A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Connecting soundscape to landscape: Which acoustic index best describes landscape configuration?

Soundscape assessment has been proposed as a remote ecological monitoring tool for measuring biodiversity, but few studies have examined how soundscape patterns vary with landscape configuration and condition. The goal of our study was to examine a suite of published acoustic indices to determine whether they provide comparable results relative to varying levels of landscape fragmentation and ecological condition in nineteen forest sites in eastern Australia. Our comparison of six acoustic indices according to time of day revealed that two indices, the acoustic complexity and the bioacoustic index, presented a similar pattern that was linked to avian song intensity, but was not related to landscape and biodiversity attributes. The diversity indices, acoustic entropy and acoustic diversity, and the normalized difference soundscape index revealed high nighttime sound, as well as a dawn and dusk chorus. These indices appear to be sensitive to nocturnal biodiversity which is abundant at night in warm, subtropical environments. We argue that there is need to better understand temporal partitioning of the soundscape by specific taxonomic groups, and this should involve integrated research on amphibians, insects and birds during a 24 h cycle. The three indices that best connected the soundscape with landscape characteristics, ecological condition and bird species richness were acoustic entropy, acoustic evenness and the normalized difference soundscape index. This study has demonstrated that remote soundscape assessment can be implemented as an ecological monitoring tool in fragmented Australian forest landscapes. However, further investigation should be dedicated to refining and/or combining existing acoustic indices and also to determine if these indices are appropriate in other landscapes and for other survey purposes.

A theoretical framework for designing and evaluating strategies to identify cases of serious child abuse and neglect

A central dimension of the State’s responsibility in a liberal democracy and any just society is the protection of individuals’ central rights and freedoms, and the creation of the minimum conditions under which each individual has an opportunity to lead a life of sufficient equality, dignity and value. A special subset of this responsibility is to protect those who are unable to protect themselves from genuine harm. Substantial numbers of children suffer serious physical, emotional and sexual abuse, and neglect at the hands of their parents and caregivers or by other known parties. Child abuse and neglect occurs in a situation of extreme power asymmetry. The physical, social, behavioural and economic costs to the individual, and the social and economic costs to communities, are vast. Children are not generally able to protect themselves from serious abuse and neglect. This enlivens both the State’s responsibility to protect the child, and the debate about how that responsibility can and should be discharged. A core question arises for all societies, given that most serious child maltreatment occurs in the family sphere, is unlikely to be disclosed, causes substantial harm to both individual and community, and infringes fundamental individual rights and freedoms. The question is: how can society identify these situations so that the maltreatment can be interrupted, the child’s needs for security and safety, and health and other rehabilitation can be met, and the family’s needs can be addressed to reduce the likelihood of recurrence? This chapter proposes a theoretical framework applicable for any society that is considering justifiable and effective policy approaches to identify and respond to cases of serious child abuse and neglect. The core of the theoretical framework is based on major principles from both classical liberal political philosophy (Locke and Mill), and leading political philosophers from the twentieth century and the first part of the new millennium (Rawls, Rorty, Okin, Nussbaum), and is further situated within fundamental frameworks of civil and criminal law, and health and economics.

Is there a link between poverty and food security?

This paper addresses the gap in economic theory underlying the multidimensional concept of food security and observed data by deriving a composite food security index using the latent class model. The link between poverty and food security is then examined using the new food security index and the robustness of the link is compared with two unidimensional measures often used in the literature. Using Vietnam as a case study, it was found that a weak link exists for the rural but not for the urban composite food security index. The unidimensional measures on the other hand show a strong link in both the rural and urban regions. The results on the link are also different and mixed when two poverty types given by persistent and transient poverty are considered. These findings have important policy implications for a targeted approach to addressing food security.

