The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach

The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the optimal value function for the infinite horizon stochastic control problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that obtained from a benchmark Markowitz-type dynamic optimization framework to determine which specification adequately reflects the optimal terminal investment returns and strategy under credit and market risks. The paper shows that an investor's optimal terminal return is lower than typically indicated under the traditional mean-variance framework during periods of elevated credit risk. Hence I conclude that, while the traditional dynamic mean-variance approach may indicate the ideal, in the presence of credit-risk it does not accurately reflect the observed optimal returns, terminal wealth and portfolio selection strategies.

Prevalence and risk factors for polyomavirus reactivation in solid-organ transplantation

Background. Polyomavirus reactivation is common in solid-organ transplant recipients who are given immunosuppressive medications as standard treatment of care. Previous studies have shown that polyomavirus infection can lead to allograft failure in as many as 45% of the affected patients. Hypothesis. Ubiquitous polyomaviruses when reactivated by post-transplant immunosuppressive medications may lead to impaired renal function and possibly lower survival prospects. Study Overview. Secondary analysis of data was conducted on a prospective longitudinal study of subjects who were at least 18 years of age and were recipients of liver and/or kidney transplant at Mayo Clinic Scottsdale, Arizona. Methods. DNA extractions of blinded urine and blood specimens of transplant patients collected at Mayo Clinic during routine transplant patient visits were performed at Baylor College of Medicine using Qiagen kits. Virologic assays included testing DNA samples for specific polyomavirus sequences using QPCR technology. De-identified demographic and clinical patient data were merged with laboratory data and statistical analysis was performed using Stata10. Results. 76 patients enrolled in the study were followed for 3.9 years post transplantation. The prevalence of BK virus and JC virus urinary excretion was 30% and 28%. Significant association was observed between JC virus excretion and kidney as the transplanted organ (P = 0.039, Pearson Chi-square test). The median urinary JCV viral loads were two logs higher than those of BKV. Patients that excreted both BKV and JCV appeared to have the worst renal function with a mean creatinine clearance value of 71.6 millimeters per minute. A survival disadvantage was observed for dual shedders of BKV and JCV, log-rank statistics, p = 0.09; 2/5 dual-shedders expired during the study period. Liver transplant and male sex were determined to be potential risk factors for JC virus activation in renal and liver transplant recipients. All patients tested negative for SV40 and no association was observed between polyomavirus excretion and type of immunosuppressive medication (tacrolimus, mycophenolate mofetil, cyclosporine and sirolimus). Conclusions. Polyomavirus reactivation was common after solid-organ transplantation and may be associated with impaired renal function. Male sex and JCV infection may be potential risk factors for viral reactivation; findings should be confirmed in larger studies.^

Determine whether markers of lipid metabolism, inflammation and/or liver function are altered in tuberculosis patients with diabetes

The mechanism for higher susceptibility of diabetes patients to TB is unknown. Chronic hyperglycemia has been shown to be associated with altered immunity to Mycobacterium tuberculosis, and may explain the higher risk of TB among diabetes patients. However, it is possible that other conditions that frequently occur in these patients are also contributing to TB susceptibility. Our goal was to determine whether lipid metabolism, liver function and/or chronic inflammation are altered in tuberculosis (TB) patients with diabetes (DM), compared to non-DM.^ Confirmed TB patients who were 20 years or older (n=159) were selected from a database in the south Texas and northeast Mexico area. Differences between serum values for liver function, lipid metabolism and/or chronic inflammation were compared between TB patients with DM to non-DM.^ We found that CRP was the most frequent alteration, with about 80% having high values suggestive of chronic inflammation. The other frequent abnormalities were high triglycerides in about 40% of the patients and low HDL cholesterol in about 60% of the patients. Otherwise, less than 10% of the TB patients had an abnormal finding for any of the other laboratory tests. The abnormalities were not more frequent among the patients with either DM (versus non-DM) or high HbA1c (versus normal).^ A possible explanation for the high levels or CRP may be that everyone in the study had TB, which in itself causes inflammation and may have masked the increased CRP levels that characterize diabetes patients. There was a mild alteration in lipid metabolism in patients with DM, which is unlikely to explain altered immunity to TB. Otherwise, liver function tests were normal in patients with DM. Therefore the processing of anti-TB medications should be no different between the TB patients with and without diabetes. Our findings, however, do not rule out that other study populations have more remarkable metabolic alterations associated with diabetes. Therefore, it would be interesting to conduct a similar study in patients from different ethnic groups (White, African American, or Native American) in order to see if the same pattern is observed.^

