Portfolio choice and the effects of liquidity

This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio selection. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the Sharpe ratio relative to the tangency portfolio, varies significantly with liquidity. Moreover, although mean-variance performance becomes clearly worse, the levels of liquidity onoptimal portfolios obtained when there is a positive preference for liquidity are much lower than on those optimal portfolios where investors show no sign of preference for liquidity.

Fluconazole prophylaxis prevents intra-abdominal candidiasis in high-risk surgical patients.

OBJECTIVE: To evaluate the efficacy and safety of intravenous fluconazole for the prevention of intra-abdominal Candida infections in high-risk surgical patients. DESIGN: Randomized, prospective, double-blind, placebo-controlled study. SETTING: Two university-affiliated hospitals in Switzerland. PATIENTS: Forty-nine surgical patients with recurrent gastrointestinal perforations or anastomotic leakages. INTERVENTIONS: Prophylaxis with intravenous fluconazole (400 mg per day) or placebo continued until resolution of the underlying surgical condition. MEASUREMENTS AND MAIN RESULTS: Patients were evaluated daily, and specimens for culture were obtained three times per week during prophylaxis. The primary study end points were the frequency of and the time to intra-abdominal Candida infections. Secondary end points were the frequency of candidiasis (intra-abdominal and extra-abdominal) and the emergence or persistence of Candida colonization. Among patients who were not colonized at study entry, Candida was isolated from surveillance cultures during prophylaxis in 15% of the patients in the fluconazole group and in 62% of the patients in the placebo group (relative risk, 0.25; 95% confidence interval, 0.07 to 0.96; p = .04). Candida peritonitis occurred in one of 23 patients (4%) who received fluconazole and in seven of 20 patients (35%) who received placebo (relative risk, 0.12; 95% confidence interval, 0.02 to 0.93; p = .02). In addition, one catheter-related Candida albicans sepsis occurred in a fluconazole-treated patient. Thus, overall, candidiasis developed in two fluconazole patients and seven placebo patients (relative risk, 0.25; 95% confidence interval, 0.06 to 1.06; p = .06). C. albicans accounted for 87% of the Candida species isolated before or during prophylaxis, and all C. albicans strains were susceptible to fluconazole. Fluconazole was well tolerated, and adverse events occurred at similar frequencies in both treatment groups. CONCLUSIONS: Fluconazole prophylaxis prevents colonization and invasive intra-abdominal Candida infections in high-risk surgical patients.

Asset pricing implications of benchmarking: A two-factor CAPM

In this paper we consider the equilibrium effects of an institutionalinvestor whose performance is benchmarked to an index. In a partialequilibrium setting, the objective of the institutional investor is modeledas the maximization of expected utility (an increasing and concave function,in order to accommodate risk aversion) of final wealth minus a benchmark.In equilibrium this optimal strategy gives rise to the two-beta CAPM inBrennan (1993): together with the market beta a new risk-factor (that wecall active management risk) is brought into the analysis. This new betais deffined as the normalized (to the benchmark's variance) covariancebetween the asset excess return and the excess return of the market overthe benchmark index. Different to Brennan, the empirical test supports themodel's predictions. The cross-section return on the active management riskis positive and signifficant especially after 1990, when institutionalinvestors have become the representative agent of the market.

Do the eealthy risk more money? An experimental comparison

Are poor people more or less likely to take money risks than wealthy folks?We find that risk attraction is more prevalent among the wealthy when theamounts of money at risk are small (not surprising, since ten dollars is asmaller amount for a wealthy person than for a poor one), but, interestingly,for the larger amounts of money at risk the fraction of the nonwealthydisplaying risk attraction exceeds that of the wealthy.We also replicate our previous finding that many people display riskattraction for small money amounts, but risk aversion for large ones. Weargue that preferences yielding risk attraction for small money amounts,together with risk aversion for larger amounts, at all levels of wealth, while contradicting the expected utility hypothesis, may be well-defined,independently of reference points, on the choice space.

