A comprehensive portfolio construction under stochastic environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. ^ A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: (a) increase the efficiency of the portfolio optimization process, (b) implement large-scale optimizations, and (c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. ^ The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. ^ The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH). ^

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

The development and analysis of a field project model curriculum and its impact on achievement and attitude toward science and the environment with at-risk eleventh and twelfth grade students

This study was an evaluation of a Field Project Model Curriculum and its impact on achievement, attitude toward science, attitude toward the environment, self-concept, and academic self-concept with at-risk eleventh and twelfth grade students. One hundred eight students were pretested and posttested on the Piers-Harris Children's Self-Concept Scale, PHCSC (1985); the Self-Concept as a Learner Scale, SCAL (1978); the Marine Science Test, MST (1987); the Science Attitude Inventory, SAI (1970); and the Environmental Attitude Scale, EAS (1972). Using a stratified random design, three groups of students were randomly assigned according to sex and stanine level, to three treatment groups. Group one received the field project method, group two received the field study method, and group three received the field trip method. All three groups followed the marine biology course content as specified by Florida Student Performance Objectives and Frameworks. The intervention occurred for ten months with each group participating in outside-of-classroom activities on a trimonthly basis. Analysis of covariance procedures were used to determine treatment effects. F-ratios, p-levels and t-tests at p $<$.0062 (.05/8) indicated that a significant difference existed among the three treatment groups. Findings indicated that groups one and two were significantly different from group three with group one displaying significantly higher results than group two. There were no significant differences between males and females in performance on the five dependent variables. The tenets underlying environmental education are congruent with the recommendations toward the reform of science education. These include a value analysis approach, inquiry methods, and critical thinking strategies that are applied to environmental issues. ^

Predicting employee compliance with safety regulations, factoring risk perception

The purpose of this research was to develop a methodology that would evaluate employees' personality traits, demographic characteristics, and workplace parameters to predict safety compliance along with the moderating effect of risk perception. ^ One hundred and twenty five employees of a manufacturing facility were given questionnaires to gather their demographic and perception information. Surveys were also used to measure their personality characteristics, and periodic observations were recorded to document employee's safety compliance. A significant correlation was found between compliance and the worker's perception of management's commitment to safety (r = 0.27, p < 0.01), as well as with gender (r = −0.19, p < 0.05). Females showed a significantly higher average compliance (78%), than males (69%). These findings demonstrated the value of developing a model to predict safety behavior that would assist companies in maintaining a safe work environment, preventing accidents, ensuring compliance, and reducing associated costs. ^

Using extreme value theory to value stock market returns

Extreme stock price movements are of great concern to both investors and the entire economy. For investors, a single negative return, or a combination of several smaller returns, can possible wipe out so much capital that the firm or portfolio becomes illiquid or insolvent. If enough investors experience this loss, it could shock the entire economy. An example of such a case is the stock market crash of 1987. Furthermore, there has been a lot of recent interest regarding the increasing volatility of stock prices. ^ This study presents an analysis of extreme stock price movements. The data utilized was the daily returns for the Standard and Poor's 500 index from January 3, 1978 to May 31, 2001. Research questions were analyzed using the statistical models provided by extreme value theory. One of the difficulties in examining stock price data is that there is no consensus regarding the correct shape of the distribution function generating the data. An advantage with extreme value theory is that no detailed knowledge of this distribution function is required to apply the asymptotic theory. We focus on the tail of the distribution. ^ Extreme value theory allows us to estimate a tail index, which we use to derive bounds on the returns for very low probabilities on an excess. Such information is useful in evaluating the volatility of stock prices. There are three possible limit laws for the maximum: Gumbel (thick-tailed), Fréchet (thin-tailed) or Weibull (no tail). Results indicated that extreme returns during the time period studied follow a Fréchet distribution. Thus, this study finds that extreme value analysis is a valuable tool for examining stock price movements and can be more efficient than the usual variance in measuring risk. ^

Glycemic control: Risk factors, quality of life, workforce participation, and mortality among US adults with type 2 diabetes