Maximal exercise hemodynamics and risk of mortality in apparently healthy men and women

The use of exercise electrocardiography (ECG) to detect latent coronary heart disease (CHD) is discouraged in apparently healthy populations because of low sensitivity. These recommendations however, are based on the efficacy of evaluation of ischemia (ST segment changes) with little regard for other measures of cardiac function that are available during exertion. The purpose of this investigation was to determine the association of maximal exercise hemodynamic responses with risk of mortality due to all-causes, cardiovascular disease (CVD), and coronary heart disease (CHD) in apparently healthy individuals. Study participants were 20,387 men (mean age = 42.2 years) and 6,234 women (mean age = 41.9 years) patients of a preventive medicine center in Dallas, TX examined between 1971 and 1989. During an average of 8.1 years of follow-up, there were 348 deaths in men and 66 deaths in women. In men, age-adjusted all-cause death rates (per 10,000 person years) across quartiles of maximal systolic blood pressure (SBP) (low to high) were: 18.2, 16.2, 23.8, and 24.6 (p for trend $<$0.001). Corresponding rates for maximal heart rate were: 28.9, 15.9, 18.4, and 15.1 (p trend $<$0.001). After adjustment for confounding variables including age, resting systolic pressure, serum cholesterol and glucose, body mass index, smoking status, physical fitness and family history of CVD, risks (and 95% confidence interval (CI)) of all-cause mortality for quartiles of maximal SBP, relative to the lowest quartile, were: 0.96 (0.70-1.33), 1.36 (1.01-1.85), and 1.37 (0.98-1.92) for quartiles 2-4 respectively. Similar risks for maximal heart rate were: 0.61 (0.44-0.85), 0.69 (0.51-0.93), and 0.60 (0.41-0.87). No associations were noted between maximal exercise rate-pressure product mortality. Similar results were seen for risk of CVD and CHD death. In women, similar trends in age-adjusted all-cause and CVD death rates across maximal SBP and heart rate categories were observed. Sensitivity of the exercise test in predicting mortality was enhanced when ECG results were evaluated together with maximal exercise SBP or heart rate with a concomitant decrease in specificity. Positive predictive values were not improved. The efficacy of the exercise test in predicting mortality in apparently healthy men and women was not enhanced by using maximal exercise hemodynamic responses. These results suggest that an exaggerated systolic blood pressure or an attenuated heart rate response to maximal exercise are risk factors for mortality in apparently healthy individuals. ^

Joint effects of pulmonary function and aerobic power on survival in a cohort of healthy adults

Objective measurements of physical fitness and pulmonary function are related individually to long-term survival, both in healthy people and in those who are ill. These factors are furthermore known to be related to one another physiologically in people with pulmonary disease, because advanced pulmonary disease causes ventilatory limitation to exercise. Healthy people do not have ventilatory limitation to exercise, but rather have ventilatory reserve. The relationship between pulmonary function and exercise performance in healthy people is minimal. Exercise performance has been shown to modify the effect of pulmonary function on mortality in people with chronic obstructive pulmonary disease, but the relationship between these factors in healthy people has not been studied and is not known. The purpose of this study is to quantify the joint effects of pulmonary function and exercise performance as these bear on mortality in a cohort of healthy adults. This investigation is an historical cohort study over 20 years of follow-up of 29,624 adults who had complete preventive medicine, spirometry and treadmill stress examinations at the Cooper Clinic in Dallas, Texas.^ In 20 years of follow-up, there were 738 evaluable deaths. Forced expiratory volume in one second (FEV$\sb1$) percent of predicted, treadmill time in minutes percent of predicted, age, gender, body mass index, baseline smoking status, serum glucose and serum total cholesterol were all significant, independent predictors of mortality risk. There were no frank interactions, although age had an important increasing effect on the risk associated with smoking when other covariates were controlled for in a proportional-hazards model. There was no confounding effect of exercise performance on pulmonary function. In agreement with the pertinent literature on independent effects, each unit increase in FEV$\sb1$ percent predicted was associated with about eight tenths of a percent reduction in adjusted mortality rate. The concept of physiologic reserve is useful in interpretation of the findings. Since pulmonary function does not limit exercise tolerance in healthy adults, it is reasonable to expect that exercise tolerance would not modify the effect of pulmonary function on mortality. Epidemiologic techniques are useful for elucidating physiological correlates of mortality risk. ^

