Scenari finanziari e portafogli ottimi: modelli di previsione e strategie per l'asset allocation tattica

Le scelte di asset allocation costituiscono un problema ricorrente per ogni investitore. Quest’ultimo è continuamente impegnato a combinare diverse asset class per giungere ad un investimento coerente con le proprie preferenze. L’esigenza di supportare gli asset manager nello svolgimento delle proprie mansioni ha alimentato nel tempo una vasta letteratura che ha proposto numerose strategie e modelli di portfolio construction. Questa tesi tenta di fornire una rassegna di alcuni modelli innovativi di previsione e di alcune strategie nell’ambito dell’asset allocation tattica, per poi valutarne i risvolti pratici. In primis verificheremo la sussistenza di eventuali relazioni tra la dinamica di alcune variabili macroeconomiche ed i mercati finanziari. Lo scopo è quello di individuare un modello econometrico capace di orientare le strategie dei gestori nella costruzione dei propri portafogli di investimento. L’analisi prende in considerazione il mercato americano, durante un periodo caratterizzato da rapide trasformazioni economiche e da un’elevata volatilità dei prezzi azionari. In secondo luogo verrà esaminata la validità delle strategie di trading momentum e contrarian nei mercati futures, in particolare quelli dell’Eurozona, che ben si prestano all’implementazione delle stesse, grazie all’assenza di vincoli sulle operazioni di shorting ed ai ridotti costi di transazione. Dall’indagine emerge che entrambe le anomalie si presentano con carattere di stabilità. I rendimenti anomali permangono anche qualora vengano utilizzati i tradizionali modelli di asset pricing, quali il CAPM, il modello di Fama e French e quello di Carhart. Infine, utilizzando l’approccio EGARCH-M, verranno formulate previsioni sulla volatilità dei rendimenti dei titoli appartenenti al Dow Jones. Quest’ultime saranno poi utilizzate come input per determinare le views da inserire nel modello di Black e Litterman. I risultati ottenuti, evidenziano, per diversi valori dello scalare tau, extra rendimenti medi del new combined vector superiori al vettore degli extra rendimenti di equilibrio di mercato, seppur con livelli più elevati di rischio.

Validation of a new method to assess the long-term Hypothalamic-Pituitary-Adrenal Activity using hair glucocorticoids as biomarkers. - Studies on pigs and laboratory Sprague-Dawley Rats

The evaluation of chronic activity of the hypothalamic-pituitary-adrenal (HPA) axis is critical for determining the impact of chronic stressful situations. The potential use of hair glucocorticoids as a non-invasive, retrospective, biomarker of long term HPA activity is of great interest, and it is gaining acceptance in humans and animals. However, there are still no studies in literature examining hair cortisol concentration in pigs and corticosterone concentration in laboratory rodents. Therefore, we developed and validated, for the first time, a method for measuring hair glucocorticoids concentration in commercial sows and in Sprague-Dawley rats. Our preliminary data demonstrated: 1) a validated and specific washing protocol and extraction assay method with a good sensitivity in both species; 2) the effect of the reproductive phase, housing conditions and seasonality on hair cortisol concentration in sows; 3) similar hair corticosterone concentration in male and female rats; 4) elevated hair corticosterone concentration in response to chronic stress manipulations and chronic ACTH administration, demonstrating that hair provides a good direct index of HPA activity over long periods than other indirect parameters, such adrenal or thymus weight. From these results we believe that this new non-invasive tool needs to be applied to better characterize the overall impact in livestock animals and in laboratory rodents of chronic stressful situations that negatively affect animals welfare. Nevertheless, further studies are needed to improve this methodology and maybe to develop animal models for chronic stress of high interest and translational value in human medicine.

