Exposure to radio-frequency electromagnetic fields from broadcast transmitters and risk of childhood cancer: a census-based cohort study.

We investigated the association between exposure to radio-frequency electromagnetic fields (RF-EMFs) from broadcast transmitters and childhood cancer. First, we conducted a time-to-event analysis including children under age 16 years living in Switzerland on December 5, 2000. Follow-up lasted until December 31, 2008. Second, all children living in Switzerland for some time between 1985 and 2008 were included in an incidence density cohort. RF-EMF exposure from broadcast transmitters was modeled. Based on 997 cancer cases, adjusted hazard ratios in the time-to-event analysis for the highest exposure category (>0.2 V/m) as compared with the reference category (<0.05 V/m) were 1.03 (95% confidence interval (CI): 0.74, 1.43) for all cancers, 0.55 (95% CI: 0.26, 1.19) for childhood leukemia, and 1.68 (95% CI: 0.98, 2.91) for childhood central nervous system (CNS) tumors. Results of the incidence density analysis, based on 4,246 cancer cases, were similar for all types of cancer and leukemia but did not indicate a CNS tumor risk (incidence rate ratio = 1.03, 95% CI: 0.73, 1.46). This large census-based cohort study did not suggest an association between predicted RF-EMF exposure from broadcasting and childhood leukemia. Results for CNS tumors were less consistent, but the most comprehensive analysis did not suggest an association.

Structural macro factors and the affine term structure of interest rates

This work consists of three essays investigating the ability of structural macroeconomic models to price zero coupon U.S. government bonds. 1. A small scale 3 factor DSGE model implying constant term premium is able to provide reasonable a fit for the term structure only at the expense of the persistence parameters of the structural shocks. The test of the structural model against one that has constant but unrestricted prices of risk parameters shows that the exogenous prices of risk-model is only weakly preferred. We provide an MLE based variance-covariance matrix of the Metropolis Proposal Density that improves convergence speeds in MCMC chains. 2. Affine in observable macro-variables, prices of risk specification is excessively flexible and provides term-structure fit without significantly altering the structural parameters. The exogenous component of the SDF is separating the macro part of the model from the term structure and the good term structure fit has as a driving force an extremely volatile SDF and an implied average short rate that is inexplicable. We conclude that the no arbitrage restrictions do not suffice to temper the SDF, thus there is need for more restrictions. We introduce a penalty-function methodology that proves useful in showing that affine prices of risk specifications are able to reconcile stable macro-dynamics with good term structure fit and a plausible SDF. 3. The level factor is reproduced most importantly by the preference shock to which it is strongly and positively related but technology and monetary shocks, with negative loadings, are also contributing to its replication. The slope factor is only related to the monetary policy shocks and it is poorly explained. We find that there are gains in in- and out-of-sample forecast of consumption and inflation if term structure information is used in a time varying hybrid prices of risk setting. In-sample yield forecast are better in models with non-stationary shocks for the period 1982-1988. After this period, time varying market price of risk models provide better in-sample forecasts. For the period 2005-2008, out of sample forecast of consumption and inflation are better if term structure information is incorporated in the DSGE model but yields are better forecasted by a pure macro DSGE model.

The PsyCoLaus study: methodology and characteristics of the sample of a population-based survey on psychiatric disorders and their association with genetic and cardiovascular risk factors.