Risk factors for metabolic syndrome among overweight and obese Hispanic children attending a pediatric clinic in New Braunfels, Texas

Childhood obesity is a persistent problem in the U.S., especially among Hispanics. Health complications like hypertension, type II diabetes, and metabolic syndrome (Met-S) are being seen at younger ages, and current screening procedures may be inadequate. This study sought to describe the risk factors for Met-S present in a sample of 106 overweight and obese Hispanic children, aged 5-14 years, participating in Nutrition and Exercise Start Today (NEST), a randomized weight management intervention trial at a rural health clinic in New Braunfels, Texas; and to determine associations between these factors and other clinical and socio-demographic characteristics linked to obesity. Baseline data was analyzed for the prevalence of large waist circumference (WC), elevated blood pressure (BP), high fasting serum glucose and serum triglycerides (TG), and low serum HDL cholesterol, in relationship with selected sample characteristics. Main findings included high baseline prevalence rates of large WC (77%), reduced HDL (57%), and elevated BP (30%). WC was significantly associated with BMI percentile and the serum liver function test alanine aminotransferase (ALT) by Fisher's exact test (p<0.001 and p=0.032, respectively), while there were significant relationships between HDL and both female gender and ALT. BMI percentile and ALT were associated with all sets of Met-S diagnostic criteria examined. BMI percentile also had a strong association (p=0.005) with total number of Met-S risk factors, while ALT had a weaker association (p=0.093). WC is a low-cost, simple measure whose use may improve clinic surveillance for childhood obesity and complications like Met-S. WC, BP, HDL and ALT may be used as part of targeted screening for obesity complications like Met-S, particularly in situations where resources are limited.^

Identification of genetic risk factors for cerebellar mutism in pediatric brain tumor patients

Following posterior fossa surgery for resection of childhood medulloblastoma and primitive neuroectodermal tumor (M/PNET), cerebellar mutism (CM) may develop. This is a condition of absent or diminished speech in a conscious patient with no evidence of oral apraxia, which can be accompanied by other symptoms of the posterior fossa syndrome complex, which includes ataxia and hypotonia. Little is known about the etiology. Therefore, we conducted a SNP, gene, and pathway-level analysis to assess the role of host genetic variation on the risk of CM in M/PNET subjects following treatment. Cases (n= 20) and controls (n= 53) were recruited from the Childhood Cancer Epidemiology and Prevention Center, in Houston, TX. DNA samples were genotyped using the Illumina Human 1M Quad SNP chip. Ten pathways were identified from logistic regression used to identify the marginal effect of each SNP on CM risk. The minP test was conducted to identify associations between SNPs categorized to genes and CM risk. Pathways were assessed to determine if there was a significant enrichment of genes in the pathway compared to all other pathways. There were 78 genes that reached the threshold of min P ≤0.05 in 948 genes. The Neurotoxicity pathway was the most significant pathway after adjusting for multiple comparisons (q=0.040 and q=0.005, using Fisher's exact test and a test of proportions, respectively). Most genes within the Neurotoxicity pathway that reached a threshold of minP ≤0.05 were known to have an apoptosis function, possibly inducing neuronal apoptosis in the dentatothalamocortical pathway, and may be important in CM etiology in this population. This is the first study to assess the potential role of genetic risk factors on CM. As an exploratory study, these results should be replicated in a larger sample. ^

The assumptions and effects of conservative procedures in low -dose risk assessment for setting safety standards

