Portfolio choice beyond the traditional approach

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always made explicit in terms of investor s wealth, information, and horizon: The investor makes a single portfolio choice based only on the mean and variance of her final financial wealth and she knows the relevant parameters in that computation. First, the paper describes traditional portfolio choice based on four basic assumptions, while the rest of the sections extend those assumptions. Each section will describe the corresponding equilibrium implications in terms of portfolio advice and asset pricing.

Validation of a clinical algorithm to identify low-risk patients with pulmonary embolism.

Summary Background: We previously derived a clinical prognostic algorithm to identify patients with pulmonary embolism (PE) who are at low-risk of short-term mortality who could be safely discharged early or treated entirely in an outpatient setting. Objectives: To externally validate the clinical prognostic algorithm in an independent patient sample. Methods: We validated the algorithm in 983 consecutive patients prospectively diagnosed with PE at an emergency department of a university hospital. Patients with none of the algorithm's 10 prognostic variables (age >/= 70 years, cancer, heart failure, chronic lung disease, chronic renal disease, cerebrovascular disease, pulse >/= 110/min., systolic blood pressure < 100 mm Hg, oxygen saturation < 90%, and altered mental status) at baseline were defined as low-risk. We compared 30-day overall mortality among low-risk patients based on the algorithm between the validation and the original derivation sample. We also assessed the rate of PE-related and bleeding-related mortality among low-risk patients. Results: Overall, the algorithm classified 16.3% of patients with PE as low-risk. Mortality at 30 days was 1.9% among low-risk patients and did not differ between the validation and the original derivation sample. Among low-risk patients, only 0.6% died from definite or possible PE, and 0% died from bleeding. Conclusions: This study validates an easy-to-use, clinical prognostic algorithm for PE that accurately identifies patients with PE who are at low-risk of short-term mortality. Low-risk patients based on our algorithm are potential candidates for less costly outpatient treatment.

Duration-frequency relationships of heavy rainfall in Santa Catarina, Brazil

The purpose of this study was to adjust equations that establish relationships between rainfall events with different duration and data from weather stations in the state of Santa Catarina, Brazil. In this study, the relationships between different duration heavy rainfalls from 13 weather stations of Santa Catarina were analyzed. From series of maximum annual rainfalls, and using the Gumbel-Chow distribution, the maximum rainfall for durations between 5 min and 24 h were estimated considering return periods from 2 to 100 years. The data fit to the Gumbel-Chow model was verified by the Kolmogorov-Smirnov test at 5 % significance. The coefficients of Bell's equation were adjusted to estimate the relationship between rainfall duration t (min) and the return period T (y) in relation to the maximum rainfall with a duration of 1 hour and a 10 year return period. Likewise, the coefficients of Bell's equation were adjusted based on the maximum rainfall with a duration of 1 day and a 10 year return period. The results showed that these relationships are viable to estimate short-duration rainfall events at locations where there are no rainfall records.

Validation and clinical utility of a 70-gene prognostic signature for women with node-negative breast cancer.

BACKGROUND: A 70-gene signature was previously shown to have prognostic value in patients with node-negative breast cancer. Our goal was to validate the signature in an independent group of patients. METHODS: Patients (n = 307, with 137 events after a median follow-up of 13.6 years) from five European centers were divided into high- and low-risk groups based on the gene signature classification and on clinical risk classifications. Patients were assigned to the gene signature low-risk group if their 5-year distant metastasis-free survival probability as estimated by the gene signature was greater than 90%. Patients were assigned to the clinicopathologic low-risk group if their 10-year survival probability, as estimated by Adjuvant! software, was greater than 88% (for estrogen receptor [ER]-positive patients) or 92% (for ER-negative patients). Hazard ratios (HRs) were estimated to compare time to distant metastases, disease-free survival, and overall survival in high- versus low-risk groups. RESULTS: The 70-gene signature outperformed the clinicopathologic risk assessment in predicting all endpoints. For time to distant metastases, the gene signature yielded HR = 2.32 (95% confidence interval [CI] = 1.35 to 4.00) without adjustment for clinical risk and hazard ratios ranging from 2.13 to 2.15 after adjustment for various estimates of clinical risk; clinicopathologic risk using Adjuvant! software yielded an unadjusted HR = 1.68 (95% CI = 0.92 to 3.07). For overall survival, the gene signature yielded an unadjusted HR = 2.79 (95% CI = 1.60 to 4.87) and adjusted hazard ratios ranging from 2.63 to 2.89; clinicopathologic risk yielded an unadjusted HR = 1.67 (95% CI = 0.93 to 2.98). For patients in the gene signature high-risk group, 10-year overall survival was 0.69 for patients in both the low- and high-clinical risk groups; for patients in the gene signature low-risk group, the 10-year survival rates were 0.88 and 0.89, respectively. CONCLUSIONS: The 70-gene signature adds independent prognostic information to clinicopathologic risk assessment for patients with early breast cancer.