ABSTRACT: BACKGROUND: The Psychiatric arm of the population-based CoLaus study (PsyCoLaus) is designed to: 1) establish the prevalence of threshold and subthreshold psychiatric syndromes in the 35 to 66 year-old population of the city of Lausanne (Switzerland); 2) test the validity of postulated definitions for subthreshold mood and anxiety syndromes; 3) determine the associations between psychiatric disorders, personality traits and cardiovascular diseases (CVD), 4) identify genetic variants that can modify the risk for psychiatric disorders and determine whether genetic risk factors are shared between psychiatric disorders and CVD. This paper presents the method as well as somatic and sociodemographic characteristics of the sample. METHODS: All 35 to 66 year-old persons previously selected for the population-based CoLaus survey on risk factors for CVD were asked to participate in a substudy assessing psychiatric conditions. This investigation included the Diagnostic Interview for Genetic Studies to elicit diagnostic criteria for threshold disorders according to DSM-IV and algorithmically defined subthreshold syndromes. Complementary information was gathered on potential risk and protective factors for psychiatric disorders, migraine and on the morbidity of first-degree family members, whereas the collection of DNA and plasma samples was part of the original somatic study (CoLaus). RESULTS: A total of 3,691 individuals completed the psychiatric evaluation (67% participation). The gender distribution of the sample did not differ significantly from that of the general population in the same age range. Although the youngest 5-year band of the cohort was underrepresented and the oldest 5-year band overrepresented, participants of PsyCoLaus and individuals who refused to participate revealed comparable scores on the General Health Questionnaire, a self-rating instrument completed at the somatic exam. CONCLUSIONS: Despite limitations resulting from the relatively low participation in the context of a comprehensive and time-consuming investigation, the PsyCoLaus study should significantly contribute to the current understanding of psychiatric disorders and comorbid somatic conditions by: 1) establishing the clinical relevance of specific psychiatric syndromes below the DSM-IV threshold; 2) determining comorbidity between risk factors for CVD and psychiatric disorders; 3) assessing genetic variants associated with common psychiatric disorders and 4) identifying DNA markers shared between CVD and psychiatric disorders.

A Meta-Analysis of Trabecular Bone Score in Fracture Risk Prediction and Its Relationship to FRAX.

Trabecular bone score (TBS) is a gray-level textural index of bone microarchitecture derived from lumbar spine dual-energy X-ray absorptiometry (DXA) images. TBS is a bone mineral density (BMD)-independent predictor of fracture risk. The objective of this meta-analysis was to determine whether TBS predicted fracture risk independently of FRAX probability and to examine their combined performance by adjusting the FRAX probability for TBS. We utilized individual-level data from 17,809 men and women in 14 prospective population-based cohorts. Baseline evaluation included TBS and the FRAX risk variables, and outcomes during follow-up (mean 6.7 years) comprised major osteoporotic fractures. The association between TBS, FRAX probabilities, and the risk of fracture was examined using an extension of the Poisson regression model in each cohort and for each sex and expressed as the gradient of risk (GR; hazard ratio per 1 SD change in risk variable in direction of increased risk). FRAX probabilities were adjusted for TBS using an adjustment factor derived from an independent cohort (the Manitoba Bone Density Cohort). Overall, the GR of TBS for major osteoporotic fracture was 1.44 (95% confidence interval [CI] 1.35-1.53) when adjusted for age and time since baseline and was similar in men and women (p > 0.10). When additionally adjusted for FRAX 10-year probability of major osteoporotic fracture, TBS remained a significant, independent predictor for fracture (GR = 1.32, 95% CI 1.24-1.41). The adjustment of FRAX probability for TBS resulted in a small increase in the GR (1.76, 95% CI 1.65-1.87 versus 1.70, 95% CI 1.60-1.81). A smaller change in GR for hip fracture was observed (FRAX hip fracture probability GR 2.25 vs. 2.22). TBS is a significant predictor of fracture risk independently of FRAX. The findings support the use of TBS as a potential adjustment for FRAX probability, though the impact of the adjustment remains to be determined in the context of clinical assessment guidelines. © 2015 American Society for Bone and Mineral Research.

Genetically Determined Hypometabolism in Alzheimer’s Disease and Midlife Risk Factors for Cognitive Impairment