Can the trabecular bone score (TBS) be considered as a major clinical risk factor (CRF) of osteoporotic fractures? A meta-like analysis

Abstract: To have an added value over BMD, a CRF of osteoporotic fracture must be predictable of the fracture, independent of BMD, reversible and quantifiable. Many major recognized CRF exist.Out of these factorsmany of themare indirect factor of bone quality. TBS predicts fracture independently of BMD as demonstrated from previous studies. The aim of the study is to verify if TBS can be considered as a major CRF of osteoporotic fracture. Existing validated datasets of Caucasian women were analyzed. These datasets stem from different studies performed by the authors of this report or provided to our group. However, the level of evidence of these studies will vary. Thus, the different datasets were weighted differently according to their design. This meta-like analysis involves more than 32000 women (≥50 years) with 2000 osteoporotic fractures from two prospective studies (OFELY&MANITOBA) and 7 crosssectional studies. Weighted relative risk (RR) for TBS was expressed for each decrease of one standard deviation as well as per tertile difference (TBS=1.300 and 1.200) and compared with those obtained for the major CRF included in FRAX®. Overall TBS RR obtained (adjusted for age) was 1.79 [95%CI-1.37-2.37]. For all women combined, RR for fracture for the lowest comparedwith themiddle TBS tertilewas 1.55[1.46- 1.68] and for the lowest compared with the highest TBS tertile was 2.8[2.70-3.00]. TBS is comparable to most of the major CRF (Fig 1) and thus could be used as one of them. Further studies have to be conducted to confirm these first findings.

Trends in the prevalence, risk and pregnancy outcome of multiple births with congenital anomaly: a registry-based study in 14 European countries 1984-2007.

OBJECTIVE: To assess the public health consequences of the rise in multiple births with respect to congenital anomalies. DESIGN: Descriptive epidemiological analysis of data from population-based congenital anomaly registries. SETTING: Fourteen European countries. POPULATION: A total of 5.4 million births 1984-2007, of which 3% were multiple births. METHODS: Cases of congenital anomaly included live births, fetal deaths from 20 weeks of gestation and terminations of pregnancy for fetal anomaly. MAIN OUTCOME MEASURES: Prevalence rates per 10,000 births and relative risk of congenital anomaly in multiple versus singleton births (1984-2007); proportion prenatally diagnosed, proportion by pregnancy outcome (2000-07). Proportion of pairs where both co-twins were cases. RESULTS: Prevalence of congenital anomalies from multiple births increased from 5.9 (1984-87) to 10.7 per 10,000 births (2004-07). Relative risk of nonchromosomal anomaly in multiple births was 1.35 (95% CI 1.31-1.39), increasing over time, and of chromosomal anomalies was 0.72 (95% CI 0.65-0.80), decreasing over time. In 11.4% of affected twin pairs both babies had congenital anomalies (2000-07). The prenatal diagnosis rate was similar for multiple and singleton pregnancies. Cases from multiple pregnancies were less likely to be terminations of pregnancy for fetal anomaly, odds ratio 0.41 (95% CI 0.35-0.48) and more likely to be stillbirths and neonatal deaths. CONCLUSIONS: The increase in babies who are both from a multiple pregnancy and affected by a congenital anomaly has implications for prenatal and postnatal service provision. The contribution of assisted reproductive technologies to the increase in risk needs further research. The deficit of chromosomal anomalies among multiple births has relevance for prenatal risk counselling.

Are adolescents with chronic conditions particularly at risk for bullying?

