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.

A methodological framework for modeling pavement maintenance costs for projects with performance-based contracts

Performance-based maintenance contracts differ significantly from material and method-based contracts that have been traditionally used to maintain roads. Road agencies around the world have moved towards a performance-based contract approach because it offers several advantages like cost saving, better budgeting certainty, better customer satisfaction with better road services and conditions. Payments for the maintenance of road are explicitly linked to the contractor successfully meeting certain clearly defined minimum performance indicators in these contracts. Quantitative evaluation of the cost of performance-based contracts has several difficulties due to the complexity of the pavement deterioration process. Based on a probabilistic analysis of failures of achieving multiple performance criteria over the length of the contract period, an effort has been made to develop a model that is capable of estimating the cost of these performance-based contracts. One of the essential functions of such model is to predict performance of the pavement as accurately as possible. Prediction of future degradation of pavement is done using Markov Chain Process, which requires estimating transition probabilities from previous deterioration rate for similar pavements. Transition probabilities were derived using historical pavement condition rating data, both for predicting pavement deterioration when there is no maintenance, and for predicting pavement improvement when maintenance activities are performed. A methodological framework has been developed to estimate the cost of maintaining road based on multiple performance criteria such as crack, rut and, roughness. The application of the developed model has been demonstrated via a real case study of Miami Dade Expressways (MDX) using pavement condition rating data from Florida Department of Transportation (FDOT) for a typical performance-based asphalt pavement maintenance contract. Results indicated that the pavement performance model developed could predict the pavement deterioration quite accurately. Sensitivity analysis performed shows that the model is very responsive to even slight changes in pavement deterioration rate and performance constraints. It is expected that the use of this model will assist the highway agencies and contractors in arriving at a fair contract value for executing long term performance-based pavement maintenance works.

A Methodological Framework for Modeling Pavement Maintenance Costs for Projects with Performance-based Contracts

Performance-based maintenance contracts differ significantly from material and method-based contracts that have been traditionally used to maintain roads. Road agencies around the world have moved towards a performance-based contract approach because it offers several advantages like cost saving, better budgeting certainty, better customer satisfaction with better road services and conditions. Payments for the maintenance of road are explicitly linked to the contractor successfully meeting certain clearly defined minimum performance indicators in these contracts. Quantitative evaluation of the cost of performance-based contracts has several difficulties due to the complexity of the pavement deterioration process. Based on a probabilistic analysis of failures of achieving multiple performance criteria over the length of the contract period, an effort has been made to develop a model that is capable of estimating the cost of these performance-based contracts. One of the essential functions of such model is to predict performance of the pavement as accurately as possible. Prediction of future degradation of pavement is done using Markov Chain Process, which requires estimating transition probabilities from previous deterioration rate for similar pavements. Transition probabilities were derived using historical pavement condition rating data, both for predicting pavement deterioration when there is no maintenance, and for predicting pavement improvement when maintenance activities are performed. A methodological framework has been developed to estimate the cost of maintaining road based on multiple performance criteria such as crack, rut and, roughness. The application of the developed model has been demonstrated via a real case study of Miami Dade Expressways (MDX) using pavement condition rating data from Florida Department of Transportation (FDOT) for a typical performance-based asphalt pavement maintenance contract. Results indicated that the pavement performance model developed could predict the pavement deterioration quite accurately. Sensitivity analysis performed shows that the model is very responsive to even slight changes in pavement deterioration rate and performance constraints. It is expected that the use of this model will assist the highway agencies and contractors in arriving at a fair contract value for executing long term performance-based pavement maintenance works.

Effect of embryo culture media on birthweight and length in singleton term infants after IVF-ICSI.