Alcohol drinking, the metabolic syndrome and diabetes in a population with high mean alcohol consumption.

AIMS: To investigate the relationship of alcohol consumption with the metabolic syndrome and diabetes in a population-based study with high mean alcohol consumption. Few data exist on these conditions in high-risk drinkers. METHODS: In 6172 adults aged 35-75 years, alcohol consumption was categorized as 0, 1-6, 7-13, 14-20, 21-27, 28-34 and ≥ 35 drinks/week or as non-drinkers (0), low-risk (1-13), medium-to-high-risk (14-34) and very-high-risk (≥ 35) drinkers. Alcohol consumption was objectively confirmed by biochemical tests. In multivariate analysis, we assessed the relationship of alcohol consumption with adjusted prevalence of the metabolic syndrome, diabetes and insulin resistance, determined with the homeostasis model assessment of insulin resistance (HOMA-IR). RESULTS: Seventy-three per cent of participants consumed alcohol, 16% were medium-to-high-risk drinkers and 2% very-high-risk drinkers. In multivariate analysis, the prevalence of the metabolic syndrome, diabetes and mean HOMA-IR decreased with low-risk drinking and increased with high-risk drinking. Adjusted prevalence of the metabolic syndrome was 24% in non-drinkers, 19% in low-risk (P<0.001 vs. non-drinkers), 20% in medium-to-high-risk and 29% in very-high-risk drinkers (P=0.005 vs. low-risk). Adjusted prevalence of diabetes was 6.0% in non-drinkers, 3.6% in low-risk (P<0.001 vs. non-drinkers), 3.8% in medium-to-high-risk and 6.7% in very-high-risk drinkers (P=0.046 vs. low-risk). Adjusted HOMA-IR was 2.47 in non-drinkers, 2.14 in low-risk (P<0.001 vs. non-drinkers), 2.27 in medium-to-high-risk and 2.53 in very-high-risk drinkers (P=0.04 vs. low-risk). These relationships did not differ according to beverage types. CONCLUSIONS: Alcohol has a U-shaped relationship with the metabolic syndrome, diabetes and HOMA-IR, without differences between beverage types.

Secondary Cancer Risk for Stage I Seminoma Patients - a Comparison of Adjuvant Treatment Versus Surveillance

