Essays on robust portfolio selection and pension finance

This thesis examines three different, but related problems in the broad area of portfolio management for long-term institutional investors, and focuses mainly on the case of pension funds. The first idea (Chapter 3) is the application of a novel numerical technique – robust optimization – to a real-world pension scheme (the Universities Superannuation Scheme, USS) for first time. The corresponding empirical results are supported by many robustness checks and several benchmarks such as the Bayes-Stein and Black-Litterman models that are also applied for first time in a pension ALM framework, the Sharpe and Tint model and the actual USS asset allocations. The second idea presented in Chapter 4 is the investigation of whether the selection of the portfolio construction strategy matters in the SRI industry, an issue of great importance for long term investors. This study applies a variety of optimal and naïve portfolio diversification techniques to the same SRI-screened universe, and gives some answers to the question of which portfolio strategies tend to create superior SRI portfolios. Finally, the third idea (Chapter 5) compares the performance of a real-world pension scheme (USS) before and after the recent major changes in the pension rules under different dynamic asset allocation strategies and the fixed-mix portfolio approach and quantifies the redistributive effects between various stakeholders. Although this study deals with a specific pension scheme, the methodology can be applied by other major pension schemes in countries such as the UK and USA that have changed their rules.

Associations of dietary dark-green and deep-yellow vegetables and fruits with cervical intraepithelial neoplasia: modification by smoking

Smoking has been positively and fruit and vegetable intake has been negatively associated with cervical cancer, the second most common cancer among women worldwide. However, a lower consumption of fruits and reduced serum carotenoids have been observed among smokers. It is not known whether the smoking effect on the risk of cervical neoplasia is modified by a low intake of fruits and vegetables. The present study examined the combined effects of tobacco smoking and diet using a validated FFQ and serum carotenoid and tocopherol levels on cervical intraepithelial neoplasia grade 3 (CIN3) risk in a hospital-based case-control study conducted in Sao Paulo, Brazil, between 2003 and 2005. The sample comprised 231 incident, histologically confirmed cases of CIN3 and 453 controls. A low intake (<= 39 g) of dark-green and deep-yellow vegetables and fruits without tobacco smoking had a lesser effect on CIN3 (OR 1.14; 95% CI 0.49, 2.65) than among smokers with higher intake (>= 40 g; OR 1.83; 95% CI 0.73, 4.62) after adjusting for confounders. The OR for the joint exposure of tobacco smoking and low intake of vegetables and fruits was greater (3.86; 95% CI 1.74, 8.57; P for trend < 0.001) compared with non-smokers with higher intake after adjusting for confounding variables and human papillomavirus status. Similar results were observed for total fruit, serum total carotene (including beta-, alpha-and gamma-carotene) and tocopherols. These findings suggest that the effect of nutritional factors on CIN3 is modified by smoking.

Role of glutaredoxin 2 and cytosolic thioredoxins in cysteinyl-based redox modification of the 20S proteasome

The yeast 20S proteasome is subject to sulfhydryl redox alterations, such as the oxidation of cysteine residues (Cys-SH) into cysteine sulfenic acid (Cys-SOH), followed by S-glutathionylation (Cys-S-SG). Proteasome S-glutathionylation promotes partial loss of chymotrypsin-like activity and post-acidic cleavage without alteration of the trypsin-like proteasomal activity. Here we show that the 20S proteasome purified from stationary-phase cells was natively S-glutathionylated. Moreover, recombinant glutaredoxin 2 removes glutathione from natively or in vitro S-glutathionylated 20S proteasome, allowing the recovery of chymotrypsin-like activity and post-acidic cleavage. Glutaredoxin 2 deglutathionylase activity was dependent on its entry into the core particle, as demonstrated by stimulating S-glutathionylated proteasome opening. Under these conditions, deglutathionylation of the 20S proteasome and glutaredoxin 2 degradation were increased when compared to non-stimulated samples. Glutaredoxin 2 fragmentation by the 20S proteasome was evaluated by SDS-PAGE and mass spectrometry, and S-glutathionylation was evaluated by either western blot analyses with anti-glutathione IgG or by spectrophotometry with the thiol reactant 7-chloro-4-nitrobenzo-2-oxa-1,3-diazole. It was also observed in vivo that glutaredoxin 2 was ubiquitinated in cellular extracts of yeast cells grown in glucose-containing medium. Other cytoplasmic oxido-reductases, namely thioredoxins 1 and 2, were also active in 20S proteasome deglutathionylation by a similar mechanism. These results indicate for the first time that 20S proteasome cysteinyl redox modification is a regulated mechanism coupled to enzymatic deglutathionylase activity.

