and 20 minutes after stress. RESULTS: Increased age predicted greater increases in fibrinogen (beta = 0.26, p = 0.041; DeltaR(2) = 0.05), FVII:C (beta = 0.40, p = .006; DeltaR(2) = 0.11), and D-dimer (beta = 0.51, p < .001; DeltaR(2) = 0.18) from rest to 20 minutes after stress independent of body mass index and mean arterial blood pressure. General linear models revealed significant effects of age and stress on fibrinogen, FVII:C, and D-dimer (main effects: p < .04), and greater D-dimer stress reactivity with older age (interaction age-by-stress: F(1.5/90.4) = 4.36, p = .024; f = 0.33). CONCLUSIONS: Our results suggest that acute stress might increase vulnerability in the elderly for hypercoagulability and subsequent hemostasis-associated diseases like CVD.

Factors related to treatment intensity in Swiss primary care

BACKGROUND: Questions about the existence of supplier-induced demand emerge repeatedly in discussions about governing Swiss health care. This study therefore aimed to evaluate the interrelationship between structural factors of supply and the volume of services that are provided by primary care physicians in Switzerland. METHODS: The study was designed as a cross-sectional investigation, based on the complete claims data from all Swiss health care insurers for the year 2004, which covered information from 6087 primary care physicians and 4.7 million patients. Utilization-based health service areas were constructed and used as spatial units to analyze effects of density of supply. Hierarchical linear models were applied to analyze the data. RESULTS: The data showed that, within a service area, a higher density of primary care physicians was associated with higher mortality rates and specialist density but not with treatment intensity in primary care. Higher specialist density was weakly associated with higher mortality rates and with higher treatment intensity density of primary care physicians. Annual physician-level data indicate a disproportionate increase of supplied services irrespective of the size of the number of patients treated during the same year and, even in high volume practices, no rationing but a paradoxical inducement of consultations occurred. The results provide empirical evidence that higher densities of primary care physicians, specialists and the availability of out-patient hospital clinics in a given area are associated with higher volume of supplied services per patient in primary care practices. Analyses stratified by language regions showed differences that emphasize the effect of the cantonal based (fragmented) governance of Swiss health care. CONCLUSION: The study shows high volumes in Swiss primary care and provides evidence that the volume of supply is not driven by medical needs alone. Effects related to the competition for patients between primary care physicians, specialists and out-patient hospital clinics and an association with the system of reimbursing services on a fee-for-service basis can not be excluded.