Keeping up with the Joneses: An international asset pricing model

We derive an international asset pricing model that assumes local investorshave preferences of the type "keeping up with the Joneses." In aninternational setting investors compare their current wealth with that oftheir peers who live in the same country. In the process of inferring thecountry's average wealth, investors incorporate information from the domesticmarket portfolio. In equilibrium, this gives rise to a multifactor CAPMwhere, together with the world market price of risk, there existscountry-speciffic prices of risk associated with deviations from thecountry's average wealth level. The model performs signifficantly better, interms of explaining cross-section of returns, than the international CAPM.Moreover, the results are robust, both for conditional and unconditionaltests, to the inclusion of currency risk, macroeconomic sources of risk andthe Fama and French HML factor.

Systemic risk, interbank relations and liquidity provision by the Central Bank

We model systemic risk in an interbank market. Banks face liquidityneeds as consumers are uncertain about where they need to consume. Interbank credit lines allow to cope with these liquidity shocks while reducing the cost of maintaining reserves. However, the interbank market exposes the system to a coordination failure(gridlock equilibrium) even if all banks are solvent. When one bankis insolvent, the stability of the banking system is affected in various ways depending on the patterns of payments across locations. We investigate the ability of the banking industry to withstand the insolvency of one bank and whether the closure ofone bank generates a chain reaction on the rest of the system. Weanalyze the coordinating role of the Central Bank in preventing payments systemic repercussions and we examine the justification ofthe Too-big-to-fail-policy.

Ignorance promotes competition: An auction model with endogenous private valuations

We study a situation in which an auctioneer wishes to sell an object toone of N risk-neutral bidders with heterogeneous preferences. Theauctioneer does not know bidders preferences but has private informationabout the characteristics of the ob ject, and must decide how muchinformation to reveal prior to the auction. We show that the auctioneerhas incentives to release less information than would be efficient andthat the amount of information released increases with the level ofcompetition (as measured by the number of bidders). Furthermore, in aperfectly competitive market the auctioneer would provide the efficientlevel of information.

Adaptive model selection using empirical complexities

Given $n$ independent replicates of a jointly distributed pair $(X,Y)\in {\cal R}^d \times {\cal R}$, we wish to select from a fixed sequence of model classes ${\cal F}_1, {\cal F}_2, \ldots$ a deterministic prediction rule $f: {\cal R}^d \to {\cal R}$ whose risk is small. We investigate the possibility of empirically assessingthe {\em complexity} of each model class, that is, the actual difficulty of the estimation problem within each class. The estimated complexities are in turn used to define an adaptive model selection procedure, which is based on complexity penalized empirical risk.The available data are divided into two parts. The first is used to form an empirical cover of each model class, and the second is used to select a candidate rule from each cover based on empirical risk. The covering radii are determined empirically to optimize a tight upper bound on the estimation error. An estimate is chosen from the list of candidates in order to minimize the sum of class complexity and empirical risk. A distinguishing feature of the approach is that the complexity of each model class is assessed empirically, based on the size of its empirical cover.Finite sample performance bounds are established for the estimates, and these bounds are applied to several non-parametric estimation problems. The estimates are shown to achieve a favorable tradeoff between approximation and estimation error, and to perform as well as if the distribution-dependent complexities of the model classes were known beforehand. In addition, it is shown that the estimate can be consistent,and even possess near optimal rates of convergence, when each model class has an infinite VC or pseudo dimension.For regression estimation with squared loss we modify our estimate to achieve a faster rate of convergence.

Asset pricing with idiosyncratic risk and overlapping generations

A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to first-best. Equilibrium asset prices in these models have been difficult to distinguish from those associated with a complete markets model, the counterfactual features of which have been widely documented. This paper asks if life cycle considerations, in conjunction with persistent idiosyncratic shocks which become more volatile during aggregate downturns, can reconcile the quantitative properties of the competitive asset pricing framework with those of observed asset returns. We begin by arguing that data from the Panel Study on Income Dynamics support the plausibility of such a shock process. Our estimates suggest a high degree of persistence as well as a substantial increase in idiosyncratic conditional volatility coincident with periods of low growth in U.S. GNP. When these factors are incorporated in a stationary overlapping generations framework, the implications for the returns on risky assets are substantial. Plausible parameterizations of our economy are able to generate Sharpe ratios which match those observed in U.S. data. Our economy cannot, however, account for the level of variability of stock returns, owing in large part to the specification of its production technology.

