Portfolio delegation under short-selling constraints

In this paper we study delegated portfolio management when themanager's ability to short-sell is restricted. Contrary to previousresults, we show that under moral hazard, linear performance-adjustedcontracts do provide portfolio managers with incentives to gatherinformation. The risk-averse manager's optimal effort is an increasingfunction of her share in the portfolio's return. This result affectsthe risk-averse investor's optimal contract decision. The first best,purely risk-sharing contract is proved to be suboptimal. Usingnumerical methods we show that the manager's share in the portfolioreturn is higher than the rst best share. Additionally, this deviationis shown to be: (i) increasing in the manager's risk aversion and (ii)larger for tighter short-selling restrictions. When the constraint isrelaxed the optimal contract converges towards the first best risksharing contract.

Short-term investment and equilibrium multiplicity

I study the effects of the heterogeneity of traders'horizon in the context of a 2-period NREE model whereall traders are risk averse. Owing to inventory effects,myopic trading behavior generates multiplicity ofequilibria. In particular, two distinct patterns arise.Along the first equilibrium, short term tradersanticipate higher second period price reaction toinformation arrival and, owing to risk aversion,scale back their trading intensity. This, in turn,reduces both risk sharing and information impoundinginto prices enforcing a high returns' volatility-lowprice informativeness equilibrium. In the second one,the opposite happens and a low volatility-high priceinformativeness equilibrium arises.

Why do emerging economies borrow short term?

We argue that one reason why emerging economies borrow short term is that it is cheaperthan borrowing long term. This is especially the case during crises, as in these episodes therelative cost of long-term borrowing increases. We construct a unique database of sovereignbond prices, returns, and issuances at di¤erent maturities for 11 emerging economies from 1990to 2009 and present a set of new stylized facts. On average, these countries pay a higher riskpremium on long-term than on short-term bonds. During crises, the di¤erence between the tworisk premia increases and issuance shifts towards shorter maturities. To illustrate our argument,we present a simple model in which the maturity structure is the outcome of a risk sharingproblem between an emerging economy subject to rollover crises and risk averse internationalinvestors.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Short term variation in the vertical distribution of copepods off the coast of northern Peru

Analiza los datos colectados de la clorofila frente al Peru cerca de 9°S. Determinandose la profundidad a la que se enuentran y la concentración de oxigeno durante el dia y la noche.

Impact of personality on termination of short-term group psychotherapy in depressed elderly outpatients

Objective Termination in group psychotherapy is an essential phase of the psychotherapeutic process, yet its clinical determinants remain largely unknown, especially in elderly patients. The aim of this study was to assess how patients' personality traits influence their way of leaving a short-term psychotherapy group as well as a larger therapeutic community program. <p>Method Personality traits were assessed with the NEO Five-Factor Inventory in 24 elderly depressed outpatients. Patients' terminations from the group as well as from the community were ranked into four classes according to their appropriateness (completeness of experience and ability to deal with feelings of separation). Results Neuroticism was not related to the quality of termination. In contrast, agreeableness and openness to experience were strongly associated with successful termination. Conscientiousness and extraversion may have a differential impact depending on the type of group (group psychotherapy versus therapeutic community). Conclusion Personality traits may be important clinical determinants of the quality of termination process in both group psychotherapy and therapeutic community settings for elderly depressed patients.

Myocardial impairment in chronic hypoxia is abolished by short aeration episodes: involvement of K+ATP channels.

In vivo exposure to chronic hypoxia is considered to be a cause of myocardial dysfunction, thereby representing a deleterious condition, but repeated aeration episodes may exert some cardioprotection. We investigated the possible role of ATP-sensitive potassium channels in these mechanisms. First, rats (n = 8/group) were exposed for 14 days to either chronic hypoxia (CH; 10% O(2)) or chronic hypoxia with one episode/day of 1-hr normoxic aeration (CH+A), with normoxia (N) as the control. Second, isolated hearts were Langendorff perfused under hypoxia (10% O(2), 30 min) and reoxygenated (94% O(2), 30 min) with or without 3 microM glibenclamide (nonselective K(+)(ATP) channel-blocker) or 100 microM diazoxide (selective mitochondrial K(+)(ATP) channel-opener). Blood gasses, hemoglobin concentration, and plasma malondialdehyde were similar in CH and CH+A and in both different from normoxic (P < 0.01), body weight gain and plasma nitrate/nitrite were higher in CH+A than CH (P < 0.01), whereas apoptosis (number of TUNEL-positive nuclei) was less in CH+A than CH (P < 0.05). During in vitro hypoxia, the efficiency (ratio of ATP production/pressure x rate product) was the same in all groups and diazoxide had no measurable effects on myocardial performance, whereas glibenclamide increased end-diastolic pressure more in N and CH than in CH+A hearts (P < 0.05). During reoxgenation, efficiency was markedly less in CH with respect to N and CH+A (P < 0.0001), and ratex pressure product remained lower in CH than N and CH+A hearts (P < 0.001), but glibenclamide or diazoxide abolished this difference. Glibenclamide, but not diazoxide, decreased vascular resistance in N and CH (P < 0.005 and < 0.001) without changes in CH+A. We hypothesize that cardioprotection in chronically hypoxic hearts derive from cell depolarization by sarcolemmal K(+)(ATP) blockade or from preservation of oxidative phosphorylation efficiency (ATP turnover/myocardial performance) by mitochondrial K(+)(ATP) opening. Therefore K(+)(ATP) channels are involved in the deleterious effects of chronic hypoxia and in the cardioprotection elicited when chronic hypoxia is interrupted with short normoxic aeration episodes.