Submission to Senate Economics References Committee, An Inquiry in to Affordable Housing

Developer paid fees or infrastructure charges are a commonly used mechanism for local governments to pay for new infrastructure. However, property developers claim that these costs are merely passed on to home buyers, with adverse effects to housing affordability. Despite numerous government reports and many years of industry advocacy, there remains no empirical evidence in Australia to confirm or quantify this passing on effect to home buyers and the consequent effect on housing affordability. Hence there remains no data from which governments can base policy decision on, and the debate continues. This research examines the question of the impact of infrastructure charges on housing affordability in Australia. It employs hedonic regression methods to estimate the impact of infrastructure charges on house prices and vacant lot prices in Brisbane, Australia during 2005-2011, using a data set of 29,752 house sales, comprising 4,699 new house sales and 25,053 existing house sales and 13,739 lot sales. The regression results for the effect of infrastructure charges on house prices in Brisbane indicated that for every $1.00 of infrastructure charge levied on developers, all house prices increase by $3.69 or a 369% overpassing of these government levies onto home buyers. Thus, this one government levy could be responsible for $877 per month on home owner mortgage repayments in Brisbane, Queensland. This research is consistent with international findings, that support the proposition that developer paid infrastructure charges are passed on to home buyers and are a significant contributor to increasing house prices and reduced housing affordability. Understanding who really pays for urban infrastructure is critical to both the housing affordability and infrastructure funding debates in Australia and this research provides the first empirical data for policy makers to assess their policy objectives and outcomes against.

Maternal pregravid body mass index and child hospital admissions in the first 5 years of life: results from an Australian birth cohort

Objectives: To examine the association of maternal pregravid body mass index (BMI) and child offspring, all-cause hospitalisations in the first 5 years of life. Methods: Prospective birth cohort study. From 2006 to 2011, 2779 pregnant women (2807 children) were enrolled in the Environments for Healthy Living: Griffith birth cohort study in South-East Queensland, Australia. Hospital delivery record and self-report baseline survey of maternal, household and demographic factors during pregnancy were linked to the Queensland Hospital Admitted Patients Data Collection from 1 November 2006 to 30 June 2012, for child admissions. Maternal pregravid BMI was classified as underweight (<18.5 kg m−2), normal weight (18.5–24.9 kg m−2), overweight (25.0–29.9 kg m−2) or obese (30 kg m−2). Main outcomes were the total number of child hospital admissions and ICD-10-AM diagnostic groupings in the first 5 years of life. Negative binomial regression models were calculated, adjusting for follow-up duration, demographic and health factors. The cohort comprised 8397.9 person years (PYs) follow-up. Results: Children of mothers who were classified as obese had an increased risk of all-cause hospital admissions in the first 5 years of life than the children of mothers with a normal BMI (adjusted rate ratio (RR) =1.48, 95% confidence interval 1.10–1.98). Conditions of the nervous system, infections, metabolic conditions, perinatal conditions, injuries and respiratory conditions were excessive, in both absolute and relative terms, for children of obese mothers, with RRs ranging from 1.3–4.0 (PYs adjusted). Children of mothers who were underweight were 1.8 times more likely to sustain an injury or poisoning than children of normal-weight mothers (PYs adjusted). Conclusion: Results suggest that if the intergenerational impact of maternal obesity (and similarly issues related to underweight) could be addressed, a significant reduction in child health care use, costs and public health burden would be likely.

Robust principal component analysis in water quality index development

Some statistical procedures already available in literature are employed in developing the water quality index, WQI. The nature of complexity and interdependency that occur in physical and chemical processes of water could be easier explained if statistical approaches were applied to water quality indexing. The most popular statistical method used in developing WQI is the principal component analysis (PCA). In literature, the WQI development based on the classical PCA mostly used water quality data that have been transformed and normalized. Outliers may be considered in or eliminated from the analysis. However, the classical mean and sample covariance matrix used in classical PCA methodology is not reliable if the outliers exist in the data. Since the presence of outliers may affect the computation of the principal component, robust principal component analysis, RPCA should be used. Focusing in Langat River, the RPCA-WQI was introduced for the first time in this study to re-calculate the DOE-WQI. Results show that the RPCA-WQI is capable to capture similar distribution in the existing DOE-WQI.