Despite research showing the benefits of glycemic control, it remains suboptimal among adults with diabetes in the United States. Possible reasons include unaddressed risk factors as well as lack of awareness of its immediate and long term consequences. The objectives of this study were to, using cross-sectional data, (1) ascertain the association between suboptimal (Hemoglobin A1c (HbA1c) .7%), borderline (HbA1c 7-8.9%), and poor (HbA1c .9%) glycemic control and potentially new risk factors (e.g. work characteristics), and (2) assess whether aspects of poor health and well-being such as poor health related quality of life (HRQOL), unemployment, and missed-work are associated with glycemic control; and (3) using prospective data, assess the relationship between mortality risk and glycemic control in US adults with type 2 diabetes. Data from the 1988-1994 and 1999-2004 National Health and Nutrition Examination Surveys were used. HbA1c values were used to create dichotomous glycemic control indicators. Binary logistic regression models were used to assess relationships between risk factors, employment status and glycemic control. Multinomial logistic regression analyses were conducted to assess relationships between glycemic control and HRQOL variables. Zero-inflated Poisson regression models were used to assess relationships between missed work days and glycemic control. Cox-proportional hazard models were used to assess effects of glycemic control on mortality risk. Using STATA software, analyses were weighted to account for complex survey design and non-response. Multivariable models adjusted for socio-demographics, body mass index, among other variables. Results revealed that being a farm worker and working over 40 hours/week were risk factors for suboptimal glycemic control. Having greater days of poor mental was associated with suboptimal, borderline, and poor glycemic control. Having greater days of inactivity was associated with poor glycemic control while having greater days of poor physical health was associated with borderline glycemic control. There were no statistically significant relationships between glycemic control, self-reported general health, employment, and missed work. Finally, having an HbA1c value less than 6.5% was protective against mortality. The findings suggest that work-related factors are important in a person’s ability to reach optimal diabetes management levels. Poor glycemic control appears to have significant detrimental effects on HRQOL.^

Examination of the impact of personality, social, and cognitive factors on the co-occurrence of health risk behaviors among multi-problem youth: The utility of an integrative framework

Research has identified a number of putative risk factors that places adolescents at incrementally higher risk for involvement in alcohol and other drug (AOD) use and sexual risk behaviors (SRBs). Such factors include personality characteristics such as sensation-seeking, cognitive factors such as positive expectancies and inhibition conflict as well as peer norm processes. The current study was guided by a conceptual perspective that support the notion that an integrative framework that includes multi-level factors has significant explanatory value for understanding processes associated with the co-occurrence of AOD use and sexual risk behavior outcomes. This study evaluated simultaneously the mediating role of AOD-sex related expectancies and inhibition conflict on antecedents of AOD use and SRBs including sexual sensation-seeking and peer norms for condom use.^ The sample was drawn from the Enhancing My Personal Options While Evaluating Risk (EMPOWER: Jonathan Tubman, PI), data set (N = 396; aged 12-18 years). Measures used in the study included Sexual Sensation-Seeking Scale, Inhibition Conflict for Condom Use, Risky Sex Scale. All relevant measures had well-documented psychometric properties. A global assessment of alcohol, drug use and sexual risk behaviors was used.^ Results demonstrated that AOD-sex related expectancies mediated the influence of sexual sensation-seeking on the co-occurrence of alcohol and other drug use and sexual risk behaviors. The evaluation of the integrative model also revealed that sexual sensation-seeking was positively associated with peer norms for condom use. Also, peer norms predicted inhibition conflict among this sample of multi-problem youth. ^ This dissertation research identified mechanisms of risk and protection associated with the co-occurrence of AOD use and SRBs among a multi-problem sample of adolescents receiving treatment for alcohol or drug use and related problems. This study is informative for adolescent-serving programs that address those individual and contextual characteristics that enhance treatment efficacy and effectiveness among adolescents receiving substance use and related problems services.^

