Portfolio delegation under short-selling constraints

In this paper we study delegated portfolio management when themanager's ability to short-sell is restricted. Contrary to previousresults, we show that under moral hazard, linear performance-adjustedcontracts do provide portfolio managers with incentives to gatherinformation. The risk-averse manager's optimal effort is an increasingfunction of her share in the portfolio's return. This result affectsthe risk-averse investor's optimal contract decision. The first best,purely risk-sharing contract is proved to be suboptimal. Usingnumerical methods we show that the manager's share in the portfolioreturn is higher than the rst best share. Additionally, this deviationis shown to be: (i) increasing in the manager's risk aversion and (ii)larger for tighter short-selling restrictions. When the constraint isrelaxed the optimal contract converges towards the first best risksharing contract.

Peroxisome-proliferator-activated receptors and cancers: complex stories.

Peroxisome-proliferator-activated receptors (PPARs) are nuclear hormone receptors that mediate the effects of fatty acids and their derivatives at the transcriptional level. Through these pathways, PPARs can regulate cell proliferation, differentiation and survival, so controlling carcinogenesis in various tissues. But what are the links between each PPAR isotype and carcinogenesis and what is the relevance of these findings to human pathology and therapy?

Short-term investment and equilibrium multiplicity

I study the effects of the heterogeneity of traders'horizon in the context of a 2-period NREE model whereall traders are risk averse. Owing to inventory effects,myopic trading behavior generates multiplicity ofequilibria. In particular, two distinct patterns arise.Along the first equilibrium, short term tradersanticipate higher second period price reaction toinformation arrival and, owing to risk aversion,scale back their trading intensity. This, in turn,reduces both risk sharing and information impoundinginto prices enforcing a high returns' volatility-lowprice informativeness equilibrium. In the second one,the opposite happens and a low volatility-high priceinformativeness equilibrium arises.

Why do emerging economies borrow short term?

We argue that one reason why emerging economies borrow short term is that it is cheaperthan borrowing long term. This is especially the case during crises, as in these episodes therelative cost of long-term borrowing increases. We construct a unique database of sovereignbond prices, returns, and issuances at di¤erent maturities for 11 emerging economies from 1990to 2009 and present a set of new stylized facts. On average, these countries pay a higher riskpremium on long-term than on short-term bonds. During crises, the di¤erence between the tworisk premia increases and issuance shifts towards shorter maturities. To illustrate our argument,we present a simple model in which the maturity structure is the outcome of a risk sharingproblem between an emerging economy subject to rollover crises and risk averse internationalinvestors.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks

Although it is commonly accepted that most macroeconomic variables are nonstationary, it is often difficult to identify the source of the non-stationarity. In particular, it is well-known that integrated and short memory models containing trending components that may display sudden changes in their parameters share some statistical properties that make their identification a hard task. The goal of this paper is to extend the classical testing framework for I(1) versus I(0)+ breaks by considering a a more general class of models under the null hypothesis: non-stationary fractionally integrated (FI) processes. A similar identification problem holds in this broader setting which is shown to be a relevant issue from both a statistical and an economic perspective. The proposed test is developed in the time domain and is very simple to compute. The asymptotic properties of the new technique are derived and it is shown by simulation that it is very well-behaved in finite samples. To illustrate the usefulness of the proposed technique, an application using inflation data is also provided.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Short term variation in the vertical distribution of copepods off the coast of northern Peru

Analiza los datos colectados de la clorofila frente al Peru cerca de 9°S. Determinandose la profundidad a la que se enuentran y la concentración de oxigeno durante el dia y la noche.

Impact of personality on termination of short-term group psychotherapy in depressed elderly outpatients

Objective Termination in group psychotherapy is an essential phase of the psychotherapeutic process, yet its clinical determinants remain largely unknown, especially in elderly patients. The aim of this study was to assess how patients' personality traits influence their way of leaving a short-term psychotherapy group as well as a larger therapeutic community program. <p>Method Personality traits were assessed with the NEO Five-Factor Inventory in 24 elderly depressed outpatients. Patients' terminations from the group as well as from the community were ranked into four classes according to their appropriateness (completeness of experience and ability to deal with feelings of separation). Results Neuroticism was not related to the quality of termination. In contrast, agreeableness and openness to experience were strongly associated with successful termination. Conscientiousness and extraversion may have a differential impact depending on the type of group (group psychotherapy versus therapeutic community). Conclusion Personality traits may be important clinical determinants of the quality of termination process in both group psychotherapy and therapeutic community settings for elderly depressed patients.

Myocardial impairment in chronic hypoxia is abolished by short aeration episodes: involvement of K+ATP channels.