OBJECTIVE: To compare the prevalence and intensity of victimization from bullying, and the characteristics of the victims of bullying, comparing adolescents with and without chronic conditions. DESIGN: School survey. SETTING: Post-mandatory schools. PARTICIPANTS: A total of 7005 students (48% females) aged 16-20 years, distributed into adolescents with chronic conditions (728, 50% females) and controls (6277, 48% females). Chronic condition was defined as having a chronic disease and/or a physical disability.OUTCOME MEASURES: Prevalence of bullying; intensity of bullying; and socio-demographic, bio-psychosocial, familial, school, and violence context characteristics of the victims of bullying. RESULTS: The prevalence of bullying in our sample was 13.85%. Adolescents with chronic conditions were more likely to be victims of bullying (Adjusted Odds Ratio [AOR] 1.53), and to be victims of two or three forms of bullying (AOR 1.92). Victims of bullying with chronic conditions were more likely than non-victims to be depressed (Relative Risk Ratio [RRR] 1.57), to have more physical symptoms (RRR 1.61), to have a poorer relationship with their parents (RRR 1.33), to have a poorer school climate (RRR 1.60), and to have been victims of sexual abuse (RRR 1.79) or other forms of violence (RRR 1.80). Although these characteristics apply to victims in general, in most cases they are less pronounced among victims without chronic conditions. CONCLUSIONS: Chronic conditions seem to be a risk factor for victimization from bullying. Therefore, as adolescents with chronic conditions are increasingly mainstreamed, schools should be encouraged to undertake preventive measures to avoid victimization of such adolescents.

Etude épidémiologique inter-régionale suisse du risque de tumeur controlatérale du sein [Swiss interregional epidemiologic study of the risk of cancer in the contralateral breast].

This epidemiologic investigation in three Swiss regions (Geneva, St. Gall-Appenzell, Vaud) included 5,193 women diagnosed as having a first primary breast cancer. The patients were followed up for ten years (the observation totalled 24,994 women-years). Overall, these results confirmed that the relative risk of a second breast cancer was greatly increased during the first year following the primary diagnosis, but this was largely due to simultaneously discovered contralateral tumours. Beyond the first year of follow-up, the relative risk of a second tumour was lower but still significantly greater than unity. No significant diminution of the excess risk was observed in the first 10 years of follow-up. Relative risk of a second breast cancer was generally higher before age 50, independently of the latency. The relative risk of a second breast cancer differed significantly from one region to another, possibly due to specific techniques of registration.

Cigarette smoking and the risk of endometrial cancer.

The risk of endometrial cancer in relation to cigarette consumption was evaluated in a hospital-based case-control study of breast and genital neoplasms conducted in Milan, northern Italy. For the present analysis, 357 women (cases) with histologically confirmed endometrial cancer were compared to a group of 1122 women (controls) admitted for a large spectrum of acute conditions unrelated to smoking or to any of the known or potential risk factors for endometrial cancer. Compared with never-smokers, the multivariate relative risk estimates were for current 0.45 [95% confidence interval (CI) = 0.30-0.70] and 0.86 (95% CI = 0.50-1.46) for ex-smokers. The negative association of endometrial cancer with current smoking was not influenced by menopausal status as well as by other major identified potential confounding factors, i.e. menstrual and reproductive history, body mass index, oral contraceptive or estrogen replacement therapy use and family gynecologic cancer history. However, there was no evidence of a dose-risk effect, since the relative risks were similar in moderate and heavy smokers. The present study confirms that smoking is less frequent in cases hospitalized for endometrial cancer than in a comparison group of patients with non-smoking-related acute conditions. This negative association is perhaps explained in terms of reduced estrogen levels in smokers, though the influence and the importance of some uncontrolled selection bias (due, for instance, to longer hospital stay of smokers even when admission diagnosis was for non-smoking-related conditions) cannot be ruled out.

Improvement of cardiovascular risk prediction: time to review current knowledge, debates, and fundamentals on how to assess test characteristics.