Development and validation of a clinical decision rule for the diagnosis of influenza.

INTRODUCTION: A clinical decision rule to improve the accuracy of a diagnosis of influenza could help clinicians avoid unnecessary use of diagnostic tests and treatments. Our objective was to develop and validate a simple clinical decision rule for diagnosis of influenza. METHODS: We combined data from 2 studies of influenza diagnosis in adult outpatients with suspected influenza: one set in California and one in Switzerland. Patients in both studies underwent a structured history and physical examination and had a reference standard test for influenza (polymerase chain reaction or culture). We randomly divided the dataset into derivation and validation groups and then evaluated simple heuristics and decision rules from previous studies and 3 rules based on our own multivariate analysis. Cutpoints for stratification of risk groups in each model were determined using the derivation group before evaluating them in the validation group. For each decision rule, the positive predictive value and likelihood ratio for influenza in low-, moderate-, and high-risk groups, and the percentage of patients allocated to each risk group, were reported. RESULTS: The simple heuristics (fever and cough; fever, cough, and acute onset) were helpful when positive but not when negative. The most useful and accurate clinical rule assigned 2 points for fever plus cough, 2 points for myalgias, and 1 point each for duration <48 hours and chills or sweats. The risk of influenza was 8% for 0 to 2 points, 30% for 3 points, and 59% for 4 to 6 points; the rule performed similarly in derivation and validation groups. Approximately two-thirds of patients fell into the low- or high-risk group and would not require further diagnostic testing. CONCLUSION: A simple, valid clinical rule can be used to guide point-of-care testing and empiric therapy for patients with suspected influenza.

Entrepreneurial risk, investment and innovation

In this paper I develop a general equilibrium model with risk averse entrepreneurialfirms and with public firms. The model predicts that an increase in uncertainty reducesthe propensity of entrepreneurial firms to innovate, while it does not affect thepropensity of public firms to innovate. Furthermore, it predicts that the negativeeffect of uncertainty on innovation is stronger for the less diversified entrepreneurialfirms, and is stronger in the absence of financing frictions in the economy. In thesecond part of the paper I test these predictions on a dataset of small and mediumItalian manufacturing firms.

Risk dominance selects the leader. An experimental analysis

Coordination games arise very often in studies of industrial organization and international trade. This type of games has multiple strict equilibria, and therefore the identification of testable predictions isvery difficult. We study a vertical product differentiation model with two asymmetric players choosing first qualities and then prices. This game has two equilibria for some parameter values. However, we apply the risk dominance criterion suggested by Harsanyi and Selten and show that it always selects the equilibrium where the leader is the firm having some initial advantage. We then perform an experimental analysis totest whether the risk dominance prediction is supported by the behaviour oflaboratory agents. We show that the probability that the risk dominance prediction is right depends crucially on the degree of asymmetry of the game. The stronger the asymmetries the higher the predictive power of the risk dominance criterion.

Major bleeding risk in anticoagulated patients receiving concomitant antiplatelet therapy: A prospective study.

