Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

An ultra-sensitive impedimetric immunosensor for detection of the serum oncomarker CA-125 in ovarian cancer patients.

Effective treatment of ovarian cancer depends upon the early detection of the malignancy. Here, we report on the development of a new nanostructured immunosensor for early detection of cancer antigen 125 (CA-125). A gold electrode was modified with mercaptopropionic acid (MPA), and then consecutively conjugated with silica coated gold nanoparticles (AuNP@SiO2), CdSe quantum dots (QDs) and anti-CA-125 monoclonal antibody (mAb). The engineered MPA|AuNP@SiO2|QD|mAb immunosensor was characterised using transmission electron microscopy (TEM), atomic force microscopy (AFM), cyclic voltammetry (CV) and electrochemical impedance spectroscopy (EIS). Successive conjugation of AuNP@SiO2, CdSe QD and anti-CA-125 mAb onto the gold electrode resulted in sensitive detection of CA-125 with a limit of detection (LOD) of 0.0016 U mL(-1) and a linear detection range (LDR) of 0-0.1 U mL(-1). Based on the high sensitivity and specificity of the immunosensor, we propose this highly stable and reproducible biosensor for the early detection of CA-125.

Particle agglomeration study in rf silane plasmas: In situ study by polarization-sensitive laser light scattering

To determine self‐consistently the time evolution of particle size and their number density in situ multi‐angle polarization‐sensitive laser light scattering was used. Cross‐polarization intensities (incident and scattered light intensities with opposite polarization) measured at 135° and ex situ transmission electronic microscopy analysis demonstrate the existence of nonspherical agglomerates during the early phase of agglomeration. Later in the particle time development both techniques reveal spherical particles again. The presence of strong cross‐polarization intensities is accompanied by low‐frequency instabilities detected on the scattered light intensities and plasma emission. It is found that the particle radius and particle number density during the agglomeration phase can be well described by the Brownian free molecule coagulation model. Application of this neutral particle coagulation model is justified by calculation of the particle charge whereby it is shown that particles of a few tens of nanometer can be considered as neutral under our experimental conditions. The measured particle dispersion can be well described by a Brownian free molecule coagulation model including a log‐normal particle size distribution.

Putting Public Service Motivation into Context. A Balance Between Universalism and Particularism

Research on Public Service Motivation (PSM) has increased enormously in the last 20 years. Besides the analysis of the antecedents of PSM and its impact on organizations and individuals, many open questions about the nature of PSM itself still remain. This article argues that the theoretical construct of PSM should be contextualized by integrating the political and administrative contexts of public servants when investigating their specific attitudes towards working in a public environment. It also challenges the efficacy of the classic four-dimensional structure of PSM when it is applied to a specific context. The findings of a confirmatory factor analysis from a dataset of 3754 employees of 279 Swiss municipalities support the appropriateness of contextualizing parts of the PSM construct. They also support the addition of an extra dimension called, according to previous research, Swiss democratic governance. With regard to our results, there is a need for further PSM research to set a definite measure of PSM, particularly in regard to the international diffusion of empirical research on PSM.Points for practitionersThis study shows that public service motivation is a relevant construct for practitioners and may be used to better assess whether public agents are motivated by values or not. Nevertheless, it stresses also that the measurement of PSM must be adapted to the institutional context as well. Public managers interested in understanding better the degree to which their employees are motivated by public values must be aware that the measurement of this PSM construct has to be contextualized. In other words, PSM is also a function of the institutional environment in which organizations operate.

In vitro antitumor activity of methotrexate via pH-sensitive chitosan nanoparticles

Nanoparticles with pH-sensitive behavior may enhance the success of chemotherapy in many cancers by efficient intracellular drug delivery. Here, we investigated the effect of a bioactive surfactant with pH-sensitive properties on the antitumor activity and intracellular behavior of methotrexate-loaded chitosan nanoparticles (MTX-CS-NPs). NPs were prepared using a modified ionotropic complexation process, in which was included the surfactant derived from Nα,Nε-dioctanoyl lysine with an inorganic lithium counterion. The pH-sensitive behavior of NPs allowed accelerated release of MTX in an acidic medium, as well as membrane-lytic pH-dependent activity, which facilitated the cytosolic delivery of endocytosed materials. Moreover, our results clearly proved that MTX-CSNPs were more active against the tumor HeLa and MCF-7 cell lines than the free drug. The feasibilty of using NPs to target acidic tumor extracellular pH was also shown, as cytotoxicity against cancer cells was greater in a mildly acidic environment. Finally, the combined physicochemical and pH-sensitive properties of NPs generally allowed the entrapped drug to induce greater cell cycle arrest and apoptotic effects. Therefore, our overall results suggest that pH-sensitive MTX-CS-NPs could be potentially useful as a carrier system for tumor and intracellular drug delivery in cancer therapy.