Reproduction and artificial restocking of Acipenser naccarii (Bonaparte, 1836). Genetic and physiological characterization through microsatellite markers and radioimmunoassay of sexual steroids

The Adriatic sturgeon, Acipenser naccarii (Bonaparte, 1836), is a highly threatened species due to human activities, particularly overfishing and habitat destruction. Its peculiar ecology and biology (restricted areal and anadromy) makes this species particularly vulnerable. In March 2010 the IUCN has identified the Adriatic sturgeon as a critically endangered species according to the Red List of Threatened Species. Due to its rapid decline, starting from the 80s, at present there is no evidence of natural reproduction in wild environment, which makes the Adriatic sturgeon dependenton captive breeding programs that need to be improved in order to be effective for the survival of the species. For this purpose this study aims to characterize artificial restocking population of Adriatic sturgeon, with both genetic and physiological analysis in order to establish an efficient restocking program for future reproductions. The research is structured on two levels: First genetically, by analyzing 9 microsatellite loci. This gives information relatively about parent allocation and kinship between individuals that were sampled for this study. Hence to predict which reproduction events are the most optimal in terms of incrementing genetic diversity, by the estimation of multilocus pairwise band sharing coefficients. Second step, physiological analysis: testosterone (T) concentration levels in each individual were measured for sexing, without sacrificing the lives of the animals with the use of an invasive examination of the gonads. The combination of interdisciplinary analysis is important to obtain an overall picture in order to indicate the main broodstock participating in reproduction events and future optimal potential participants, in order to ensure a valid management for restocking program and their monitoring.

Effects of prolonged endotoxemia on liver, skeletal muscle and kidney mitochondrial function

INTRODUCTION: Sepsis may impair mitochondrial utilization of oxygen. Since hepatic dysfunction is a hallmark of sepsis, we hypothesized that the liver is more susceptible to mitochondrial dysfunction than the peripheral tissues, such as the skeletal muscle. We studied the effect of prolonged endotoxin infusion on liver, muscle and kidney mitochondrial respiration and on hepatosplanchnic oxygen transport and microcirculation in pigs. METHODS: 20 anesthetized pigs were randomized to receive endotoxin or saline infusion for 24 hours. Muscle, liver and kidney mitochondrial respiration was assessed. Cardiac output (thermodilution), carotid, superior mesenteric and kidney arterial, portal venous (ultrasound Doppler) and microcirculatory blood flow (laser Doppler) were measured, and systemic and regional oxygen transport and lactate exchange were calculated. RESULTS: Endotoxin infusion induced hyperdynamic shock and impaired the glutamate- and succinate-dependent mitochondrial respiratory control ratio (RCR) in the liver (glutamate: endotoxemia: median [range] 2.8 [2.3-3.8] vs. controls: 5.3 [3.8-7.0]; p<0.001; succinate: endotoxemia: 2.9 [1.9-4.3] vs. controls: 3.9 [2.6-6.3] p=0.003). While the ADP:O ratio was reduced with both substrates, maximal ATP production was impaired only in the succinate-dependent respiration. Hepatic oxygen consumption and extraction, and liver surface laser Doppler blood flow remained unchanged. Glutamate-dependent respiration in the muscle and kidney was unaffected. CONCLUSIONS: Endotoxemia reduces the efficiency of hepatic but neither skeletal muscle nor kidney mitochondrial respiration, independent of regional and microcirculatory blood flow changes.

Invasive sphenoidal aspergillosis: successful treatment with sphenoidotomy and voriconazole

Treatment of invasive sphenoidal aspergillosis is surgical, followed by antifungal therapy, mostly amphotericin B. To optimize the adjuvant antifungal treatment, which is often limited by severe side effects, the new triazole antifungal agent voriconazole with broad coverage of fungal pathogens including Aspergillus was investigated in a study of 4 patients with clinical, radiological and histological signs of invasive sphenoidal aspergillosis. They first underwent endoscopic sphenoidotomy with drainage and extraction of the fungal mass. Postoperatively, 2 patients were immediately treated with voriconazole. Two patients initially received amphotericin B; but this treatment had to be stopped because of acute renal toxicity. Finally, all patients were treated orally with 200 mg voriconazole twice a day for 12-14 weeks. After this combined treatment all patients were asymptomatic and there were no endoscopic or radiological signs of residual fungal disease. The only side effects were nausea in one and transient visual disturbances in 2 other patients. In the 4 patients presented and treated, voriconazole was shown to be effective and less toxic than amphotericin B in adjuvant treatment of invasive sphenoidal aspergillosis. Copyright (c) 2007 S. Karger AG, Basel.