INTRODUCTION: Current literature suggesting a higher bleeding risk during combination therapy compared to oral anticoagulation alone is primarily based on retrospective studies or specific populations. We aimed to prospectively evaluate whether unselected medical patients on oral anticoagulation have an increased risk of bleeding when on concomitant antiplatelet therapy. MATERIAL AND METHODS: We prospectively studied consecutive adult medical patients who were discharged on oral anticoagulants between 01/2008 and 03/2009 from a Swiss university hospital. The primary outcome was the time to a first major bleed on oral anticoagulation within 12months, adjusted for age, international normalized ratio target, number of medications, and history of myocardial infarction and major bleeding. RESULTS: Among the 515 included anticoagulated patients, the incidence rate of a first major bleed was 8.2 per 100 patient-years. Overall, 161 patients (31.3%) were on both anticoagulant and antiplatelet therapy, and these patients had a similar incidence rate of major bleeding compared to patients on oral anticoagulation alone (7.6 vs. 8.4 per 100 patient-years, P=0.81). In a multivariate analysis, the association of concomitant antiplatelet therapy with the risk of major bleeding was not statistically significant (hazard ratio 0.89, 95% confidence interval, 0.37-2.10). CONCLUSIONS: The risk of bleeding in patients receiving oral anticoagulants combined with antiplatelet therapy was similar to patients receiving oral anticoagulants alone, suggesting that the incremental bleeding risk of combination therapy might not be clinically significant.

Model selection and error estimation

We study model selection strategies based on penalized empirical loss minimization. We point out a tight relationship between error estimation and data-based complexity penalization: any good error estimate may be converted into a data-based penalty function and the performance of the estimate is governed by the quality of the error estimate. We consider several penalty functions, involving error estimates on independent test data, empirical {\sc vc} dimension, empirical {\sc vc} entropy, andmargin-based quantities. We also consider the maximal difference between the error on the first half of the training data and the second half, and the expected maximal discrepancy, a closely related capacity estimate that can be calculated by Monte Carlo integration. Maximal discrepancy penalty functions are appealing for pattern classification problems, since their computation is equivalent to empirical risk minimization over the training data with some labels flipped.

Hybrid risk adjustment for pharmaceutical benefits

This paper analyses the application of hybrid risk adjustment versus either prospective orconcurrent risk adjustment formulae in the context of funding pharmaceutical benefits for thepopulation of an integrated healthcare delivery organization in Catalonia during years 2002 and2003. We apply a mixed formula and find that a hybrid risk adjustment model increasesincentives for efficiency in the provision of low risk individuals at health organizations not only asa whole but also at each internal department compared to only prospective models by reducingwithin-group variation of drug expenditures.

Sexual behaviour of men that consulted in medical outpatient clinics in Western Switzerland from 2005-2006: risk levels unknown to doctors?

BACKGROUND: To determine male outpatient attenders' sexual behaviours, expectations and experience of talking about their sexuality and sexual health needs with a doctor. METHODS: A survey was conducted among all male patients aged 18-70, recruited from the two main medical outpatient clinics in Lausanne, Switzerland, in 2005-2006. The anonymous self-administered questionnaire included questions on sexual behaviour, HIV/STI information needs, expectations and experiences regarding discussion of sexual matters with a doctor. RESULTS: The response rate was 53.0% (N = 1452). The mean age was 37.7 years. Overall, 13.4% of patients were defined as at STI risk--i.e. having not consistently used condoms with casual partners in the last 6 months, or with a paid partner during the last intercourse--regarding their sexual behaviour in the last year. 90.9% would have liked their physician to ask them questions concerning their sexual life; only 61.4% had ever had such a discussion. The multivariate analysis showed that patients at risk tended to have the following characteristics: recruited from the HIV testing clinic, lived alone, declared no religion, had a low level of education, felt uninformed about HIV/AIDS, were younger, had had concurrent sexual partners in the last 12 months. However they were not more likely to have discussed sexual matters with their doctor than patients not at risk. CONCLUSION: Recording the sexual history and advice on the prevention of the risks of STI should become routine practice for primary health care doctors.

The IFNL3/4 ΔG variant increases susceptibility to cytomegalovirus retinitis among HIV-infected patients.

