Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

Integration of Economics into Life Cycle Assessment in the Finnish Pulp and Paper Industry

Taloudellisen laskennan yhdistäminen elinkaariarviointiin (LCA) on alkanut kiinnostaa eri teollisuuden aloja maailmanlaajuisesti viime aikoina. Useat LCA-tietokoneohjelmat sisältävät kustannuslaskentaominaisuuksia ja yksittäiset projektit ovat yhdistäneet ympäristö- ja talouslaskentamenetelmiä. Tässä projektissa tutkitaan näiden yhdistelmien soveltuvuutta suomalaiselle sellu- ja paperiteollisuudelle, sekä kustannuslaskentaominaisuuden lisäämistä KCL:n LCA-ohjelmaan, KCL-ECO 3.0:aan. Kaikki tutkimuksen aikana löytyneet menetelmät, jotka yhdistävät LCA:n ja taloudellista laskentaa, on esitelty tässä työssä. Monet näistä käyttävät elinkaarikustannusarviointia (LCCA). Periaatteessa elinkaari määritellään eri tavalla LCCA:ssa ja LCA:ssa, mikä luo haasteita näiden menetelmien yhdistämiselle. Sopiva elinkaari tulee määritellä laskennan tavoitteiden mukaisesti. Työssä esitellään suositusmenetelmä, joka lähtee suomalaisen sellu- ja paperiteollisuuden erikoispiirteistä. Perusvaatimuksena on yhteensopivuus tavanomaisesti paperin LCA:ssa käytetyn elinkaaren kanssa. Menetelmän yhdistäminen KCL-ECO 3.0:aan on käsitelty yksityiskohtaisesti.

Undercoverage and Nonresponse in a List-sampled Telephone Election Survey

For landline telephone surveys in particular, undercoverage has been a growing problem. However, research regarding the relative contributions of socio-demographic bias and other composition effects is scarce. We propose to address this issue by analyzing an election survey which used a sample from a register-based sampling frame containing basic socio-demographic information and to which telephone numbers were subsequently matched. With respect to socio-demographic representation of the final sample, we find that difficult to match groups are also difficult to contact, while those who cooperate tend to have different characteristics. We find bias due to undercoverage to be of greater magnitude than noncontact bias, while noncooperation falls between the two. As for substantive variables, both additional efforts to match missing telephone numbers and the construction of better weights are successful in closing the gap between survey estimates of voting behavior and true values from the election results.

Association of PCK1 with Body Mass Index and Other Metabolic Features in Patients With Psychotropic Treatments.

Weight gain is a major health problem among psychiatric populations. It implicates several receptors and hormones involved in energy balance and metabolism. Phosphoenolpyruvate carboxykinase 1 is a rate-controlling enzyme involved in gluconeogenesis, glyceroneogenesis and cataplerosis and has been related to obesity and diabetes phenotypes in animals and humans. The aim of this study was to investigate the association of phosphoenolpyruvate carboxykinase 1 polymorphisms with metabolic traits in psychiatric patients treated with psychotropic drugs inducing weight gain and in general population samples. One polymorphism (rs11552145G > A) significantly associated with body mass index in the psychiatric discovery sample (n = 478) was replicated in 2 other psychiatric samples (n1 = 168, n2 = 188), with AA-genotype carriers having lower body mass index as compared to G-allele carriers. Stronger associations were found among women younger than 45 years carrying AA-genotype as compared to G-allele carriers (-2.25 kg/m, n = 151, P = 0.009) and in the discovery sample (-2.20 kg/m, n = 423, P = 0.0004). In the discovery sample for which metabolic parameters were available, AA-genotype showed lower waist circumference (-6.86 cm, P = 0.008) and triglycerides levels (-5.58 mg/100 mL, P < 0.002) when compared to G-allele carriers. Finally, waist-to-hip ratio was associated with rs6070157 (proxy of rs11552145, r = 0.99) in a population-based sample (N = 123,865, P = 0.022). Our results suggest an association of rs11552145G > A polymorphism with metabolic-related traits, especially in psychiatric populations and in women younger than 45 years.