Adjustment of apnea-hypopnea index with severity of obstruction events enhances detection of sleep apnea patients with the highest risk of severe health consequences

Introduction Presently, the severity of obstructive sleep apnea (OSA) is estimated based on the apnea-hypopnea index (AHI). Unfortunately, AHI does not provide information on the severity of individual obstruction events. Previously, the severity of individual obstruction events has been suggested to be related to the outcome of the disease. In this study, we incorporate this information into AHI and test whether this novel approach would aid in discriminating patients with the highest risk. We hypothesize that the introduced adjusted AHI parameter provides a valuable supplement to AHI in the diagnosis of the severity of OSA. Methods This hypothesis was tested by means of retrospective follow-up (mean ± sd follow-up time 198.2 ± 24.7 months) of 1,068 men originally referred to night polygraphy due to suspected OSA. After exclusion of the 264 patients using CPAP, the remaining 804 patients were divided into normal (AHI < 5) and OSA (AHI ≥ 5) categories based on conventional AHI and adjusted AHI. For a more detailed analysis, the patients were divided into normal, mild, moderate, and severe OSA categories based on conventional AHI and adjusted AHI. Subsequently, the mortality and cardiovascular morbidity in these groups were determined. Results Use of the severity of individual obstruction events for adjustment of AHI led to a significant rearrangement of patients between severity categories. Due to this rearrangement, the number of deceased patients diagnosed to have OSA was increased when adjusted AHI was used as the diagnostic index. Importantly, risk ratios of all-cause mortality and cardiovascular morbidity were higher in moderate and severe OSA groups formed based on the adjusted AHI parameter than in those formed based on conventional AHI. Conclusions The adjusted AHI parameter was found to give valuable supplementary information to AHI and to potentially improve the recognition of OSA patients with the highest risk of mortality or cardiovascular morbidity.

Plasmon nanofocusing with negative refraction in a high-index dielectric wedge

Here, we describe a metal-insulator-insulator nanofocusing structure formed by a high-permittivity dielectric wedge on a metal substrate. The structure is shown to produce nanofocusing of surface plasmon polaritons (SPPs) in the direction opposite to the taper of the wedge, including a range of nanoplasmonic effects such as nanofocusing of SPPs with negative refraction, formation of plasmonic caustics within a nanoscale distance from the wedge tip, mutual transformation of SPP modes, and significant local field enhancements in the adiabatic and strongly nonadiabatic regimes. A combination of approximate analytical and rigorous numerical approaches is used to analyze the strength and position of caustics in the structure. In particular, it is demonstrated that strong SPP localization within spatial regions as small as a few tens of nanometers near the caustic is achievable in the considered structures. Contrary to other nanofocusing configurations, efficient nanofocusing is shown to occur in the strongly nonadiabatic regime with taper angles of the dielectric wedge as large as ∼40° and within uniquely short distances (as small as a few dozens of nanometers) from the tip of the wedge. Physical interpretations of the obtained results are also presented and discussed.

