Essays on International Asset Allocation and Pricing

Thesis (Ph.D.)--University of Washington, 2016-06

Why Scotland needs more than just a new migration policy

The Scottish Executive has adopted a policy to combat Scotland's declining population by encouraging inward migration. Using a multi-state population model this paper presents nine long-term population scenarios for Scotland using three net international migration levels and three fertility paths. The results show inward migration can slow population decline but makes little difference to population ageing. Without a higher fertility rate Scotland's population will become demographically unsustainable. Our simulations show that a higher fertility rate substantially reduces the future ageing.

Prospective evaluation of a D-optimal designed population pharmacokinetic study

Recently, methods for computing D-optimal designs for population pharmacokinetic studies have become available. However there are few publications that have prospectively evaluated the benefits of D-optimality in population or single-subject settings. This study compared a population optimal design with an empirical design for estimating the base pharmacokinetic model for enoxaparin in a stratified randomized setting. The population pharmacokinetic D-optimal design for enoxaparin was estimated using the PFIM function (MATLAB version 6.0.0.88). The optimal design was based on a one-compartment model with lognormal between subject variability and proportional residual variability and consisted of a single design with three sampling windows (0-30 min, 1.5-5 hr and 11 - 12 hr post-dose) for all patients. The empirical design consisted of three sample time windows per patient from a total of nine windows that collectively represented the entire dose interval. Each patient was assigned to have one blood sample taken from three different windows. Windows for blood sampling times were also provided for the optimal design. Ninety six patients were recruited into the study who were currently receiving enoxaparin therapy. Patients were randomly assigned to either the optimal or empirical sampling design, stratified for body mass index. The exact times of blood samples and doses were recorded. Analysis was undertaken using NONMEM (version 5). The empirical design supported a one compartment linear model with additive residual error, while the optimal design supported a two compartment linear model with additive residual error as did the model derived from the full data set. A posterior predictive check was performed where the models arising from the empirical and optimal designs were used to predict into the full data set. This revealed the optimal'' design derived model was superior to the empirical design model in terms of precision and was similar to the model developed from the full dataset. This study suggests optimal design techniques may be useful, even when the optimized design was based on a model that was misspecified in terms of the structural and statistical models and when the implementation of the optimal designed study deviated from the nominal design.

An investigation into the antecedents of goal congruence in retail-service settings

The authors report the results of two studies that model the antecedents of goal congruence in retail-service settings. They draw the antecedents from extant research and propose that goal congruence is related to employees' perceptions of morale, leadership support, fairness in reward allocation, and empowerment. They hypothesize and test direct and indirect relationships between these constructs and goal congruence. Results of structural equations modeling suggest an important mediating role for morale and interesting areas of variation across retail and service settings.

Quantitative justification for target concentration intervention - parameter variability and predictive performance using population pharmacokinetic models for aminoglycosides

Aims [1] To quantify the random and predictable components of variability for aminoglycoside clearance and volume of distribution [2] To investigate models for predicting aminoglycoside clearance in patients with low serum creatinine concentrations [3] To evaluate the predictive performance of initial dosing strategies for achieving an aminoglycoside target concentration. Methods Aminoglycoside demographic, dosing and concentration data were collected from 697 adult patients (>=20 years old) as part of standard clinical care using a target concentration intervention approach for dose individualization. It was assumed that aminoglycoside clearance had a renal and a nonrenal component, with the renal component being linearly related to predicted creatinine clearance. Results A two compartment pharmacokinetic model best described the aminoglycoside data. The addition of weight, age, sex and serum creatinine as covariates reduced the random component of between subject variability (BSVR) in clearance (CL) from 94% to 36% of population parameter variability (PPV). The final pharmacokinetic parameter estimates for the model with the best predictive performance were: CL, 4.7 l h(-1) 70 kg(-1); intercompartmental clearance (CLic), 1 l h(-1) 70 kg(-1); volume of central compartment (V-1), 19.5 l 70 kg(-1); volume of peripheral compartment (V-2) 11.2 l 70 kg(-1). Conclusions Using a fixed dose of aminoglycoside will achieve 35% of typical patients within 80-125% of a required dose. Covariate guided predictions increase this up to 61%. However, because we have shown that random within subject variability (WSVR) in clearance is less than safe and effective variability (SEV), target concentration intervention can potentially achieve safe and effective doses in 90% of patients.

