Understanding portfolio efficiency with conditioning information

We show that unconditionally efficient returns do not achieve the maximum unconditionalSharpe ratio, neither display zero unconditional Jensen s alphas, when returns arepredictable. Next, we define a new type of efficient returns that is characterized by thoseunconditional properties. We also study a different type of efficient returns that is rationalizedby standard mean-variance preferences and motivates new Sharpe ratios and Jensen salphas. We revisit the testable implications of asset pricing models from the perspective ofthe three sets of efficient returns. We also revisit the empirical evidence on the conditionalvariants of the CAPM and the Fama-French model from a portfolio perspective.

Gestão da Qualidade nas Entidades Públicas: O caso da entidade beta

Evidenciando a literatura sobre o Total Quality Management (TQM), que existem posições muito divergentes sobre a possibilidade da sua aplicação às entidades do sector público, o presente estudo tem como principal objetivo analisar a implementação do TQM nas Entidades Públicas, no sentido de compreender as motivações e as dificuldades que essas entidades enfrentam. Ao mesmo tempo, procura mostrar que adoção desta filosofia de gestão deixou de ser destinada apenas ao sector privado, passando também a fazer parte da realidade das organizações públicas. Como forma de alcançar os objetivos propostos, optou-se por uma metodologia qualitativa e interpretativa, tendo sido utilizado o método do estudo de caso e como técnica de investigação entrevistas semiestruturadas aos colaboradores da Entidade Beta envolvidos no processo da qualidade. As principais conclusões apontam pelo facto de a adoção do TQM na Entidade Beta ter contado com o envolvimento da gestão de topo e de todos os colaboradores apesar de inicialmente existir uma grande resistência por parte destes últimos. Uma das principais motivações para a adoção desta filosofia foi a preocupação com a imagem externa, bem como a preocupação em satisfazer as necessidades dos clientes. Quanto às dificuldades encontradas no processo de implementação, a escassez de tempo foi a mais realçada pelos colaboradores. A aplicação do TQM à Entidade Beta trouxe vários benefícios, tais como a melhoria dos processos, incentivo ao trabalho de equipa, satisfação dos clientes e uma visão de melhoria contínua.

Tomosyn-1 is involved in a post-docking event required for pancreatic beta-cell exocytosis.

Although the assembly of a ternary complex between the SNARE proteins syntaxin-1, SNAP25 and VAMP2 is known to be crucial for insulin exocytosis, the mechanisms controlling this key event are poorly understood. We found that pancreatic beta-cells express different isoforms of tomosyn-1, a syntaxin-1-binding protein possessing a SNARE-like motif. Using atomic force microscopy we show that the SNARE-like domain of tomosyn-1 can form a complex with syntaxin-1 and SNAP25 but displays binding forces that are weaker than those observed for VAMP2 (237+/-13 versus 279+/-3 pN). In pancreatic beta-cells tomosyn-1 was found to be concentrated in cellular compartments enriched in insulin-containing secretory granules. Silencing of tomosyn-1 in the rat beta-cell line INS-1E by RNA interference did not affect the number of secretory granules docked at the plasma membrane but led to a reduction in stimulus-induced exocytosis. Replacement of endogenous tomosyn-1 with mouse tomosyn-1, which differs in the nucleotide sequence from its rat homologue and escapes silencing, restored a normal secretory rate. Taken together, our data suggest that tomosyn-1 is involved in a post-docking event that prepares secretory granules for fusion and is necessary to sustain exocytosis of pancreatic beta-cells in response to insulin secretagogues.

On the relevance of modeling volatility for pricing purposes

This paper presents a two-factor (Vasicek-CIR) model of the term structure of interest rates and develops its pricing and empirical properties. We assume that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread. Assuming a certain process for both factors, a general bond pricing equation is derived and a closed-form expression for bond prices is obtained. Empirical evidence of the model's performance in comparisson with a double Vasicek model is presented. The main conclusion is that the modeling of the volatility in the long-term rate process can help (in a large amount) to fit the observed data can improve - in a reasonable quantity - the prediction of the future movements in the medium- and long-term interest rates. However, for shorter maturities, it is shown that the pricing errors are, basically, negligible and it is not so clear which is the best model to be used.

