Heterogeneous discounting in consumption-investment problems. Time consistent solutions

[cat] En aquest treball s'analitza un model estocàstic en temps continu en el que l'agent decisor descompta les utilitats instantànies i la funció final amb taxes de preferència temporal constants però diferents. En aquest context es poden modelitzar problemes en els quals, quan el temps s'acosta al moment final, la valoració de la funció final incrementa en comparació amb les utilitats instantànies. Aquest tipus d'asimetria no es pot descriure ni amb un descompte estàndard ni amb un variable. Per tal d'obtenir solucions consistents temporalment es deriva l'equació de programació dinàmica estocàstica, les solucions de la qual són equilibris Markovians. Per a aquest tipus de preferències temporals, s'estudia el model clàssic de consum i inversió (Merton, 1971) per a les funcions d'utilitat del tipus CRRA i CARA, comparant els equilibris Markovians amb les solucions inconsistents temporalment. Finalment es discuteix la introducció del temps final aleatori.

Buy-and-Hold Strategies and Comonotonic Approximations

[cat] En aquest article estudiem estratègies “comprar i mantenir” per a problemes d’optimitzar la riquesa final en un context multi-període. Com que la riquesa final és una suma de variables aleatòries dependents, on cadascuna d’aquestes correspon a una quantitat de capital que s’ha invertit en un actiu particular en una data determinada, en primer lloc considerem aproximacions que redueixen l’aleatorietat multivariant al cas univariant. A continuació, aquestes aproximacions es fan servir per determinar les estratègies “comprar i mantenir” que optimitzen, per a un nivell de probabilitat donat, el VaR i el CLTE de la funció de distribució de la riquesa final. Aquest article complementa el treball de Dhaene et al. (2005), on es van considerar estratègies de reequilibri constant.

On the use of spatially discrete data to compute energy and mass balance

In many practical applications the state of field soils is monitored by recording the evolution of temperature and soil moisture at discrete depths. We theoretically investigate the systematic errors that arise when mass and energy balances are computed directly from these measurements. We show that, even with no measurement or model errors, large residuals might result when finite difference approximations are used to compute fluxes and storage term. To calculate the limits set by the use of spatially discrete measurements on the accuracy of balance closure, we derive an analytical solution to estimate the residual on the basis of the two key parameters: the penetration depth and the distance between the measurements. When the thickness of the control layer for which the balance is computed is comparable to the penetration depth of the forcing (which depends on the thermal diffusivity and on the forcing period) large residuals arise. The residual is also very sensitive to the distance between the measurements, which requires accurately controlling the position of the sensors in field experiments. We also demonstrate that, for the same experimental setup, mass residuals are sensitively larger than the energy residuals due to the nonlinearity of the moisture transport equation. Our analysis suggests that a careful assessment of the systematic mass error introduced by the use of spatially discrete data is required before using fluxes and residuals computed directly from field measurements.

Genetic association tests: a method for the joint analysis of family and case-control data.

With the trend in molecular epidemiology towards both genome-wide association studies and complex modelling, the need for large sample sizes to detect small effects and to allow for the estimation of many parameters within a model continues to increase. Unfortunately, most methods of association analysis have been restricted to either a family-based or a case-control design, resulting in the lack of synthesis of data from multiple studies. Transmission disequilibrium-type methods for detecting linkage disequilibrium from family data were developed as an effective way of preventing the detection of association due to population stratification. Because these methods condition on parental genotype, however, they have precluded the joint analysis of family and case-control data, although methods for case-control data may not protect against population stratification and do not allow for familial correlations. We present here an extension of a family-based association analysis method for continuous traits that will simultaneously test for, and if necessary control for, population stratification. We further extend this method to analyse binary traits (and therefore family and case-control data together) and accurately to estimate genetic effects in the population, even when using an ascertained family sample. Finally, we present the power of this binary extension for both family-only and joint family and case-control data, and demonstrate the accuracy of the association parameter and variance components in an ascertained family sample.