Validation of the Mini Nutritional Assessment short-form (MNA-SF): a practical tool for identification of nutritional status.

OBJECTIVE: To validate a revision of the Mini Nutritional Assessment short-form (MNA(R)-SF) against the full MNA, a standard tool for nutritional evaluation. METHODS: A literature search identified studies that used the MNA for nutritional screening in geriatric patients. The contacted authors submitted original datasets that were merged into a single database. Various combinations of the questions on the current MNA-SF were tested using this database through combination analysis and ROC based derivation of classification thresholds. RESULTS: Twenty-seven datasets (n=6257 participants) were initially processed from which twelve were used in the current analysis on a sample of 2032 study participants (mean age 82.3y) with complete information on all MNA items. The original MNA-SF was a combination of six questions from the full MNA. A revised MNA-SF included calf circumference (CC) substituted for BMI performed equally well. A revised three-category scoring classification for this revised MNA-SF, using BMI and/or CC, had good sensitivity compared to the full MNA. CONCLUSION: The newly revised MNA-SF is a valid nutritional screening tool applicable to geriatric health care professionals with the option of using CC when BMI cannot be calculated. This revised MNA-SF increases the applicability of this rapid screening tool in clinical practice through the inclusion of a "malnourished" category.

Experimental manipulation of colony genetic diversity had no effect on short-term task efficiency in the Argentine ant Linepithema humile

Genetic diversity might increase the performance of social groups by improving task efficiency or disease resistance, but direct experimental tests of these hypotheses are rare. We manipulated the level of genetic diversity in colonies of the Argentine ant Linepithema humile, and then recorded the short-term task efficiency of these experimental colonies. The efficiency of low and high genetic diversity colonies did not differ significantly for any of the following tasks: exploring a new territory, foraging, moving to a new nest site, or removing corpses. The tests were powerful enough to detect large effects, but may have failed to detect small differences. Indeed, observed effect sizes were generally small, except for the time to create a trail during nest emigration. In addition, genetic diversity had no statistically significant impact on the number of workers, males and females produced by the colony, but these tests had low power. Higher genetic diversity also did not result in lower variance in task efficiency and productivity. In contrast to genetic diversity, colony size was positively correlated with the efficiency at performing most tasks and with colony productivity. Altogether, these results suggest that genetic diversity does not strongly improve short-term task efficiency in L. humile, but that worker number is a key factor determining the success of this invasive species.

Short-term moderate hypocapnia augments detection of optimal cerebral perfusion pressure.

An autoregulation-oriented strategy has been proposed to guide neurocritical therapy toward the optimal cerebral perfusion pressure (CPPOPT). The influence of ventilation changes is, however, unclear. We sought to find out whether short-term moderate hypocapnia (HC) shifts the CPPOPT or affects its detection. Thirty patients with traumatic brain injury (TBI), who required sedation and mechanical ventilation, were studied during 20 min of normocapnia (5.1±0.4 kPa) and 30 min of moderate HC (4.4±3.0 kPa). Monitoring included bilateral transcranial Doppler of the middle cerebral arteries (MCA), invasive arterial blood pressure (ABP), and intracranial pressure (ICP). Mx -autoregulatory index provided a measure for the CPP responsiveness of MCA flow velocity. CPPOPT was assessed as the CPP at which autoregulation (Mx) was working with the maximal efficiency. During normocapnia, CPPOPT (left: 80.65±6.18; right: 79.11±5.84 mm Hg) was detectable in 12 of 30 patients. Moderate HC did not shift this CPPOPT but enabled its detection in another 17 patients (CPPOPT left: 83.94±14.82; right: 85.28±14.73 mm Hg). The detection of CPPOPT was achieved via significantly improved Mx-autoregulatory index and an increase of CPP mean. It appeared that short-term moderate HC augmented the detection of an optimum CPP, and may therefore usefully support CPP-guided therapy in patients with TBI.

Anemia on admission predicts short- and long-term outcomes in patients with acute ischemic stroke.

BACKGROUND: It is still debatable whether anemia predicts stroke outcome. AIM: To describe the characteristics of patients with acute ischemic stroke (AIS) and anemia and identify whether hemoglobin status on admission is a prognostic factor of AIS outcome. METHODS: All 2439 patients of the Acute Stroke Registry and Analysis of Lausanne (ASTRAL) between January 2003 and June 2011 were selected. Demographics, risk factors, prestroke treatment, clinical, radiological and metabolic variables in patients with and without anemia according to the definition of the World Health Organization were compared. Functional disability and mortality were recorded up to 12 months from admission. RESULTS: Anemic patients (17.5%) were older, had lower body mass index, higher rates of coronary artery disease (CAD), atrial fibrillation, diabetes mellitus and peripheral artery disease. Anemia was associated with more severe stroke manifestations, lower systolic and diastolic blood pressure measurements, worse estimated glomerular filtration rate and elevated C-reactive protein concentrations upon admission and with increased modified Rankin scores during the follow-up. Anemic patients had higher 7-day, 3-month and 12-month mortality, which was associated with hemoglobin status and other factors, including age, CAD, stroke severity, and baseline C-reactive levels. Hemoglobin levels were inversely associated with recurrent stroke and mortality throughout the 12-month follow-up. CONCLUSION: Anemia is common among AIS patients and is associated with cardiovascular comorbidities. Low hemoglobin status independently predicts short and long-term mortality.