The role of genetic factors in the pathogenesis of Alzheimer’s disease (AD) is not completely understood. In order to improve this understanding, the cerebral glucose metabolism of seven monozygotic and nine dizygotic twin pairs discordant for AD was compared to that of 13 unrelated controls using positron emission tomography (PET). Traditional region of interest analysis revealed no differences between the non-demented dizygotic co-twins and controls. In contrast, in voxel-level and automated region of interest analyses, the non-demented monozygotic co-twins displayed a lower metabolic rate in temporal and parietal cortices as well as in subcortical grey matter structures when compared to controls. Again, no reductions were seen in the non-demented dizygotic co-twins. The reductions seen in the non-demented monozygotic co-twins may indicate a higher genetically mediated risk of AD or genetically mediated hypometabolism possibly rendering them more vulnerable to AD pathogenesis. With no disease modifying treatment available for AD, prevention of dementia is of the utmost importance. A total of 2 165 at least 65 years old twins of the Finnish Twin Cohort with questionnaire data from 1981 participated in a validated telephone interview assessing cognitive function between 1999 and 2007. Those subjects reporting heavy alcohol drinking in 1981 had an elevated cognitive impairment risk over 20 years later compared to light drinkers. In addition, binge drinking was associated with an increased risk even when total alcohol consumption was controlled for, suggesting that binge drinking is an independent risk factor for cognitive impairment. When compared to light drinkers, also non-drinkers had an increased risk of cognitive impairment. Midlife hypertension, obesity and low leisure time physical activity but not hypercholesterolemia were significant risk factors for cognitive impairment. The accumulation of risk factors increased cognitive impairment risk in an additive manner. A previously postulated dementia risk score based on midlife demographic and cardiovascular factors was validated. The risk score was found to well predict cognitive impairment risk, and cognitive impairment risk increased significantly as the score became higher. However, the risk score is not accurate enough for use in the clinic without further testing.

Currency Carry Trades – Excess Returns and Performance Optimization of G10 Currency Carry Trade Strategies during the Euro Era

This study examines the excess returns provided by G10 currency carry trading during the Euro era. The currency carry trade has been a popular trade throughout the past decades offering excess returns to investors. The thesis aims to contribute to existing research on the topic by utilizing a new set of data for the Euro era as well as using the Euro as a basis for the study. The focus of the thesis is specifically on different carry trade strategies’ performance, risk and diversification benefits. The study finds proof of the failure of the uncovered interest rate parity theory through multiple regression analyses. Furthermore, the research finds evidence of significant diversification benefits in terms of Sharpe ratio and improved return distributions. The results suggest that currency carry trades have offered excess returns during 1999-2014 and that volatility plays an important role in carry trade returns. The risk, however, is diversifiable and therefore our results support previous quantitative research findings on the topic.

Evaluation of stunned and infarcted canine myocardium by real time myocardial contrast echocardiography

Differentiation between stunned and infarcted myocardium in the setting of acute ischemia is challenging. Real time myocardial contrast echocardiography allows the simultaneous assessment of myocardial perfusion and function. In the present study we evaluated infarcted and stunned myocardium in an experimental model using real time myocardial contrast echocardiography. Sixteen dogs underwent 180 min of coronary occlusion followed by reperfusion (infarct model) and seven other dogs were submitted to 20 min of coronary occlusion followed by reperfusion (stunned model). Wall motion abnormality and perfusional myocardial defect areas were measured by planimetry. Risk and infarct areas were determined by tissue staining. In the infarct model, the wall motion abnormality area during coronary occlusion (5.52 ± 1.14 cm²) was larger than the perfusional myocardial defect area (3.71 ± 1.45 cm²; P < 0.001). Reperfusion resulted in maintenance of wall motion abnormality (5.45 ± 1.41 cm²; P = 0.43 versus occlusion) and reduction of perfusional myocardial defect (1.51 ± 1.29 cm²; P = 0.004 versus occlusion). Infarct size determined by contrast echocardiography correlated with tissue staining (r = 0.71; P = 0.002). In the stunned model, the wall motion abnormality area was 5.49 ± 0.68 cm² during occlusion and remained 5.1 ± 0.63 cm² after reperfusion (P = 0.07). Perfusional defect area was 2.43 ± 0.79 cm² during occlusion and was reduced to 0.2 ± 0.53 cm² after reperfusion (P = 0.04). 2,3,5-Triphenyl tetrazolium chloride staining confirmed the absence of necrotic myocardium in all dogs in the stunned model. Real time myocardial contrast echocardiography is a noninvasive technique capable of distinguishing between stunned and infarcted myocardium after acute ischemia.