Background: Post-surgical management of stage I seminoma includes: surveillance with repeated CT-scans and treatment reserved for those who relapse, or adjuvant treatment with either immediate radiation therapy (RT) or carboplatin. The cancer specific survival is close to 100%. Cure without long-term sequelae of treatment is the aim. Our goal is to estimate the risk of radiation-induced secondary cancers (SC) death from for patients undergoing S, adjuvant RT or adjuvant carboplatin (AC).Materials and Methods: We measured organ doses from CT scans (3 phases each one) of a seminoma patient who was part of the active surveillance strategy and from a man undergoing adjuvant RT 20-Gy and a 30-Gy salvage RT treatment to the para-aortic area using helical Intensity Modulated RT (Tomotherapy®) with accurate delineation of organs at risk and a CTV to PTV expansion of 1 cm. Effective doses to organs in mSv were estimated according to the tissue-weighting factors recommendations of the International Commission on Radiological Protection 103 (Ann ICRP 2007). We estimated SC incidence and mortality for a 10,000 people population based on the excess absolute risk model from the Biological Effects of Ionizing Radiation (BEIR) VII (Health Risk of Exposure to Low Levels of Ionizing Radiation, NCR, The National Academies Press Washington, DC, 2006) assuming a seminoma diagnosis at age 30, a total life expectancy of 80 years.Results: The nominal risk for a fatal secondary cancers was calculated 1.5% for 15 abdominal CT scans, 14.8% for adjuvant RT (20 Gy paraaortic field) and 22.2% for salvage RT (30 Gy). The calculation assumed that the risk of relapse on surveillance and adjuvant AC was 15% and 4% respectively and that all patients were salvaged at relapse with RT. n CT abdomen/Pelvis = secondary cancer % RT Dose and % receiving treatment = secondary cancer % Total secondary cancer risk in % Active surveillance 15 = 1.5% 30 Gy in 15% of pts = 3.3% 4.8 Adjuvant carboplatin 7 = 0.7% 30 Gy in 4% of pts = 0.88% 1.58 Adjuvant radiotherapy 7 = 0.7% 20 Gy in 100% of pts = 14.8% 15.5Conclusions: These data suggest that: 1) Adjuvant radiotherapy is harmful and should not anymore be regarded as a standard option for seminoma stage I. 2) AC seems to be an option to reduce radiation induced cancers. Limitations: the study does not consider secondary cancers due to chemotherapy with AC (unknown). The use of BEIR VII for risk modeling with higher doses of RT needs to be validated.

Are patients at nutritional risk more prone to complications after major urological surgery?

PURPOSE: The nutritional risk score is a recommended screening tool for malnutrition. While a nutritional risk score of 3 or greater predicts adverse outcomes after digestive surgery, to our knowledge its predictive value for morbidity after urological interventions is unknown. We determined whether urological patients at nutritional risk are at higher risk for complications after major surgery than patients not at nutritional risk. MATERIALS AND METHODS: We performed a prospective observational study in consecutive patients undergoing major surgery. A priori sample calculation resulted in a study cohort of 220 patients. Interim analysis was planned after 110 patients. The nutritional risk score was assessed preoperatively by a specialized study nurse. Nutritional care was standardized in all patients. Postoperative complications were defined previously using the standardized Dindo-Clavien classification. The primary end point was 30-day morbidity. Univariate and multivariate analysis was performed to identify predictors of complications. RESULTS: The study was discontinued due to significant results after interim analysis. A total of 125 patients were included in analysis from June 2011 to June 2012 and 15 were excluded because of incomplete data. Of 51 patients at nutritional risk 38 (74%) presented with at least 1 complication compared to 28 of 59 controls (47%). Patients at nutritional risk were at threefold risk for complications on univariate and multivariate analysis (OR 3.3, 95% CI 1.3-8.0). Cystectomy was the only other predictor of morbidity (OR 10, 95% CI 2-48). CONCLUSIONS: Patients at nutritional risk are more prone to complications after major urological procedures. Whether this increased morbidity can be reversed by perioperative nutritional support should be studied.

Surgical safety and hospital volume across a wide range of interventions

OBJECTIVES:: For certain major operations, inpatient mortality risk is lower in high-volume hospitals than those in low-volume hospitals. Extending the analysis to a broader range of interventions and outcomes is necessary before adopting policies based on minimum volume thresholds. METHODS:: Using the United States 2004 Nationwide Inpatient Sample, we assessed the effect of intervention-specific and overall hospital volume on surgical complications, potentially avoidable reoperations, and deaths across 1.4 million interventions in 353 hospitals. Outcome variations across hospitals were analyzed through a 3-level hierarchical logistic regression model (patients, surgical interventions, and hospitals), which took into account interventions on multiple organs, 144 intervention categories, and structural hospital characteristics. Discriminative performance and calibration were good. RESULTS:: Hospitals with more experience in a given intervention had similar reoperation rates but lower mortality and complication rates: odds ratio per volume deciles 0.93 and 0.97. However, the benefit was limited to heart surgery and a small number of other operations. Risks were higher for hospitals that performed more interventions overall: odds ratio per 1000 for each event was approximately 1.02. Even after adjustment for specific volume, mortality varied substantially across both high- and low-volume hospitals. CONCLUSION:: Although the link between specific volume and certain inpatient outcomes suggests that specialization might help improve surgical safety, the variable magnitude of this link and the heterogeneity of hospital effect do not support the systematic use of volume-based referrals. It may be more efficient to monitor risk-adjusted postoperative outcomes and to investigate facilities with worse than expected outcomes.