Re-evaluating adjuvant breast cancer trials: assessing hormone receptor status by immunohistochemical versus extraction assays

BACKGROUND: Tumor levels of steroid hormone receptors, a factor used to select adjuvant treatment for early-stage breast cancer, are currently determined with immunohistochemical assays. These assays have a discordance of 10%-30% with previously used extraction assays. We assessed the concordance and predictive value of hormone receptor status as determined by immunohistochemical and extraction assays on specimens from International Breast Cancer Study Group Trials VIII and IX. These trials predominantly used extraction assays and compared adjuvant chemoendocrine therapy with endocrine therapy alone among pre- and postmenopausal patients with lymph node-negative breast cancer. Trial conclusions were that combination therapy provided a benefit to pre- and postmenopausal patients with estrogen receptor (ER)-negative tumors but not to ER-positive postmenopausal patients. ER-positive premenopausal patients required further study. METHODS: Tumor specimens from 571 premenopausal and 976 postmenopausal patients on which extraction assays had determined ER and progesterone receptor (PgR) levels before randomization from October 1, 1988, through October 1, 1999, were re-evaluated with an immunohistochemical assay in a central pathology laboratory. The endpoint was disease-free survival. Hazard ratios of recurrence or death for treatment comparisons were estimated with Cox proportional hazards regression models, and discriminatory ability was evaluated with the c index. All statistical tests were two-sided. RESULTS: Concordance of hormone receptor status determined by both assays ranged from 74% (kappa = 0.48) for PgR among postmenopausal patients to 88% (kappa = 0.66) for ER in postmenopausal patients. Hazard ratio estimates were similar for the association between disease-free survival and ER status (among all patients) or PgR status (among postmenopausal patients) as determined by the two methods. However, among premenopausal patients treated with endocrine therapy alone, the discriminatory ability of PgR status as determined by immunohistochemical assay was statistically significantly better (c index = 0.60 versus 0.51; P = .003) than that determined by extraction assay, and so immunohistochemically determined PgR status could predict disease-free survival. CONCLUSIONS: Trial conclusions in which ER status (for all patients) or PgR status (for postmenopausal patients) was determined by immunohistochemical assay supported those determined by extraction assays. However, among premenopausal patients, trial conclusions drawn from PgR status differed--immunohistochemically determined PgR status could predict response to endocrine therapy, unlike that determined by the extraction assay.

Meta-analysis: chondroitin for osteoarthritis of the knee or hip

BACKGROUND: Previous meta-analyses described moderate to large benefits of chondroitin in patients with osteoarthritis. However, recent large-scale trials did not find evidence of an effect. PURPOSE: To determine the effects of chondroitin on pain in patients with osteoarthritis. DATA SOURCES: The authors searched the Cochrane Central Register of Controlled Trials (1970 to 2006), MEDLINE (1966 to 2006), EMBASE (1980 to 2006), CINAHL (1970 to 2006), and conference proceedings; checked reference lists; and contacted authors. The last update of searches was performed on 30 November 2006. STUDY SELECTION: Studies were included if they were randomized or quasi-randomized, controlled trials that compared chondroitin with placebo or with no treatment in patients with osteoarthritis of the knee or hip. There were no language restrictions. DATA EXTRACTION: The authors extracted data in duplicate. Effect sizes were calculated from the differences in means of pain-related outcomes between treatment and control groups at the end of the trial, divided by the pooled SD. Trials were combined by using random-effects meta-analysis. DATA SYNTHESIS: 20 trials (3846 patients) contributed to the meta-analysis, which revealed a high degree of heterogeneity among the trials (I2 = 92%). Small trials, trials with unclear concealment of allocation, and trials that were not analyzed according to the intention-to-treat principle showed larger effects in favor of chondroitin than did the remaining trials. When the authors restricted the analysis to the 3 trials with large sample sizes and an intention-to-treat analysis, 40% of patients were included. This resulted in an effect size of -0.03 (95% CI, -0.13 to 0.07; I2 = 0%) and corresponded to a difference of 0.6 mm on a 10-cm visual analogue scale. A meta-analysis of 12 trials showed a pooled relative risk of 0.99 (CI, 0.76 to 1.31) for any adverse event. LIMITATIONS: For 9 trials, the authors had to use approximations to calculate effect sizes. Trial quality was generally low, heterogeneity among the trials made initial interpretation of results difficult, and exploring sources of heterogeneity in meta-regression and stratified analyses may be unreliable. CONCLUSIONS: Large-scale, methodologically sound trials indicate that the symptomatic benefit of chondroitin is minimal or nonexistent. Use of chondroitin in routine clinical practice should therefore be discouraged.

