Essays in equilibrium asset pricing

This thesis consists of four essays in equilibrium asset pricing. The main topic is investors' heterogeneity: I investigates the equilibrium implications for the financial markets when investors have different attitudes toward risk. The first chapter studies why expected risk and remuneration on the aggregate market are negatively related, even if intuition and standard theory suggest a positive relation. I show that the negative trade-off can obtain in equilibrium if investors' beliefs about economic fundamentals are procyclically biased and the market Sharpe ratio is countercyclical. I verify that such conditions hold in the real markets and I find empirical support for the risk-return dynamics predicted by the model. The second chapter consists of two essays. The first essay studies how het¬erogeneity in risk preferences interacts with other sources of heterogeneity and how this affects asset prices in equilibrium. Using perceived macroeconomic un¬certainty as source of heterogeneity, the model helps to explain some patterns of financial returns, even if heterogeneity is small as suggested by survey data. The second essay determines conditions such that equilibrium prices have analytical solutions when investors have heterogeneous risk attitudes and macroeconomic fundamentals feature latent uncertainty. This approach provides additional in-sights to the previous literature where models require numerical solutions. The third chapter studies why equity claims (i.e. assets paying a single future dividend) feature premia and risk decreasing with the horizon, even if standard models imply the opposite shape. I show that labor relations helps to explain the puzzle. When workers have bargaining power to exploit partial income insurance within the firm, wages are smoother and dividends are riskier than in a standard economy. Distributional risk among workers and shareholders provides a rationale to the equity short-term risk, which leads to downward sloping term structures of premia and risk for equity claim. Résumé Cette thèse se compose de quatre essais dans l'évaluation des actifs d'équilibre. Le sujet principal est l'hétérogénéité des investisseurs: J'étudie les implications d'équilibre pour les marchés financiers où les investisseurs ont des attitudes différentes face au risque. Le première chapitre étudie pourquoi attendus risque et la rémunération sur le marché global sont liées négativement, même si l'intuition et la théorie standard suggèrent une relation positive. Je montre que le compromis négatif peut obtenir en équilibre si les croyances des investisseurs sur les fondamentaux économiques sont procyclique biaisées et le ratio de Sharpe du marché est anticyclique. Je vérifier que ces conditions sont réalisées dans les marchés réels et je trouve un appui empirique à la dynamique risque-rendement prédites par le modèle. Le deuxième chapitre se compose de deux essais. Le première essai étudie com¬ment hétérogénéité dans les préférences de risque inter agit avec d'autres sources d'hétérogénéité et comment cela affecte les prix des actifs en équilibre. Utili¬sation de l'incertitude macroéconomique perù comme source d'hétérogénéité, le modèle permet d'expliquer certaines tendances de rendements financiers, même si l'hétérogénéité est faible comme suggéré par les données d'enquête. Le deuxième essai détermine des conditions telles que les prix d'équilibre disposer de solutions analytiques lorsque les investisseurs ont des attitudes des risques hétérogènes et les fondamentaux macroéconomiques disposent d'incertitude latente. Cette approche fournit un éclairage supplémentaire à la littérature antérieure où les modèles nécessitent des solutions numériques. Le troisième chapitre étudie pourquoi les equity-claims (actifs que paient un seul dividende futur) ont les primes et le risque décroissante avec l'horizon, mme si les modèles standards impliquent la forme opposée. Je montre que les relations de travail contribue à expliquer l'énigme. Lorsque les travailleurs ont le pouvoir de négociation d'exploiter assurance revenu partiel dans l'entreprise, les salaires sont plus lisses et les dividendes sont plus risqués que dans une économie standard. Risque de répartition entre les travailleurs et les actionnaires fournit une justification à le risque à court terme, ce qui conduit à des term-structures en pente descendante des primes et des risques pour les equity-claims.