Bank Income Diversification and its Impact on Profitability and Risk: Evidence from Nordic Markets

Financial industry has recently encountered many changes in the business environment. Increased regulation together with growing competition is forcing commercial banks to rethink their business models. In order to maintain profitability in the new environment, banks are focusing more into activities that yield noninterest income. This is a shift away from the traditional intermediation function of banks. This study aims to answer the question if the shift from traditional income yielding activities to more innovative noninterest activities is logical in terms of profitability and risk in Nordics. This study also aims to answer the question if diversification within the noninterest income categories has impact on profitability and risk and if there are certain categories of noninterest income that are better than others in terms of profitability and risk in Nordics. Results show that diversification between interest and noninterest activities and increase in the share of noninterest income have a negative impact on the risk adjusted returns and risk profile. Results also show that further diversification within the noninterest income categories has negative impact on risk adjusted profitability and risk while an increase of the share of commission and fee income category of total noninterest income has a positive impact on risk adjusted profitability and risk. Results are logical and in line with previous research (De Young & Roland, 2001; Stiroh, 2004). Results provide useful information to banks and help them better evaluate outcomes of different income diversification strategies.

A performance analysis of conventional and fundamental exchange traded funds: ETFs and their risk-return characteristics in relation to building institutional investor’s passive portfolio

An exchange traded fund (ETF) is a financial instrument that tracks some predetermined index. Since their initial establishment in 1993, ETFs have grown in importance in the field of passive investing. The main reason for the growth of the ETF industry is that ETFs combine benefits of stock investing and mutual fund investing. Although ETFs resemble mutual funds in many ways, also many differences occur. In addition, ETFs not only differ from mutual funds but also differ among each other. ETFs can be divided into two categories, i.e. market capitalisation ETFs and fundamental (or strategic) ETFs, and further into subcategories depending on their fundament basis. ETFs are a useful tool for diversification especially for a long-term investor. Although the economic importance of ETFs has risen drastically during the past 25 years, the differences and risk-return characteristics of fundamental ETFs have yet been rather unstudied area. In effect, no previous research on market capitalisation and fundamental ETFs was found during the research process. For its part, this thesis seeks to fill this research gap. The studied data consist of 50 market capitalisation ETFs and 50 fundamental ETFs. The fundaments, on which the indices that the fundamental ETFs track, were not limited nor segregated into subsections. The two types of ETFs were studied at an aggregate level as two different research groups. The dataset ranges from June 2006 to December 2014 with 103 monthly observations. The data was gathered using Bloomberg Terminal. The analysis was conducted as an econometric performance analysis. In addition to other econometric measures, the methods that were used in the performance analysis included modified Value-at-Risk, modified Sharpe ratio and Treynor ratio. The results supported the hypothesis that passive market capitalisation ETFs outperform active fundamental ETFs in terms of risk-adjusted returns, though the difference is rather small. Nevertheless, when taking into account the higher overall trading costs of the fundamental ETFs, the underperformance gap widens. According to the research results, market capitalisation ETFs are a recommendable diversification instrument for a long-term investor. In addition to better risk-adjusted returns, passive ETFs are more transparent and the bases of their underlying indices are simpler than those of fundamental ETFs. ETFs are still a young financial innovation and hence data is scarcely available. On future research, it would be valuable to research the differences in risk-adjusted returns also between the subsections of fundamental ETFs.

