Volatility forecasting for risk management

Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub-optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out-of-sample forecasting performance of various linear and GARCH-type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are evaluated using traditional metrics, such as mean squared error, and also by how adequately they perform in a modern risk management setting. We find that the relative accuracies of the various methods are highly sensitive to the measure used to evaluate them. Such results have implications for any econometric time series forecasts which are subsequently employed in financial decisionmaking.

Chronic disease risk associated with different dietary saturated fatty acids

This chapter compares the risks of chronic disease, and cardiovascular disease in particular, associated with consumption of different saturated fatty acids. Emphasis is placed on the effects of stearic acid as this has potential to replace trans fatty acids in certain manufactured food products. The chapter first reviews the effects of individual saturated fatty acids on blood lipids, including cholesterol, as these are commonly used as markers of disease risk. It then looks directly at evidence in relation to health outcomes. Finally, recent evidence specifically on the effect of stearic acid relative to other fatty acids, including trans fatty acids, is summarised.

Suitability of pesticide risk indicators for less developed countries: a comparison

Pesticide risk indicators provide simple support in the assessment of environmental and health risks from pesticide use, and can therefore inform policies to foster a sustainable interaction of agriculture with the environment. For their relative simplicity, indicators may be particularly useful under conditions of limited data availability and resources, such as in Less Developed Countries (LDCs). However, indicator complexity can vary significantly, in particular between those that rely on an exposure–toxicity ratio (ETR) and those that do not. In addition, pesticide risk indicators are usually developed for Western contexts, which might cause incorrect estimation in LDCs. This study investigated the appropriateness of seven pesticide risk indicators for use in LDCs, with reference to smallholding agriculture in Colombia. Seven farm-level indicators, among which 3 relied on an ETR (POCER, EPRIP, PIRI) and 4 on a non-ETR approach (EIQ, PestScreen, OHRI, Dosemeci et al., 2002), were calculated and then compared by means of the Spearman rank correlation test. Indicators were also compared with respect to key indicator characteristics, i.e. user friendliness and ability to represent the system under study. The comparison of the indicators in terms of the total environmental risk suggests that the indicators not relying on an ETR approach cannot be used as a reliable proxy for more complex, i.e. ETR, indicators. ETR indicators, when user-friendly, show a comparative advantage over non-ETR in best combining the need for a relatively simple tool to be used in contexts of limited data availability and resources, and for a reliable estimation of environmental risk. Non-ETR indicators remain useful and accessible tools to discriminate between different pesticides prior to application. Concerning the human health risk, simple algorithms seem more appropriate for assessing human health risk in LDCs. However, further research on health risk indicators and their validation under LDC conditions is needed.

Postprandial lipemia and cardiovascular disease risk: interrelationships between dietary, physiological and genetic determinants

Although the independence of the association and causality has not been fully established, non-fasting (postprandial) triglyceride (TG) concentrations have emerged as a clinically significant cardiovascular disease (CVD) risk factor. In the current review, findings from three insightful prospective studies in the area, namely the Women's Health Study, the Copenhagen City Heart Study and the Norwegian Counties Study, are discussed. An overview is provided as to the likely etiological basis for the association between postprandial TG and CVD, with a focus on both lipid and non-lipid (inflammation, hemostasis and vascular function) risk factors. The impact of various lifestyle and physiological determinants are considered, in particular genetic variation and meal fat composition. Furthermore, although data is limited some information is provided as to the relative and interactive impact of a number of modulators of lipemia. It is evident that relative to age, gender and body mass index (known modulators of postprandial lipemia), the contribution of identified gene variants to the heterogeneity observed in the postprandial response is likely to be relatively small. Finally, we highlight the need for the development of a standardised ‘fat tolerance test’ for use in clinical trials, to allow the integration and comparison of data from individual studies

Breast, colorectal, and prostate cancer risk in the European Prospective Investigation into Cancer and Nutrition–Norfolk in relation to phytoestrogen intake derived from an improved database