Body mass index and risk of head and neck cancer in a pooled analysis of case-control studies in the International Head and Neck Cancer Epidemiology (INHANCE) Consortium.

BACKGROUND: Head and neck cancer (HNC) risk is elevated among lean people and reduced among overweight or obese people in some studies; however, it is unknown whether these associations differ for certain subgroups or are influenced by residual confounding from the effects of alcohol and tobacco use or by other sources of biases. METHODS: We pooled data from 17 case-control studies including 12 716 cases and the 17 438 controls. Odds ratios (ORs) and 95% confidence intervals (CIs) were estimated for associations between body mass index (BMI) at different ages and HNC risk, adjusted for age, sex, centre, race, education, tobacco smoking and alcohol consumption. RESULTS: Adjusted ORs (95% CIs) were elevated for people with BMI at reference (date of diagnosis for cases and date of selection for controls) 25.0-30.0 kg/m(2) (0.52, 0.44-0.60) and BMI >/=30 kg/m(2) (0.43, 0.33-0.57), compared with BMI >18.5-25.0 kg/m(2). These associations did not differ by age, sex, tumour site or control source. Although the increased risk among people with BMI 25 kg/m(2) was present only in smokers and drinkers. CONCLUSIONS: In our large pooled analysis, leanness was associated with increased HNC risk regardless of smoking and drinking status, although reverse causality cannot be excluded. The reduced risk among overweight or obese people may indicate body size is a modifier of the risk associated with smoking and drinking. Further clarification may be provided by analyses of prospective cohort and mechanistic studies.

Population specific and up to date cardiovascular risk charts can be efficiently obtained with record linkage of routine and observational data.

BACKGROUND: Only few countries have cohorts enabling specific and up-to-date cardiovascular disease (CVD) risk estimation. Individual risk assessment based on study samples that differ too much from the target population could jeopardize the benefit of risk charts in general practice. Our aim was to provide up-to-date and valid CVD risk estimation for a Swiss population using a novel record linkage approach. METHODS: Anonymous record linkage was used to follow-up (for mortality, until 2008) 9,853 men and women aged 25-74 years who participated in the Swiss MONICA (MONItoring of trends and determinants in CVD) study of 1983-92. The linkage success was 97.8%, loss to follow-up 1990-2000 was 4.7%. Based on the ESC SCORE methodology (Weibull regression), we used age, sex, blood pressure, smoking, and cholesterol to generate three models. We compared the 1) original SCORE model with a 2) recalibrated and a 3) new model using the Brier score (BS) and cross-validation. RESULTS: Based on the cross-validated BS, the new model (BS = 14107×10(-6)) was somewhat more appropriate for risk estimation than the original (BS = 14190×10(-6)) and the recalibrated (BS = 14172×10(-6)) model. Particularly at younger age, derived absolute risks were consistently lower than those from the original and the recalibrated model which was mainly due to a smaller impact of total cholesterol. CONCLUSION: Using record linkage of observational and routine data is an efficient procedure to obtain valid and up-to-date CVD risk estimates for a specific population.

The Reflections of Strategic Orientation on profitability - A resource-based study in pulp and paper industry

Tutkielman tavoitteena oli analysoida erilaisia strategisia orientaatioita sellu- ja paperiteollisuudessa. Sellu- ja paperiteollisuus on kohtaamassa strategisia haasteita, jotka ulottuvat syvälle sen rakenteisiin. Yritykset ovat valinneet erilaisia lähestymistapoja organisoidessaan tuotantoa ja kansainvälistä arvoketjuaan tässä muuttuvassa ympäristössä. Tutkimukseen valittiin 30 suurinta sellu- ja paperiteollisuudessa toimivaa yritystä ja mahdollisia syitä kannattavuuseroihin yritysten välillä analysoitiin. Yritysten strategista orientaatiota tarkasteltiin vertailemalla muun muassa seuraavia tekijöitä: vertikaalinen integraatioaste, tuotevalikoiman laajuus, tuotantokapasiteetin levinneisyys ja tuotantokapasiteetin ikä. Kannattavuutta mitattiin erilaisilla talouden tunnusluvuilla (liikevoitto, oman pääoman tuotto-%, koko pääoman tuotto-%). Tulosten mukaan yrityksiä voidaan ryhmitellä strategisen orientaation perusteella ja ryhmien välillä on kannattavuuseroja.