Conservative procedures in low-dose risk assessment are used to set safety standards for known or suspected carcinogens. However, the assumptions upon which the methods are based and the effects of these methods are not well understood.^ To minimize the number of false-negatives and to reduce the cost of bioassays, animals are given very high doses of potential carcinogens. Results must then be extrapolated to much smaller doses to set safety standards for risks such as one per million. There are a number of competing methods that add a conservative safety factor into these calculations.^ A method of quantifying the conservatism of these methods was described and tested on eight procedures used in setting low-dose safety standards. The results using these procedures were compared by computer simulation and by the use of data from a large scale animal study.^ The method consisted of determining a "true safe dose" (tsd) according to an assumed underlying model. If one assumed that Y = the probability of cancer = P(d), a known mathematical function of the dose, then by setting Y to some predetermined acceptable risk, one can solve for d, the model's "true safe dose".^ Simulations were generated, assuming a binomial distribution, for an artificial bioassay. The eight procedures were then used to determine a "virtual safe dose" (vsd) that estimates the tsd, assuming a risk of one per million. A ratio R = ((tsd-vsd)/vsd) was calculated for each "experiment" (simulation). The mean R of 500 simulations and the probability R $<$ 0 was used to measure the over and under conservatism of each procedure.^ The eight procedures included Weil's method, Hoel's method, the Mantel-Byran method, the improved Mantel-Byran, Gross's method, fitting a one-hit model, Crump's procedure, and applying Rai and Van Ryzin's method to a Weibull model.^ None of the procedures performed uniformly well for all types of dose-response curves. When the data were linear, the one-hit model, Hoel's method, or the Gross-Mantel method worked reasonably well. However, when the data were non-linear, these same methods were overly conservative. Crump's procedure and the Weibull model performed better in these situations. ^

Evolution and treatment of vitamin B12 deficiency as a risk factor for (cognitive and functional) neurodegenerative diseases in institutionalized elderly = Evolución y tratamiento de la deficiencia de vitamina B12 como factor de riesgo de enfermedades neurodegenerativas (cognitivas y funcionales) en las personas mayores institucionalizadas.

Prevalence of vitamin B12 deficiency is very common in elderly people and can reach values as high as 40.5% of the population. It can be the result of the interaction among several factors. Vitamin B12 deficiencies have been associated with neurological, cognitive deterioration, haematological abnormalities and cardiovascular diseases that have an important influence on the health of the elderly and their quality of life. It is necessary to approach the problems arisen from the lack of data relative to them. The main objective of this thesis was to analyse the evolution of vitamin B12 status and related parameters, lipid and haematological profiles and their relationship to health risk factors, and to functional and cognitive status over one year and to determine the effect of an oral supplementation of 500 μg of cyanocobalamin for a short period of 28 days. An additional objective was to analyze the possible effects of medicine intakes on vitamin B status. Three studies were performed: a) a one year longitudinal follow-up with four measure points; b) an intervention study providing an oral liquid supplement of 500 μg of cyanocobalamin for a 28 days period; and c) analysis of the possible effect of medication intake on vitamin B status using the ATC classification of medicines. The participants for these studies were recruited from nursing homes for the elderly in the Region of Madrid. Sixty elders (mean age 84 _ 7y, 19 men and 41 women) were recruited for Study I and 64 elders (mean age 82 _ 7y, 24 men and 40 women) for Study II. For Study III, baseline data from the initially recruited participants of the first two studies were used. An informed consent was obtained from all participants or their mentors. The studies were approved by the Ethical Committee of the University of Granada. Blood samples were obtained at each examination date and were analyzed for serum cobalamin, holoTC, serum and RBC folate and total homocysteine according to laboratory standard procedures. The haematological parameters analyzed were haematocrit, haemoglobin and MCV. For the lipid profile TG, total cholesterol, LDL- and HDLcholesterol were analyzed. Anthropometric measures (BMI, skinfolds [triceps and subscapular], waist girth and waist to hip ratio), functional tests (hand grip, arm and leg strength tests, static balance) and MMSE were obtained or administered by trained personal. The vitamin B12 supplement of Study II was administered with breakfast and the medication intake was taken from the residents’ anamnesis. Data were analyzed by parametric and non-parametric statistics depending on the obtained data. Comparisons were done using the appropriate ANOVAs or non-parametric tests. Pearsons’ partial correlations with the variable “time” as control were used to define the association of the analyzed parameters. XIII The results showed that: A) Over one year, in relationship to vitamin B status, serum cobalamin decreased, serum folate and mean corpuscular volumen increased significantly and total homocysteine concentrations were stable. Regarding blood lipid profile, triglycerides increased and HDL-cholesterol decreased significantly. Regarding selected anthropometric measurements, waist circumference increased significantly. No significant changes were observed for the rest of parameters. B) Prevalence of hyperhomocysteinemia was high in the elderly studied, ranging from 60% to 90 % over the year depending on the cut-off used for the classification. LDL-cholesterol values were high, especially among women, and showed a tendency to increase over the year. Results of the balance test showed a deficiency and a tendency to decrease; this indicates that the population studied is at high risk for falls. Lower extremity muscular function was deficient and showed a tendency to decrease. A highly significant relationship was observed between the skinfold of the triceps and blood lipid profile. C) Low cobalamin concentrations correlated significantly with low MMSE scores in the elderly studied. No correlations were observed between vitamin B12 status and functional parameters. D) Regarding vitamin B12 status, holo-transcobalamin seems to be more sensitive for diagnosis; 5-10% of the elderly had a deficiency using serum cobalamin as a criterion, and 45-52% had a deficiency when using serum holotranscobalamin as a criterion. E) 500 μg of cyanocobalamin administered orally during 28 days significantly improved vitamin B12 status and significantly decreased total homocysteine concentrations in institutionalized elderly. No effect of the intervention was observed on functional and cognitive parameters. F) The relative change (%) of improvement of vitamin B12 status was higher when using serum holo-transcobalamin as a criterion than serum cobalamin. G) Antiaenemic drug intake normalized cobalamin, urologic drugs and corticosteroids serum folate, and psychoanaleptics holo-transcobalamin levels. Drugs treating pulmonary obstruction increased total homocysteine concentration significantly. H) The daily mean drug intake was 5.1. Fiftynine percent of the elderly took medication belonging to 5 or more different ATC groups. The most prevalent were psycholeptic (53%), antiacid (53%) and antithrombotic (47%) drugs.