Validation of a Spanish version of the Spine Functional Index

Background The Spine Functional Index (SFI) is a recently published, robust and clinimetrically valid patient reported outcome measure. Objectives The purpose of this study was the adaptation and validation of a Spanish-version (SFI-Sp) with cultural and linguistic equivalence. Methods A two stage observational study was conducted. The SFI was cross-culturally adapted to Spanish through double forward and backward translation then validated for its psychometric characteristics. Participants (n = 226) with various spine conditions of >12 weeks duration completed the SFI-Sp and a region specific measure: for the back, the Roland Morris Questionnaire (RMQ) and Backache Index (BADIX); for the neck, the Neck Disability Index (NDI); for general health the EQ-5D and SF-12. The full sample was employed to determine internal consistency, concurrent criterion validity by region and health, construct validity and factor structure. A subgroup (n = 51) was used to determine reliability at seven days. Results The SFI-Sp demonstrated high internal consistency (α = 0.85) and reliability (r = 0.96). The factor structure was one-dimensional and supported construct validity. Criterion specific validity for function was high with the RMQ (r = 0.79), moderate with the BADIX (r = 0.59) and low with the NDI (r = 0.46). For general health it was low with the EQ-5D and inversely correlated (r = −0.42) and fair with the Physical and Mental Components of the SF-12 and inversely correlated (r = −0.56 and r = −0.48), respectively. The study limitations included the lack of longitudinal data regarding other psychometric properties, specifically responsiveness. Conclusions The SFI-Sp was demonstrated as a valid and reliable spine-regional outcome measure. The psychometric properties were comparable to and supported those of the English-version, however further longitudinal investigations are required.

A quantitative metric to identify critical elements within seafood supply networks

A theoretical basis is required for comparing key features and critical elements in wild fisheries and aquaculture supply chains under a changing climate. Here we develop a new quantitative metric that is analogous to indices used to analyse food-webs and identify key species. The Supply Chain Index (SCI) identifies critical elements as those elements with large throughput rates, as well as greater connectivity. The sum of the scores for a supply chain provides a single metric that roughly captures both the resilience and connectedness of a supply chain. Standardised scores can facilitate cross-comparisons both under current conditions as well as under a changing climate. Identification of key elements along the supply chain may assist in informing adaptation strategies to reduce anticipated future risks posed by climate change. The SCI also provides information on the relative stability of different supply chains based on whether there is a fairly even spread in the individual scores of the top few key elements, compared with a more critical dependence on a few key individual supply chain elements. We use as a case study the Australian southern rock lobster Jasus edwardsii fishery, which is challenged by a number of climate change drivers such as impacts on recruitment and growth due to changes in large-scale and local oceanographic features. The SCI identifies airports, processors and Chinese consumers as the key elements in the lobster supply chain that merit attention to enhance stability and potentially enable growth. We also apply the index to an additional four real-world Australian commercial fishery and two aquaculture industry supply chains to highlight the utility of a systematic method for describing supply chains. Overall, our simple methodological approach to empirically-based supply chain research provides an objective method for comparing the resilience of supply chains and highlighting components that may be critical.

Estimating the potential impact of entry fees for marine parks on dive tourism in South East Asia

Marine reserves are increasingly being established as a mechanism to protect marine biodiversity and sensitive habitats. As well as providing conservation benefits, marine reserves provide benefits to recreational scuba divers who dive within the reserve, as well as to recreational and commercial fishers outside the reserve through spill-over effects. To ensure benefits are being realised, management of marine reserves requires ongoing monitoring and surveillance. These are not costless, and many marine reserve managers impose an entry fee. In some countries, dive tourism is major income source to coastal industries, and a concern is that high entry fees may dissuade divers. In this paper, the price elasticity of demand for dive tourism in three countries in South East Asia – Indonesia, Thailand and Malaysia – is estimated using a travel-cost model. From the model, the total non-market use value associated with diving in the area is estimated to be in the order of US$4.5 billion a year. The price elasticity of demand in the region is highly inelastic, such that increasing the cost of diving through a management levy would have little impact on total diver numbers.

Validity of currently used cutoff values of body mass index as a measure of obesity in Sri Lankan children

