Testing the descriptive performance of the rank-dependent utility in the domain of health profiles

Expected utility theory (EUT) has been challenged as a descriptive theoryin many contexts. The medical decision analysis context is not an exception.Several researchers have suggested that rank dependent utility theory (RDUT)may accurately describe how people evaluate alternative medical treatments.Recent research in this domain has addressed a relevant feature of RDU models-probability weighting-but to date no direct test of this theoryhas been made. This paper provides a test of the main axiomatic differencebetween EUT and RDUT when health profiles are used as outcomes of riskytreatments. Overall, EU best described the data. However, evidence on theediting and cancellation operation hypothesized in Prospect Theory andCumulative Prospect Theory was apparent in our study. we found that RDUoutperformed EU in the presentation of the risky treatment pairs in whichthe common outcome was not obvious. The influence of framing effects onthe performance of RDU and their importance as a topic for future researchis discussed.

Ignoring information in binary choice with continuous variables: When is less 'more'?

When can a single variable be more accurate in binary choice than multiple sources of information? We derive analytically the probability that a single variable (SV) will correctly predict one of two choices when both criterion and predictor are continuous variables. We further provide analogous derivations for multiple regression (MR) and equal weighting (EW) and specify the conditions under which the models differ in expected predictive ability. Key factors include variability in cue validities, intercorrelation between predictors, and the ratio of predictors to observations in MR. Theory and simulations are used to illustrate the differential effects of these factors. Results directly address why and when one-reason decision making can be more effective than analyses that use more information. We thus provide analytical backing to intriguing empirical results that, to date, have lacked theoretical justification. There are predictable conditions for which one should expect less to be more.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Testing Spatial Autocorrelation in Weighted Networks : the Modes Permutation Test

In a weighted spatial network, as specified by an exchange matrix, the variances of the spatial values are inversely proportional to the size of the regions. Spatial values are no more exchangeable under independence, thus weakening the rationale for ordinary permutation and bootstrap tests of spatial autocorrelation. We propose an alternative permutation test for spatial autocorrelation, based upon exchangeable spatial modes, constructed as linear orthogonal combinations of spatial values. The coefficients obtain as eigenvectors of the standardised exchange matrix appearing in spectral clustering, and generalise to the weighted case the concept of spatial filtering for connectivity matrices. Also, two proposals aimed at transforming an acessibility matrix into a exchange matrix with with a priori fixed margins are presented. Two examples (inter-regional migratory flows and binary adjacency networks) illustrate the formalism, rooted in the theory of spectral decomposition for reversible Markov chains.

The infrared behaviour of the static potential in perturbative QCD

The definition of the quark-antiquark static potential is given within an effective field theory framework. The leading infrared divergences of the static singlet potential in perturbation theory are explicitly calculated.

Population differentiation and its consequences in the white campion "Silene latifolia" (Caryophyllaceae): a functional analysis