Policy Change and the Politics of Expertise. Economic Ideas and immigration Control Reforms in switzerland

This article analyses the varying influence across time of the "epistemic community" of free-market economists on immigration policy making in Switzerland. To this end, a framework for the analysis of the impact of economic expertise is provided, and then used in an historical analysis comparing the 1960s with the 1990s. Whereas this influence can be considered to have been weak in the 1960s, it gained significantly in importance in the 1990s, when a period of economic unrest seriously challenged previous immigration policies. It is argued that economic experts played an important role in framing the reforms undertaken during this latter period, notably by providing a "credible causal story" about the links between the existing immigration policy and the social problems which arose in the country in the 1990s. As compared to the 1960s, economic expertise in the 1990s enjoyed more credibility, more political support and took full advantage of a more uncertain social and economic context

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Accurate and efficient simulation of multiphase flow in a heterogeneous reservoir by using error estimate and control in the multiscale finite-volume framework

The multiscale finite-volume (MSFV) method is designed to reduce the computational cost of elliptic and parabolic problems with highly heterogeneous anisotropic coefficients. The reduction is achieved by splitting the original global problem into a set of local problems (with approximate local boundary conditions) coupled by a coarse global problem. It has been shown recently that the numerical errors in MSFV results can be reduced systematically with an iterative procedure that provides a conservative velocity field after any iteration step. The iterative MSFV (i-MSFV) method can be obtained with an improved (smoothed) multiscale solution to enhance the localization conditions, with a Krylov subspace method [e.g., the generalized-minimal-residual (GMRES) algorithm] preconditioned by the MSFV system, or with a combination of both. In a multiphase-flow system, a balance between accuracy and computational efficiency should be achieved by finding a minimum number of i-MSFV iterations (on pressure), which is necessary to achieve the desired accuracy in the saturation solution. In this work, we extend the i-MSFV method to sequential implicit simulation of time-dependent problems. To control the error of the coupled saturation/pressure system, we analyze the transport error caused by an approximate velocity field. We then propose an error-control strategy on the basis of the residual of the pressure equation. At the beginning of simulation, the pressure solution is iterated until a specified accuracy is achieved. To minimize the number of iterations in a multiphase-flow problem, the solution at the previous timestep is used to improve the localization assumption at the current timestep. Additional iterations are used only when the residual becomes larger than a specified threshold value. Numerical results show that only a few iterations on average are necessary to improve the MSFV results significantly, even for very challenging problems. Therefore, the proposed adaptive strategy yields efficient and accurate simulation of multiphase flow in heterogeneous porous media.

Heterogeneous discounting in consumption-investment problems. Time consistent solutions

[cat] En aquest treball s'analitza un model estocàstic en temps continu en el que l'agent decisor descompta les utilitats instantànies i la funció final amb taxes de preferència temporal constants però diferents. En aquest context es poden modelitzar problemes en els quals, quan el temps s'acosta al moment final, la valoració de la funció final incrementa en comparació amb les utilitats instantànies. Aquest tipus d'asimetria no es pot descriure ni amb un descompte estàndard ni amb un variable. Per tal d'obtenir solucions consistents temporalment es deriva l'equació de programació dinàmica estocàstica, les solucions de la qual són equilibris Markovians. Per a aquest tipus de preferències temporals, s'estudia el model clàssic de consum i inversió (Merton, 1971) per a les funcions d'utilitat del tipus CRRA i CARA, comparant els equilibris Markovians amb les solucions inconsistents temporalment. Finalment es discuteix la introducció del temps final aleatori.

Buy-and-Hold Strategies and Comonotonic Approximations

[cat] En aquest article estudiem estratègies “comprar i mantenir” per a problemes d’optimitzar la riquesa final en un context multi-període. Com que la riquesa final és una suma de variables aleatòries dependents, on cadascuna d’aquestes correspon a una quantitat de capital que s’ha invertit en un actiu particular en una data determinada, en primer lloc considerem aproximacions que redueixen l’aleatorietat multivariant al cas univariant. A continuació, aquestes aproximacions es fan servir per determinar les estratègies “comprar i mantenir” que optimitzen, per a un nivell de probabilitat donat, el VaR i el CLTE de la funció de distribució de la riquesa final. Aquest article complementa el treball de Dhaene et al. (2005), on es van considerar estratègies de reequilibri constant.