Automatic extraction of femur contours from calibrated fluoroscopic images

Automatic identification and extraction of bone contours from X-ray images is an essential first step task for further medical image analysis. In this paper we propose a 3D statistical model based framework for the proximal femur contour extraction from calibrated X-ray images. The automatic initialization is solved by an estimation of Bayesian network algorithm to fit a multiple component geometrical model to the X-ray data. The contour extraction is accomplished by a non-rigid 2D/3D registration between a 3D statistical model and the X-ray images, in which bone contours are extracted by a graphical model based Bayesian inference. Preliminary experiments on clinical data sets verified its validity

Managing server energy and reducing operational cost for online service providers

The past decade has seen the energy consumption in servers and Internet Data Centers (IDCs) skyrocket. A recent survey estimated that the worldwide spending on servers and cooling have risen to above $30 billion and is likely to exceed spending on the new server hardware . The rapid rise in energy consumption has posted a serious threat to both energy resources and the environment, which makes green computing not only worthwhile but also necessary. This dissertation intends to tackle the challenges of both reducing the energy consumption of server systems and by reducing the cost for Online Service Providers (OSPs). Two distinct subsystems account for most of IDC’s power: the server system, which accounts for 56% of the total power consumption of an IDC, and the cooling and humidifcation systems, which accounts for about 30% of the total power consumption. The server system dominates the energy consumption of an IDC, and its power draw can vary drastically with data center utilization. In this dissertation, we propose three models to achieve energy effciency in web server clusters: an energy proportional model, an optimal server allocation and frequency adjustment strategy, and a constrained Markov model. The proposed models have combined Dynamic Voltage/Frequency Scaling (DV/FS) and Vary-On, Vary-off (VOVF) mechanisms that work together for more energy savings. Meanwhile, corresponding strategies are proposed to deal with the transition overheads. We further extend server energy management to the IDC’s costs management, helping the OSPs to conserve, manage their own electricity cost, and lower the carbon emissions. We have developed an optimal energy-aware load dispatching strategy that periodically maps more requests to the locations with lower electricity prices. A carbon emission limit is placed, and the volatility of the carbon offset market is also considered. Two energy effcient strategies are applied to the server system and the cooling system respectively. With the rapid development of cloud services, we also carry out research to reduce the server energy in cloud computing environments. In this work, we propose a new live virtual machine (VM) placement scheme that can effectively map VMs to Physical Machines (PMs) with substantial energy savings in a heterogeneous server cluster. A VM/PM mapping probability matrix is constructed, in which each VM request is assigned with a probability running on PMs. The VM/PM mapping probability matrix takes into account resource limitations, VM operation overheads, server reliability as well as energy effciency. The evolution of Internet Data Centers and the increasing demands of web services raise great challenges to improve the energy effciency of IDCs. We also express several potential areas for future research in each chapter.

Estimating greenhouse gas emissions of highway construction and rehabilitation to support pavement life cycle assessment

Highway infrastructure plays a significant role in society. The building and upkeep of America’s highways provide society the necessary means of transportation for goods and services needed to develop as a nation. However, as a result of economic and social development, vast amounts of greenhouse gas emissions (GHG) are emitted into the atmosphere contributing to global climate change. In recognizing this, future policies may mandate the monitoring of GHG emissions from public agencies and private industries in order to reduce the effects of global climate change. To effectively reduce these emissions, there must be methods that agencies can use to quantify the GHG emissions associated with constructing and maintaining the nation’s highway infrastructure. Current methods for assessing the impacts of highway infrastructure include methodologies that look at the economic impacts (costs) of constructing and maintaining highway infrastructure over its life cycle. This is known as Life Cycle Cost Analysis (LCCA). With the recognition of global climate change, transportation agencies and contractors are also investigating the environmental impacts that are associated with highway infrastructure construction and rehabilitation. A common tool in doing so is the use of Life Cycle Assessment (LCA). Traditionally, LCA is used to assess the environmental impacts of products or processes. LCA is an emerging concept in highway infrastructure assessment and is now being implemented and applied to transportation systems. This research focuses on life cycle GHG emissions associated with the construction and rehabilitation of highway infrastructure using a LCA approach. Life cycle phases of the highway section include; the material acquisition and extraction, construction and rehabilitation, and service phases. Departing from traditional approaches that tend to use LCA as a way to compare alternative pavement materials or designs based on estimated inventories, this research proposes a shift to a context sensitive process-based approach that uses actual observed construction and performance data to calculate greenhouse gas emissions associated with highway construction and rehabilitation. The goal is to support strategies that reduce long-term environmental impacts. Ultimately, this thesis outlines techniques that can be used to assess GHG emissions associated with construction and rehabilitation operations to support the overall pavement LCA.