The Effect of Family Ownership on Firm Performance: Empirical Evidence from Norway

Tutkimuksen tavoitteena on selvittää, onko perheomistajuus, eli yksityisomistus, kannattavampi omistusmuoto kuin institutionaalinen omistajuus ja, onko yrityksen iällä ja koolla vaikutusta perheyritysten menestymiseen. Aikaisempaan tutkimustietoon tukeutuen, tutkimuksen aluksi käydään myös läpi perheomistajuuteen yleisesti liitettyjä ominaispiirteitä sekä perheyritysten menestymistä verrattuna ei-perheyrityksiin. Empiirinen analyysi perheomistajuuden vaikutuksista yrityksen kannattavuuteen sekä yrityksen iän ja koon vaikutuksista perheyritysten menestymiseen toteutetaan kahden otoksen avulla, jotka koostuvat listaamattomista norjalaisista pienistä ja keskisuurista yrityksistä (pk-yrityksistä). Näin ollen satunnaisotos ja päätoimialaotos, johon listaamattomat pk-yritykset on valittu satunnaisesti Norjan tärkeimmiltä toimialoilta, analysoidaan erikseen. Analyysi toteutetaan käyttäen lineaarista regressioanalyysia. Vaikka satunnaisotoksen perusteella perheyritykset eivät näytä olevan ei-perheyrityksiä kannattavampia, päätoimialaotos osoittaa, että listaamattomissa pk-yrityksissä perhe- eli yksityisomistajuus on merkittävästi institutionaalista omistajuutta kannattavampi omistusmuoto. Eritoten nuoret ja pienet yritykset vastaavat perheyritysten paremmasta kannattavuudesta.

Perusteollisuus muuttuvassa toimintaympäristössä 2000-2030: malli investointitarpeelle

Kyseisen tutkimuksen tavoitteena on tarkastella perusteollisuuden tulevien vuosien investointitarvetta ja siihen vaikuttavia tekijöitä. Tutkimuksessa arvioidaan perusteollisuuden nykytilaa, hahmotellaan kolme vaihtoehtoista kehitysskenaariota ja luodaan malli investointitarpeen määrittämiseksi. Mallin avulla esitetään arviot perusteollisuuden tulevalle investointitarpeelle. Malli kuvaa tutkimusaluetta analyyttisesti ja ottaa eräitä ajankohtaisia ongelmia keskustelun kohteeksi. Laadittu malli osoittaa, että pääoman tuottotavoitteenkorottaminen merkitsee perusteollisuuden investointiasteen alenemista. Jotta julkisuudessa esitetyt tuottotavoitteet olisivat pitkällä aikavälillä realistisia,on perusteollisuuden kyettävä siirtämään pääomia entistä tuottavammille liiketoiminta-alueille. Käytännössä pääomien vapauttaminen merkitsee usein käyttöomaisuuden myyntejä ja yritysjärjestelyjä. Käyttökatetason parantaminen puolestaan edellyttää nykyisten toimintakustannusten merkittävää alentamista tai entistä kannattavampien hankkeiden ja liiketoiminta-alueiden löytämistä. Liikevaihdon kasvumahdollisuudet asettavat käytännössä puitteet tavoitteelliselle investointiasteelle. Perusteollisuuden kansainvälisten suuryritysten kasvunäkymät ovat kotimarkkinayrityksiä paremmat, mikä selittää niiden parempia investointiedellytyksiä.