Continuous recording intrarectal pressures during the second phase of labor.

Parameters of intrarectal pressure (surface area under pressure curve and peak pressure) recorded with a microsystem device during the second phase of labor showed no significant correlations with baby's weight or mode of delivery. AIM OF THE STUDY: Was to assess the biomechanical pressures delivered against pelvic floor structures during the second phase of labor in nulliparae women, and to correlate them with obstetrics parameters, i.e. baby'sweight and mode of delivery. MATERIAL: Using a microsystem device placed into the rectum at the beginning of the second phase of labor, two parameters were assessed during the bearing efforts in 59 nulliparae women: the surface area under the pressure curve and the peak pressure. RESULTS: During 11.5±9 bearing efforts of 99.1±16s duration, the mean value of surface area under the pressure curve was 32677±26058cm/s and the mean value of the peak pressure was 60.7±24cmH(2)O, exceeding 100cmH(2)O in 10% of women. These two parameters were not correlated with baby's weight (R: 0.19, P: 0.15 and R: 0.05, P: 0.71). In the same way, these two parameters were not correlated with the mode of delivery (spontaneous or forceps/vacuum-assisted). Furthermore, the individual values of these two parameters showed great variation from one woman to another. CONCLUSION: This study has showed that parameters of biomechanical pressures recorded into the rectum during second phase of labor had no significant correlations with obstetricals parameters, explaining why these latter have poor predicitive value of further pelvic floor problems.

Optimization of analytical methods for the assessment of the quality of fats and oils used in continuous deep fat frying

La aplicabilidad, repetibilidad y capacidad de diferentes métodos de análisis para discriminar muestras de aceites con diferentes grados de oxidación fueron evaluadas mediante aceites recogidos en procesos de fritura en continuo en varias empresas españolas. El objetivo de este trabajo fue encontrar métodos complementarios a la determinación del índice de acidez para el control de calidad rutinario de los aceites de fritura empleados en estas empresas. La optimización de la determinación de la constante dieléctrica conllevó una clara mejora de la variabilidad. No obstante, excepto en el caso del índice del ATB, el resto de métodos ensayados mostraron una menor variabilidad. La determinación del índice del ATB fue descartada ya que su sensibilidad fue insuficiente para discriminar entre aceites con diferente grado de oxidación. Los diferentes parámetros de alteración determinados en los aceites de fritura mostraron correlaciones significativas entre el índice de acidez y varios parámetros de oxidación diferentes, como la constante dieléctrica, el índice de p-anisidina, la absorción al ultravioleta y el contenido en polímeros de los triacilgliceroles. El índice de acidez solo evalúa la alteración hidrolítica, por lo que estos parámetros aportan información complementaria al evaluar la alteración termooxidativa.

Induction of experimental endocarditis by continuous low-grade bacteremia mimicking spontaneous bacteremia in humans.

Transient high-grade bacteremia following invasive procedures carries a risk of infective endocarditis (IE). This is supported by experimental endocarditis. On the other hand, case-control studies showed that IE could be caused by cumulative exposure to low-grade bacteremia occurring during daily activities. However, no experimental demonstration of this latter possibility exists. This study investigated the infectivity in animals of continuous low-grade bacteremia compared to that of brief high-grade bacteremia. Rats with aortic vegetations were inoculated with Streptococcus intermedius, Streptococcus gordonii or Staphylococcus aureus (strains Newman and P8). Animals were challenged with 10(3) to 10(6) CFU. Identical bacterial numbers were given by bolus (1 ml in 1 min) or continuous infusion (0.0017 ml/min over 10 h). Bacteremia was 50 to 1,000 times greater after bolus than during continuous inoculation. Streptococcal bolus inoculation of 10(5) CFU infected 63 to 100% vegetations compared to 30 to 71% infection after continuous infusion (P > 0.05). When increasing the inoculum to 10(6) CFU, bolus inoculation infected 100% vegetations and continuous infusion 70 to 100% (P > 0.05). S. aureus bolus injection of 10(3) CFU infected 46 to 57% valves. This was similar to the 53 to 57% infection rates produced by continuous infusion (P > 0.05). Inoculation of 10(4) CFU of S. aureus infected 80 to 100% vegetations after bolus and 60 to 75% after continuous infusion (P > 0.05). These results show that high-level bacteremia is not required to induce experimental endocarditis and support the hypothesis that cumulative exposure to low-grade bacteremia represents a genuine risk of IE in humans.