Mean age of carbon in fine roots from temperate forests and grasslands with different management

Fine roots are the most dynamic portion of a plant's root system and a major source of soil organic matter. By altering plant species diversity and composition, soil conditions and nutrient availability, and consequently belowground allocation and dynamics of root carbon (C) inputs, land-use and management changes may influence organic C storage in terrestrial ecosystems. In three German regions, we measured fine root radiocarbon (14C) content to estimate the mean time since C in root tissues was fixed from the atmosphere in 54 grassland and forest plots with different management and soil conditions. Although root biomass was on average greater in grasslands 5.1 ± 0.8 g (mean ± SE, n = 27) than in forests 3.1 ± 0.5 g (n = 27) (p < 0.05), the mean age of C in fine roots in forests averaged 11.3 ± 1.8 yr and was older and more variable compared to grasslands 1.7 ± 0.4 yr (p < 0.001). We further found that management affects the mean age of fine root C in temperate grasslands mediated by changes in plant species diversity and composition. Fine root mean C age is positively correlated with plant diversity (r = 0.65) and with the number of perennial species (r = 0.77). Fine root mean C age in grasslands was also affected by study region with averages of 0.7 ± 0.1 yr (n = 9) on mostly organic soils in northern Germany and of 1.8 ± 0.3 yr (n = 9) and 2.6 ± 0.3 (n = 9) in central and southern Germany (p < 0.05). This was probably due to differences in soil nutrient contents and soil moisture conditions between study regions, which affected plant species diversity and the presence of perennial species. Our results indicate more long-lived roots or internal redistribution of C in perennial species and suggest linkages between fine root C age and management in grasslands. These findings improve our ability to predict and model belowground C fluxes across broader spatial scales.

Expression, purification, and projection structure by single particle electron microscopy of functional human TRPM4 heterologously expressed in Xenopus laevis oocytes

Despite efforts implicating the cationic channel transient receptor potential melastatin member 4 (TRPM4) to cardiac, nervous, and immunological pathologies, little is known about its structure and function. In this study, we optimized the requirements for purification and extraction of functional human TRPM4 protein and investigated its supra-molecular assembly. We selected the Xenopus laevis oocyte expression system because it lacks endogenous TRPM4 expression, it is known to overexpress functional human membrane channels, can be used for structure-function analysis within the same system, and is easily scaled to improve yield and develop moderate throughput capabilities through the use of robotics. Negative-stain electron microscopy (EM) revealed various sized low-resolution particles. Single particle analysis identified the majority of the projections represented the monomeric form with additional oligomeric structures potentially characterized as tetramers. Two-electrode voltage clamp electrophysiology demonstrated that human TRPM4 is functionally expressed at the oocyte plasma membrane. This study opens the door for medium-throughput screening and structure-function determination of this important therapeutically relevant target.

Jatropha mahafalensis oil from Madagascar: properties and suitability as liquid biofuel

Access to affordable and renewable sources of energy is crucial to reducing poverty and enhancing rural development in countries of the global South. Straight vegetable oil was recently identified as a possible alternative to conventional biomass for rural energy supply. In this context, the Jatropha curcas Linn. species has been extensively investigated with regard to its potential as a biofuel feedstock. In contrast, only little is known about Jatropha mahafalensis Jum. & H. Perrier, which is an indigenous and endemic representative of the Jatropha genus in Madagascar. This paper explores the potential and suitability of J. mahafalensis as a biofuel feedstock. Seed samples were collected in the area of Soalara in south-western Madagascar in February and September 2011. Two agro-ecological zones (coastal area and calcareous plateau) and two plant age groups (below and above 10 years) were considered. These four sample groups were analyzed with regard to oil properties, element contents, and fatty acid profiles. Measured values differed greatly between the two harvests, probably owing to different climatic or storage conditions. No direct relation between age of trees or location and oil quality could be established. The analyses indicate that J. mahafalensis oil can be used in oil lamps, cooking stoves and stationary combustion engines for electrification or for biodiesel production. However, modifications in storage and extraction methods, as well as further processing steps are necessary to enable its utilization as a straight vegetable oil and feedstock for biodiesel production. If these technical requirements can be met, and if it turns out that J. mahafalensis oil is economically competitive in comparison with firewood, charcoal, paraffin and petroleum, it can be considered as a promising feedstock for rural energy supply.