pH Sensitive surfactants from lysine: assessment of their cytotoxicity and environmental behavior

The toxicity and environmental behavior of new pH-sensitive surfactants from lysine are presented. Three different chemical structures are studied: surfactants with one amino acid and one alkyl chain, surfactants with two amino acids on the polar head and one alkyl chain, and gemini surfactants. The pH sensitivity of these compounds can be tuned by modifying their chemical structures. Cytotoxicity has been evaluated using erythrocytes and fibroblast cells. The toxic effects against these cells depend on the hydrophobicity of the molecules as well as their cationic charge density. The effect of hydrophobicity and cationic charge density on toxicity is different for each type of cells. For erythrocytes, the toxicity increases as hydrophobicity and charge density increases. Nevertheless, for fibroblasts cationic charge density affects cytotoxicity in the opposite way: the higher charge density, the lower the toxicity. The effect of the pH on hemolysis has been evaluated in detail. The aquatic toxicity was established using Daphnia magna. All surfactants yielded EC50 values considerably higher than that reported for cationic surfactants based on quaternary ammonium groups. Finally, their biodegradability was evaluated using the CO2 headspace test (ISO 14593). These lysine derivatives showed high levels of biodegradation under aerobic conditions and can be classified as"readily biodegradable compounds".

Spectrum of gluten sensitive enteropathy in first degree relatives of patients with coeliac disease: clinical relevance of lymphocytic enteritis.

Background: Limited data on a short series of patients suggest that lymphocytic enteritis (classically considered as latent coeliac disease) may produce symptoms of malabsorption, although the true prevalence of this situation is unknown. Serological markers of coeliac disease are of little diagnostic value in identifying these patients. Aims: To evaluate the usefulness of human leucocyte antigen-DQ2 genotyping followed by duodenal biopsy for the detection of gluten-sensitive enteropathy in first-degree relatives of patients with coeliac disease and to assess the clinical relevance of lymphocytic enteritis diagnosed with this screening strategy. Patients and methods: 221 first-degree relatives of 82 DQ2+ patients with coeliac disease were consecutively included. Duodenal biopsy (for histological examination and tissue transglutaminase antibody assay in culture supernatant) was carried out on all DQ2+ relatives. Clinical features, biochemical parameters and bone mineral density were recorded. Results: 130 relatives (58.8%) were DQ2+, showing the following histological stages: 64 (49.2%) Marsh 0; 32 (24.6%) Marsh I; 1 (0.8%) Marsh II; 13 (10.0%) Marsh III; 15.4% refused the biopsy. 49 relatives showed gluten sensitive enteropathy, 46 with histological abnormalities and 3 with Marsh 0 but positive tissue transglutaminase antibody in culture supernatant. Only 17 of 221 relatives had positive serological markers. Differences in the diagnostic yield between the proposed strategy and serology were significant (22.2% v 7.2%, p<0.001). Relatives with Marsh I and Marsh II¿III were more often symptomatic (56.3% and 53.8%, respectively) than relatives with normal mucosa (21.1%; p=0.002). Marsh I relatives had more severe abdominal pain (p=0.006), severe distension (p=0.047) and anaemia (p=0.038) than those with Marsh 0. The prevalence of abnormal bone mineral density was similar in relatives with Marsh I (37%) and Marsh III (44.4%). Conclusions: The high number of symptomatic patients with lymphocytic enteritis (Marsh I) supports the need for a strategy based on human leucocyte antigen-DQ2 genotyping followed by duodenal biopsy in relatives of patients with coeliac disease and modifies the current concept that villous atrophy is required to prescribe a gluten-free diet.

Qüestionari de percepció de recolzament social. Context comunitari, educatiu i familiar

Projecte de recerca (EDU2011-25960) Ministerio de Ciencia e Innovación.

Microglial responsiveness as a sensitive marker for trimethyltin (TMT) neurotoxicity.