In vivo exposure to chronic hypoxia is considered to be a cause of myocardial dysfunction, thereby representing a deleterious condition, but repeated aeration episodes may exert some cardioprotection. We investigated the possible role of ATP-sensitive potassium channels in these mechanisms. First, rats (n = 8/group) were exposed for 14 days to either chronic hypoxia (CH; 10% O(2)) or chronic hypoxia with one episode/day of 1-hr normoxic aeration (CH+A), with normoxia (N) as the control. Second, isolated hearts were Langendorff perfused under hypoxia (10% O(2), 30 min) and reoxygenated (94% O(2), 30 min) with or without 3 microM glibenclamide (nonselective K(+)(ATP) channel-blocker) or 100 microM diazoxide (selective mitochondrial K(+)(ATP) channel-opener). Blood gasses, hemoglobin concentration, and plasma malondialdehyde were similar in CH and CH+A and in both different from normoxic (P < 0.01), body weight gain and plasma nitrate/nitrite were higher in CH+A than CH (P < 0.01), whereas apoptosis (number of TUNEL-positive nuclei) was less in CH+A than CH (P < 0.05). During in vitro hypoxia, the efficiency (ratio of ATP production/pressure x rate product) was the same in all groups and diazoxide had no measurable effects on myocardial performance, whereas glibenclamide increased end-diastolic pressure more in N and CH than in CH+A hearts (P < 0.05). During reoxgenation, efficiency was markedly less in CH with respect to N and CH+A (P < 0.0001), and ratex pressure product remained lower in CH than N and CH+A hearts (P < 0.001), but glibenclamide or diazoxide abolished this difference. Glibenclamide, but not diazoxide, decreased vascular resistance in N and CH (P < 0.005 and < 0.001) without changes in CH+A. We hypothesize that cardioprotection in chronically hypoxic hearts derive from cell depolarization by sarcolemmal K(+)(ATP) blockade or from preservation of oxidative phosphorylation efficiency (ATP turnover/myocardial performance) by mitochondrial K(+)(ATP) opening. Therefore K(+)(ATP) channels are involved in the deleterious effects of chronic hypoxia and in the cardioprotection elicited when chronic hypoxia is interrupted with short normoxic aeration episodes.

Validation of the Mini Nutritional Assessment short-form (MNA-SF): a practical tool for identification of nutritional status.

OBJECTIVE: To validate a revision of the Mini Nutritional Assessment short-form (MNA(R)-SF) against the full MNA, a standard tool for nutritional evaluation. METHODS: A literature search identified studies that used the MNA for nutritional screening in geriatric patients. The contacted authors submitted original datasets that were merged into a single database. Various combinations of the questions on the current MNA-SF were tested using this database through combination analysis and ROC based derivation of classification thresholds. RESULTS: Twenty-seven datasets (n=6257 participants) were initially processed from which twelve were used in the current analysis on a sample of 2032 study participants (mean age 82.3y) with complete information on all MNA items. The original MNA-SF was a combination of six questions from the full MNA. A revised MNA-SF included calf circumference (CC) substituted for BMI performed equally well. A revised three-category scoring classification for this revised MNA-SF, using BMI and/or CC, had good sensitivity compared to the full MNA. CONCLUSION: The newly revised MNA-SF is a valid nutritional screening tool applicable to geriatric health care professionals with the option of using CC when BMI cannot be calculated. This revised MNA-SF increases the applicability of this rapid screening tool in clinical practice through the inclusion of a "malnourished" category.

Experimental manipulation of colony genetic diversity had no effect on short-term task efficiency in the Argentine ant Linepithema humile

Genetic diversity might increase the performance of social groups by improving task efficiency or disease resistance, but direct experimental tests of these hypotheses are rare. We manipulated the level of genetic diversity in colonies of the Argentine ant Linepithema humile, and then recorded the short-term task efficiency of these experimental colonies. The efficiency of low and high genetic diversity colonies did not differ significantly for any of the following tasks: exploring a new territory, foraging, moving to a new nest site, or removing corpses. The tests were powerful enough to detect large effects, but may have failed to detect small differences. Indeed, observed effect sizes were generally small, except for the time to create a trail during nest emigration. In addition, genetic diversity had no statistically significant impact on the number of workers, males and females produced by the colony, but these tests had low power. Higher genetic diversity also did not result in lower variance in task efficiency and productivity. In contrast to genetic diversity, colony size was positively correlated with the efficiency at performing most tasks and with colony productivity. Altogether, these results suggest that genetic diversity does not strongly improve short-term task efficiency in L. humile, but that worker number is a key factor determining the success of this invasive species.

A behavioral ecology of shermen: hidden stories from trajectory data in the Northern Humboldt Current System

This work proposes an original contribution to the understanding of shermen spatial behavior, based on the behavioral ecology and movement ecology paradigms. Through the analysis of Vessel Monitoring System (VMS) data, we characterized the spatial behavior of Peruvian anchovy shermen at di erent scales: (1) the behavioral modes within shing trips (i.e., searching, shing and cruising); (2) the behavioral patterns among shing trips; (3) the behavioral patterns by shing season conditioned by ecosystem scenarios; and (4) the computation of maps of anchovy presence proxy from the spatial patterns of behavioral mode positions. At the rst scale considered, we compared several Markovian (hidden Markov and semi-Markov models) and discriminative models (random forests, support vector machines and arti cial neural networks) for inferring the behavioral modes associated with VMS tracks. The models were trained under a supervised setting and validated using tracks for which behavioral modes were known (from on-board observers records). Hidden semi-Markov models performed better, and were retained for inferring the behavioral modes on the entire VMS dataset. At the second scale considered, each shing trip was characterized by several features, including the time spent within each behavioral mode. Using a clustering analysis, shing trip patterns were classi ed into groups associated to management zones, eet segments and skippers' personalities. At the third scale considered, we analyzed how ecological conditions shaped shermen behavior. By means of co-inertia analyses, we found signi cant associations between shermen, anchovy and environmental spatial dynamics, and shermen behavioral responses were characterized according to contrasted environmental scenarios. At the fourth scale considered, we investigated whether the spatial behavior of shermen re ected to some extent the spatial distribution of anchovy. Finally, this work provides a wider view of shermen behavior: shermen are not only economic agents, but they are also foragers, constrained by ecosystem variability. To conclude, we discuss how these ndings may be of importance for sheries management, collective behavior analyses and end-to-end models.