Oxide surface modification: Synthesis and characterization of zirconia-coated alumina

Four aluminas were used as Supports for impregnation with a zirconium oxide with the aim to achieve a coating, without phase separation, between Support and modifier. The Supports were impregnated with different concentrations Of zirconium aqueous resin, obtained through the polymeric precursor method. After impregnation the samples were calcined and then characterized by XRD, which led to identification of crystalline zirconia in different concentrations from each support used. Using a simple geometric model the maximum amount Of Surface modifier Oxide required for the complete coating of a support with a layer of unit cells was estimated. According to this estimate, only the support should be identified below the limit proposed and crystalline zirconium oxide Should be identified above this limit when a complete coating is reached. The results obtained From XRD agree with the estimated values and to confirm the coating, the samples were also characterized by EDS/STEM, HRTEM, XPS, and XAS. The results showed that the zirconium oxide oil the Surface of alumina Support reached the coating in the limit of 15 Zr nm(-2), without the formation of the ZrO(2) phase. (c) 2009 Elsevier Inc. All rights reserved.

Surface modification and crystallization of the BaO-B2O3-SiO2 glassy system using CO2 laser irradiation

The surface modification and crystallization process of BaO-B2O3-SiO2 glass compositions when exposed to CO2 laser irradiation was evaluated as a function of the laser power, irradiation time and surface condition. The glass surface was modified by the application of laser power exceeding 0.40 W and an irradiation time of more than 300 s. Micro-Raman and X-ray diffraction measurements revealed at high laser power the formation of beta-BaB2O4 (beta-BBO) crystalline phase. The crystallization of the irradiated region was enhanced when beta-BBO micrometer sized particles were dispersed on the surface of the glass sample. The intensity of the second harmonic generation observed in the crystallized region was found to depend mainly on the condition of the glassy surface prior to glass irradiation. (C) 2007 Elsevier B.V. All rights reserved.

Experimental evidence and model explanation for cell population characteristics modification when applying sequential photodynamic therapy

We present experimental evidence of the existence of cell variability in terms of threshold light dose for Hep G2 (liver cancer cells) cultured. Using a theoretical model to describe the effects caused by successive photodynamic therapy (PDT) sessions, and based on the consequences of a partial response we introduce the threshold dose distribution concept within a tumor. The experimental model consists in a stack of flasks, and simulates subsequent layers of a tissue exposed to PDT application. The result indicates that cells from the same culture could respond in different ways to similar PDT induced-damages. Moreover, the consequence is a partial killing of the cells submitted to PDT, and the death fraction decreased at each in vitro PDT session. To demonstrate the occurrence of cell population modification as a response to PDT, we constructed a simple theoretical model and assumed that the threshold dose distribution for a cell population of a tumor is represented by a modified Gaussian distribution.

Modification of radiation pressure due to cooperative scattering of light

Cooperative spontaneous emission of a single photon from a cloud of N atoms modifies substantially the radiation pressure exerted by a far-detuned laser beam exciting the atoms. On one hand, the force induced by photon absorption depends on the collective decay rate of the excited atomic state. On the other hand, directional spontaneous emission counteracts the recoil induced by the absorption. We derive an analytical expression for the radiation pressure in steady-state. For a smooth extended atomic distribution we show that the radiation pressure depends on the atom number via cooperative scattering and that, for certain atom numbers, it can be suppressed or enhanced. Cooperative scattering of light by extended atomic clouds can become important in the presence of quasi-resonant light and could be addressed in many cold atoms experiments.

Demographic characteristics and prevalence of serologic markers among blood donors who use confidential unit exclusion (CUE) in Sao Paulo, Brazil: implications for modification of CUE polices in Brazil

BACKGROUND: This study evaluated demographic profiles and prevalence of serologic markers among donors who used confidential unit exclusion (CUE) to assess the effectiveness of CUE and guide public policies regarding the use of CUE for enhancing safety versus jeopardizing the blood supply by dropping CUE. STUDY DESIGN AND METHODS: We conducted a cross-sectional analysis of whole blood donations at a large public blood center in Sao Paulo from July 2007 through June 2009, compared demographic data, and confirmed serologic results among donors who used and who have never used CUE (CUE never). RESULTS: There were 265,550 whole blood units collected from 181,418 donors from July 2007 through June 2009. A total of 9658 (3.6%) units were discarded, 2973 (1.1%) because CUE was used at the current donation (CUE now) and 6685 (2.5%) because CUE was used in the past (CUE past). The CUE rate was highest among donors with less than 8 years of education (odds ratio [OR], 2.78; 95% confidence interval [CI], 2.51-3.08). CUE now donations were associated with higher positive infectious disease marker rates than CUE never donations (OR, 1.41; CI, 1.13-1.77), whereas CUE past donations were not (OR, 1.04; CI, 0.75-1.45). CONCLUSION: The CUE process results in a high rate of unit discard. CUE use on an individual donation appears predictive of a high-risk marker-positive donation and, thus, appears to contribute modestly to blood safety. The policy of discarding units from donors who have previously CUE-positive donations does not improve safety and should be discontinued.