Background: The characterization of phytoestrogen intake and cancer risk has been hindered by the absence of accurate dietary phytoestrogen values. Objective: We examined the risk of breast, colorectal, and prostate cancers relative to phytoestrogen intake on the basis of a comprehensive database. Design: Demographic and anthropometric characteristics, a medical history, and 7-d records of diet were collected prospectively from participants (aged 40–79 y) in the European Prospective Investigation into Cancer and Nutrition–Norfolk (EPIC-Norfolk). Five hundred nine food items were analyzed by liquid chromatography–mass spectrometry/mass spectrometry, and 13C3-labeled internal standards were analyzed for isoflavones (genistein, daidzein, glycitein, biochanin A, and formononetin), lignans (secoisolariciresinol and matairesinol), and enterolignans from gut microbial metabolism in animal food sources (equol and enterolactone). From the direct analysis, values for 10,708 foods were calculated. Odds ratios (ORs) for breast (244 cases, 941 controls), colorectal (221 cases, 886 controls), and prostate (204 cases, 812 controls) cancers were calculated relative to phytoestrogen intake. Results: Phytoestrogen intake was not associated with breast cancer among women or colorectal cancer among men. Among women, colorectal cancer risk was inversely associated with enterolactone (OR: 0.33; 95% CI: 0.14, 0.74) and total enterolignans (OR: 0.32; 95% CI: 0.13, 0.79), with a positive trend detected for secoisolariciresinol (OR: 1.60; 95% CI: 0.96, 2.69). A positive trend between enterolignan intake and prostate cancer risk (OR: 1.27; 95% CI: 0.97, 1.66) was attenuated after adjustment for dairy intake (OR: 1.19; 95% CI: 0.77, 1.82). Conclusion: Dietary phytoestrogens may contribute to the risk of colorectal cancer among women and prostate cancer among men.

Obesity and body fat classification in the metabolic syndrome: impact on cardiometabolic risk metabotype

Obesity is a key factor in the development of the metabolic syndrome (MetS), which is associated with increased cardiometabolic risk. We investigated whether obesity classification by body mass index (BMI) and body fat percentage (BF%) influences cardiometabolic profile and dietary responsiveness in 486 MetS subjects (LIPGENE dietary intervention study). Anthropometric measures, markers of inflammation and glucose metabolism, lipid profiles, adhesion molecules and haemostatic factors were determined at baseline and after 12 weeks of 4 dietary interventions (high saturated fat (SFA), high monounsaturated fat (MUFA) and 2 low fat high complex carbohydrate (LFHCC) diets, 1 supplemented with long chain n-3 polyunsaturated fatty acids (LC n-3 PUFAs)). 39% and 87% of subjects classified as normal and overweight by BMI were obese according to their BF%. Individuals classified as obese by BMI (± 30 kg/m2) and BF% (± 25% (men) and ± 35% (women)) (OO, n = 284) had larger waist and hip measurements, higher BMI and were heavier (P < 0.001) than those classified as non-obese by BMI but obese by BF% (NOO, n = 92). OO individuals displayed a more pro-inflammatory (higher C reactive protein (CRP) and leptin), pro-thrombotic (higher plasminogen activator inhibitor-1 (PAI-1)), pro-atherogenic (higher leptin/adiponectin ratio) and more insulin resistant (higher HOMA-IR) metabolic profile relative to the NOO group (P < 0.001). Interestingly, tumour necrosis factor alpha (TNF-α) concentrations were lower post-intervention in NOO individuals compared to OO subjects (P < 0.001). In conclusion, assessing BF% and BMI as part of a metabotype may help identify individuals at greater cardiometabolic risk than BMI alone.

Olive leaf phenolics and cardiovascular risk reduction: Physiological effects and mechanisms of action

Olive oil, an important component of the Mediterranean diet, is rich in polyphenols and is known to possess positive health effects relative to other dietary fats. In addition, the leaves of the olive plant (Olea europaea) contain similar phenolics (oleuropein, luteolin-7-glucoside, apigenin-7-glucoside, verbascoside and hydroxytyrosol) to those of olives and olive oil, although at higher concentrations. For example, the most abundant is the secoiridoid, oleuropein, representing 1–14% of olive leaf weight vs. 0.005–0.12% in olive oil. Although currently considered a waste product of the olive oil industry, recent research has suggested beneficial effects of phenolic-rich olive leaf extracts (OLE) in modifying cardiovascular risk biomarkers such as blood pressure, hyperglycaemia, oxidative stress and inflammation, as well as improving vascular function and lipid profiles. Despite this, data regarding the biological actions of OLE has mostly derived from animal, in vitro and ex vivo studies, with limited evidence deriving from human trials. Although the absorption and metabolism of olive oil phenolics has been investigated, less is known about the bioavailability of phenolics from OLE, limiting the interpretation of existing in vitro and ex vivo data. The current review will begin by describing the phenolic composition of olive leaves in comparison with that of the better studied olive oil. It will then review the effects of OLE on cardiovascular risk factors, covering both animal and human studies and will end by considering potential mechanisms of action

