Risk-return trade-off and autocorrelation

A trade-off between return and risk plays a central role in financial economics. The intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a neoclassical theory for expected returns on risky assets. The model assumes that risk-averse investors (seeking to maximize their expected utility of lifetime consumption) demand compensation for bearing systematic market risk and the risk of unfavorable shifts in the investment opportunity set. Although the ICAPM postulates a positive relation between the conditional expected market return and its conditional variance, the empirical evidence on the sign of the risk-return trade-off is conflicting. In contrast, autocorrelation in stock returns is one of the most consistent and robust findings in empirical finance. While autocorrelation is often interpreted as a violation of market efficiency, it can also reflect factors such as market microstructure or time-varying risk premia. This doctoral thesis investigates a relation between the mixed risk-return trade-off results and autocorrelation in stock returns. The results suggest that, in the case of the US stock market, the relative contribution of the risk-return trade-off and autocorrelation in explaining the aggregate return fluctuates with volatility. This effect is then shown to be even more pronounced in the case of emerging stock markets. During high-volatility periods, expected returns can be described using rational (intertemporal) investors acting to maximize their expected utility. During lowvolatility periods, market-wide persistence in returns increases, leading to a failure of traditional equilibrium-model descriptions for expected returns. Consistent with this finding, traditional models yield conflicting evidence concerning the sign of the risk-return trade-off. The changing relevance of the risk-return trade-off and autocorrelation can be explained by heterogeneous agents or, more generally, by the inadequacy of the neoclassical view on asset pricing with unboundedly rational investors and perfect market efficiency. In the latter case, the empirical results imply that the neoclassical view is valid only under certain market conditions. This offers an economic explanation as to why it has been so difficult to detect a positive tradeoff between the conditional mean and variance of the aggregate stock return. The results highlight the importance, especially in the case of emerging stock markets, of noting both the risk-return trade-off and autocorrelation in applications that require estimates for expected returns.

Risk factors for ovarian failure in patients with systemic lupus erythematosus

The aim of the present study was to identify the risk factors for ovarian failure in patients with systemic lupus erythematosus. Seventy-one women aged 17 to 45 years with systemic lupus erythematosus were studied. Patients were interviewed and their medical records reviewed. Demographic characteristics, clinical and serologic profiles, and menstrual and obstetric histories were recorded. Disease activity was measured by the systemic lupus erythematosus disease activity index. Serum FSH, LH, estradiol, progesterone, TSH, prolactin, and antimicrosomal and antithyroglobulin antibodies were measured. Patients who developed ovarian failure were compared to those who did not. Ovarian failure occurred in 11 patients (15.5%) and nine had premature menopause (11.3%). Cyclophosphamide administration and older patient age were found to be associated with ovarian failure. The cumulative cyclophosphamide dose was significantly higher in patients with ovarian failure than in those without this condition (18.9 vs 9.1 g; P = 0.04). The relative risk for ovarian failure in patients with cumulative cyclophosphamide dose higher than 10 g was 3.2. TSH levels were high in 100% of patients with ovarian failure who had received pulse cyclophosphamide. Ovarian failure, and premature menopause in particular, is common in patients with systemic lupus erythematosus, with the most important risk factors being cyclophosphamide dose and age. Thyroid problems may be another risk factor for ovarian failure in patients with lupus.

Pharmacokinetic and parasitological evaluation of the bone marrow of dogs with visceral leishmaniasis submitted to multiple dose treatment with liposome-encapsulated meglumine antimoniate

The aim of the present study was to evaluate the impact of a multiple dose regimen of a liposomal formulation of meglumine antimoniate (LMA) on the pharmacokinetics of antimony in the bone marrow of dogs with visceral leishmaniasis and on the ability of LMA to eliminate parasites from this tissue. Dogs naturally infected with Leishmania chagasi received 4 intravenous doses of either LMA (6.5 mg antimony/kg body weight, N = 9), or empty liposomes (at the same lipid dose as LMA, N = 9) at 4-day intervals. A third group of animals was untreated (N = 8). Before each administration and at different times after treatment, bone marrow was obtained and analyzed for antimony level (LMA group) by electrothermal atomic absorption spectrometry, and for the presence of Leishmania parasites (all groups). There was a significant increase of antimony concentration from 0.76 µg/kg wet organ (4 days after the first dose) to 2.07 µg/kg (4 days after the fourth dose) and a half-life of 4 days for antimony elimination from the bone marrow. Treatment with LMA significantly reduced the number of dogs positive for parasites (with at least one amastigote per 1000 host cells) compared to controls (positive dogs 30 days after treatment: 0 of 9 in the LMA group, 3 of 9 in the group treated with empty liposomes and 3 of 8 in the untreated group). However, complete elimination of parasites was not achieved. In conclusion, the present study showed that multiple dose treatment with LMA was effective in improving antimony levels in the bone marrow of dogs with visceral leishmaniasis and in reducing the number of positive animals, even though it was not sufficient to achieve complete elimination of parasites.