The aim of the study was to determine the reliability of body mass index based (BMI) cutoff values in diagnosing obesity among Sri Lankan children. Height, weight, waist circumference (WC) and hip circumference (HC) in 282 children were measured. Total body water was determined by deuterium dilution and fat mass (FM) derived using age and gender specific constants. A percentage FM of 30% for girls and 25% for boys were considered as cutoff levels for obesity. Two hundred and eighty two children (M/F: 158/124) were studied and 99 (80%) girls and 72 (45.5%) boys were obese based on % body fat. Eight (6.4%) girls and nine (5.7%) boys were obese based on International Obesity Task Force (IOTF) cutoff values. Percentage FM and WC centile charts were able to diagnose a significant proportion of children as true obese children. The FM and BMI were closely associated in both girls (r = 0.82, p < 0.001) and boys (r = 0.87, p < 0.001). Percentage FM and BMI had a very low but significant association; girls (r = 0.32, p < 0.001) and boys (r = 0.68, p < 0.001). FM had a significant association with WC and HC. BMI based cutoff values had a specificity of 100% but a very low sensitivity, varying between 8% and 23.6%. BMI is a poor indicator of the percentage fat and the commonly used cutoff values were not sensitive to detect cases of childhood obesity in Sri Lankan children.

Global, regional, and national incidence, prevalence, and years lived with disability for 301 acute and chronic diseases and injuries in 188 countries, 1990–2013: a systematic analysis for the Global Burden of Disease Study 2013

Background Up-to-date evidence about levels and trends in disease and injury incidence, prevalence, and years lived with disability (YLDs) is an essential input into global, regional, and national health policies. In the Global Burden of Disease Study 2013 (GBD 2013), we estimated these quantities for acute and chronic diseases and injuries for 188 countries between 1990 and 2013. Methods Estimates were calculated for disease and injury incidence, prevalence, and YLDs using GBD 2010 methods with some important refi nements. Results for incidence of acute disorders and prevalence of chronic disorders are new additions to the analysis. Key improvements include expansion to the cause and sequelae list, updated systematic reviews, use of detailed injury codes, improvements to the Bayesian meta-regression method (DisMod-MR), and use of severity splits for various causes. An index of data representativeness, showing data availability, was calculated for each cause and impairment during three periods globally and at the country level for 2013. In total, 35 620 distinct sources of data were used and documented to calculated estimates for 301 diseases and injuries and 2337 sequelae. The comorbidity simulation provides estimates for the number of sequelae, concurrently, by individuals by country, year, age, and sex. Disability weights were updated with the addition of new population-based survey data from four countries. Findings Disease and injury were highly prevalent; only a small fraction of individuals had no sequelae. Comorbidity rose substantially with age and in absolute terms from 1990 to 2013. Incidence of acute sequelae were predominantly infectious diseases and short-term injuries, with over 2 billion cases of upper respiratory infections and diarrhoeal disease episodes in 2013, with the notable exception of tooth pain due to permanent caries with more than 200 million incident cases in 2013. Conversely, leading chronic sequelae were largely attributable to non-communicable diseases, with prevalence estimates for asymptomatic permanent caries and tension-type headache of 2∙4 billion and 1∙6 billion, respectively. The distribution of the number of sequelae in populations varied widely across regions, with an expected relation between age and disease prevalence. YLDs for both sexes increased from 537∙6 million in 1990 to 764∙8 million in 2013 due to population growth and ageing, whereas the age-standardised rate decreased little from 114∙87 per 1000 people to 110∙31 per 1000 people between 1990 and 2013. Leading causes of YLDs included low back pain and major depressive disorder among the top ten causes of YLDs in every country. YLD rates per person, by major cause groups, indicated the main drivers of increases were due to musculoskeletal, mental, and substance use disorders, neurological disorders, and chronic respiratory diseases; however HIV/AIDS was a notable driver of increasing YLDs in sub-Saharan Africa. Also, the proportion of disability-adjusted life years due to YLDs increased globally from 21·1% in 1990 to 31·2% in 2013. Interpretation Ageing of the world’s population is leading to a substantial increase in the numbers of individuals with sequelae of diseases and injuries. Rates of YLDs are declining much more slowly than mortality rates. The non-fatal dimensions of disease and injury will require more and more attention from health systems. The transition to nonfatal outcomes as the dominant source of burden of disease is occurring rapidly outside of sub-Saharan Africa. Our results can guide future health initiatives through examination of epidemiological trends and a better understanding of variation across countries.

Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.