BACKGROUND: Cytomegalovirus (CMV) retinitis is a major cause of visual impairment and blindness among patients with uncontrolled HIV infections. Whereas polymorphisms in interferon-lambda 3 (IFNL3, previously named IL28B) strongly influence the clinical course of hepatitis C, few studies examined the role of such polymorphisms in infections due to viruses other than hepatitis C virus. OBJECTIVES: To analyze the association of newly identified IFNL3/4 variant rs368234815 with susceptibility to CMV-associated retinitis in a cohort of HIV-infected patients. DESIGN AND METHODS: This retrospective longitudinal study included 4884 white patients from the Swiss HIV Cohort Study, among whom 1134 were at risk to develop CMV retinitis (CD4 nadir <100 /μl and positive CMV serology). The association of CMV-associated retinitis with rs368234815 was assessed by cumulative incidence curves and multivariate Cox regression models, using the estimated date of HIV infection as a starting point, with censoring at death and/or lost follow-up. RESULTS: A total of 40 individuals among 1134 patients at risk developed CMV retinitis. The minor allele of rs368234815 was associated with a higher risk of CMV retinitis (log-rank test P = 0.007, recessive mode of inheritance). The association was still significant in a multivariate Cox regression model (hazard ratio 2.31, 95% confidence interval 1.09-4.92, P = 0.03), after adjustment for CD4 nadir and slope, HAART and HIV-risk groups. CONCLUSION: We reported for the first time an association between an IFNL3/4 polymorphism and susceptibility to AIDS-related CMV retinitis. IFNL3/4 may influence immunity against viruses other than HCV.

Test of four colon cancer risk-scores in formalin fixed paraffin embedded microarray gene expression data.

BACKGROUND: Prognosis prediction for resected primary colon cancer is based on the T-stage Node Metastasis (TNM) staging system. We investigated if four well-documented gene expression risk scores can improve patient stratification. METHODS: Microarray-based versions of risk-scores were applied to a large independent cohort of 688 stage II/III tumors from the PETACC-3 trial. Prognostic value for relapse-free survival (RFS), survival after relapse (SAR), and overall survival (OS) was assessed by regression analysis. To assess improvement over a reference, prognostic model was assessed with the area under curve (AUC) of receiver operating characteristic (ROC) curves. All statistical tests were two-sided, except the AUC increase. RESULTS: All four risk scores (RSs) showed a statistically significant association (single-test, P < .0167) with OS or RFS in univariate models, but with HRs below 1.38 per interquartile range. Three scores were predictors of shorter RFS, one of shorter SAR. Each RS could only marginally improve an RFS or OS model with the known factors T-stage, N-stage, and microsatellite instability (MSI) status (AUC gains < 0.025 units). The pairwise interscore discordance was never high (maximal Spearman correlation = 0.563) A combined score showed a trend to higher prognostic value and higher AUC increase for OS (HR = 1.74, 95% confidence interval [CI] = 1.44 to 2.10, P < .001, AUC from 0.6918 to 0.7321) and RFS (HR = 1.56, 95% CI = 1.33 to 1.84, P < .001, AUC from 0.6723 to 0.6945) than any single score. CONCLUSIONS: The four tested gene expression-based risk scores provide prognostic information but contribute only marginally to improving models based on established risk factors. A combination of the risk scores might provide more robust information. Predictors of RFS and SAR might need to be different.

Variability of a peripheral dose among various linac geometries for second cancer risk assessment.

Second cancer risk assessment for radiotherapy is controversial due to the large uncertainties of the dose-response relationship. This could be improved by a better assessment of the peripheral doses to healthy organs in future epidemiological studies. In this framework, we developed a simple Monte Carlo (MC) model of the Siemens Primus 6 MV linac for both open and wedged fields that we then validated with dose profiles measured in a water tank up to 30 cm from the central axis. The differences between the measured and calculated doses were comparable to other more complex MC models and never exceeded 50%. We then compared our simple MC model with the peripheral dose profiles of five different linacs with different collimation systems. We found that the peripheral dose between two linacs could differ up to a factor of 9 for small fields (5 × 5 cm(2)) and up to a factor of 10 for wedged fields. Considering that an uncertainty of 50% in dose estimation could be acceptable in the context of risk assessment, the MC model can be used as a generic model for large open fields (≥10 × 10 cm(2)) only. The uncertainties in peripheral doses should be considered in future epidemiological studies when designing the width of the dose bins to stratify the risk as a function of the dose.