Optimal hedging with higher moments

This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

Virtual reality Post Traumatic Stress Disorder (PTSD) exposure therapy results with active duty OIF/OEF service members

Posttraumatic stress disorder (PTSD) is reported to be caused by exposure to traumatic events including (but not limited to) military combat, violent personal assault, being kidnapped or taken hostage and terrorist attacks. Initial data suggest that at least 1 out of 6 Iraq War veterans are exhibiting symptoms of depression, anxiety and PTSD. Virtual reality (VR) delivered exposure therapy for PTSD has been used with reports of positive outcomes. The aim of the current paper, is to present the rationale and brief description of a Virtual Iraq/Afghanistan PTSD VR therapy application and present initial findings from its use with PTSD patients. Thus far, Virtual Iraq/Afghanistan consists of a series of customizable virtual scenarios designed to represent relevant Middle Eastern VR contexts for exposure therapy, including a city and desert road convoy environment. User-centered design feedback, needed to iteratively evolve the system, was gathered from returning Iraq War veterans in the USA and from a system deployed in Iraq and tested by an Army Combat Stress Control Team. Results from an open clinical trial at San Diego Naval Medical Center of the first 20 treatment completers indicate that 16 no longer met PTSD screening criteria at post-treatment, with only one not maintaining treatment gains at 3 month follow-up.

Hedging effectiveness of total returns swaps: application to the Japanese market

The development of the real estate swap market offers many opportunities for investors to adjust the exposure of their portfolios to real estate. A number of OTC transactions have been observed in markets around the world. In this paper we examine the Japanese commercial real estate market from the point of view of an investor holding a portfolio of properties seeking to reduce the portfolio exposure to the real estate market by swapping an index of real estate for LIBOR. This paper explores the practicalities of hedging portfolios comprising small numbers of individual properties against an appropriate index. We use the returns from 74 properties owned by Japanese Real Estate Investment Trusts over the period up to September 2007. The paper also discusses and applies the appropriate stochastic processes required to model real estate returns in this application and presents alternative ways of reporting hedging effectiveness. We find that the development of the derivative does provide the capacity for hedging market risk but that the effectiveness of the hedge varies considerably over time. We explore the factors that cause this variability.

Dynamic vergence telepresence system incorporating active gaze control

Visual Telepresence system which utilize virtual reality style helmet mounted displays have a number of limitations. The geometry of the camera positions and of the display is fixed and is most suitable only for viewing elements of a scene at a particular distance. In such a system, the operator's ability to gaze around without use of head movement is severely limited. A trade off must be made between a poor viewing resolution or a narrow width of viewing field. To address these limitations a prototype system where the geometry of the displays and cameras is dynamically controlled by the eye movement of the operator has been developed. This paper explores the reasons why is necessary to actively adjust both the display system and the cameras and furthermore justifies the use of mechanical adjustment of the displays as an alternative to adjustment by electronic or image processing methods. The electronic and mechanical design is described including optical arrangements and control algorithms, An assessment of the performance of the system against a fixed camera/display system when operators are assigned basic tasks involving depth and distance/size perception. The sensitivity to variations in transient performance of the display and camera vergence is also assessed.

Fixing the currency: analysing the implications for property investment performance

This paper analyses the historic effects of exchange rate movements on returns, risk and diversification of office markets within the Euro zone in order to gain insights into the investment consequences of conversion to a fixed rate currency regime. The data used in the study represents annual office rental growth rates for 22 European cities from nine European Union countries between 1985 and 1996. Relative performance is reported in terms of domestic currency and in terms of deutsche marks. The evidence presented suggests that Euro zone property investors in ‘southern’ countries are now protected from short term jump risk associated with flexible peg currency arrangements and medium/long-term currency volatility. Historically exchange rate movements have produced decreases in returns and increases in volatility. For northern ‘bloc’ cities, the effects of fixing the exchange rate are minimal. For these cities, national exchange rate fluctuations against the deutsche mark have been minor and the resultant implications for property risk and return to non-domestic SCA investors have been negligible. Moreover, although previous research would suggest that the effect of currency volatility is to decrease market correlation, this cannot be observed within the Euro zone.

Leisure, consumerism and active citizenship in the UK

Since the first election victory of the Thatcher administration in 1979, Britain has witnessed a cultural transformation from the municipal socialism enshrined in the post-World War 2 development of the Welfare State to a form of post-industrial entrepreneurialism based largely on market rationality. This has had a profound effect on all aspects of civil life, not least the redefinition of the role of active leisure. Since the late 1950s the dominant policy for active leisure has been 'Sport For All', an assertion of a social right too important to be left to the market. The transformation has, therefore, signalled a shift from government support for active leisure as an element of citizen rights to the use of leisure to promote the government's interest in legitimating a new social order based not on rights but on means. Thus access to active living is no longer a societal goal for all, but a discretionary consumer good, the consumption of which signifies 'active' citizenship. It furthermore signifies differentiation from the growing mass of 'deviants' who are unwilling or unable to embrace this new construction of citizenship and are, therefore, increasingly denied access to active living and, hence, active citizenship.