The market value implications of pension asset allocation

Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm, the pricing multiples on pension liabilities are significantly larger than those on non-pension liabilities. The only pension costs significantly associated with firm value are actual rate of return and interest expense. In my second essay, I investigate the role of accruals in predicting future cash flows, extending the Barth et al. (2001a) model of the accrual process. Using market value of equity as a proxy for cash flows, the results of this study suggest that aggregate accounting amounts mask how the components of earnings affect investors' ability to predict future cash flows. Disaggregating pension earnings components and accruals results in an increase in predictive power. During the 2008-2009 financial crisis, however, investors placed a greater (and negative) weight on the incremental information contained in the individual components of accruals. The inferences are robust to alternative specifications of accruals. Finally, in my third essay I investigate how investors view under-funded plans. On average, investors: view deficits arising from under-funded plans as belonging to the firm; reward firms with fully or over-funded pension plans; and encourage those funds with unfunded pension plans to become funded. Investors also encourage conservative pension asset allocations to mitigate firm risk, and smaller firms are perceived as being better able to handle the risk associated with underfunded plans. During the financial crisis of 2008-2009 underfunded status had a lower negative association with market value. In all three models, there are significant differences in pre- and post- SFAS 158 periods. These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

Sistematización in Urban Disaster Risk Reduction

Purpose – The purpose of this paper is to provide an analysis of sistematización’s use as a research tool in the operationalization of a “neighborhood approach” to the implementation of disaster risk reduction (DRR) in informal urban settlements. Design/methodology/approach – The first section highlights sistematización’s historical origins in Latin America in the fields of popular adult education, social work, and rural development. The second explains why sistematización was made a required component of project implementation. The third section addresses the approach to sistematización used. The final discusses how this experience both contributes to sistematización’s theoretical development and practical application as a methodology. Findings – The introduction of “sistematización” as a research tool facilitated real-time assessment of project implementation, providing timely information that positively influenced decision-making processes. This on-going feedback, collective learning, and open-exchange of know-how between NGOs and partner institutions allowed for the evaluation of existing practices and development of new ways of collaborating to address disaster risk in complex and dynamic urban environments. Practical implications – Sistematización transcends the narrow focus of traditional monitoring and evaluation on final results, emphasizing a comprehensive understanding of processes and contexts. Originality/value – Its use in the implementation of DRR initiatives in informal urban environments is particularly novel, highlighting the capacity of the methodology to be tailored to a variety of needs, in this case, bridging the gap between NGOs, local governments, and vulnerable communities, as well as between urban, development, and disaster risk management planning.

A Case-Only Genome-wide Association Study of Gender- and Age-specific Risk Markers for Childhood Leukemia

Males and age group 1 to 5 years show a much higher risk for childhood acute lymphoblastic leukemia (ALL). We performed a case-only genome-wide association study (GWAS), using the Illumina Infinium HumanCoreExome Chip, to unmask gender- and age-specific risk variants in 240 non-Hispanic white children with ALL recruited at Texas Children’s Cancer Center, Houston, Texas. Besides statistically most significant results, we also considered results that yielded the highest effect sizes. Existing experimental data and bioinformatic predictions were used to complement results, and to examine the biological significance of statistical results. Our study identified novel risk variants for childhood ALL. The SNP, rs4813720 (RASSF2), showed the statistically most significant gender-specific associations (P < 2 x 10-6). Likewise, rs10505918 (SOX5) yielded the lowest P value (P < 1 x 10-5) for age-specific associations, and also showed the statistically most significant association with age-at-onset (P < 1 x 10-4). Two SNPs, rs12722042 and 12722039, from the HLA-DQA1 region yielded the highest effect sizes (odds ratio (OR) = 15.7; P = 0.002) for gender-specific results, and the SNP, rs17109582 (OR = 12.5; P = 0.006), showed the highest effect size for age-specific results. Sex chromosome variants did not appear to be involved in gender-specific associations. The HLA-DQA1 SNPs belong to DQA1*01:07and confirmed previously reported male-specific association with DQA1*01:07. Twenty one of the SNPs identified as risk markers for gender- or age-specific associations were located in the transcription factor binding sites and 56 SNPs were non-synonymous variants, likely to alter protein function. Although bioinformatic analysis did not implicate a particular mechanism for gender- and age-specific associations, RASSF2 has an estrogen receptor-alpha binding site in its promoter. The unknown mechanisms may be due to lack of interest in gender- and age-specificity in associations. These results provide a foundation for further studies to examine the gender- and age-differential in childhood ALL risk. Following replication and mechanistic studies, risk factors for one gender or age group may have a potential to be used as biomarkers for targeted intervention for prevention and maybe also for treatment.