Solute transport in crystalline rocks at Äspö — I: Geological basis and model calibration

Water-conducting faults and fractures were studied in the granite-hosted A¨ spo¨ Hard Rock Laboratory (SE Sweden). On a scale of decametres and larger, steeply dipping faults dominate and contain a variety of different fault rocks (mylonites, cataclasites, fault gouges). On a smaller scale, somewhat less regular fracture patterns were found. Conceptual models of the fault and fracture geometries and of the properties of rock types adjacent to fractures were derived and used as input for the modelling of in situ dipole tracer tests that were conducted in the framework of the Tracer Retention Understanding Experiment (TRUE-1) on a scale of metres. After the identification of all relevant transport and retardation processes, blind predictions of the breakthroughs of conservative to moderately sorbing tracers were calculated and then compared with the experimental data. This paper provides the geological basis and model calibration, while the predictive and inverse modelling work is the topic of the companion paper [J. Contam. Hydrol. 61 (2003) 175]. The TRUE-1 experimental volume is highly fractured and contains the same types of fault rocks and alterations as on the decametric scale. The experimental flow field was modelled on the basis of a 2D-streamtube formalism with an underlying homogeneous and isotropic transmissivity field. Tracer transport was modelled using the dual porosity medium approach, which is linked to the flow model by the flow porosity. Given the substantial pumping rates in the extraction borehole, the transport domain has a maximum width of a few centimetres only. It is concluded that both the uncertainty with regard to the length of individual fractures and the detailed geometry of the network along the flowpath between injection and extraction boreholes are not critical because flow is largely one-dimensional, whether through a single fracture or a network. Process identification and model calibration were based on a single uranine breakthrough (test PDT3), which clearly showed that matrix diffusion had to be included in the model even over the short experimental time scales, evidenced by a characteristic shape of the trailing edge of the breakthrough curve. Using the geological information and therefore considering limited matrix diffusion into a thin fault gouge horizon resulted in a good fit to the experiment. On the other hand, fresh granite was found not to interact noticeably with the tracers over the time scales of the experiments. While fracture-filling gouge materials are very efficient in retarding tracers over short periods of time (hours–days), their volume is very small and, with time progressing, retardation will be dominated by altered wall rock and, finally, by fresh granite. In such rocks, both porosity (and therefore the effective diffusion coefficient) and sorption Kds are more than one order of magnitude smaller compared to fault gouge, thus indicating that long-term retardation is expected to occur but to be less pronounced.

I shouldn't have to do this: Illegitimate tasks as a stressor in relation to organizational control and resource deficits

The performance of tasks that are perceived as unnecessary or unreasonable, illegitimate tasks, represents a new stressor concept that refers to assignments that violate the norms associated with the role requirements of professional work. Research has shown that illegitimate tasks are associated with stress and counterproductive work behaviour. The purpose of this study was to provide insight into the contribution of characteristics of the organization on the prevalence of illegitimate tasks in the work of frontline and middle managers. Using the Bern Illegitimate Task Scale (BITS) in a sample of 440 local government operations managers in 28 different organizations in Sweden, this study supports the theoretical assumptions that illegitimate tasks are positively related to stress and negatively related to satisfaction with work performance. Results further show that 10% of the variance in illegitimate tasks can be attributed to the organization where the managers work. Multilevel referential analysis showed that the more the organization was characterized by competition for resources between units, unfair and arbitrary resource allocation and obscure decisional structure, the more illegitimate tasks managers reported. These results should be valuable for strategic-level management since they indicate that illegitimate tasks can be counteracted by means of the organization of work.