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.

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.

Linking community variables to parenting behaviours and youth risk behaviours

The puq)ose of this thesis is to test a model Hnking community disadvantage and urbanicity factors to parenting variables (i.e., monitoring, warmth, and knowledge) and to youth risk behavior (i.e., substance use and delinquency), measured both concurrently and one year after the assessment of parenting variables. The model builds on the work of Fletcher, Steinberg, and Williams-Wheeler (2004) but a) includes a more comprehensive measure of SES than that conceptualized by Fletcher et al.; b) considers whether the role of community disadvantage is indirectly as well as directly linked to youth risk behavior, by way of its association with parenting variables; c) considers whether level of community urbanicity plays a direct role in predicting both parenting variables and risk behaviors, or whether its influence on risk behaviours is primarily indirect through parenting variables. Both community disadvantage and urbanicity had virtually no relation to parenting and risk behaviour variables. Results found for relations of parenting variables and risk behaviour were similar to Fletcher et al. Although urban youth are typically perceived as being more at risk for substance use and delinquency, no evidence was found for a distinction between urban and rural youth within this sample. Targeting risk behaviour prevention/reduction programs toward only urban youth, therefore, is not supported by these findings.

Taenia solium transmission in a rural community in Honduras : an examination of risk factors and knowledge

Taenia soliurn taeniasis and cysticercosis are recognized as a major public health problem in Latin America. T. soliurn transmission not only affects the health of the individual, but also social and economic development, perpetuating the cycle of poverty. To determine prevalence rates, population knowledge and risk factors associated with transmission, an epidemiological study was undertaken in the rural community of Jalaca. Two standardized questionnaires were used to collect epidemiological and T. soli urn general knowledge data. Kato-Katz technique and an immunoblot assay (EITB) were used to determine taeniasis and seroprevalence, respectively. In total, 139 individuals belonging to 56 households participated in the study. Household characteristics were consistent with conditions of poverty of rural Honduras: 21.4% had no toilet or latrines, 19.6% had earthen floor, and 51.8% lacked indoor tap water. Pigs were raised in 46.4% of households, of which 70% allowed their pigs roaming freely. A human seroprevalence rate of 18.7% and a taeniasis prevalence rate of 2.4% were found. Only four persons answered correctly 2: 6 out of ten T. soliurn knowledge questions, for an average passing score of 2.9%. In general, a serious gap exists in knowledge regarding how humans acquire the infections, especially neurocysticercosis was identified. After regression analysis, the ability to recognize adult tapeworms and awareness of the clinical importance of taeniasis, were found to be significant risk factors for T. soliurn seropositivity. These results demonstrate a high level of transmission and a low level of kn~,wledge about Taenia soliurn in Jalaca. Consequently, intervention measures integrated with health education are necessary to decrease the burden caused by this parasite.