Sähkökaupan asiakassegmenttien riskikorjattu kannattavuus

Työn tavoitteena oli luoda laskentamalli sähkökaupan asiakassegmenttien riskikorjatun kannattavuuden selvittämiseksi. Lisäksi tavoitteena oli löytää tekijät, jotka aiheuttavat hyvän ja huonon kannattavuuden esiintymisen. Työssä selvitettiin sähkökaupan kustannusten ja riskien taustatekijät. Lisäksi työssä laadittiin menetelmät kustannusten laskemiselle ja kohdistamiselle sekä riskien määrittämiselle. Asiakkaat segmentoitiin kustannuksiin sekä riskeihin vaikuttavien tekijöiden mukaan. Kannattavuuslaskennan perustana käytettiin katetuottoajattelua ja asiakkaan sähkönhankintakustannus määritettiin markkinaehtoisesti siten, että sähkönkäytölle laskettiin tarkasteluhetken markkina-arvo. Kustannusten jakamisessa noudatettiin aiheuttamisperiaatetta ja riskit laskettiin historialliseen simulaatioon perustuen. Laskentamallilla saatujen tulosten perusteella puolet segmenteistä ja 83 % asiakkaista oli kannattavia. Kannattavuuteen vaikuttivat eniten sopimuksen pysyvyys ja hinnoittelutapa sekä erityisesti annetut alennukset ja tuote eli tariffi. Lisäksi havaittiin, että nykyinen asiakastietojärjestelmä ei tue riittävästi asiakaskannattavuuksien selvittämistä uusiutuneilla sähkömarkkinoilla.

Profit at Risk as a Risk Management Tool in Deregulated Energy Markets

Euroopan energiamarkkinat ovat olleet viimeisen kymmenen vuoden aikana suurten muutosten alla. Markkinoiden kehitys on ollut huomattavaa myös Iso-Britanniassa, jossa sähkö- ja kaasumarkkinat ovat olleet avoinna kilpailulle jo muutamia vuosia. Ennen markkinoiden avautumista energiyhtiöt pystyivät siirtämään kaikki riskit suoraan asiakkaan kannettaviksi. Markkinoiden avautumisen myötä lisääntynyt kilpailu on kuitenkin pakottanut energiayhtiöitä ajanmukaistamaan näkemyksiään riskeistä. Riskitekijät, joista ei aiemmin tarvinnut välittää, on nyt pystyttävä tunnistamaan ja hallitsemaan. Tämä työ keskittyy hinta- ja volyymiriskien hallintaan. Rahoitusmarkkinoilla pitkään käytettyjä riskienhallintatyökaluja on otettu käyttöön myös energiamarkkinoilla. Energiamarkkinoiden piirteet poikkeavat kuitenkin rahoitusmarkkinoista, eikä näitä työkaluja voida ottaa käyttöön muutoksitta. Silti, jopa muutosten jälkeen rahoitusmarkkinoiden riskienhallitavälineet aliarvioivat energiamarkkinoiden hinta- ja volyymiriskejä. Tässä yhteydessä työssä esitetään Profit at Risk, PaR. PaR on skenaariopohjainen riskienhallinnan työkalu, joka on kehitetty erityisesti energiamarkkinoille ja täten huomioi niiden erikoispiirteet. Työn rungon muodostavat energiamarkkinoiden käyttäytyminen, hinta- ja volyymiriskitekijät sekä pohdinta miten hinta- ja volyymiriskeiltä voidaan suojautua ja miten niitä voidaan hallita. PaR-metodologiaa verrataan perinteisiin riskienhallintamenetelmiin ja työn tavoitteena on tuoda esiin ne tekijät, joiden ansiosta PaR on sopivampi työkalu energiamarkkinoiden riskienhallintaan kuin perinteiset menetelmät. Käytännön esimerkkinä työssä toimii Fortum Energy plus’n PaR –malli. Koska PaR on kehitetty erityisesti energiamarkkinoille, se huomioi täysin markkinoiden aiheuttamat hinta- ja volyymiriskit. Käytännön esimerkki kuitenkin osoittaa, että PaR menetelmästä ei ole riskienhallinnallista hyötyä ellei työkalun käyttäjällä ole täydellistä tietämystä niin energiamarkkinoista kuin markkinoiden muutoksiin vaikuttavien tekijöiden käyttäytymisestä.