Commodity currency: an alternative route to currency union

Proposals have been made for a common currency for East Asia, but the countries preparing to participate need to be in a state of economic convergence. We show that at least six countries of East Asia already satisfy this condition. There also needs to be a mechanism by which the new currency relates to other reserve currencies. We demonstrate that a numéraire could be defined solely from the actual worldwide consumption of food and energy per capita, linked to fiat currencies via world market prices. We show that real resource prices are stable in real terms, and likely to remain so. Furthermore, the link from energy prices to food commodity prices is permanent, arising from energy inputs in agriculture, food processing and distribu-tion. Calibration of currency value using a yardstick such as our SI numéraire offers an unbiased measure of the con-sistently stable cost of subsistence in the face of volatile currency exchange rates. This has the advantage that the par-ticipating countries need only agree to currency governance based on a common standards institution, a much less on-erous form of agreement than would be required in the creation of a common central bank.

A 96-well plate fluorescence assay for assessment of cellular permeability and active efflux in Salmonella enterica serovar Typhimurium and Escherichia coli

Multiply antibiotic-resistant (MAR) mutants of Escherichia coli and Salmonella enterica are characterized by reduced susceptibility to several unrelated antibiotics, biocides and other xenobiotics. Porin loss and/or active efflux have been identified as a key mechanisms of MAR. A single rapid test was developed for MAR. The intracellular accumulation of the fluorescent probe Hoechst (H) 33342 (bisbenzimide) by MAR mutants and those with defined disruptions in efflux pump and porin genes was determined in 96-well plate format. The accumulation of H33342 was significantly (P < 0.0001) reduced in MAR mutants of S. enterica serovar Typhimurium (n = 4) and E. coli (n = 3) by 41 +/- 8% and 17.3 +/- 7.2%, respectively, compared with their parental strains, which was reversed by the transmembrane proton gradient-collapsing agent carbonyl cyanide-m-chlorophenyl hydrazone (CCCP) and the efflux pump inhibitor phenylalanine-arginine-beta-naphthylamide (PA beta N). The accumulation of H33342 was significantly reduced in mutants of Salmonella Typhimurium with defined disruptions in genes encoding the porins OmpC, OmpF, OmpX and OmpW, but increased in those with disruptions in efflux pump components TolC, AcrB and AcrF. Reduced accumulation of H33342 in three other MAR mutants of Salmonella Typhimurium correlated with the expression of porin and efflux pump proteins. The intracellular accumulation of H33342 provided a sensitive and specific test for MAR that is cheap and relatively rapid. Differential sensitivity to CCCP and PA beta N provided a further means to phenotypically identify MAR mutants and the role of active efflux in each strain.

Passive and active hybrid approach to buildings design in Saudi Arabia

The building sector is one of the highest consumers of energy in the world. This has led to high dependency on using fossil fuel to supply energy without due consideration to its environmental impact. Saudi Arabia has been through rapid development accompanied by population growth, which in turn has increased the demand for construction. However, this fast development has been met without considering sustainable building design. General design practices rely on using international design approaches and features without considering the local climate and aspects of traditional passive design. This is by constructing buildings with a large amount of glass fully exposed to solar radiation. The aim of this paper is to investigate the development of sustainability in passive design and vernacular architecture. Furthermore, it compares them with current building in Saudi Arabia in terms of making the most of the climate. Moreover, it will explore the most sustainable renewable energy that can be used to reduce the environmental impact on modern building in Saudi Arabia. This will be carried out using case studies demonstrating the performance of vernacular design in Saudi Arabia and thus its benefits in terms of environmental, economic and social sustainability. It argues that the adoption of a hybrid approach can improve the energy efficiency as well as reduce the carbon footprint of buildings. This is by combining passive design, learning from the vernacular architecture and implementing innovative sustainable technologies.

Identification of critical residues in the active site of porcine membrane-bound aminopeptidase P

The membrane-bound form of mammalian aminopeptidase P (AP-P; EC 3.4. 11.9) is a mono-zinc-containing enzyme that lacks any of the typical metal binding motifs found in other zinc metalloproteases. To identify residues involved in metal binding and catalysis, sequence and structural information was used to align the sequence of porcine membrane-bound AP-P with other members of the peptidase clan MG, including Escherichia coli AP-P and methionyl aminopeptidases. Residues predicted to be critical for activity were mutated and the resultant proteins were expressed in COS-1 cells. Immunoelectrophoretic blot analysis was used to compare the levels of expression of the mutant proteins, and their ability to hydrolyze bradykinin and Gly-Pro-hydroxyPro was assessed. Asp449, Asp460, His523, Glu554, and Glu568 are predicted to serve as metal ion ligands in the active site, and mutagenesis of these residues resulted in fully glycosylated proteins that were catalytically inactive. Mutation of His429 and His532 also resulted in catalytically inactive proteins, and these residues, by analogy with E. coli AP-P, are likely to play a role in shuttling protons during catalysis. These studies indicate that mammalian membrane-bound AP-P has an active-site configuration similar to that of other members of the peptidase clan MG, which is compatible with either a dual metal ion model or a single metal ion in the active site. The latter model is consistent, however, with the known metal stoichiometry of both the membrane-bound and cytosolic forms of AP-P and with a recently proposed model for methionyl aminopeptidase.

Pricing and hedging short sterling options using artificial neural networks

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging Short Sterling options positions using Short Sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model.