Three essays in behavioral and experimental economics

The present PhD dissertation consists of three papers, organized in chapters, in the field of behavioral economics. This discipline studies economic behavior of individuals subject to limitations, such as bounded self-interest and bounded willpower. The behavior studied in the present thesis ranges from the complex decision to register as an organ donor, decision¬making in the presence of uncertainty and the decision to give money to a charitable organization. The first chapter aims at testing the effectiveness of an active-decision (AD) mechanism on the decision to become an organ donor in Switzerland, using field experiments. We found that stimulating participants' reflection on the topic of organ donation had a negative effect on the decision to become an organ donor. Moreover, a non-binding commitment nudge reduces putting off the decision, but does not lead to donation rates higher than in the control group. The results suggest that AD may be far more limited than previously thought and raise doubts about the efficacy of engaging potential donors to reflect on the topic of organ donation. Beyond carrying for others, behavioral economics also recognizes that individuals do not evaluate outcomes in absolute terms but rather by comparing them to some reference levels, called reference points. Above the reference points, economic outcomes are perceived as gains, while below these levels the same outcomes are felt as losses. The last two chapters analyze the importance of reference points in the evaluation of economic outcomes. Using a laboratory experiment where subjects played two consecutive lotteries, Chapter 2 studies the speed of adjustment of the reference point. We find that varying the probability of winning the first lottery has no effect on subjects' risk behavior regarding the second lottery. This result indicates a very fast adjustment of the reference point to the latest information. Chapter 3 investigates whether reference points are relevant for charitable preferences. Using actual donation decisions of participants in a laboratory experiment, the results suggest that reference points are not crucial for shaping charitable giving. -- Cette thèse de doctorat consiste en trois articles, organisés en chapitres, dans le domaine de l'économie comportementale. Cette discipline étudie le comportement d'agents économiques sujets à des limitations, telles qu'un égoïsme limité et une volonté limitée. Le comportement étudié dans cette thèse va de la décision complexe de devenir donneur d'organes, la prise de décision en présence d'incertitude à la décision de donner de l'argent à une oeuvre caritative. Le premier chapitre vise à tester l'efficacité d'un mécanisme de « décision active » (active decision, AD) sur la décision de devenir donneur d'organes en Suisse, et ce en recourant à deux expériences hors-laboratoire. Les résultats montrent que stimuler la réflexion des participants sur le don d'organes a un effet négatif sur la décision de devenir donneur. De plus, un mécanisme qui encourage les participants à prendre une décision sur le champ réduit la tendance à procrastiner, mais ne mène pas à un taux de donneurs plus élevé par rapport à un groupe de contrôle. Les résultats suggèrent que le mécanisme AD est bien plus limité que ce qui a été supposé jusqu'à maintenant. De plus, ils suscitent le doute quant à l'efficacité de stimuler la réflexion de potentiels donneurs sur le sujet du don d'organes. En plus de se soucier des autres, l'économie comportementale admet également que les individus n'évaluent pas les résultats de façon absolue, mais en comparant ceux-ci à des niveaux de références, souvent appelés points de référence. Au-dessus de ces points de référence, les résultats sont perçus en tant que gains, tandis qu'en-dessous ces mêmes résultats sont considérés comme des pertes. Les deux derniers chapitres analysent l'importance des points de référence dans diverses situations. A l'aide d'une expérience en laboratoire dans laquelle les participants participent à deux loteries consécutives, le chapitre 2 étudie la vitesse d'ajustement du point de référence. Le résultat montre que varier la probabilité de gagner la première loterie n'a aucun effet sur le comportement en matière de risques concernant la deuxième loterie. Cela indique un ajustement très rapide du point de référence. Le chapitre 3 vise à déterminer si les points de référence ont un rôle majeur concernant les préférences caritatives. Les données relatives aux décisions de don des participants d'une expérience en laboratoire montrent que les points de référence n'influencent pas significativement le don caritatif.

Association of PCK1 with Body Mass Index and Other Metabolic Features in Patients With Psychotropic Treatments.

Weight gain is a major health problem among psychiatric populations. It implicates several receptors and hormones involved in energy balance and metabolism. Phosphoenolpyruvate carboxykinase 1 is a rate-controlling enzyme involved in gluconeogenesis, glyceroneogenesis and cataplerosis and has been related to obesity and diabetes phenotypes in animals and humans. The aim of this study was to investigate the association of phosphoenolpyruvate carboxykinase 1 polymorphisms with metabolic traits in psychiatric patients treated with psychotropic drugs inducing weight gain and in general population samples. One polymorphism (rs11552145G > A) significantly associated with body mass index in the psychiatric discovery sample (n = 478) was replicated in 2 other psychiatric samples (n1 = 168, n2 = 188), with AA-genotype carriers having lower body mass index as compared to G-allele carriers. Stronger associations were found among women younger than 45 years carrying AA-genotype as compared to G-allele carriers (-2.25 kg/m, n = 151, P = 0.009) and in the discovery sample (-2.20 kg/m, n = 423, P = 0.0004). In the discovery sample for which metabolic parameters were available, AA-genotype showed lower waist circumference (-6.86 cm, P = 0.008) and triglycerides levels (-5.58 mg/100 mL, P < 0.002) when compared to G-allele carriers. Finally, waist-to-hip ratio was associated with rs6070157 (proxy of rs11552145, r = 0.99) in a population-based sample (N = 123,865, P = 0.022). Our results suggest an association of rs11552145G > A polymorphism with metabolic-related traits, especially in psychiatric populations and in women younger than 45 years.