Gaussian quantum Monte Carlo methods for fermions and bosons

We introduce a new class of quantum Monte Carlo methods, based on a Gaussian quantum operator representation of fermionic states. The methods enable first-principles dynamical or equilibrium calculations in many-body Fermi systems, and, combined with the existing Gaussian representation for bosons, provide a unified method of simulating Bose-Fermi systems. As an application relevant to the Fermi sign problem, we calculate finite-temperature properties of the two dimensional Hubbard model and the dynamics in a simple model of coherent molecular dissociation.

Adsorption of ethylene on graphitized thermal carbon black and in slit pores: A computer simulation study

In this paper, we studied vapor-liquid equilibria (VLE) and adsorption of ethylene on graphitized thermal carbon black and in slit pores whose walls are composed of graphene layers. Simple models of a one-center Lennard-Jones (LJ) potential and a two-center united atom (UA)-LJ potential are investigated to study the impact of the choice of potential models in the description of VLE and adsorption behavior. Here, we used a Monte Carlo simulation method with grand canonical Monte Carlo (GCMC) and Gibbs ensemble Monte Carlo ensembles. The one-center potential model cannot describe adequately the VLE over the practical range of temperature from the triple point to the critical point. On the other hand, the two-center potential model (Wick et al. J. Phys. Chem. B 2000, 104, 8008-8016) performs well in the description of VLE (saturated vapor and liquid densities and vapor pressure) over the wide range of temperature. This UA-LJ model is then used in the study of adsorption of ethylene on graphitized thermal carbon black and in slit pores. Agreement between the GCMC simulation results and the experimental data on graphitized thermal carbon black for moderate temperatures is excellent, demonstrating that the potential of the GCMC method and the proper choice of potential model are essential to investigate adsorption. For slit pores of various sizes, we have found that the behavior of ethylene exhibits a number of features that are not manifested in the study of spherical LJ particles. In particular, the singlet density distribution versus distance across the pore and the angle between the molecular axis and the z direction provide rich information about the way molecules arrange themselves when the pore width is varied. Such an arrangement has been found to be very sensitive to the pore width.

Population pharmacokinetics and association between A77 1726 plasma concentrations and disease activity measures following administration of leflunomide to people with rheumatoid arthritis

Aims To investigate the concentration-effect relationship and pharmacokinetics of leflunomide in patients with rheumatoid arthritis (RA). Methods Data were collected from 23 RA patients on leflunomide therapy (as sole disease modifying antirheumatic drug (DMARD)) for at least 3 months. Main measures were A77 1726 (active metabolite of leflunomide) plasma concentrations and disease activity measures including pain, duration/intensity of morning stiffness, and SF-36 survey. A population estimate was sought for apparent clearance (CL/F ) and volume of distribution was fixed (0.155 l kg(-1)). Factors screened for influence on CL/F were weight, age, gender and estimated creatinine clearance. Results Significantly higher A77 1726 concentrations were seen in patients with less swollen joints and with higher SF-36 mental summary scores than in those with measures indicating more active disease (P < 0.05); concentration-effect trends were seen with five other disease activity measures. Statistical analysis of all disease activity measures showed that mean A77 1726 concentrations in groups with greater control of disease activity were significantly higher than those in whom the measures indicated less desirable control (P < 0.05). There was large between subject variability in the dose-concentration relationship. A steady-state infusion model best described the pharmacokinetic data. Inclusion of age as a covariate decreased interindividual variability (P < 0.01), but this would not be clinically important in terms of dosage changes. Final parameter estimate (% CV interindividual variability) for CL/F was 0.0184 l h(-1) (50%) (95% CI 0.0146, 0.0222). Residual (unexplained) variability (% CV) was 8.5%. Conclusions This study of leflunomide in patients using the drug clinically indicated a concentration-effect relationship. From our data, a plasma A77 1726 concentration of 50 mg l(-1) is more likely to indicate someone with less active disease than is a concentration around 30 mg l(-1). The marked variability in pharmacokinetics suggests a place for individualized dosing of leflunomide in RA therapy.