Neural processing of reward and punishment in young people at increased familial risk of depression

Background Abnormalities in the neural representation of rewarding and aversive stimuli have been well-described in patients with acute depression, and we previously found abnormal neural responses to rewarding and aversive sight and taste stimuli in recovered depressed patients. The aim of the present study was to determine whether similar abnormalities might be present in young people at increased familial risk of depression but with no personal history of mood disorder. Methods We therefore used functional magnetic resonance imaging to examine the neural responses to pleasant and aversive sights and tastes in 25 young people (16–21 years of age) with a biological parent with depression and 25 age- and gender-matched control subjects. Results We found that, relative to the control subjects, participants with a parental history of depression showed diminished responses in the orbitofrontal cortex to rewarding stimuli, whereas activations to aversive stimuli were increased in the lateral orbitofrontal cortex and insula. In anterior cingulate cortex the at-risk group showed blunted neural responses to both rewarding and aversive stimuli. Conclusions Our findings suggest that young people at increased familial risk of depression have altered neural representation of reward and punishment, particularly in cortical regions linked to the use of positive and negative feedback to guide adaptive behavior.

Comparative effect of dairy fatty acids on cell adhesion molecules, nitric oxide and relative gene expression in healthy and diabetic human aortic endothelial cells

Dairy intake, despite its high saturated fatty acid (SFA) content, is associated with a lower risk of cardiovascular disease and diabetes. This in vitro study determined the effect of individual fatty acids (FA) found in dairy, and FA mixtures representative of a high SFA and a low SFA dairy lipid on markers of endothelial function in healthy and type II diabetic aortic endothelial cells.

Opposing neural effects of naltrexone on food reward and aversion: implications for the treatment of obesity

Rationale: Opioid antagonism reduces the consumption of palatable foods in humans but the neural substrates implicated in these effects are less well understood. Objectives: The aim of the present study was to examine the effects of the opioid antagonist, naltrexone, on neural response to rewarding and aversive sight and taste stimuli. Methods: We used functional magnetic resonance imaging (fMRI) to examine the neural responses to the sight and taste of pleasant (chocolate) and aversive (mouldy strawberry) stimuli in 20 healthy volunteers who received a single oral dose of naltrexone (50 mg) and placebo in a double-blind, repeated-measures cross-over, design. Results: Relative to placebo, naltrexone decreased reward activation to chocolate in the dorsal anterior cingulate cortex and caudate, and increased aversive-related activation to unpleasant strawberry in the amygdala and anterior insula. Conclusions: These findings suggest that modulation of key brain areas involved in reward processing, cognitive control and habit formation such as the dorsal anterior cingulate cortex (dACC) and caudate might underlie reduction in food intake with opioid antagonism. Furthermore we show for the first time that naltrexone can increase activations related to aversive food stimuli. These results support further investigation of opioid treatments in obesity.

Neural effects of cannabinoid CB1 neutral antagonist tetrahydrocannabivarin (THCv) on food reward and aversion in healthy volunteers