The determinants of pricing in pharmaceuticals: Are U.S. prices really higher than those of Canada?

This paper studies price determination in pharmaceutical markets using data for 25 countries, six years and a comprehensive list of products from the MIDAS IMS database. We show that market power and the quality of the product has a significantly positive impact of prices. The nationality of the producer appears to have a small and often insignificant impact on prices, which suggests that countries which regulates prices have relatively little power to do it in a way that advances narrow national interest. We produce a theoretical explanation for this phenomenon based on the fact that low negotiated prices in a country would have a knock-on effect in other markets, and is thus strongly resisted by producers.Another key finding is that the U.S. has prices that are not significantly higher than those of countries with similar income levels. This, together with the former observation on the effect of the nationality of producers casts doubt on the ability of countries to pursue "free-riding" regulation.

Review of the literature on reference pricing

This paper reviews the literature on reference pricing (RP) in pharmaceutical markets. The RP strategy for cost containment of expenditure on drugs is analyzed as part of the procurement mechanism. We review the existing literature and the state-of-the-art regarding RP by focusing on its economic effects. In particular, we consider: (1) the institutional context and problem-related factors which appear to underline the need to implement an RP strategy; i.e., its nature, characteristics and the sort of health care problems commonly addressed; (2) how RP operates in practice; that is, how third party-payers (the insurers/buyers) have established the RP systems existing on the international scene (i.e., information methods, monitoring procedures and legislative provisions); (3)the range of effects resulting from particular RP strategies (including effects on choice of appropriate pharmaceuticals, insurer savings, total drug expenditures, prices of referenced and non-referenced products and dynamic efficiency; (4) the market failures which an RP policy is supposed to address and the main advantages and drawbacks which emerge from an analysis of its effects. Results suggest that RP systems achieve better their postulated goals (1) if cost inflation in pharmaceuticals is due to high prices rather than to the excess of prescription rates, (2) when the larger is the existing difference in prices among equivalent drugs, and (3) more important is the actual market for generics.

Variations in IB1/JIP1 expression regulate susceptibility of beta-cells to cytokine-induced apoptosis irrespective of C-Jun NH2-terminal kinase signaling.

We previously reported that interleukin-1beta (IL-1beta) alone does not cause apoptosis of beta-cells, whereas when combined with gamma-interferon (IFN-gamma) and tumor necrosis factor-alpha (TNF-alpha), it exerts a distinct apoptotic effect. Studies in beta-cell lines indicated that IL-1beta reduced expression of islet brain (IB)-1/JNK interacting protein (JIP)-1, a JNK scaffold protein with antiapoptotic action. We examined whether variations in IB1/JIP-1 expression in purified primary beta-cells affect their susceptibility to cytokine-induced apoptosis. Exposure to IL-1beta for 24 h decreased cellular IB1/JIP-1 content by 66 +/- 17%; this IL-1beta effect was maintained in the presence of TNF-alpha + IFN-gamma, which did not influence IB1/JIP-1 levels by themselves. Addition of IL-1beta to TNF-alpha + IFN-gamma increased apoptosis from 20 +/- 2% to 59 +/- 5%. A similar increase in TNF-alpha + IFN-gamma-induced apoptosis was produced by adenoviral expression of antisense IB1/JIP-1 and was not further enhanced by addition of IL-1beta, indicating that IL-1beta-mediated suppression of IB1/JIP-1 in beta-cells increases their susceptibility to cytokine-induced apoptosis. However, adenovirally mediated overexpression of IB1/JIP-1 also potentiated TNF-alpha + IFN-gamma-induced apoptosis, suggesting that the antiapoptotic effect of IB1/JIP-1 depends on well-defined cellular levels. We conclude that the IB1/JIP-1 level in beta-cells can control their susceptibility to apoptosis independent of JNK signaling.

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.