Optimization of co-current spray drying process of sugar-rich foods. Part I - Moisture and glass transition temperature profile during drying

A steady state mathematical model for co-current spray drying was developed for sugar-rich foods with the application of the glass transition temperature concept. Maltodextrin-sucrose solution was used as a sugar-rich food model. The model included mass, heat and momentum balances for a single droplet drying as well as temperature and humidity profile of the drying medium. A log-normal volume distribution of the droplets was generated at the exit of the rotary atomizer. This generation created a certain number of bins to form a system of non-linear first-order differential equations as a function of the axial distance of the drying chamber. The model was used to calculate the changes of droplet diameter, density, temperature, moisture content and velocity in association with the change of air properties along the axial distance. The difference between the outlet air temperature and the glass transition temperature of the final products (AT) was considered as an indicator of stickiness of the particles in spray drying process. The calculated and experimental AT values were close, indicating successful validation of the model. (c) 2004 Elsevier Ltd. All rights reserved.

Testing predictions of macroscopic binary diffusion coefficients using lattice models with site heterogeneity

Quantitatively predicting mass transport rates for chemical mixtures in porous materials is important in applications of materials such as adsorbents, membranes, and catalysts. Because directly assessing mixture transport experimentally is challenging, theoretical models that can predict mixture diffusion coefficients using Only single-component information would have many uses. One such model was proposed by Skoulidas, Sholl, and Krishna (Langmuir, 2003, 19, 7977), and applications of this model to a variety of chemical mixtures in nanoporous materials have yielded promising results. In this paper, the accuracy of this model for predicting mixture diffusion coefficients in materials that exhibit a heterogeneous distribution of local binding energies is examined. To examine this issue, single-component and binary mixture diffusion coefficients are computed using kinetic Monte Carlo for a two-dimensional lattice model over a wide range of lattice occupancies and compositions. The approach suggested by Skoulidas, Sholl, and Krishna is found to be accurate in situations where the spatial distribution of binding site energies is relatively homogeneous, but is considerably less accurate for strongly heterogeneous energy distributions.

ARTE NA ESCOLA: A DIMENSÃO DO PROCESSO CRIATIVO NA RELAÇÃO PEDAGÓGICA

O estudo realizado nesta pesquisa tem como foco aprofundar as discussões e reflexões sobre o processo criativo e sua importância na relação pedagógica a partir das práticas de professores de Artes. Quando abordamos o processo de criar do aluno e a experimentação no contexto escolar, que possibilidades, limites e obstáculos se manifestam? Trata-se de uma investigação de cunho qualitativo, realizada com base teórica em pesquisa bibliográfica, tendo como referenciais: Paulo Freire (2007) e sua discussão sobre a importância da relação-pedagógica para a construção da autonomia do aluno; Ana Mae Barbosa (2008) e seus estudos sobre a Arte-educação no Brasil e a formação do professor de Arte; os Parâmetros Curriculares Nacionais de Arte (1998) com ênfase na recomendação sobre a articulação dos três eixos metodológicos: criação/produção em Arte, fruição estética, e reflexão; Porcher (1982) e sua discussão sobre a importância da Educação Artística e Albano (1998) com o seu relato sobre a experiência vivida entre a artista Tarsila do Amaral e o seu aprendiz Tuneu. A pesquisa de campo foi desenvolvida com a realização de entrevistas com três professoras de Arte e três alunos (um aluno de cada professora), de duas escolas estaduais da Rede Pública de Ensino de São Bernardo do Campo e uma escola estadual da Rede Pública de Ensino de Diadema. Para o tratamento dos dados coletados nas entrevistas foi utilizada a Metodologia de Análise de Conteúdo proposta por Franco (2008). A análise dos dados demonstrou que o processar de ideias, a experimentação e todo o processo criativo do aluno passa quase sempre desapercebido na sua importância enquanto prática pedagógica desenvolvida no contexto escolar nas aulas de Arte. Os dados apresentados na pesquisa, quanto à formação do professor, indicam um grau elevado formativo, mas que, quando comparado à prática pedagógica, percebemos lacunas sobre a importância do papel da relação pedagógica no processo criativo do aluno. Apesar disto se apresentar como uma realidade na pesquisa, não poderíamos deixar de mencionar que, mesmo tendo uma pequena representação, observamos uma prática metodológica que cristaliza positivamente o processo criativo do aluno como forma de construção da autonomia, onde o aluno é presenteado com uma relação pedagógica que promove o experimentar, o criar e todas as formas de se expressar, de se fazer atuante, de expressar sua visão de mundo.