Extremal properties of certain risk models

Cette thèse s'intéresse à étudier les propriétés extrémales de certains modèles de risque d'intérêt dans diverses applications de l'assurance, de la finance et des statistiques. Cette thèse se développe selon deux axes principaux, à savoir: Dans la première partie, nous nous concentrons sur deux modèles de risques univariés, c'est-à- dire, un modèle de risque de déflation et un modèle de risque de réassurance. Nous étudions le développement des queues de distribution sous certaines conditions des risques commun¬s. Les principaux résultats sont ainsi illustrés par des exemples typiques et des simulations numériques. Enfin, les résultats sont appliqués aux domaines des assurances, par exemple, les approximations de Value-at-Risk, d'espérance conditionnelle unilatérale etc. La deuxième partie de cette thèse est consacrée à trois modèles à deux variables: Le premier modèle concerne la censure à deux variables des événements extrême. Pour ce modèle, nous proposons tout d'abord une classe d'estimateurs pour les coefficients de dépendance et la probabilité des queues de distributions. Ces estimateurs sont flexibles en raison d'un paramètre de réglage. Leurs distributions asymptotiques sont obtenues sous certaines condi¬tions lentes bivariées de second ordre. Ensuite, nous donnons quelques exemples et présentons une petite étude de simulations de Monte Carlo, suivie par une application sur un ensemble de données réelles d'assurance. L'objectif de notre deuxième modèle de risque à deux variables est l'étude de coefficients de dépendance des queues de distributions obliques et asymétriques à deux variables. Ces distri¬butions obliques et asymétriques sont largement utiles dans les applications statistiques. Elles sont générées principalement par le mélange moyenne-variance de lois normales et le mélange de lois normales asymétriques d'échelles, qui distinguent la structure de dépendance de queue comme indiqué par nos principaux résultats. Le troisième modèle de risque à deux variables concerne le rapprochement des maxima de séries triangulaires elliptiques obliques. Les résultats théoriques sont fondés sur certaines hypothèses concernant le périmètre aléatoire sous-jacent des queues de distributions. -- This thesis aims to investigate the extremal properties of certain risk models of interest in vari¬ous applications from insurance, finance and statistics. This thesis develops along two principal lines, namely: In the first part, we focus on two univariate risk models, i.e., deflated risk and reinsurance risk models. Therein we investigate their tail expansions under certain tail conditions of the common risks. Our main results are illustrated by some typical examples and numerical simu¬lations as well. Finally, the findings are formulated into some applications in insurance fields, for instance, the approximations of Value-at-Risk, conditional tail expectations etc. The second part of this thesis is devoted to the following three bivariate models: The first model is concerned with bivariate censoring of extreme events. For this model, we first propose a class of estimators for both tail dependence coefficient and tail probability. These estimators are flexible due to a tuning parameter and their asymptotic distributions are obtained under some second order bivariate slowly varying conditions of the model. Then, we give some examples and present a small Monte Carlo simulation study followed by an application on a real-data set from insurance. The objective of our second bivariate risk model is the investigation of tail dependence coefficient of bivariate skew slash distributions. Such skew slash distributions are extensively useful in statistical applications and they are generated mainly by normal mean-variance mixture and scaled skew-normal mixture, which distinguish the tail dependence structure as shown by our principle results. The third bivariate risk model is concerned with the approximation of the component-wise maxima of skew elliptical triangular arrays. The theoretical results are based on certain tail assumptions on the underlying random radius.

Combined cetuximab and trastuzumab are superior to gemcitabine in the treatment of human pancreatic carcinoma xenografts.