Diet Self-efficacy and Physical Self-concept of College Students at Risk for Eating Disorders

Background: Both eating disorders and body image dissatisfaction affect a high proportion of college students. Self-esteem and self-efficacy may be protective factors for eating disorders. The aim of this study was to evaluate diet self-efficacy, the confidence to maintain or lose weight, and its association with physical selfconcept using data from an online survey of health literacy, body image, and eating disorders. Study Population and Methods: This cross-sectional study collected online survey data from college students within the United States. The inclusion criteria allowed for 1612 college students, ages 17-35 years (597 males, 1015 females) belonging to the following racial/ethnic categories: Black (187); White, non-Hispanic (244), Hispanic (1035), and other (146). Specifically, the study aimed to examine (a) whether and to what degree diet self-efficacy and physical self-concept were associated with risk of eating disorders; (b) the interaction of gender by ethnicity on diet self-efficacy, physical self-concept and risk of eating disorders; and, (c) the relationship of diet self-efficacy with physical self-description and body mass index (BMI) in college students. Results:Low diet self-efficacy was associated with a lower score on physical self-concept (B = −0.52 [−0.90, −0.15], P = 0.007). Males had a higher physical self-concept as compared to females (B = 14.0 [8.2, 19.8], P Conclusion: College students in this study who had a poor body image were less confident with diet control. Poorer body image and low diet selfefficacy were associated with higher BMI. These findings suggest lifestyle management interventions may be of value to improve physical self-concept and lower risk of eating disorders for college students.

Glycemic Control: Risk Factors, Quality of Life, Workforce Participation, and Mortality Among US Adults with Type 2 Diabetes

Despite research showing the benefits of glycemic control, it remains suboptimal among adults with diabetes in the United States. Possible reasons include unaddressed risk factors as well as lack of awareness of its immediate and long term consequences. The objectives of this study were to, using cross-sectional data, 1) ascertain the association between suboptimal (Hemoglobin A1c (HbA1c) ≥7%), borderline (HbA1c 7-8.9%), and poor (HbA1c ≥9%) glycemic control and potentially new risk factors (e.g. work characteristics), and 2) assess whether aspects of poor health and well-being such as poor health related quality of life (HRQOL), unemployment, and missed-work are associated with glycemic control; and 3) using prospective data, assess the relationship between mortality risk and glycemic control in US adults with type 2 diabetes. Data from the 1988-1994 and 1999-2004 National Health and Nutrition Examination Surveys were used. HbA1c values were used to create dichotomous glycemic control indicators. Binary logistic regression models were used to assess relationships between risk factors, employment status and glycemic control. Multinomial logistic regression analyses were conducted to assess relationships between glycemic control and HRQOL variables. Zero-inflated Poisson regression models were used to assess relationships between missed work days and glycemic control. Cox-proportional hazard models were used to assess effects of glycemic control on mortality risk. Using STATA software, analyses were weighted to account for complex survey design and non-response. Multivariable models adjusted for socio-demographics, body mass index, among other variables. Results revealed that being a farm worker and working over 40 hours/week were risk factors for suboptimal glycemic control. Having greater days of poor mental was associated with suboptimal, borderline, and poor glycemic control. Having greater days of inactivity was associated with poor glycemic control while having greater days of poor physical health was associated with borderline glycemic control. There were no statistically significant relationships between glycemic control, self-reported general health, employment, and missed work. Finally, having an HbA1c value less than 6.5% was protective against mortality. The findings suggest that work-related factors are important in a person’s ability to reach optimal diabetes management levels. Poor glycemic control appears to have significant detrimental effects on HRQOL.