A simple access pricing rule to achieve the Ramsey outcome for interconnected networks

This paper considers a general and informationally efficient approach to determine the optimal access pricing rule for interconnected networks. It shows that there exists a simple rule that achieves the Ramsey outcome as the unique equilibrium when networks compete in linear prices without network-based price discrimination. The approach is informationally efficient in the sense that the regulator is required to know only the marginal cost structure, i.e. the marginal cost of making and terminating a call. The approach is general in that access prices can depend not only on the marginal costs but also on the retail prices, which can be observed by consumers and therefore by the regulator as well. In particular, I consider the set of linear access pricing rules which includes any fixed access price, the Efficient Component Pricing Rule (ECPR) and the Modified ECPR as special cases. I show that in this set, there is a unique rule that implements the Ramsey outcome as the unique equilibrium independently of the underlying demand conditions.

Glutamine Stimulates Biosynthesis and Secretion of Insulin-like Growth Factor 2 (IGF2), an Autocrine Regulator of Beta Cell Mass and Function.

IGF2 is an autocrine ligand for the beta cell IGF1R receptor and GLP-1 increases the activity of this autocrine loop by enhancing IGF1R expression, a mechanism that mediates the trophic effects of GLP-1 on beta cell mass and function. Here, we investigated the regulation of IGF2 biosynthesis and secretion. We showed that glutamine rapidly and strongly induced IGF2 mRNA translation using reporter constructs transduced in MIN6 cells and primary islet cells. This was followed by rapid secretion of IGF2 via the regulated pathway, as revealed by the presence of mature IGF2 in insulin granule fractions and by inhibition of secretion by nimodipine and diazoxide. When maximally stimulated by glutamine, the amount of secreted IGF2 rapidly exceeded its initial intracellular pool and tolbutamide, and high K(+) increased IGF2 secretion only marginally. This indicates that the intracellular pool of IGF2 is small and that sustained secretion requires de novo synthesis. The stimulatory effect of glutamine necessitates its metabolism but not mTOR activation. Finally, exposure of insulinomas or beta cells to glutamine induced Akt phosphorylation, an effect that was dependent on IGF2 secretion, and reduced cytokine-induced apoptosis. Thus, glutamine controls the activity of the beta cell IGF2/IGF1R autocrine loop by increasing the biosynthesis and secretion of IGF2. This autocrine loop can thus integrate changes in feeding and metabolic state to adapt beta cell mass and function.

Flexible multivariate GARCH modeling with an application to international stock markets

The goal of this paper is to estimate time-varying covariance matrices.Since the covariance matrix of financial returns is known to changethrough time and is an essential ingredient in risk measurement, portfolioselection, and tests of asset pricing models, this is a very importantproblem in practice. Our model of choice is the Diagonal-Vech version ofthe Multivariate GARCH(1,1) model. The problem is that the estimation ofthe general Diagonal-Vech model model is numerically infeasible indimensions higher than 5. The common approach is to estimate more restrictive models which are tractable but may not conform to the data. Our contributionis to propose an alternative estimation method that is numerically feasible,produces positive semi-definite conditional covariance matrices, and doesnot impose unrealistic a priori restrictions. We provide an empiricalapplication in the context of international stock markets, comparing thenew estimator to a number of existing ones.

The impact of generic reference pricing interventions in the statin market

The objective of this study was to evaluate the intended and unintended impact on pharmaceutical use and sales of three public financing reforms applied to the prescription of statins: a Spanish generic reference pricing (RP) system for lovastatin and simvastatin, and two competing policies introduced by the Andalusian Public Health Service (APHS) for all statins, first a maximum consumer price (MCP) and then a so called quality prescribing incentive for general practitioners (MCP plus PI).This study is designed as an observational, retrospective, interrupted time series analysis with comparison series (APHS and the rest of Spain) of 46 monthly drug use and sales ratios from January 2001 to October 2004 for each active ingredient in the group of statins.RP has been effective at reducing the volume of sales growth of the off-patent statins, yet its overall impact on sales of all statins has been relatively modest. The quantity and volume of sales impact heavily depends on regulatory RP details such as when the system is introduced, how often it is updated, and how the reference price is calculated.

Effect of a novel beta-adrenoceptor agonist (Ro 40-2148) on resting energy expenditure in obese women.