Summary In his theory On the Origin of Species by Means of Natural Selection (1859), Darwin describes evolution as a gradual change in population over time and that natural selection is a process that caused evolution. Because quantitative variation in species is partly influenced by several genes and thus heritable, association between levels of genetic variation at neutral markers and at quantitative traits and their partitioning within and among populations are important to study mechanisms that drive evolution in populations. Most studies addressing quantitative variation in plants focused on morphological and life history traits but not in traits affecting reproductive success. The aim of this thesis is to better understand how patterns of variation for neutral molecular markers and phenotypic traits drive the evolution of reproduction and defensive mechanisms in six European populations of Silene latifolia, a dioecious plant species. We found evidence for extremely high within and between population variation at six microsatellite loci and at most quantitative traits studied in plants grown under standardized conditions (morphology, life history and reproductive traits). Interestingly, there was clinal variation between age at first flowering and latitude. This pattern is likely due to natural selection since differentiation of this trait was high, heritable and probably higher than differentiation at neutral markers. Our study focused on sex specific selective pressures: mechanisms of intersexual coadaptation and defence mechanism against the seed predator Hadena bicruris. To address divergence at reproductive traits, we studied male and female population of origin effects and in particular pollen competitive ability on male post-pollination success in the study populations with within and between populations crosses. We crossed the same female plant with pollen from a male within the same population of origin and pollen from two males from two distinct populations, using a fixed tester male as a competitor. Additionally, we conducted control crosses with pollen from each male as a single donor. We analysed paternity success of each competitor with two microsatellite loci, seed set and offspring fitness. Male population of origin showed significant among-population variation for siring success at pollen competition. In vitro pollen germination rate showed heritable variation among populations and was positively correlated to siring success. Local or foreign pollen did not have a consistent advantage. Furthermore, female population of origin affected the outcome of pollen competition in some populations. There was no difference of seed set or offspring fitness in within/ between population crosses. This suggests that reproductive divergence may occur via pollen competition in Silene latifolia. The specialist seed predator Hadena bicruris may also induce divergence between populations. We tested potential constitutive and induced defence mechanisms against the specialist predator Hadena bicruris. Because fruit wall thickness is smaller in the invasive range (Northern America) were the moth is absent, this suggests that a thicker fruit wall is a potentially defensive trait against larval attack, and that relaxed selection in the absence of the seed predator has resulted in an evolutionary loss of this defence in the invasive range. Fruit wall thickness was different among three populations. Experimental exposure to moth eggs increased fruit abortion. Fruits built after attack on exposed plants did not have thicker fruit walls compared to fruits on non-exposed plants. Furthermore, fruits with thicker fruit walls were not less profitable, nor did they require longer handling time when exposed to larvae, suggesting no defensive role of fruit wall thickness. Our results show that there is high molecular and phenotypic variation in Silene latifolia and that traits potentially involved in reproductive success both for intra-specific (between sexes) and inter-specific interactions are heritable. Different selective forces may thus interact and cause differential evolution of geographically separated Silene latifolia populations in Europe, leading to the observed differentiation. Résumé Dans sa théorie de l'évolution, L'origine des espèces, ch. 4 (1859), Darwin décrit l'évolution comme un processus continu au cours du temps à l'intérieur de populations et que la sélection naturelle en est le moteur. La variation quantitative est en partie déterminée par plusieurs gènes, donc transmissible à la descendance. Associer le niveau de variation génétique à des marqueurs neutres au niveau de la variation à des traits quantitatifs, ainsi que la répartition à l'intérieur et entre les populations d'une espèce donnée de cette variation, sont importants dans la compréhension des forces évolutives. La plupart des études scientifiques sur la variation quantitative chez les plantes se sont intéressées à la morphologie et à la phénologie mais pas aux caractères impliqués dans le succès reproducteur. L'objectif de cette thèse est de mieux comprendre comment la répartition de la variation à des marqueurs neutres et des caractères quantitatifs influence l'évolution de la reproduction et des mécanismes de défense dans six populations Européennes de l'espèce dioïque Silene latifolia. Nous avons mis en évidence une grande diversité intra et inter-population à six loci microsatellites ainsi qu'à la plupart des caractères quantitatifs mesurés (morphologie, phénologie et traits reproducteurs) sur des plantes cultivées dans des conditions standardisées. Un résultat intéressant est la présence d'un cline latitudinal pour l'âge à la floraison. Ceci est probablement une conséquence de la sélection naturelle, puisque ce caractère est différencié entre les populations étudiées, héritable et que la différenciation de ce trait est supérieure à la différenciation des marqueurs neutres étudiés. Notre étude a ensuite porté plus précisément sur les pressions de sélection spécifiques aux sexes : la coadaptation entre les sexes et les mécanismes de défense contre l'insecte granivore Hadena bicruris. Afin d'évaluer la divergence sur les traits reproducteurs, nous avons étudié les effets des populations d'origine des mâles et des femelles et en particulier le succès reproducteur des mâles après pollinisation à l'aide de croisements inter et intra-population. Nous avons pollinisé la même femelle avec du pollen provenant d'un mâle de la même population ainsi qu'avec le pollen de deux mâles provenant de deux autres populations en situation de compétition avec un pollen provenant d'une population test. Des croisements contrôle ont été réalisés avec les mêmes mâles en pollinisation pure. Nous avons évalué le succès reproducteur de chaque mâle à l'aide d'analyses de paternité ainsi que la production de graines et la fitness de la descendance. L'origine du mâle avait un effet sur la paternité. Le taux de croissance in vitro du pollen est un caractère héritable et a eu un effet positif sur le succès reproducteur. De plus, l'origine de la femelle avait un effet sur le succès des mâles en compétition dans certaines populations. Nos résultats suggèrent qu'une divergence reproductive chez Silene latifolia pourrait apparaître suite à la compétition pollinique. Nous avons ensuite testé des mécanismes potentiels de défense constitutive et induite contre l'herbivore spécialiste Hadena bicruris, un papillon nocturne qui pourrait aussi jouer un rôle dans la différenciation des populations. L'épaisseur des fruits étant plus faible dans les régions où la plante est invasive (Amérique du Nord) et où l'insecte est absent, ce trait pourrait jouer un rôle défensif. Une pression de sélection plus faible causée par l'absence de l'herbivore aurait abouti à une perte de cette défense dans ces régions. Nous avons montré que l'épaisseur du fruit est variable selon les populations. L'infestation artificielle de fruit par l'insecte induit l'abscission sélective des fruits. Les fruits produits après une infestation n'étaient pas plus épais que les fruits issus de plantes non infestées. De plus, les fruits épais n'étaient pas moins nutritifs et ne causaient pas de perte de temps pour la prédation pour les larves, ce qui suggère que l'épaisseur des fruits ne joue pas un rôle défensif. Nos résultats montrent que plusieurs pressions de sélection interviennent et interagissent dans l'évolution de populations distantes, provoquant la divergence des populations Européennes de l'espèce Silene latifolia.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Cross section of a resonant-mass detector for scalar gravitational waves