Sedentary behaviour and health with special reference to obesity and fatty liver in early midlife. The Cardiovascular risk in Young Finns Study

Background: Physical inactivity and positive energy balance pose a risk to health. They increase the risk of obesity and associated non-communicable diseases. Recently, also sedentary behaviour has been associated with obesity and non-communicable diseases. Nevertheless, it has been unclear which type of sedentary behaviour is the most harmful. It is also unknown whether the relationship of sedentary behaviour with obesity is truly independent of other factors, for example physical activity and diet. Longitudinal data are limited, and the direction of causality and the mechanism of action are still unknown. Aims: The aim of this study was 1) to identify the type of sedentary behaviour having the strongest association with obesity, 2) to explore the causal relationship of sedentary behaviour and weight increase, and 3) to additionally, investigate the relationship of sedentary behaviour with fatty liver. These were studied in cross-sectional and/or longitudinal settings using data from the Cardiovascular Risk in Young Finns Study. Special emphasis was put on the evaluation of a wide range of other lifestyle factors and risks for obesity and fatty liver. Subjects: 2,060 subjects (aged 33-50 years in 2011, of which 55 % were female) from the Cardiovascular Risk in Young Finns Study participating in follow-ups in 2001, 2007, and 2011. Measures: Self-reported time spent in various types of sedentary behaviour (I), or TV viewing time (I-III). Measured body weight, height and waist circumference (I-III), and genetic variants for high BMI (I). Fasting plasma concentrations of gamma-glutamyltransferase enzyme and triglyceride, calculated Fatty Liver Index (based on gamma-glutamyltransferase and triglyceride concentration, BMI and waist circumference), and the amount of intrahepatic fat measured with ultrasound (III). Self-reported leisure-time physical activity and active commuting, occupational physical activity, energy intake, diet, alcohol consumption, smoking, socioeconomic status, and sleep duration as possible confounders were considered (I-III). Results: TV viewing is the sedentary behaviour type that has the strongest association with obesity. Sedentary behaviour (TV viewing) precedes weight increase, and not the other way around. Sedentary behaviour (TV viewing) is associated with increased risk of fatty liver. Conclusions: Sedentary behaviour (especially high TV viewing time) is associated with increased risks of obesity and fatty liver. Intervention studies are needed to assess whether reduction of TV time would prevent obesity and fatty liver.

Effects of bank supervision and regulation on bank risk

In the last few decades, banking has strongly internationalized and become more complex. Hence, bank supervision and regulation has taken global perspective, too. The most important international regulation are the Basel frameworks by the Basel committee on banking supervision. This study examines the effects of bank supervision and regulation, especially the Basel II, on bank risk and risk-taking. In order to separate and recognize the efficiency of these effects, the co-effects of many supervisory and regulatory tools together with other relevant factors must be taken into account. The focus of the study is on the effects of asymmetric information and banking procyclicality on the efficiency of the Basel II. This study tries to find an answer, if the Basel II, implemented in 2008, has decreased bank risk in banks of European Union member states. This study examines empirically, if the volatility on bank stock returns have changed after the implementation of the Basel II. Panel data consists of 62 bank stock returns, bank-specific variables, economic variables and variables concerning regulatory environment between 2003 and 2011. Fixed effects regression is used for panel data analysis. Results indicate that volatility on bank stock returns has increased after 2008 and the implementation of the Basel II. Result is statistically very significant and robustness has been verified in different model specifications. The result of this study contradicts with the goal of the Basel II about banking system stability. Banking procyclicality and wrong incentives for regulatory arbitrage under asymmetric information explained in theoretical part may explain this result. On the other hand, simultaneously with the implementation of the Basel II, the global financial crisis emerged and caused severe losses in banks and increased stock volatility. However, it is clear that supervision and regulation was unable to prevent the global financial crisis. After the financial crisis, supervision and regulation have been reformed globally. The main problems of the Basel II, examined in the theoretical part, have been recognized in order to prevent problems of procyclicality and wrong incentives in the future.