A fuzzy extension of MAGERIT methodology for risk analysis in information systems

We propose a fuzzy approach to deal with risk analysis for information systems. We extend MAGERIT methodology that valuates the asset dependencies to a fuzzy framework adding fuzzy linguistic terms to valuate the different elements (terminal asset values, asset dependencies as well as the probability of threats and the resulting asset degradation) in risk analysis. Computations are based on the trapezoidal fuzzy numbers associated with these linguistic terms and, finally, the results of these operations are translated into a linguistic term by means of a similarity function.

Radar track segmentation with cubic splines for collision risk models in high density terminal areas

This paper presents a method to segment airplane radar tracks in high density terminal areas where the air traffic follows trajectories with several changes in heading, speed and altitude. The radar tracks are modelled with different types of segments, straight lines, cubic spline function and shape preserving cubic function. The longitudinal, lateral and vertical deviations are calculated for terminal manoeuvring area scenarios. The most promising model of the radar tracks resulted from a mixed interpolation using straight lines for linear segments and spline cubic functions for curved segments. A sensitivity analysis is used to optimise the size of the window for the segmentation process.

Analysis of the Optimal Sharing of Construction Risk in Public Procurement Contracts

This paper discusses a model based on the agency theory to analyze the optimal transfer of construction risk in public works contracts. The base assumption is that of a contract between a principal (public authority) and an agent (firm), where the payment mechanism is linear and contains an incentive mechanism to enhance the effort of the agent to reduce construction costs. A theoretical model is proposed starting from a cost function with a random component and assuming that both the public authority and the firm are risk averse. The main outcome of the paper is that the optimal transfer of construction risk will be lower when the variance of errors in cost forecast, the risk aversion of the firm and the marginal cost of public funds are larger, while the optimal transfer of construction risk will grow when the variance of errors in cost monitoring and the risk aversion of the public authority are larger

Binding of high-risk human papillomavirus E6 oncoproteins to the human homologue of the Drosophila discs large tumor suppressor protein