Cardiovascular risk assessment might be improved with the addition of emerging, new tests derived from atherosclerosis imaging, laboratory tests or functional tests. This article reviews relative risk, odds ratios, receiver-operating curves, posttest risk calculations based on likelihood ratios, the net reclassification improvement and integrated discrimination. This serves to determine whether a new test has an added clinical value on top of conventional risk testing and how this can be verified statistically. Two clinically meaningful examples serve to illustrate novel approaches. This work serves as a review and basic work for the development of new guidelines on cardiovascular risk prediction, taking into account emerging tests, to be proposed by members of the 'Taskforce on Vascular Risk Prediction' under the auspices of the Working Group 'Swiss Atherosclerosis' of the Swiss Society of Cardiology in the future.

Biomedical risk assessment as an aid for smoking cessation.

BACKGROUND: A possible strategy for increasing smoking cessation rates could be to provide smokers who have contact with healthcare systems with feedback on the biomedical or potential future effects of smoking, e.g. measurement of exhaled carbon monoxide (CO), lung function, or genetic susceptibility to lung cancer. OBJECTIVES: To determine the efficacy of biomedical risk assessment provided in addition to various levels of counselling, as a contributing aid to smoking cessation. SEARCH METHODS: For the most recent update, we searched the Cochrane Collaboration Tobacco Addiction Group Specialized Register in July 2012 for studies added since the last update in 2009. SELECTION CRITERIA: Inclusion criteria were: a randomized controlled trial design; subjects participating in smoking cessation interventions; interventions based on a biomedical test to increase motivation to quit; control groups receiving all other components of intervention; an outcome of smoking cessation rate at least six months after the start of the intervention. DATA COLLECTION AND ANALYSIS: Two assessors independently conducted data extraction on each paper, with disagreements resolved by consensus. Results were expressed as a relative risk (RR) for smoking cessation with 95% confidence intervals (CI). Where appropriate, a pooled effect was estimated using a Mantel-Haenszel fixed-effect method. MAIN RESULTS: We included 15 trials using a variety of biomedical tests. Two pairs of trials had sufficiently similar recruitment, setting and interventions to calculate a pooled effect; there was no evidence that carbon monoxide (CO) measurement in primary care (RR 1.06, 95% CI 0.85 to 1.32) or spirometry in primary care (RR 1.18, 95% CI 0.77 to 1.81) increased cessation rates. We did not pool the other 11 trials due to the presence of substantial clinical heterogeneity. Of the remaining 11 trials, two trials detected statistically significant benefits: one trial in primary care detected a significant benefit of lung age feedback after spirometry (RR 2.12, 95% CI 1.24 to 3.62) and one trial that used ultrasonography of carotid and femoral arteries and photographs of plaques detected a benefit (RR 2.77, 95% CI 1.04 to 7.41) but enrolled a population of light smokers and was judged to be at unclear risk of bias in two domains. Nine further trials did not detect significant effects. One of these tested CO feedback alone and CO combined with genetic susceptibility as two different interventions; none of the three possible comparisons detected significant effects. One trial used CO measurement, one used ultrasonography of carotid arteries and two tested for genetic markers. The four remaining trials used a combination of CO and spirometry feedback in different settings. AUTHORS' CONCLUSIONS: There is little evidence about the effects of most types of biomedical tests for risk assessment on smoking cessation. Of the fifteen included studies, only two detected a significant effect of the intervention. Spirometry combined with an interpretation of the results in terms of 'lung age' had a significant effect in a single good quality trial but the evidence is not optimal. A trial of carotid plaque screening using ultrasound also detected a significant effect, but a second larger study of a similar feedback mechanism did not detect evidence of an effect. Only two pairs of studies were similar enough in terms of recruitment, setting, and intervention to allow meta-analyses; neither of these found evidence of an effect. Mixed quality evidence does not support the hypothesis that other types of biomedical risk assessment increase smoking cessation in comparison to standard treatment. There is insufficient evidence with which to evaluate the hypothesis that multiple types of assessment are more effective than single forms of assessment.

Prevalence and risk of Down syndrome in monozygotic and dizygotic multiple pregnancies in Europe: implications for prenatal screening.