Nonsuicidal Self-Injury and Suicidal Risk: An Examination among Young Adults

Nonsuicidal self-injury (NSSI), which refers to the direct and deliberate destruction of bodily tissue in the absence of suicidal intent, is a serious and widespread mental health concern. Although NSSI has been differentiated from suicidal behavior on the basis of non-lethal intent, research has shown that these two behaviors commonly co-occur. Despite increased research on the link between NSSI and suicidal behavior, however, little attention has been given as to why these two behaviors are associated. My doctoral dissertation specifically addressed this gap in the literature by examining the link between NSSI and several measures of suicidal risk (e.g., suicidal ideation, suicidal attempts, pain tolerance) among a large sample of young adults. The primary goal of my doctoral research was to identify individuals who engaged in NSSI at risk for suicidal ideation and attempts, in an effort to elucidate the processes through which psychosocial risk, NSSI, and suicidal risk may be associated. Participants were drawn from a larger sample of 1153 undergraduate students (70.3% female) at a mid-sized Canadian University. In study one, I examined whether increases in psychosocial risk and suicidal ideation were associated with changes in NSSI engagement over a one year period. Analyses revealed that beginners, relapsed injurers, and persistent injurers were differentiated from recovered injurers and desisters by increases in psychsocial risk and suicidal ideation over time. In study two, I examined whether several NSSI characteristics (e.g., frequency, number of methods) were associated with suicidal risk using latent class analysis. Three subgroups of individuals were identified: 1) an infrequent NSSI/not high risk for suicidal behavior group, 2) a frequent NSSI/not high risk for suicidal behavior group, and 3) a frequent NSSI/high risk for suicidal behavior group. Follow-up analyses indicated that individuals in the frequent NSSI/high risk for suicidal behavior group met the clinical cutoff score for high suicidal risk and reported significantly greater levels of suicidal ideation, attempts, and risk for future suicidal behavior as compared to the other two classes. Class 3 was also differentiated by higher levels of psychosocial risk (e.g., depressive symptoms, social anxiety) relative to the other two classes, as well as a comparison group of non-injuring young adults. Finally, in study three, I examined whether NSSI was associated with pain tolerance in a lab-based task, as tolerance to pain has been shown to be a strong predictor of suicidal risk. Individuals who engaged in NSSI to regulate the need to self-punish, tolerated pain longer than individuals who engaged in NSSI but not to self-punish and a non-injuring comparison group. My findings offer new insight into the associations among psychosocial risk, NSSI, and suicidal risk, and can serve to inform intervention efforts aimed at individuals at high risk for suicidal behavior. More specifically, my findings provide clinicians with several NSSI-specific risk factors (e.g., frequent self-injury, self-injuring alone, self-injuring to self-punish) that may serve as important markers of suicidal risk among individuals engaging in NSSI.

Estimation of State Space Models and Stochastic Volatility

Ma thèse est composée de trois chapitres reliés à l'estimation des modèles espace-état et volatilité stochastique. Dans le première article, nous développons une procédure de lissage de l'état, avec efficacité computationnelle, dans un modèle espace-état linéaire et gaussien. Nous montrons comment exploiter la structure particulière des modèles espace-état pour tirer les états latents efficacement. Nous analysons l'efficacité computationnelle des méthodes basées sur le filtre de Kalman, l'algorithme facteur de Cholesky et notre nouvelle méthode utilisant le compte d'opérations et d'expériences de calcul. Nous montrons que pour de nombreux cas importants, notre méthode est plus efficace. Les gains sont particulièrement grands pour les cas où la dimension des variables observées est grande ou dans les cas où il faut faire des tirages répétés des états pour les mêmes valeurs de paramètres. Comme application, on considère un modèle multivarié de Poisson avec le temps des intensités variables, lequel est utilisé pour analyser le compte de données des transactions sur les marchés financières. Dans le deuxième chapitre, nous proposons une nouvelle technique pour analyser des modèles multivariés à volatilité stochastique. La méthode proposée est basée sur le tirage efficace de la volatilité de son densité conditionnelle sachant les paramètres et les données. Notre méthodologie s'applique aux modèles avec plusieurs types de dépendance dans la coupe transversale. Nous pouvons modeler des matrices de corrélation conditionnelles variant dans le temps en incorporant des facteurs dans l'équation de rendements, où les facteurs sont des processus de volatilité stochastique indépendants. Nous pouvons incorporer des copules pour permettre la dépendance conditionnelle des rendements sachant la volatilité, permettant avoir différent lois marginaux de Student avec des degrés de liberté spécifiques pour capturer l'hétérogénéité des rendements. On tire la volatilité comme un bloc dans la dimension du temps et un à la fois dans la dimension de la coupe transversale. Nous appliquons la méthode introduite par McCausland (2012) pour obtenir une bonne approximation de la distribution conditionnelle à posteriori de la volatilité d'un rendement sachant les volatilités d'autres rendements, les paramètres et les corrélations dynamiques. Le modèle est évalué en utilisant des données réelles pour dix taux de change. Nous rapportons des résultats pour des modèles univariés de volatilité stochastique et deux modèles multivariés. Dans le troisième chapitre, nous évaluons l'information contribuée par des variations de volatilite réalisée à l'évaluation et prévision de la volatilité quand des prix sont mesurés avec et sans erreur. Nous utilisons de modèles de volatilité stochastique. Nous considérons le point de vue d'un investisseur pour qui la volatilité est une variable latent inconnu et la volatilité réalisée est une quantité d'échantillon qui contient des informations sur lui. Nous employons des méthodes bayésiennes de Monte Carlo par chaîne de Markov pour estimer les modèles, qui permettent la formulation, non seulement des densités a posteriori de la volatilité, mais aussi les densités prédictives de la volatilité future. Nous comparons les prévisions de volatilité et les taux de succès des prévisions qui emploient et n'emploient pas l'information contenue dans la volatilité réalisée. Cette approche se distingue de celles existantes dans la littérature empirique en ce sens que ces dernières se limitent le plus souvent à documenter la capacité de la volatilité réalisée à se prévoir à elle-même. Nous présentons des applications empiriques en utilisant les rendements journaliers des indices et de taux de change. Les différents modèles concurrents sont appliqués à la seconde moitié de 2008, une période marquante dans la récente crise financière.