The aim of this single-blind, placebo-controlled study was to investigate the effects of the new beta-adrenergic compound Ro 40-2148 on resting energy expenditure (REE) at rest and after an oral glucose load in non-diabetic obese women before and after two weeks of treatment. After one week of placebo administration and after an overnight fast and one hour rest, REE and glucose and lipid oxidation rates were measured by indirect calorimetry (hood system) before and for 6 h after a single dose of placebo solution. A 75 g oral glucose tolerance test (OGTT) was performed during this period starting 90 min after the placebo administration. During the following two weeks, using a randomization design, six patients received Ro 40-2148 at a dose of 400 mg diluted in 100 ml water twice a day (i.e. 800 mg per day), while six others continued with the placebo administration. The same tests and measurements were repeated after two weeks, except for the treatment group which received the drug instead of the placebo. The 14-day period of drug administration did not increase REE measured in post-absorptive conditions. Similarly, there was no acute effect on REE of a 400 mg dose of Ro 40-2148. In contrast, glucose-induced thermogenesis was significantly increased after two weeks in the treatment group (means +/- s.e.m.: 3.7 +/- 1.3%, P = 0.047), while no change was observed in the placebo group (-0.8 +/- 0.7%, not significant). Since there was no significant change in the respiratory quotient, the increase in energy expenditure observed in the treatment group was due to stimulation of both lipid and glucose oxidation. The drug induced no variations in heart rate, blood pressure, axillary temperature or in plasma glucose, insulin and free fatty acid levels. In conclusion, this study shows that Ro 40-2148 activates glucose-induced thermogenesis in obese non-diabetic patients.

Characterization and detection of naturally occurring antibodies against IL-1 alpha and IL-1 beta in normal human plasma.

During the development and testing of a radioreceptor assay (RRA) for human IL-1, we have detected and identified the presence of auto-antibodies to IL-1 in normal human plasma (NHP). The RRA is based on the competition between human 125I-labeled rIL-1 alpha and standard or unknown quantities of IL-1 alpha or IL-1 beta for binding to a limited amounts of IL-1 receptor (IL-1R) isolated from the EL4 mouse thymoma cell line. NHP from 20 out of 100 unselected blood donors were found to completely inhibit the binding of 125I-labeled IL-1 alpha to its receptor, suggesting the presence in these NHP samples of either abnormal amounts of IL-1 or of a factor binding to the 125I-labeled IL-1 alpha. Special care was taken to ascertain that the inhibitory factors were antibodies and not soluble IL-1 receptor antagonist. When plasma samples with inhibiting activity were incubated with labeled IL-1 alpha and chromatographed on a Sephadex G200 column, they were found to contain 125I-labeled complexes with an apparent molecular weight of 150-200kD. The IL-1 binding factor could be eliminated from plasma by incubation with protein A-Sepharose, suggesting that it consisted in IgG antibodies directed against IL-1. Furthermore, the antibody nature of the inhibiting factor was confirmed by its binding to purified rIL-1 coupled to Sepharose. Screening of 200 NHP samples by incubation with 100 pg of 125I-labeled IL-1 followed by precipitation with 12% of polyethylene glycol (PEG) confirmed that about 25% of NHP contain detectable IgG antibodies to IL-1 alpha, while only 2% of NHP contain antibodies to IL-1 beta. No correlation between the presence of these anti-IL-1 antibodies and any particular major histocompatibility complex or any pathological conditions was detected. We suggest that all serum samples assayed for IL-1 alpha or IL-1 beta content should be pretested with the PEG precipitation assay described here.