The Relationship Between Youth Risk-Taking Behaviour and Activity Engagement

Youth have been found to engage in various risk-taking behaviours at higher rates than any other age group. However, there is a lack of research on the division between adaptive and maladaptive risk behaviours among adolescents and emerging adults. Adaptive risk-taking behaviours may present youth with ways to successfully partake in the risk behaviours that they are naturally inclined to engage in. The relationship between activity engagement and positive youth development has been extensively studied and cited as a way to expose youth to positive experiences and promote successful development. However, the relationship between activity engagement and risk behaviours among youth has yetto be studied in depth. This study investigated the potential relationship between various adaptive and maladaptive risk behaviours and activity engagement among youth, through an indirect link through five mediator variables. These potential mediators represented the three systems in Jessor's Problem Behaviour Theory. Participants included 276 youth (M = 19.06 years, SD = 1.60, 89.1 % female) from Brock University. Results revealed that activity engagement significantly predicted greater adaptive social risk behaviours among youth. However, there was no mediating effect through the problem behaviour systems. Correlations revealed that being male was associated with more maladaptive risk behaviours and fewer adaptive risk behaviours than females. Additionally, behavioural engagement specifically related to less maladaptive physical health risks and psychological engagement related to greater adaptive social risks. Overall, these findings suggest that activity engagement may be differentially related to the various types of risk-taking and gender associations may exist between the various types and dimensions of risk behaviours, but future work is needed to understand the variables that may explain such relationships.

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.

Risk Aversion, Intertemporal Substitution, and Option Pricing

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price, the necessary statistical hypotheses for homogeneity provide BS-shaped option prices in equilibrium. This BS-shaped option-pricing formula allows us to derive interesting characterizations of the volatility smile, that is, the pattern of BS implicit volatilities as a function of the option moneyness. First, the asymmetry of the smile is shown to be equivalent to a particular form of asymmetry of the equivalent martingale measure. Second, this asymmetry appears precisely when there is either a premium on an instantaneous interest rate risk or on a generalized leverage effect or both, in other words, whenever the option pricing formula is not preference-free. Therefore, the main conclusion of our analysis for practitioners should be that an asymmetric smile is indicative of the relevance of preference parameters to price options.

Comparing tolerability profile of second generation antipsychotics in schizophrenia and affective disorders : a meta-analysis

Les antipsychotiques de deuxième génération (ADG) sont de plus en plus employés dans le traitement de troubles psychiatriques. Selon de nombreuses observations cliniques, les effets secondaires reliés à la prise d’ADG diffèrent chez les patients atteints de schizophrénie (SCZ) et de maladies affectives (MA) éprouvent divers. Ainsi, il s’avère nécessaire d’étudier la fréquence et l'intensité des effets secondaires induits par les ADG qui pourraient différer selon le diagnostic. Pour ce faire, nous avons effectué une revue systématique de la littérature afin d’identifier l’ensemble des études rapportant les effets secondaires de cinq ADG (aripiprazole, olanzapine, quétiapine, rispéridone et ziprasidone) dans le traitement de la schizophrénie ou des maladies affectives. Les effets secondaires métaboliques et extrapyramidaux ont été recueillis séparément pour les deux groupes de patients, puis ont été combinés dans une méta-analyse. Des méta-régressions ainsi que des sous-analyses ont également été effectuées dans le but de regarder l’effet de différents modérateurs (i.e. âge, genre, et dose). Dans la présente méta-analyse, 107 études ont été inclues. Les résultats montrent que le traitement avec l’olanzapine a occasionné une plus importante prise de poids chez les patients SCZ comparativement aux patients MA. De plus, le traitement à la quétiapine a amené une hausse significative du taux de LDL et de cholestérol total dans le groupe SCZ par rapport au groupe MA. Selon nos résultats, les symptômes extrapyramidaux étaient plus fréquents dans le groupe MA, excepté pour le traitement à l'olanzapine qui a induit davantage de ces symptômes chez les patients SCZ. Également, nos résultats suggèrent que les patients SCZ seraient plus vulnérables à certains effets métaboliques induits par les ADG dû à une possible susceptibilité génétique ou à la présence de facteurs de risque associés au style de vie. D'autre part, les patients MA en comparaison aux SCZ étaient plus enclins à souffrir de troubles du mouvement induits par les ADG. Bref, les ADG semblent exacerber certains types d’effets secondaires tout dépendant de la maladie dans laquelle on les utilise.