The development of a modified dissolution method suitable for investigating powder mixtures

A novel dissolution method was developed, suitable for powder mixtures, based on the USP basket apparatus. The baskets were modified such that the powder mixtures were retained within the baskets and not dispersed, a potential difficulty that may arise when using conventional USP basket and paddle apparatus. The advantages of this method were that the components of the mixtures were maintained in close proximity, maximizing any drug:excipient interaction and leading to more linear dissolution profiles. Two weakly acidic model drugs, ibuprofen and acetaminophen, and a selection of pharmaceutical excipients, including potential dissolution-enhancing alkalizing agents, were chosen for investigation. Dissolution profiles were obtained for simple physical mixtures. The f1 fit factor values, calculated using pure drug as the reference material, demonstrated a trend in line with expectations, with several dissolution enhancers apparent for both drugs. Also, the dissolution rates were linear over substantial parts of the profiles. For both drugs, a rank order comparison between the f1 fit factor and calculated dissolution rate, obtained from the linear section of the dissolution profile, demonstrated a correlation using a significance level of P=0.05. The method was proven to be suitable for discriminating between the effects of excipients on the dissolution of the model drugs. The method design produced dissolution profiles where the dissolution rate was linear for a substantial time, allowing determination of the dissolution rate without mathematical transformation of the data. This method may be suitable as a preliminary excipient-screening tool in the drug formulation development process.

An investigation into the antecedents of goal congruence in retail-service settings

The authors report the results of two studies that model the antecedents of goal congruence in retail-service settings. They draw the antecedents from extant research and propose that goal congruence is related to employees' perceptions of morale, leadership support, fairness in reward allocation, and empowerment. They hypothesize and test direct and indirect relationships between these constructs and goal congruence. Results of structural equations modeling suggest an important mediating role for morale and interesting areas of variation across retail and service settings.

Breast cancer teams:the impact of constitution, new cancer workload and methods of operation on their effectiveness

National guidance and clinical guidelines recommended multidisciplinary teams (MDTs) for cancer services in order to bring specialists in relevant disciplines together, ensure clinical decisions are fully informed, and to coordinate care effectively. However, the effectiveness of cancer teams was not previously evaluated systematically. A random sample of 72 breast cancer teams in England was studied (548 members in six core disciplines), stratified by region and caseload. Information about team constitution, processes, effectiveness, clinical performance, and members' mental well-being was gathered using appropriate instruments. Two input variables, team workload (P=0.009) and the proportion of breast care nurses (P=0.003), positively predicted overall clinical performance in multivariate analysis using a two-stage regression model. There were significant correlations between individual team inputs, team composition variables, and clinical performance. Some disciplines consistently perceived their team's effectiveness differently from the mean. Teams with shared leadership of their clinical decision-making were most effective. The mental well-being of team members appeared significantly better than in previous studies of cancer clinicians, the NHS, and the general population. This study established that team composition, working methods, and workloads are related to measures of effectiveness, including the quality of clinical care. © 2003 Cancer Research UK.

Contrast discrimination with simultaneous monocular and dichoptic masks

In experiments reported elsewhere at this conference, we have revealed two striking results concerning binocular interactions in a masking paradigm. First, at low mask contrasts, a dichoptic masking grating produces a small facilitatory effect on the detection of a similar test grating. Second, the psychometric slope for dichoptic masking starts high (Weibull ß~4) at detection threshold, becomes low (ß~1.2) in the facilitatory region, and then unusually steep at high mask contrasts (ß~5.5). Neither of these results is consistent with Legge's (1984 Vision Research 24 385 - 394) model of binocular summation, but they are predicted by a two-stage gain control model in which interocular suppression precedes binocular summation. Here, we pose a further challenge for this model by using a 'twin-mask' paradigm (cf Foley, 1994 Journal of the Optical Society of America A 11 1710 - 1719). In 2AFC experiments, observers detected a patch of grating (1 cycle deg-1, 200 ms) presented to one eye in the presence of a pedestal in the same eye and a spatially identical mask in the other eye. The pedestal and mask contrasts varied independently, producing a two-dimensional masking space in which the orthogonal axes (10X10 contrasts) represent conventional dichoptic and monocular masking. The resulting surface (100 thresholds) confirmed and extended the observations above, and fixed the six parameters in the model, which fitted the data well. With no adjustment of parameters, the model described performance in a further experiment where mask and test were presented to both eyes. Moreover, in both model and data, binocular summation was greater than a factor of v2 at detection threshold. We conclude that this two-stage nonlinear model, with interocular suppression, gives a good account of early binocular processes in the perception of contrast. [Supported by EPSRC Grant Reference: GR/S74515/01]