Protection of pancreatic beta-cells by high density lipoproteins

SUMMARYThe incidence of type 2 diabetes (T2D) is increasing worldwide and is linked to the enhancement of obesity. The principal cause of T2D development is insulin resistance, which lead to the increase of insulin production by the pancreatic beta-cells. In a pathological environment, namely dyslipidaemia, hyperglycaemia and inflammation, beta-cell compensation will fail in more vulnerable cells and diabetes will occur. High Density Lipoproteins (HDLs), commonly named "good cholesterol" are known to be atheroprotective. Low levels of HDLs are associated with increased prevalence of cardiovascular disease but are also an independent risk factor for the development of T2D. HDLs were demonstrated to protect pancreatic beta-cells against several stresses. However the molecular mechanisms of the protection are unknown and the objectives of this work were to try to elucidate the way how HDLs protect. The first approach was a broad screening of genes regulated by the stress and HDLs. A microarray analysis was performed on beta-cells stressed by serum deprivation and rescued by HDLs. Among the genes regulated, we focused on 4E-BP1, a cap-dependent translational inhibitor. In addition, HDLs were also found to protect against several other stresses.Endoplasmic reticulum (ER) stress is a mechanism that may play a role in the onset of T2D. The unfolded protein response (UPR) is a physiological process that aims at maintaining ER homeostasis in conditions where the protein folding and secretion is perturbed. Specific signalling pathways are involved in the increase of folding, export and degradation capacity of the ER. However, in case where the stress is prolonged, this mechanism turns to be pathological, by inducing cell death effector pathways, leading to beta-cell apoptosis. In our study, we discovered that HDLs were protective against ER stress induced by drugs and physiological stresses such as saturated free fatty acids. HDLs protected beta-cells by promoting ER homeostasis via the improvement of the folding and trafficking od proteins from the ER to the Golgi apparatus.Altogether our results suggest that HDLs are important for beta-cell function and survival, by protecting them from several stresses and acting on ER homeostasis. This suggests that attempt in keeping normal HDLs levels or function in patients is crucial to lessen the development of T2D.RÉSUMÉL'incidence du diabète de type 2 est en constante augmentation et est fortement liée à l'accroissement du taux d'obésité. La cause principale du diabète de type 2 est la résistance à l'insuline, qui entraîne une surproduction d'insuline par les cellules bêta pancréatiques. Dans un environnement pathologique associé à l'obésité (dyslipidémie, hyperglycémie et inflammation), les cellules bêta les plus vulnérables ne sont plus capables de compenser en augmentant leur production d'insuline, dysfonctionnent, ce qui conduit à leur mort par apoptose. Les lipoprotéines de hautes densités (HDLs), communément appelées (( bon cholestérol », sont connues pour leurs propriétés protectrices contre l'athérosclérose. Des niveaux bas de HDLs sanguins sont associés au risque de développer un diabète de type 2. Les HDLs ont également montré des propriétés protectrices contre divers stresses dans la cellule bêta. Cependant, les mécanismes de protection restent encore inconnus et l'objectif de ce travail a été d'investiguer les mécanismes moléculaires de protection des HDLs. La première approche choisie a été une étude du profil d'expression génique par puce à ADN afin d'identifier les gènes régulés par le stress et les HDLs. Parmi les gènes régulés, notre intérêt s'est porté sur 4E-BP1, un inhibiteur de la traduction coiffe- dépendante, dont l'induction par le stress était corrélée avec une augmentation de l'apoptose. Suite à cette étude, les HDLs ont également montrés un rôle protecteur contre d'autres stresses. Il s'agit particulièrement du stress du réticulum endoplasmique (RE), qui est un mécanisme qui semble jouer un rôle clé dans le développement du diabète. L'UPR (« Unfolded Protein Response ») est un processus physiologique tendant à maintenir l'homéostasie du réticulum endoplasmique, organelle prépondérante pour la fonction des cellules sécrétrices, notamment lorsqu'elle est soumise à des conditions extrêmes telles que des perturbations de la conformation tertiaire des protéines ou de la sécrétion. Dans ces cas, des voies de signalisation moléculaires sont activées, ce qui mène à l'exportation des protéines mal repliées, à leur dégradation et à l'augmentation de l'expression de chaperonnes capables d'améliorer le repliement des protéines mal formées. Toutefois, en cas de stress persistant, ce mécanisme de protection s'avère être pathologique. En induisant des voies de signalisation effectrices de l'apoptose, il conduit finalement au développement du diabète. Dans cette étude, nous avons démontré que les HDLs étaient capables de protéger la cellule bêta contre le stress du RE induits par des inhibiteurs (thapsigargine, tunicamycine) ou des stresses physiologiques tels que les acides gras libres. Les HDLs ont la capacité d'améliorer l'homéostasie du RE, notamment en favorisant le repliement et le transfert des protéines du RE à l'appareil de Golgi.En résumé, ces données suggèrent que les HDLs sont bénéfiques pour la survie des cellules bêta soumises à des stresses impliqués dans le développement du diabète, notamment en restaurant l'homéostasie du RE. Ces résultats conduisent à soutenir que le maintien des taux de cholestérol joue un rôle important dans la limitation de l'incidence du diabète.