Disturbances in the regulation of reward and aversion in the brain may underlie disorders such as obesity and eating disorders. We previously showed that the cannabis receptor subtype (CB1) inverse agonist rimonabant, an antiobesity drug withdrawn due to depressogenic side effects, diminished neural reward responses yet increased aversive responses (Horder et al., 2010). Unlike rimonabant, tetrahydrocannabivarin is a neutral CB1 receptor antagonist (Pertwee, 2005) and may therefore produce different modulations of the neural reward system. We hypothesized that tetrahydrocannabivarin would, unlike rimonabant, leave intact neural reward responses but augment aversive responses. Methods: We used a within-subject, double-blind design. Twenty healthy volunteers received a single dose of tetrahydrocannabivarin (10mg) and placebo in randomized order on 2 separate occasions. We measured the neural response to rewarding (sight and/or flavor of chocolate) and aversive stimuli (picture of moldy strawberries and/or a less pleasant strawberry taste) using functional magnetic resonance imaging. Volunteers rated pleasantness, intensity, and wanting for each stimulus. Results: There were no significant differences between groups in subjective ratings. However, tetrahydrocannabivarin increased responses to chocolate stimuli in the midbrain, anterior cingulate cortex, caudate, and putamen. Tetrahydrocannabivarin also increased responses to aversive stimuli in the amygdala, insula, mid orbitofrontal cortex, caudate, and putamen. Conclusions: Our findings are the first to show that treatment with the CB1 neutral antagonist tetrahydrocannabivarin increases neural responding to rewarding and aversive stimuli. This effect profile suggests therapeutic activity in obesity, perhaps with a lowered risk of depressive side effects. Keywords: reward, THCv, obesity, fMRI, cannabinoid

Orange juice–derived flavanone and phenolic metabolites do not acutely affect cardiovascular risk biomarkers: a randomized, placebo-controlled, crossover trial in men at moderate risk of cardiovascular disease

Background: Epidemiological data suggest inverse associations between citrus flavanone intake and cardiovascular disease (CVD) risk. However, insufficient randomized controlled trial (RCT) data limit our understanding of mechanisms by which flavanones and their metabolites potentially reduce cardiovascular (CV) risk factors. Objective: We examined the effects of orange juice or a dose-matched hesperidin supplement on plasma concentrations of established and novel flavanone metabolites and their effects on CV risk biomarkers in men at moderate CVD risk. Methods: In an acute, randomized, placebo-controlled crossover trial, 16 fasted participants (aged 51-69 y) received orange juice or a hesperidin supplement (both providing 320 mg hesperidin) or control (all matched for sugar and vitamin C content). At baseline and 5 h post-intake, endothelial function (primary outcome), further CV risk biomarkers (i.e. blood pressure, arterial stiffness, cardiac autonomic function, platelet activation and NADPH oxidase gene expression) and plasma flavanone metabolites were assessed. Prior to each intervention, a diet low in flavonoids, nitrate/nitrite, alcohol and caffeine was followed and a standardized low-flavonoid evening meal was consumed. Results: Orange juice intake significantly elevated mean (± SEM) plasma concentrations of 8 flavanone (1.75 ± 0.35 µmol/L, P < 0.0001) and 15 phenolic metabolites (13.27 ± 2.22 µmol/L, P < 0.0001) compared with control at 5 h post-consumption. Despite increased plasma flavanone and phenolic metabolite concentrations, CV risk biomarkers were unaltered. Following hesperidin supplement intake, flavanone metabolites were not different to control, suggesting altered absorption/metabolism compared with the orange juice matrix. Conclusions: Following single-dose flavanone intake within orange juice, we detected circulating flavanone and phenolic metabolites collectively reaching a concentration of 15.20 ± 2.15 µmol/L but observed no effect on CV risk biomarkers. Longer-duration RCTs are required to further examine the previous associations between higher flavanone intakes and improved cardiovascular health and to ascertain the relative importance of food matrix and flavanone-derived phenolic metabolites.

Risk-taking for others under accountability

We let subjects take risky decisions that affect themselves and a passive recipient. Adding a requirement to justify their choices significantly reduces loss aversion. This indicates that such an accountability mechanism may be effective at debiasing loss aversion in agency relations.

Risk taking for oneself and others: a structural model approach

Economic theory makes no predictions about social factors affecting decisions under risk. We examine situations in which a decision maker decides for herself and another person under conditions of payoff equality, and compare them to individual decisions. By estimating a structural model, we find that responsibility leaves utility curvature unaffected, but accentuates the subjective distortion of very small and very large probabilities for both gains and losses. We also find that responsibility reduces loss aversion, but that these results only obtain under some specific definitions of the latter. These results serve to generalize and reconcile some of the still largely contradictory findings in the literature. They also have implications for financial agency, which we discuss.