Chemical modification of a nanocrystalline TiO(2) film for efficient electric connection of glucose oxidase

A novel biosensor for glucose was prepared by adsorption of 1,1`-bis(4-carboxybenzyl)-4,4`-bipyridinium di-bromide compound (H(2)BpybcBr(2)) onto the surface of a nanocrystalline TiO(2) film deposited onto FTO glasses, which was used as a platform to assemble the enzyme glucose oxidase to the electrode surface. The H(2)BpybcBr(2)/TiO(2)/FTO modified electrode was characterized by scanning electron microscopy, X-ray fluorescence image, cyclic voltammograms and spectroelectrochemical measurements. The immobilization of GOD on functionalized TiO(2) film led to stable amperometric biosensing for glucose with a linear range from 153 mu mol L(-1) to 1.30 mmol L(-1) and a detection limit of 51 mu mol L(-1). The apparent Michaelis-Menten constant (K(m)) was estimated to be 3.76 mmol L(-1), which suggested a high enzyme-substrate affinity. The maximum electrode sensitivity was 1.25 mu A mmol L(-1). The study proved that the combination of viologen mediators with TiO(2) film retains the electrocatalytic activity of the enzyme, and also enhances the electron transfer process, and hence regenerating the enzyme in the reaction with glucose. (C) 2010 Elsevier Inc. All rights reserved.

Chinese Basic Pension Substitution Rate: A Monte Carlo Demonstration of the Individual Account Model

At the end of 2005, the State Council of China passed ”The Decision on adjusting the Individual Account of Basic Pension System”, which adjusted the individual account in the 1997 basic pension system. In this essay, we will analyze the adjustment above, and use Life Annuity Actuarial Theory to establish the basic pension substitution rate model. Monte Carlo simulation is also used to prove the rationality of the model. Some suggestions are put forward associated with the substitution rate according to the current policy.

Ambiguous Artefacts : Solar Collectors in Swedish Contexts. On Processes of Cultural Modification

This is a book about solar collectors and the place of these artefacts in a political energy debate that has aroused strong feelings in Sweden during the last twenty-five years. It is a book about the hopes for a less polluted earth, which solar collectors have come to symbolise, and a book about the ways in which problems in utilising solar energy are culturally perceived. One main aims of this study has been to find out more about the conflicting perceptions of solar collectors as 'saviours of the world' and simultaneously as uninteresting or less credible artefacts that 'may come in the future'. Another main purpose of the study has been to describe and explain those cultural processes of modification that are taking place around solar collectors in active attempts to integrate these into established cultural structures.

Norm-based behaviour modification in BDI agents

While there has been much work on developing frameworks and models of norms and normative systems, consideration of the impact of norms on the practical reasoning of agents has attracted less attention. The problem is that traditional agent architectures and their associated languages provide no mechanism to adapt an agent at runtime to norms constraining their behaviour. This is important because if BDI-type agents are to operate in open environments, they need to adapt to changes in the norms that regulate such environments. In response, in this paper we provide a technique to extend BDI agent languages, by enabling them to enact behaviour modification at runtime in response to newly accepted norms. Our solution consists of creating new plans to comply with obligations and suppressing the execution of existing plans that violate prohibitions. We demonstrate the viability of our approach through an implementation of our solution in the AgentSpeak(L) language.

A pension manager’s view of exchange traded funds from São Paulo to Santiago

This paper examines the current Chilean and Brazilian pension markets, how these pension markets are structured, how they have historically invested their portfolios in ETFs and how they utilize Exchange Traded Funds (ETFs). This investigation will give an overview of the current pension landscape in each country, ETFs and ETF managers in the region, as well as distribution allowances and regulations for ETF providers within the region. Finally it will offer insights throughout that will be useful to those building a business or creating an expansion plan in Brazil or Chile.

Financial guarantees in Brazilian life insurance and pension plans

Recently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, in°ation adjustment according to a price index and participation on an investment fund performance. We present a valuation model for these products. We establish a fair condition relationship between minimum guarantees and participation rates, and explore its behavior over a space of maturities, interest rates, and also fund and price index volatilities and correlation. Besides consistency to reference models, we found that the effect of the fund volatility is conditioned to the price index volatility level and the correlation between them.