OBJECTIVE: To determine risk of Down syndrome (DS) in multiple relative to singleton pregnancies, and compare prenatal diagnosis rates and pregnancy outcome. DESIGN: Population-based prevalence study based on EUROCAT congenital anomaly registries. SETTING: Eight European countries. POPULATION: 14.8 million births 1990-2009; 2.89% multiple births. METHODS: DS cases included livebirths, fetal deaths from 20 weeks, and terminations of pregnancy for fetal anomaly (TOPFA). Zygosity is inferred from like/unlike sex for birth denominators, and from concordance for DS cases. MAIN OUTCOME MEASURES: Relative risk (RR) of DS per fetus/baby from multiple versus singleton pregnancies and per pregnancy in monozygotic/dizygotic versus singleton pregnancies. Proportion of prenatally diagnosed and pregnancy outcome. STATISTICAL ANALYSIS: Poisson and logistic regression stratified for maternal age, country and time. RESULTS: Overall, the adjusted (adj) RR of DS for fetus/babies from multiple versus singleton pregnancies was 0.58 (95% CI 0.53-0.62), similar for all maternal ages except for mothers over 44, for whom it was considerably lower. In 8.7% of twin pairs affected by DS, both co-twins were diagnosed with the condition. The adjRR of DS for monozygotic versus singleton pregnancies was 0.34 (95% CI 0.25-0.44) and for dizygotic versus singleton pregnancies 1.34 (95% CI 1.23-1.46). DS fetuses from multiple births were less likely to be prenatally diagnosed than singletons (adjOR 0.62 [95% CI 0.50-0.78]) and following diagnosis less likely to be TOPFA (adjOR 0.40 [95% CI 0.27-0.59]). CONCLUSIONS: The risk of DS per fetus/baby is lower in multiple than singleton pregnancies. These estimates can be used for genetic counselling and prenatal screening.

Maternal age-specific risk of non-chromosomal anomalies.

OBJECTIVES: To determine the excess risk of non-chromosomal congenital anomaly (NCA) among teenage mothers and older mothers. DESIGN AND SETTING: Population-based prevalence study using data from EUROCAT congenital anomaly registers in 23 regions of Europe in 15 countries, covering a total of 1.75 million births from 2000 to 2004. PARTICIPANTS: A total of 38,958 cases of NCA that were live births, fetal deaths with gestational age > or = 20 weeks or terminations of pregnancy following prenatal diagnosis of a congenital anomaly. MAIN OUTCOME MEASURES: Prevalence of NCA according to maternal age, and relative risk (RR) of NCA and 84 standard NCA subgroups compared with mothers aged 25-29. RESULTS: The crude prevalence of all NCA was 26.5 per 1000 births in teenage mothers (<20 years), 23.8 for mothers 20-24 years, 22.5 for mothers 25-29 years, 21.5 for mothers 30-34 years, 21.4 for mothers 35-39 years and 22.6 for mothers 40-44 years. The RR adjusted for country for teenage mothers was 1.11 (95% CI 1.06-1.17); 0.99 (95% CI 0.96-1.02) for mothers 35-39; and 1.01 (95% CI 0.95-1.07) for mothers 40-44. The pattern of maternal age-related risk varied significantly between countries: France, Ireland and Portugal had higher RR for teenage mothers, Germany and Poland had higher RR for older mothers. The maternal age-specific RR varied for different NCAs. Teenage mothers were at a significantly greater risk (P < 0.01) of gastroschisis, maternal infection syndromes, tricuspid atresia, anencephalus, nervous system and digestive system anomalies while older mothers were at a significantly greater risk (P < 0.01) of fetal alcohol syndrome, encephalocele, oesophageal atresia and thanatophoric dwarfism. CONCLUSIONS: Clinical and public health interventions are needed to reduce environmental risk factors for NCA, giving special attention to young mothers among whom some risk factors are more prevalent. Reassurance can be given to older mothers that their age in itself does not confer extra risk for NCA.