Sunlight exposure and prostate cancer risk : a case-control study in Montreal, Canada

Objectifs: Évaluer l’association entre l’exposition récréative, professionnelle et globale au soleil et le risque de cancer de la prostate (CaP). Méthodes: Dans le contexte d’une étude cas-témoins sur le CaP menée à Montréal, Canada, des entrevues ont été complétées auprès de 1371 cas incidents de CaP diagnostiqués en 2005-2009, et 1479 témoins de la population générale. Des questionnaires détaillés ont permis d’obtenir de l’information sur la fréquence et la durée de participation à toute activité extérieure lors des loisirs durant l’âge adulte, ainsi qu’une description de chaque emploi tenu au cours de la vie. Une matrice emploi-exposition canadienne a été appliquée à chaque emploi afin d’assigner un niveau d’exposition professionnelle au soleil. Des indices cumulatifs de l’exposition au soleil basés sur le nombre d’événements récréatifs, la durée d’exposition professionnelle, ainsi qu’un indice d’exposition global ont été développés. La régression logistique a été utilisée pour estimer l’association entre chaque indice d’exposition et le CaP, en ajustant pour des variables de confusion potentielles. Résultats: Globalement, il n’y avait pas d’association entre chacun des indices d’exposition et le risque de CaP. Certaines tendances en accord avec un risque légèrement plus faible chez les hommes exposés au soleil ont été observées mais les résultats n’étaient pas statistiquement significatifs et il n’y avait pas de relation dose-réponse. Conclusion: Notre étude apporte peu de soutien à l’hypothèse d’une association entre l’exposition au soleil et le risque de développer un cancer de la prostate.

Choix de portefeuille de grande taille et mesures de risque pour preneurs de décision pessimistes