BACKGROUND: Pancreatic carcinoma remains a treatment-refractory cancer with a poor prognosis. Here, we compared anti-epidermal growth factor receptor (EGFR) and anti-HER2 monoclonal antibodies (2mAbs) injections with standard gemcitabine treatment on human pancreatic carcinoma xenografts. MATERIALS AND METHODS: Nude mice, bearing human pancreatic carcinoma xenografts, were treated with either combined anti-EGFR (cetuximab) and anti-HER2 (trastuzumab) or gemcitabine, and tumor growth was observed. RESULTS AND CONCLUSION: In first-line therapy, mice survival was significantly longer in the 2mAbs group compared with gemcitabine (P < 0.0001 for BxPC-3, P = 0.0679 for MiaPaCa-2 and P = 0.0019 for Capan-1) and with controls (P < 0.0001). In second-line therapy, tumor regressions were observed after replacing gemcitabine by 2mAbs treatment, resulting in significantly longer animal survival compared with mice receiving continuous gemcitabine injections (P = 0.008 for BxPC-3, P = 0.05 for MiaPaCa-2 and P < 0.001 for Capan-1). Therapeutic benefit of 2mAbs was observed despite K-Ras mutation. Interestingly, concerning the mechanism of action, coinjection of F(ab')(2) fragments from 2mAbs induced significant tumor growth inhibition, compared with controls (P = 0.001), indicating that the 2mAbs had an Fc fragment-independent direct action on tumor cells. This preclinical study demonstrated a significant improvement of survival and tumor regression in mice treated with anti-EGFR/anti-HER2 2mAbs in first- and second-line treatments, compared with gemcitabine, independently of the K-Ras status.

Riesgo vascular : proceso asistencial integrado

Publicado en la página web de la Consejería de Igualdad, Salud y Políticas Sociales: www.juntadeandalucia.es/salud (Consejería de Igualdad, Salud y Políticas Sociales/ Profesionales / Nuestro Compromiso por la Calidad / Procesos Asistenciales Integrados)

Trasplante hepático: proceso asistencial integrado. 2ª ed

Publicado en la página web de la Consejería de Salud: www.juntadeandalucia.es/salud (Consejería de Salud / Profesionales / Nuestro Compromiso por la Calidad / Procesos Asistenciales Integrados)

Escalas de valoración del riesgo de desarrollar úlceras por presión

Aim: to find the Risk Assessment Scales (RAS) for pressure ulcers in children published in the literature. To determine which of them have been properly validated. Methods: a systematic review of the literature has been conducted searching in 14 Health Sciences databases. The inclusion criteria were: studies published between 1962 and 2009, with a prospective design, less than a 25 % lost to follow-up, and with data of validity, prognostic or reliability. No language restriction was applied. Methodological quality of the studies was assessed by the CASP guide. Results: seventeen studies were found. In these studies 11 RAS for children were identified. Most of them were developed for the critical care area, based on previous risk assessment scales for adult. There are only 3 scales with one validation study: NSRAS, Braden Q and Starkid Skin. Their sensibility and specificity figures are: Braden Q, sens = 88% and specif. 58%; NSRAS, 83% and 81%; and Starkid Skin, 17% and 98%. Although the NSRAS scale has good validity figures, the simple size of this study was too small, so these results need further validation. The Starkid scale has a sensibility too low. The Braden Q was the only scale with suitable validity and prognostic figures, though its inter-observers reliability has not been tested, so more research to confirm these results is needed. The assessment of pressure ulcers risk in children is recommended, although, with the available evidence, we can not recommend the use of any of these RAS over the others. More research about this topic is needed.

Decreased PM10 exposure attenuates age-related lung function decline: genetic variants in p53, p21, and CCND1 modify this effect.