An application of capital allocation principles to operational risk

The cost of operational risk refers to the capital needed to a fford the loss generated by ordinary activities of a firm. In this work we demonstrate how allocation principles can be used to the subdivision of the aggregate capital so that the firm can distribute this cost across its various constituents that generate operational risk. Several capital allocation principles are revised. Proportional allocation allows to calculate a relative risk premium to be charged to each unit. An example of fraud risk in the banking sector is presented and some correlation scenarios between business lines are compared. Keywords: solvency, quantile, value at risk, copulas

Behavioural queueing : cellular automata and a laboratory experiment

Dans cette thèse, nous étudions les aspects comportementaux d'agents qui interagissent dans des systèmes de files d'attente à l'aide de modèles de simulation et de méthodologies expérimentales. Chaque période les clients doivent choisir un prestataire de servivce. L'objectif est d'analyser l'impact des décisions des clients et des prestataires sur la formation des files d'attente. Dans un premier cas nous considérons des clients ayant un certain degré d'aversion au risque. Sur la base de leur perception de l'attente moyenne et de la variabilité de cette attente, ils forment une estimation de la limite supérieure de l'attente chez chacun des prestataires. Chaque période, ils choisissent le prestataire pour lequel cette estimation est la plus basse. Nos résultats indiquent qu'il n'y a pas de relation monotone entre le degré d'aversion au risque et la performance globale. En effet, une population de clients ayant un degré d'aversion au risque intermédiaire encoure généralement une attente moyenne plus élevée qu'une population d'agents indifférents au risque ou très averses au risque. Ensuite, nous incorporons les décisions des prestataires en leur permettant d'ajuster leur capacité de service sur la base de leur perception de la fréquence moyenne d'arrivées. Les résultats montrent que le comportement des clients et les décisions des prestataires présentent une forte "dépendance au sentier". En outre, nous montrons que les décisions des prestataires font converger l'attente moyenne pondérée vers l'attente de référence du marché. Finalement, une expérience de laboratoire dans laquelle des sujets jouent le rôle de prestataire de service nous a permis de conclure que les délais d'installation et de démantèlement de capacité affectent de manière significative la performance et les décisions des sujets. En particulier, les décisions du prestataire, sont influencées par ses commandes en carnet, sa capacité de service actuellement disponible et les décisions d'ajustement de capacité qu'il a prises, mais pas encore implémentées. - Queuing is a fact of life that we witness daily. We all have had the experience of waiting in line for some reason and we also know that it is an annoying situation. As the adage says "time is money"; this is perhaps the best way of stating what queuing problems mean for customers. Human beings are not very tolerant, but they are even less so when having to wait in line for service. Banks, roads, post offices and restaurants are just some examples where people must wait for service. Studies of queuing phenomena have typically addressed the optimisation of performance measures (e.g. average waiting time, queue length and server utilisation rates) and the analysis of equilibrium solutions. The individual behaviour of the agents involved in queueing systems and their decision making process have received little attention. Although this work has been useful to improve the efficiency of many queueing systems, or to design new processes in social and physical systems, it has only provided us with a limited ability to explain the behaviour observed in many real queues. In this dissertation we differ from this traditional research by analysing how the agents involved in the system make decisions instead of focusing on optimising performance measures or analysing an equilibrium solution. This dissertation builds on and extends the framework proposed by van Ackere and Larsen (2004) and van Ackere et al. (2010). We focus on studying behavioural aspects in queueing systems and incorporate this still underdeveloped framework into the operations management field. In the first chapter of this thesis we provide a general introduction to the area, as well as an overview of the results. In Chapters 2 and 3, we use Cellular Automata (CA) to model service systems where captive interacting customers must decide each period which facility to join for service. They base this decision on their expectations of sojourn times. Each period, customers use new information (their most recent experience and that of their best performing neighbour) to form expectations of sojourn time at the different facilities. Customers update their expectations using an adaptive expectations process to combine their memory and their new information. We label "conservative" those customers who give more weight to their memory than to the xiv Summary new information. In contrast, when they give more weight to new information, we call them "reactive". In