Cette thèse de doctorat consiste en trois chapitres qui traitent des sujets de choix de portefeuilles de grande taille, et de mesure de risque. Le premier chapitre traite du problème d’erreur d’estimation dans les portefeuilles de grande taille, et utilise le cadre d'analyse moyenne-variance. Le second chapitre explore l'importance du risque de devise pour les portefeuilles d'actifs domestiques, et étudie les liens entre la stabilité des poids de portefeuille de grande taille et le risque de devise. Pour finir, sous l'hypothèse que le preneur de décision est pessimiste, le troisième chapitre dérive la prime de risque, une mesure du pessimisme, et propose une méthodologie pour estimer les mesures dérivées. Le premier chapitre améliore le choix optimal de portefeuille dans le cadre du principe moyenne-variance de Markowitz (1952). Ceci est motivé par les résultats très décevants obtenus, lorsque la moyenne et la variance sont remplacées par leurs estimations empiriques. Ce problème est amplifié lorsque le nombre d’actifs est grand et que la matrice de covariance empirique est singulière ou presque singulière. Dans ce chapitre, nous examinons quatre techniques de régularisation pour stabiliser l’inverse de la matrice de covariance: le ridge, spectral cut-off, Landweber-Fridman et LARS Lasso. Ces méthodes font chacune intervenir un paramètre d’ajustement, qui doit être sélectionné. La contribution principale de cette partie, est de dériver une méthode basée uniquement sur les données pour sélectionner le paramètre de régularisation de manière optimale, i.e. pour minimiser la perte espérée d’utilité. Précisément, un critère de validation croisée qui prend une même forme pour les quatre méthodes de régularisation est dérivé. Les règles régularisées obtenues sont alors comparées à la règle utilisant directement les données et à la stratégie naïve 1/N, selon leur perte espérée d’utilité et leur ratio de Sharpe. Ces performances sont mesurée dans l’échantillon (in-sample) et hors-échantillon (out-of-sample) en considérant différentes tailles d’échantillon et nombre d’actifs. Des simulations et de l’illustration empirique menées, il ressort principalement que la régularisation de la matrice de covariance améliore de manière significative la règle de Markowitz basée sur les données, et donne de meilleurs résultats que le portefeuille naïf, surtout dans les cas le problème d’erreur d’estimation est très sévère. Dans le second chapitre, nous investiguons dans quelle mesure, les portefeuilles optimaux et stables d'actifs domestiques, peuvent réduire ou éliminer le risque de devise. Pour cela nous utilisons des rendements mensuelles de 48 industries américaines, au cours de la période 1976-2008. Pour résoudre les problèmes d'instabilité inhérents aux portefeuilles de grandes tailles, nous adoptons la méthode de régularisation spectral cut-off. Ceci aboutit à une famille de portefeuilles optimaux et stables, en permettant aux investisseurs de choisir différents pourcentages des composantes principales (ou dégrées de stabilité). Nos tests empiriques sont basés sur un modèle International d'évaluation d'actifs financiers (IAPM). Dans ce modèle, le risque de devise est décomposé en deux facteurs représentant les devises des pays industrialisés d'une part, et celles des pays émergents d'autres part. Nos résultats indiquent que le risque de devise est primé et varie à travers le temps pour les portefeuilles stables de risque minimum. De plus ces stratégies conduisent à une réduction significative de l'exposition au risque de change, tandis que la contribution de la prime risque de change reste en moyenne inchangée. Les poids de portefeuille optimaux sont une alternative aux poids de capitalisation boursière. Par conséquent ce chapitre complète la littérature selon laquelle la prime de risque est importante au niveau de l'industrie et au niveau national dans la plupart des pays. Dans le dernier chapitre, nous dérivons une mesure de la prime de risque pour des préférences dépendent du rang et proposons une mesure du degré de pessimisme, étant donné une fonction de distorsion. Les mesures introduites généralisent la mesure de prime de risque dérivée dans le cadre de la théorie de l'utilité espérée, qui est fréquemment violée aussi bien dans des situations expérimentales que dans des situations réelles. Dans la grande famille des préférences considérées, une attention particulière est accordée à la CVaR (valeur à risque conditionnelle). Cette dernière mesure de risque est de plus en plus utilisée pour la construction de portefeuilles et est préconisée pour compléter la VaR (valeur à risque) utilisée depuis 1996 par le comité de Bâle. De plus, nous fournissons le cadre statistique nécessaire pour faire de l’inférence sur les mesures proposées. Pour finir, les propriétés des estimateurs proposés sont évaluées à travers une étude Monte-Carlo, et une illustration empirique en utilisant les rendements journaliers du marché boursier américain sur de la période 2000-2011.