BACKGROUND: Decreasing exposure to airborne particulates was previously associated with reduced age-related decline in lung function. However, whether the benefit from improved air quality depends on genetic background is not known. Recent evidence points to the involvement of the genes p53 and p21 and of the cell cycle control gene cyclin D1 (CCND1) in the response of bronchial cells to air pollution. OBJECTIVE: We determined in 4,326 participants of the Swiss Cohort Study on Air Pollution and Lung and Heart Diseases in Adults (SAPALDIA) whether four single-nucleotide polymorphisms in three genes [CCND1 (rs9344 [P242P], rs667515), p53 (rs1042522 [R72P]), and p21 (rs1801270 [S31R])] modified the previously observed attenuation of the decline in the forced expiratory flow between 25% and 75% of the forced vital capacity (FEF(25-75)) associated with improved air quality. METHODS: Subjects of the prospective population-based SAPALDIA cohort were assessed in 1991 and 2002 by spirometry, questionnaires, and biological sample collection for genotyping. We assigned spatially resolved concentrations of particulate matter with aerodynamic diameter < or = 10 microm (PM(10)) to each participant's residential history 12 months before the baseline and follow-up assessments. RESULTS: The effect of diminishing PM(10) exposure on FEF(25-75) decline appeared to be modified by p53 R72P, CCND1 P242P, and CCND1 rs667515. For example, a 10-microg/m(3) decline in average PM(10) exposure over an 11-year period attenuated the average annual decline in FEF(25-75) by 21.33 mL/year (95% confidence interval, 10.57-32.08) among participants homozygous for the CCND1 (P242P) GG genotype, by 13.72 mL/year (5.38-22.06) among GA genotypes, and by 6.00 mL/year (-4.54 to 16.54) among AA genotypes. CONCLUSIONS: Our results suggest that cell cycle control genes may modify the degree to which improved air quality may benefit respiratory function in adults.

Clinical pharmacogenomic testing of KRAS, BRAF and EGFR mutations by high resolution melting analysis and ultra-deep pyrosequencing

BACKGROUND: Epidermal growth factor receptor (EGFR) and its downstream factors KRAS and BRAF are mutated in several types of cancer, affecting the clinical response to EGFR inhibitors. Mutations in the EGFR kinase domain predict sensitivity to the tyrosine kinase inhibitors gefitinib and erlotinib in lung adenocarcinoma, while activating point mutations in KRAS and BRAF confer resistance to the anti-EGFR monoclonal antibody cetuximab in colorectal cancer. The development of new generation methods for systematic mutation screening of these genes will allow more appropriate therapeutic choices. METHODS: We describe a high resolution melting (HRM) assay for mutation detection in EGFR exons 19-21, KRAS codon 12/13 and BRAF V600 using formalin-fixed paraffin-embedded samples. Somatic variation of KRAS exon 2 was also analysed by massively parallel pyrosequencing of amplicons with the GS Junior 454 platform. RESULTS: We tested 120 routine diagnostic specimens from patients with colorectal or lung cancer. Mutations in KRAS, BRAF and EGFR were observed in 41.9%, 13.0% and 11.1% of the overall samples, respectively, being mutually exclusive. For KRAS, six types of substitutions were detected (17 G12D, 9 G13D, 7 G12C, 2 G12A, 2 G12V, 2 G12S), while V600E accounted for all the BRAF activating mutations. Regarding EGFR, two cases showed exon 19 deletions (delE746-A750 and delE746-T751insA) and another two substitutions in exon 21 (one showed L858R with the resistance mutation T590M in exon 20, and the other had P848L mutation). Consistent with earlier reports, our results show that KRAS and BRAF mutation frequencies in colorectal cancer were 44.3% and 13.0%, respectively, while EGFR mutations were detected in 11.1% of the lung cancer specimens. Ultra-deep amplicon pyrosequencing successfully validated the HRM results and allowed detection and quantitation of KRAS somatic mutations. CONCLUSIONS: HRM is a rapid and sensitive method for moderate-throughput cost-effective screening of oncogene mutations in clinical samples. Rather than Sanger sequence validation, next-generation sequencing technology results in more accurate quantitative results in somatic variation and can be achieved at a higher throughput scale.

Hipertrofia benigna de próstata : cáncer de próstata : proceso asistencial integrado. 3ª ed

Publicado en la página web de la Consejería de Salud y Bienestar Social: www.juntadeandalucia.es/salud (Consejería de Salud y Bienestar Social / Profesionales / Nuestro Compromiso por la Calidad / Procesos Asistenciales Integrados)