In the majority of cervical cancers, DNAs of high-risk mucosotpropic human papillomaviruses (HPVs), such as type 16, are maintained so as to express two viral proteins, E6 and E7, suggesting an essential importance to carcinogenesis. The high-risk HPV E6 proteins are known to inactivate p53 tumor suppressor protein but appear to have an additional, molecularly unknown function(s). In this study, we demonstrate that these E6 proteins can bind to the second PDZ domain of the human homologue of the Drosophila discs large tumor suppressor protein (hDLG) through their C-terminal XS/TXV/L (where X represents any amino acid, S/T serine or threonine, and V/L valine or leucine) motif. This finding is similar to the interaction between the adenomatous polyposis coli gene product and hDLG. E6 mutants losing the ability to bind to hDLG are no longer able to induce E6-dependent transformation of rodent cells. These results suggest an intriguing possibility that interaction between the E6 protein and hDLG or other PDZ domain-containing proteins could be an underlying mechanism in the development of HPV-associated cancers.

Isoform-specific effects of human apolipoprotein E on brain function revealed in ApoE knockout mice: Increased susceptibility of females

Apolipoprotein E (apoE) mediates the redistribution of lipids among cells and is expressed at highest levels in brain and liver. Human apoE exists in three major isoforms encoded by distinct alleles (ɛ2, ɛ3, and ɛ4). Compared with APOE ɛ2 and ɛ3, APOE ɛ4 increases the risk of cognitive impairments, lowers the age of onset of Alzheimer’s disease (AD), and decreases the response to AD treatments. Besides age, inheritance of the APOE ɛ4 allele is the most important known risk factor for the development of sporadic AD, the most common form of this illness. Although numerous hypotheses have been advanced, it remains unclear how APOE ɛ4 might affect cognition and increase AD risk. To assess the effects of distinct human apoE isoforms on the brain, we have used the neuron-specific enolase (NSE) promoter to express human apoE3 or apoE4 at similar levels in neurons of transgenic mice lacking endogenous mouse apoE. Compared with NSE-apoE3 mice and wild-type controls, NSE-apoE4 mice showed impairments in learning a water maze task and in vertical exploratory behavior that increased with age and were seen primarily in females. These findings demonstrate that human apoE isoforms have differential effects on brain function in vivo and that the susceptibility to apoE4-induced deficits is critically influenced by age and gender. These results could be pertinent to cognitive impairments observed in human APOE ɛ4 carriers. NSE-apoE mice and similar models may facilitate the preclinical assessment of treatments for apoE-related cognitive deficits.

A single nucleotide polymorphism in the RAD51 gene modifies cancer risk in BRCA2 but not BRCA1 carriers

BRCA1 and BRCA2 carriers are at increased risk for both breast and ovarian cancer, but estimates of lifetime risk vary widely, suggesting their penetrance is modified by other genetic and/or environmental factors. The BRCA1 and BRCA2 proteins function in DNA repair in conjunction with RAD51. A preliminary report suggested that a single nucleotide polymorphism in the 5′ untranslated region of RAD51 (135C/G) increases breast cancer risk in BRCA1 and BRCA2 carriers. To investigate this effect we studied 257 female Ashkenazi Jewish carriers of one of the common BRCA1 (185delAG, 5382insC) or BRCA2 (6174delT) mutations. Of this group, 164 were affected with breast and/or ovarian cancer and 93 were unaffected. RAD51 genotyping was performed on all subjects. Among BRCA1 carriers, RAD51-135C frequency was similar in healthy and affected women [6.1% (3 of 49) and 9.9% (12 of 121), respectively], and RAD-135C did not influence age of cancer diagnosis [Hazard ratio (HR) = 1.18 for disease in RAD51-135C heterozygotes, not significant]. However, in BRCA2 carriers, RAD51-135C heterozygote frequency in affected women was 17.4% (8 of 46) compared with 4.9% (2 of 41) in unaffected women (P = 0.07). Survival analysis in BRCA2 carriers showed RAD51-135C increased risk of breast and/or ovarian cancer with an HR of 4.0 [95% confidence interval 1.6–9.8, P = 0.003]. This effect was largely due to increased breast cancer risk with an HR of 3.46 (95% confidence interval 1.3–9.2, P = 0.01) for breast cancer in BRCA2 carriers who were RAD51-135C heterozygotes. RAD51 status did not affect ovarian cancer risk. These results show RAD51-135C is a clinically significant modifier of BRCA2 penetrance, specifically in raising breast cancer risk at younger ages.