CITRICULTURE ECONOMIC AND FINANCIAL EVALUATION UNDER CONDITIONS OF UNCERTAINTY

ABSTRACT The citriculture consists in several environmental risks, as weather changes and pests, and also consists in considerable financial risk, mainly due to the period ofreturn on the initial investment. This study was motivated by the need to assess the risks of a business activity such as citriculture. Our objective was to build a stochastic simulation model to achieve the economic and financial analysis of an orange producer in the Midwest region of the state of Sao Paulo, under conditions of uncertainty. The parameters used were the Net Present Value (NPV), the Modified Internal Rate of Return(MIRR), and the Discounted Payback. To evaluate the risk conditions we built a probabilistic model of pseudorandom numbers generated with Monte Carlo method. The results showed that the activity analyzed provides a risk of 42.8% to reach a NPV negative; however, the yield assessed by MIRR was 7.7%, higher than the yield from the reapplication of the positive cash flows. The financial investment pays itself after the fourteenth year of activity.

Computer-aided system for morphometric mandibular index computation (Using dental panoramic radiographs)

Objective: We propose and validate a computer aided system to measure three different mandibular indexes: cortical width, panoramic mandibular index and, mandibular alveolar bone resorption index. Study Design: Repeatability and reproducibility of the measurements are analyzed and compared to the manual estimation of the same indexes. Results: The proposed computerized system exhibits superior repeatability and reproducibility rates compared to standard manual methods. Moreover, the time required to perform the measurements using the proposed method is negligible compared to perform the measurements manually. Conclusions: We have proposed a very user friendly computerized method to measure three different morphometric mandibular indexes. From the results we can conclude that the system provides a practical manner to perform these measurements. It does not require an expert examiner and does not take more than 16 seconds per analysis. Thus, it may be suitable to diagnose osteoporosis using dental panoramic radiographs

False normal Lung Clearance Index in infants with cystic fibrosis due to software algorithms.

BACKGROUND: Lung clearance index (LCI), a marker of ventilation inhomogeneity, is elevated early in children with cystic fibrosis (CF). However, in infants with CF, LCI values are found to be normal, although structural lung abnormalities are often detectable. We hypothesized that this discrepancy is due to inadequate algorithms of the available software package. AIM: Our aim was to challenge the validity of these software algorithms. METHODS: We compared multiple breath washout (MBW) results of current software algorithms (automatic modus) to refined algorithms (manual modus) in 17 asymptomatic infants with CF, and 24 matched healthy term-born infants. The main difference between these two analysis methods lies in the calculation of the molar mass differences that the system uses to define the completion of the measurement. RESULTS: In infants with CF the refined manual modus revealed clearly elevated LCI above 9 in 8 out of 35 measurements (23%), all showing LCI values below 8.3 using the automatic modus (paired t-test comparing the means, P < 0.001). Healthy infants showed normal LCI values using both analysis methods (n = 47, paired t-test, P = 0.79). The most relevant reason for false normal LCI values in infants with CF using the automatic modus was the incorrect recognition of the end-of-test too early during the washout. CONCLUSION: We recommend the use of the manual modus for the analysis of MBW outcomes in infants in order to obtain more accurate results. This will allow appropriate use of infant lung function results for clinical and scientific purposes. Pediatr Pulmonol. 2015; 50:970-977. © 2015 Wiley Periodicals, Inc.

Economics breeds culture

Several recent papers document the influence and long lasting effects of technology on preferences. Simultaneously, cultural factors are often invoked to explain heterogeneity in preferences. These two ideas suggest that culture determines the short run equilibrium values of economic variables, but, in the long run, culture changes in response to the underlying economic fundamentals. We build a model in which preferences are endogenous and the diversity in preferences (the "cultural" diversity) is explained by the variation in the relevant economic fundamentals. This can help explain observed differences in labor market attachment among groups defined e.g., by citizenship, ethnicity or gender.