Activation of microglia is a well-documented phenomenon associated with diverse pathological conditions of the central nervous system. In order to investigate the involvement of microglial cells in the neurotoxic action of the heavy metal compound trimethyltin, three-dimensional brain cell cultures were treated during an early developmental period, using concentrations at or below the limit of cytotoxicity. Microglial cells were studied by cytochemical staining, using horseradish peroxidase-conjugated B4 isolectin (GSI-B4). In parallel, neurotoxic effects were assessed by determining the content of synaptophysin and synapsin I, both in the total homogenates and in the synaptosomal fraction of the cultures. Changes in the content of the specific growth cone protein, GAP-43, were also analyzed. It was found that low, non-cytotoxic concentrations of TMT (10(-9) to 10(-8) M) caused a significant increase in the number and/or the clustering of microglial cells. A decrease in the synaptic protein (synapsin I, synaptophysin) content was detected at 10(-8) M of TMT in synaptosomal fractions, whereas in the total homogenates, changes in synaptic proteins and GAP-43 were observed only at the cytotoxic TMT concentration (10(-6) M). Although it remains to be shown whether the microglial response is caused by direct or indirect action of TMT, the present findings show that microglial responsiveness can be detected prior to any sign of neuronal degeneration, and may serve as a sensitive indicator for heavy metal neurotoxicity in the brain.

Crosstalk between neutrophils and dendritic cells: a context-dependent process.

Neutrophils are massively and rapidly recruited following infection. They migrate to the site of acute infection and also transiently to dLNs. In addition to their well-established role as microbial killers, accumulating evidence shows that neutrophils can play an immunoregulatory role. Neutrophils were recently shown to influence the activation of different leukocyte types including NK cells, B cells, and DCs. DCs are professional APCs playing a key role to the launching and regulation of the immune response; thus, crosstalk between neutrophils and resident or newly recruited DCs may have a direct impact on the development of the antigen-specific immune response and thereby, on the outcome of infection. Neutrophils may regulate DC recruitment and/or activation. We will review here recent progress in the field, including those presented during the first international symposium on "Neutrophil in Immunity", held in Québec, Canada, in June 2012, and discuss how neutrophil regulatory action on DCs may differ depending on the type of invading microorganism and local host factors.

TORC1 is a calcium- and cAMP-sensitive coincidence detector involved in hippocampal long-term synaptic plasticity.

A key feature of memory processes is to link different input signals by association and to preserve this coupling at the level of synaptic connections. Late-phase long-term potentiation (L-LTP), a form of synaptic plasticity thought to encode long-term memory, requires gene transcription and protein synthesis. In this study, we report that a recently cloned coactivator of cAMP-response element-binding protein (CREB), called transducer of regulated CREB activity 1 (TORC1), contributes to this process by sensing the coincidence of calcium and cAMP signals in neurons and by converting it into a transcriptional response that leads to the synthesis of factors required for enhanced synaptic transmission. We provide evidence that TORC1 is involved in L-LTP maintenance at the Schaffer collateral-CA1 synapses in the hippocampus.

3D dose reconstruction for narrow beams using ion chamber array measurements.

3D dose reconstruction is a verification of the delivered absorbed dose. Our aim was to describe and evaluate a 3D dose reconstruction method applied to phantoms in the context of narrow beams. A solid water phantom and a phantom containing a bone-equivalent material were irradiated on a 6 MV linac. The transmitted dose was measured by using one array of a 2D ion chamber detector. The dose reconstruction was obtained by an iterative algorithm. A phantom set-up error and organ interfraction motion were simulated to test the algorithm sensitivity. In all configurations convergence was obtained within three iterations. A local reconstructed dose agreement of at least 3% / 3mm with respect to the planned dose was obtained, except in a few points of the penumbra. The reconstructed primary fluences were consistent with the planned ones, which validates the whole reconstruction process. The results validate our method in a simple geometry and for narrow beams. The method is sensitive to a set-up error of a heterogeneous phantom and interfraction heterogeneous organ motion.

Stability and robustness of blood variables in an antidoping context.

Introduction:  With the setting up of the newly Athlete's Biological Passport antidoping programme, novel guidelines have been introduced to guarantee results beyond reproach. We investigated in this context, the effect of storage time on the variables commonly measured for the haematological passport. We also wanted to assess for these variables, the within and between analyzer variations. Methods:  Blood samples were obtained from top level male professional cyclists (27 samples for the first part of the study and 102 for the second part) taking part to major stage races. After collection, they were transported under refrigerated conditions (2 °C < T < 12 °C), delivered to the antidoping laboratory, analysed and then stored at approximately 4 °C to conduct analysis at different time points up to 72 h after delivery. A mixed-model procedure was used to determine the stability of the different variables. Results:  As expected haemoglobin concentration was not affected by storage and showed stability for at least 72 h. Under the conditions of our investigation, the reticulocytes percentage showed a much better stability than previous published data (> 48 h) and the technical comparison of the haematology analyzer demonstrated excellent results. Conclusion:  In conclusion, our data clearly demonstrate that as long as the World Anti-Doping Agency's guidelines are followed rigorously, all blood results reach the quality level required in the antidoping context.