Chapter 2, we consider customers with different degree of risk-aversion who take into account uncertainty. They choose which facility to join based on an estimated upper-bound of the sojourn time which they compute using their perceptions of the average sojourn time and the level of uncertainty. We assume the same exogenous service capacity for all facilities, which remains constant throughout. We first analyse the collective behaviour generated by the customers' decisions. We show that the system achieves low weighted average sojourn times when the collective behaviour results in neighbourhoods of customers loyal to a facility and the customers are approximately equally split among all facilities. The lowest weighted average sojourn time is achieved when exactly the same number of customers patronises each facility, implying that they do not wish to switch facility. In this case, the system has achieved the Nash equilibrium. We show that there is a non-monotonic relationship between the degree of risk-aversion and system performance. Customers with an intermediate degree of riskaversion typically achieve higher sojourn times; in particular they rarely achieve the Nash equilibrium. Risk-neutral customers have the highest probability of achieving the Nash Equilibrium. Chapter 3 considers a service system similar to the previous one but with risk-neutral customers, and relaxes the assumption of exogenous service rates. In this sense, we model a queueing system with endogenous service rates by enabling managers to adjust the service capacity of the facilities. We assume that managers do so based on their perceptions of the arrival rates and use the same principle of adaptive expectations to model these perceptions. We consider service systems in which the managers' decisions take time to be implemented. Managers are characterised by a profile which is determined by the speed at which they update their perceptions, the speed at which they take decisions, and how coherent they are when accounting for their previous decisions still to be implemented when taking their next decision. We find that the managers' decisions exhibit a strong path-dependence: owing to the initial conditions of the model, the facilities of managers with identical profiles can evolve completely differently. In some cases the system becomes "locked-in" into a monopoly or duopoly situation. The competition between managers causes the weighted average sojourn time of the system to converge to the exogenous benchmark value which they use to estimate their desired capacity. Concerning the managers' profile, we found that the more conservative Summary xv a manager is regarding new information, the larger the market share his facility achieves. Additionally, the faster he takes decisions, the higher the probability that he achieves a monopoly position. In Chapter 4 we consider a one-server queueing system with non-captive customers. We carry out an experiment aimed at analysing the way human subjects, taking on the role of the manager, take decisions in a laboratory regarding the capacity of a service facility. We adapt the model proposed by van Ackere et al (2010). This model relaxes the assumption of a captive market and allows current customers to decide whether or not to use the facility. Additionally the facility also has potential customers who currently do not patronise it, but might consider doing so in the future. We identify three groups of subjects whose decisions cause similar behavioural patterns. These groups are labelled: gradual investors, lumpy investors, and random investor. Using an autocorrelation analysis of the subjects' decisions, we illustrate that these decisions are positively correlated to the decisions taken one period early. Subsequently we formulate a heuristic to model the decision rule considered by subjects in the laboratory. We found that this decision rule fits very well for those subjects who gradually adjust capacity, but it does not capture the behaviour of the subjects of the other two groups. In Chapter 5 we summarise the results and provide suggestions for further work. Our main contribution is the use of simulation and experimental methodologies to explain the collective behaviour generated by customers' and managers' decisions in queueing systems as well as the analysis of the individual behaviour of these agents. In this way, we differ from the typical literature related to queueing systems which focuses on optimising performance measures and the analysis of equilibrium solutions. Our work can be seen as a first step towards understanding the interaction between customer behaviour and the capacity adjustment process in queueing systems. This framework is still in its early stages and accordingly there is a large potential for further work that spans several research topics. Interesting extensions to this work include incorporating other characteristics of queueing systems which affect the customers' experience (e.g. balking, reneging and jockeying); providing customers and managers with additional information to take their decisions (e.g. service price, quality, customers' profile); analysing different decision rules and studying other characteristics which determine the profile of customers and managers.