Metabolic connectivity as index of verbal working memory.

Positron emission tomography (PET) data are commonly analyzed in terms of regional intensity, while covariant information is not taken into account. Here, we searched for network correlates of healthy cognitive function in resting state PET data. PET with [(18)F]-fluorodeoxyglucose and a test of verbal working memory (WM) were administered to 35 young healthy adults. Metabolic connectivity was modeled at a group level using sparse inverse covariance estimation. Among 13 WM-relevant Brodmann areas (BAs), 6 appeared to be robustly connected. Connectivity within this network was significantly stronger in subjects with above-median WM performance. In respect to regional intensity, i.e., metabolism, no difference between groups was found. The results encourage examination of covariant patterns in FDG-PET data from non-neurodegenerative populations.

Multi-institutional validation of the prognostic value of Ki-67 labeling index in patients treated with radical prostatectomy.

OBJECTIVE: Several smaller single-center studies have reported a prognostic role for Ki-67 labeling index in prostate cancer. Our aim was to test whether Ki-67 is an independent prognostic marker of biochemical recurrence (BCR) in a large international cohort of patients treated with radical prostatectomy (RP). METHODS: Ki-67 immunohistochemical staining on prostatectomy specimens from 3,123 patients who underwent RP for prostate cancer was retrospectively performed. Univariable and multivariable Cox regression models were used to assess the association of Ki-67 status with BCR. RESULTS: Ki-67 positive status was observed in 762 (24.4 %) patients and was associated with lymph node involvement (LNI) (p = 0.039). Six hundred and twenty-one (19.9 %) patients experienced BCR. The estimated 3-year biochemical-free survivals were 85 % for patients with negative Ki-67 status and 82.1 % for patients with positive Ki-67 status (log-rank test, p = 0.014). In multivariable analysis that adjusted for the effects of age, preoperative PSA, RP Gleason sum, seminal vesicle invasion, extracapsular extension, positive surgical margins, lymphovascular invasion, and LNI, Ki-67 was significantly associated with BCR (HR = 1.19; p = 0.019). Subgroup analysis revealed that Ki-67 is associated with BCR in patients without LNI (p = 0.004), those with RP Gleason sum 7 (p = 0.015), and those with negative surgical margins (p = 0.047). CONCLUSION: We confirmed Ki-67 as an independent predictor of BCR after RP. Ki-67 could be particularly informative in patients with favorable pathologic characteristics to help in the clinical decision-making regarding adjuvant therapy and optimized follow-up scheduling.

Influence of MCHR2 and MCHR2-AS1 Genetic Polymorphisms on Body Mass Index in Psychiatric Patients and In Population-Based Subjects with Present or Past Atypical Depression.

Obesity development during psychotropic treatments represents a major health issue in psychiatry. Melanin-concentrating hormone receptor 2 (MCHR2) is a central receptor involved in energy homeostasis. MCHR2 shares its promoter region with MCHR2-AS1, a long antisense non-coding RNA. The aim of this study was to determine whether tagging single nucleotide polymorphisms (tSNPs) of MCHR2 and MCHR2-AS1 are associated with the body mass index (BMI) in the psychiatric and in the general population. The influence of MCHR2 and MCHR2-AS1 tSNPs on BMI was firstly investigated in a discovery psychiatric sample (n1 = 474). Positive results were tested for replication in two other psychiatric samples (n2 = 164, n3 = 178) and in two population-based samples (CoLaus, n4 = 5409; GIANT, n5 = 113809). In the discovery sample, TT carriers of rs7754794C>T had 1.08 kg/m2 (p = 0.04) lower BMI as compared to C-allele carriers. This observation was replicated in an independent psychiatric sample (-2.18 kg/m2; p = 0.009). The association of rs7754794C>T and BMI seemed stronger in subjects younger than 45 years (median of age). In the population-based sample, a moderate association was observed (-0.17 kg/m2; p = 0.02) among younger individuals (<45y). Interestingly, this association was totally driven by patients meeting lifetime criteria for atypical depression, i.e. major depressive episodes characterized by symptoms such as an increased appetite. Indeed, patients with atypical depression carrying rs7754794-TT had 1.17 kg/m2 (p = 0.04) lower BMI values as compared to C-allele carriers, the effect being stronger in younger individuals (-2.50 kg/m2; p = 0.03; interaction between rs7754794 and age: p-value = 0.08). This study provides new insights on the possible influence of MCHR2 and/or MCHR2-AS1 on obesity in psychiatric patients and on the pathophysiology of atypical depression.