Examination of Personality, Social and Cognitive Factors on the Co-Occurrence of Health Risk Behaviors among Multi-Problem Youth: The Utility of An Integrative Framework

Research has identified a number of putative risk factors that places adolescents at incrementally higher risk for involvement in alcohol and other drug (AOD) use and sexual risk behaviors (SRBs). Such factors include personality characteristics such as sensation-seeking, cognitive factors such as positive expectancies and inhibition conflict as well as peer norm processes. The current study was guided by a conceptual perspective that support the notion that an integrative framework that includes multi-level factors has significant explanatory value for understanding processes associated with the co-occurrence of AOD use and sexual risk behavior outcomes. This study evaluated simultaneously the mediating role of AOD-sex related expectancies and inhibition conflict on antecedents of AOD use and SRBs including sexual sensation-seeking and peer norms for condom use. The sample was drawn from the Enhancing My Personal Options While Evaluating Risk (EMPOWER: Jonathan Tubman, PI), data set (N = 396; aged 12-18 years). Measures used in the study included Sexual Sensation-Seeking Scale, Inhibition Conflict for Condom Use, Risky Sex Scale. All relevant measures had well-documented psychometric properties. A global assessment of alcohol, drug use and sexual risk behaviors was used. Results demonstrated that AOD-sex related expectancies mediated the influence of sexual sensation-seeking on the co-occurrence of alcohol and other drug use and sexual risk behaviors. The evaluation of the integrative model also revealed that sexual sensation-seeking was positively associated with peer norms for condom use. Also, peer norms predicted inhibition conflict among this sample of multi-problem youth. This dissertation research identified mechanisms of risk and protection associated with the co-occurrence of AOD use and SRBs among a multi-problem sample of adolescents receiving treatment for alcohol or drug use and related problems. This study is informative for adolescent-serving programs that address those individual and contextual characteristics that enhance treatment efficacy and effectiveness among adolescents receiving substance use and related problems services.

A case-only genome-wide association study of gender- and age-specific risk markers for childhood leukemia

Males and age group 1 to 5 years show a much higher risk for childhood acute lymphoblastic leukemia (ALL). We performed a case-only genome-wide association study (GWAS), using the Illumina Infinium HumanCoreExome Chip, to unmask gender- and age-specific risk variants in 240 non-Hispanic white children with ALL recruited at Texas Children’s Cancer Center, Houston, Texas. Besides statistically most significant results, we also considered results that yielded the highest effect sizes. Existing experimental data and bioinformatic predictions were used to complement results, and to examine the biological significance of statistical results. ^ Our study identified novel risk variants for childhood ALL. The SNP, rs4813720 (RASSF2), showed the statistically most significant gender-specific associations (P < 2 x 10-6). Likewise, rs10505918 (SOX5) yielded the lowest P value (P < 1 x 10-5 ) for age-specific associations, and also showed the statistically most significant association with age-at-onset (P < 1 x 10-4). Two SNPs, rs12722042 and 12722039, from the HLA-DQA1 region yielded the highest effect sizes (odds ratio (OR) = 15.7; P = 0.002) for gender-specific results, and the SNP, rs17109582 (OR = 12.5; P = 0.006), showed the highest effect size for age-specific results. Sex chromosome variants did not appear to be involved in gender-specific associations. ^ The HLA-DQA1 SNPs belong to DQA1*01:07and confirmed previously reported male-specific association with DQA1*01:07. Twenty one of the SNPs identified as risk markers for gender- or age-specific associations were located in the transcription factor binding sites and 56 SNPs were non-synonymous variants, likely to alter protein function. Although bioinformatic analysis did not implicate a particular mechanism for gender- and age-specific associations, RASSF2 has an estrogen receptor-alpha binding site in its promoter. The unknown mechanisms may be due to lack of interest in gender- and age-specificity in associations. These results provide a foundation for further studies to examine the gender- and age-differential in childhood ALL risk. Following replication and mechanistic studies, risk factors for one gender or age group may have a potential to be used as biomarkers for targeted intervention for prevention and maybe also for treatment.^