Adherence to oral anticancer treatment: focus on quality of execution during continuous schema of treatment

Background and objective: Oral anti-cancer treatments have expanded rapidly over the last years. While taking oral tablets at home ensures a better quality of life, it also exposes patients to the risk of sub-optimal adherence. The objective of this study is to assess how well ambulatory cancer patients execute their prescribed dosing regimen while they are engaged with continuous anti-cancer treatments. Design: This is an on-going longitudinal study. Consecutive patients starting an oral treatment are proposed to enter the study by the oncologist. Then they are referred to the pharmacy, where their oral anticancer treatment is dispensed in a Medication Event Monitoring System (MEMSTM), which records date and time of each opening of the drug container. Electronically compiled dosing history data from the MEMS are summarized and used as feedback during semistructured interviews with the pharmacist, which are dedicated to prevention and management of side effects. Interviews are scheduled before each medical visit. Report of the interview is available to the oncologist via an on-line secured portal. Setting: Seamless care approach between a Multidisciplinary Oncology Center and the Pharmacy of an Ambulatory Care and Community Medicine Department. Main outcome measures: For each patient, the comparison between the electronically compiled dosing history and the prescribed regimen was summarized using a daily binary indicator indicating whether yes or no the patient has taken the medication as prescribed. Results: Study started in March 2008. Among 22 eligible patients, 19 were included (11 men, median age 63 years old) and 3 (14%) refused to participate. 15 patients were prescribed a QD regimen, 3 patients a BID and 1 patient switched from QD to BID during follow-up. Median follow up was 182 days (IQR 72-252). Early discontinuation happened in four patients: side effects (n = 1), psychiatric reasons (n = 1), cancer progression (n = 1) and death (n = 1). On average, the daily number of medications was taken as prescribed in 99% of the follow-up days. Conclusions: Execution of the prescribed dosing regimens was almost perfect during the first 6 months. Maintaining this high degree of regimen execution and persistence over time might however be challenging in this population and need therefore to be confirmed in larger and longer follow-up cohort studies.

Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

Liability and Traffic Control Considerations for Low Water Stream Crossings, HR-218, 1981

The current shortage of highway funds precludes the immediate replacement of most of the bridges that have been evaluated as structurally deficient or functionally obsolete or both. A low water stream crossing (LWSC) affords an economical alternative to the replacement of a bridge with another bridge in many instances. However, the potential liability that might be incurred from the use of LWSCs has served as a deterrent to their use. Nor have guidelines for traffic control devices been developed for specific application to LWSCs. This research addressed the problems of liability and traffic control associated with the use of LWSCs. Input to the findings from this research was provided by several persons contacted by telephone plus 189 persons who responded to a questionnaire concerning their experience with LWSCs. It was concluded from this research that a significant potential for accidents and liability claims could result from the use of LWSCs. However, it was also concluded that this liability could be reduced to within acceptable limits if adequate warning of the presence of an LWSC were afforded to road users. The potential for accidents and liability could further be reduced if vehicular passage over an LWSC were precluded during periods when the road was flooded. Under these conditions, it is believed, the potential for liability from the use of an LWSC on an unpaved, rural road would be even less than that resulting from the continuing use of an inadequate bridge. The signs recommended for use in advance of an LWSC include two warning signs and one regulatory sign with legends as follows: FLOOD AREA AHEAD, IMPASSABLE DURING HIGH WATER, DO NOT ENTER WHEN FLOODED. Use of the regulatory sign would require an appropriate resolution by the Board of Supervisors having responsibility for a county road. Other recommendations include the optional use of either a supple mental distance advisory plate or an advisory speed plate, or both, under circumstances where these may be needed. It was also recommended HR-218 Liability & Traffic Control Considerations for Low Water Stream Crossings that LWSCs be used only on unpaved roads and that they not be used in locations where flooding of an LWSC would deprive dwelling places of emergency ground access.