Modélisation toxicocinétique d’un mélange de composés organiques volatils dans l’eau potable

L'évaluation des risques de l'exposition aux mélanges de produits chimiques par voies multiples peut être améliorée par une compréhension de la variation de la dose interne due à l’interaction entre les produits. Les modèles pharmacocinétiques à base physiologique (PBPK) sont des outils éprouvés pour prédire l'ampleur de ces variations dans différents scénarios. Dans cette étude, quatre composés organiques volatils (COV) (toluène, nhexane, cyclohexane et isooctane) ont été choisis pour représenter des produits pétroliers (essence) pouvant contaminer l'eau potable. Premièrement, les modèles PBPK ont simulé l'exposition à un seul COV par une voie (inhalation ou gavage). Ensuite, ces modèles ont été interconnectés pour simuler l'exposition à un mélange par voies multiples. Les modèles ont été validés avec des données in vivo chez des rats Sprague-Dawley (n=5) exposés par inhalation (50 ppm ; toluène, hexane, et 300 ppm ; cyclohexane, isooctane; 2-h) ou par gavage (8,3; 5,5; 27,9 et 41,27 mg/kg pour le toluène, l’hexane, le cyclohexane et l’isooctane, respectivement). Des doses similaires ont été utilisées pour l'exposition au mélange par voies multiples. Les AUC (mg/L x min) pour le toluène, l'hexane, le cyclohexane et l'isooctane étaient respectivement de 157,25; 18,77; 159,58 et 176,54 pour les données expérimentales, et 121,73; 21,91; 19,55 et 170,54 pour les modèles PBPK. Les résultats des modèles PBPK et les données in vivo (simple COV par voies multiples vs. mélange par voies multiples) ont montré des interactions entre les COVs dans le cas de l'exposition au mélange par voies multiples. Cette étude démontre l'efficacité des modèles PBPK pour simuler l'exposition aux mélanges de COV par voies multiples.

Animal Biosafety Risk Assessment and Management Training Video

This training video is intended to familiarise researchers and technicians working in animal containment facilities with appropriate risk assessment and risk management systems. It is in Windows Media Video format which will require a free media player such as Windows Media Player or VLC Media Player (http://www.videolan.org/vlc/) to watch.

Exposición acumulada de polvo respirable como predictor de enfermedad respiratoria

En la minería de carbón se presenta exposición prolongada a polvo de carbón y a polvo de sílice en diferentes porcentajes, encontrándose una asociación con las alteraciones obstructivas, bronquitis crónica, Neumoconiosis de los trabajadores de carbón y Silicosis. Se han establecido varias formas de estimar el riesgo de desarrollar dichas enfermedades respiratorias no malignas secundarias a la exposición a estos polvos (carbón y sílice) en el ámbito ocupacional, siendo el cálculo de la exposición acumulada, la que ha demostrado mayor utilidad. Con el fin de establecer el riesgo de desarrollar alteraciones funcionales, a partir de la exposición acumulada de polvo respirable - y en los trabajadores de una empresa de minería a cielo abierto en Colombia, se estructuró este estudio de cohorte. Se contó con el registro de 566 trabajadores distribuidos en 29 Grupos de Exposición Similar (GES). El cálculo de la dosis acumulada se realizó considerando las medianas de exposición para cada GES y el tiempo de exposición de cada trabajador. Y posteriormente se estimó el riesgo empleando una regresión de poisson con varianza robusta. Los resultados más importantes del estudio muestran la exposición acumulada en niveles inferiores a los reportados en la literatura, sin embargo se encuentra un riesgo ligeramente elevado, IRR 1.000124 (IC95% 1 - 1.000248) en los expuestos, estimando que por cada unidad de medición de la exposición acumulada que se incremente, el riesgo de que aparezca una alteración respiratoria funcional se incrementa en 1.000124 veces entre los trabajadores expuestos y los no expuestos.

Prediction of postprandial blood glucose under intra-patient variability and uncertainty and its use in the design of insulin dosing strategies for type 1 diabetic patients

In this thesis I propose a novel method to estimate the dose and injection-to-meal time for low-risk intensive insulin therapy. This dosage-aid system uses an optimization algorithm to determine the insulin dose and injection-to-meal time that minimizes the risk of postprandial hyper- and hypoglycaemia in type 1 diabetic patients. To this end, the algorithm applies a methodology that quantifies the risk of experiencing different grades of hypo- or hyperglycaemia in the postprandial state induced by insulin therapy according to an individual patient’s parameters. This methodology is based on modal interval analysis (MIA). Applying MIA, the postprandial glucose level is predicted with consideration of intra-patient variability and other sources of uncertainty. A worst-case approach is then used to calculate the risk index. In this way, a safer prediction of possible hyper- and hypoglycaemic episodes induced by the insulin therapy tested can be calculated in terms of these uncertainties.