Gravitationally coupled scalar fields, originally introduced by Jordan, Brans and Dicke to account for a non-constant gravitational coupling, are a prediction of many non-Einsteinian theories of gravity not excluding perturbative formulations of string theory. In this paper, we compute the cross sections for scattering and absorption of scalar and tensor gravitational waves by a resonant-mass detector in the framework of the Jordan-Brans-Dicke theory. The results are then specialized to the case of a detector of spherical shape and shown to reproduce those obtained in general relativity in a certain limit. Eventually we discuss the potential detectability of scalar waves emitted in a spherically symmetric gravitational collapse.

Black diholes

We present and analyze exact solutions of the Einstein-Maxwell and Einstein-Maxwell-dilaton equations that describe static pairs of oppositely charged extremal black holes, i.e., black diholes. The holes are suspended in equilibrium in an external magnetic field, or held apart by cosmic strings. We comment as well on the relation of these solutions to brane-antibrane configurations in string and M theory.

Interaccion among systems of finite size in predictive relativistic mechanics I. General framework

We derive a Hamiltonian formulation for the three-dimensional formalism of predictive relativistic mechanics. This Hamiltonian structure is used to derive a set of dynamical equations describing the interaction among systems in perturbation theory.

Solutions of the telegrapher's equation in the presence of traps

Several problems in the theory of photon migration in a turbid medium suggest the utility of calculating solutions of the telegrapher¿s equation in the presence of traps. This paper contains two such solutions for the one-dimensional problem, the first being for a semi-infinite line terminated by a trap, and the second being for a finite line terminated by two traps. Because solutions to the telegrapher¿s equation represent an interpolation between wavelike and diffusive phenomena, they will exhibit discontinuities even in the presence of traps.

An AdS/QCD model from tachyon condensation: II

A simple holographic model is presented and analyzed that describes chiral symmetry breaking and the physics of the meson sector in QCD. This is a bottom-up model that incorporates string theory ingredients like tachyon condensation which is expected to be the main manifestation of chiral symmetry breaking in the holographic context. As a model for glue the Kuperstein-Sonnenschein background is used. The structure of the flavor vacuum is analyzed in the quenched approximation. Chiral symmetry breaking is shown at zero temperature. Above the deconfinement transition chiral symmetry is restored. A complete holographic renormalization is performed and the chiral condensate is calculated for different quark masses both at zero and non-zero temperatures. The 0++, 0¿+, 1++, 1¿¿ meson trajectories are analyzed and their masses and decay constants are computed. The asymptotic trajectories are linear. The model has one phenomenological parameter beyond those of QCD that affects the 1++, 0¿+ sectors. Fitting this parameter we obtain very good agreement with data. The model improves in several ways the popular hard-wall and soft wall bottom-up models.

Parrondo-like behavior in continuous-time random walks with memory

The continuous-time random walk (CTRW) formalism can be adapted to encompass stochastic processes with memory. In this paper we will show how the random combination of two different unbiased CTRWs can give rise to a process with clear drift, if one of them is a CTRW with memory. If one identifies the other one as noise, the effect can be thought of as a kind of stochastic resonance. The ultimate origin of this phenomenon is the same as that of the Parrondo paradox in game theory.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Rigorous characterization of oxygen vacancies in ionic oxides

Charged and neutral oxygen vacancies in the bulk and on perfect and defective surfaces of MgO are characterized as quantum-mechanical subsystems chemically bonded to the host lattice and containing most of the charge left by the removed oxygens. Attractors of the electron density appear inside the vacancy, a necessary condition for the existence of a subsystem according to the atoms in molecules theory. The analysis of the electron localization function also shows attractors at the vacancy sites, which are associated to a localization basin shared with the valence domain of the nearest oxygens. This polyatomic superanion exhibits chemical trends guided by the formal charge and the coordination of the vacancy. The topological approach is shown to be essential to understand and predict the nature and chemical reactivity of these objects. There is not a vacancy but a coreless pseudoanion that behaves as an activated host oxygen.