QUESTIONS UNDER STUDY: To investigate if two distinct, commercially available embryo culture media have a different effect on birthweight and length of singleton term infants conceived after IVF-ICSI. METHODS: University hospital based cohort study. Between 1 January 2000 and 31 December 2004, patients conceiving through IVF-ICSI at the University Hospital, Lausanne have been allocated to two distinct embryo culture media. Only term singleton pregnancies were analysed (n = 525). Data analysis was performed according to two commercially available culture media: Vitrolife (n = 352) versus Cook (n = 173). Analysis was performed through linear regression adjusted for confounders. Media were considered equivalent if the 95% confidence interval lay between -150 g/+150 g. RESULTS: Length, gestational age and distribution of birthweight percentiles did not differ between groups (for both genders). Analysis of the whole cohort, adjusted for a subset of confounders, resulted in a statistically not different mean birthweight between the two groups (Vitrolife +37 g vs Cook, 95%CI: -46 g to 119 g) suggesting equivalence. Adjustment for an enlarged number of confounders in a subsample of patients (n = 258) also revealed no relevant mean birthweight difference of +71 g (95%CI: -45 g to 187 g) in favour of Vitrolife; however, lacking power to prove equivalence. CONCLUSIONS: Our data suggest that significant differences in birthweight due to these two distinct, commercially available embryo culture media are unlikely.

High prevalence of anti-apolipoprotein/A-1 autoantibodies in maintenance hemodialysis and association with dialysis vintage.

Autoantibodies to apolipoprotein/A-1 (anti-ApoA-1 IgG) have pro-atherogenic properties in patients at high cardiovascular risk, but its prevalence in patients with end-stage kidney disease is unknown. The aims of this single-center, cross-sectional study were to assess the prevalence of anti-ApoA-1 antibodies in patients on maintenance hemodialysis (MHD), and to examine its correlation with inflammatory biomarkers related to atherosclerotic plaque vulnerability and dialysis vintage. To this purpose, anti-ApoA-1 IgG levels and the concentrations of interleukin-6 (IL-6), interleukin-8 (IL-8), monocyte chemoattractant protein-1 (MCP-1), metalloproteinase-9 (MMP-9), tumor necrosis factor-α, and C-reactive protein (CRP) were assessed in the sera of 66 MHD patients (mean age: 68 ± 14 years, 36% women, 32% diabetics). Anti-ApoA-1 IgG positivity (defined as a blood value ≥ 97.5(th) percentile of the normal distribution as assessed in healthy blood donors) was 20%. Circulating levels of anti-ApoA-1 IgG correlated positively with dialysis vintage, but not with cardiovascular risk factors or previous cardiovascular events; no significant correlations were found between the anti-ApoA1 IgG levels and circulating levels of IL-6, IL-8, MCP-1, MMP-9, CRP, or low-density lipoprotein-cholesterol. In multivariable linear regression, adjusted for age and sex, only dialysis vintage remained positively and independently associated with anti-ApoA-1 titers (β = 0.05, 95% CI: 0.006; 0.28, P = 0.049). In conclusion, the prevalence of anti-ApoA-1 IgG is raised in the MHD-population, and positively associated with dialysis vintage, a major determinant of cardiovascular outcome. Whether antiApoA-1 antibodies play a role in the pathophysiology of accelerated atherosclerosis in the MHD-population merits further study.

Debt enforcement and relational contracting

We examine how third-party debt enforcement affects the emergence and performance ofrelational contracts in credit markets. We implement an experiment with finitely repeatedcredit relationships in which borrowers can default. In the weak enforcement treatmentdefaulting borrowers can keep their funds invested. In the strong enforcement treatmentdefaulting borrowers have to liquidate their investment. Under weak enforcement fewerrelationships emerge in which loans are extended and repaid. When such relationships doemerge they exhibit a lower credit volume than under strong enforcement. These findingssuggest that relational contracting in credit markets requires a minimum standard of thirdpartydebt enforcement.

On Certain Greedoid Polyhedra, Partially Indexable Scheduling Problems, and Extended Restless Bandit Allocation Indices

We present a polyhedral framework for establishing general structural properties on optimal solutions of stochastic scheduling problems, where multiple job classes vie for service resources: the existence of an optimal priority policy in a given family, characterized by a greedoid (whose feasible class subsets may receive higher priority), where optimal priorities are determined by class-ranking indices, under restricted linear performance objectives (partial indexability). This framework extends that of Bertsimas and Niño-Mora (1996), which explained the optimality of priority-index policies under all linear objectives (general indexability). We show that, if performance measures satisfy partial conservation laws (with respect to the greedoid), which extend previous generalized conservation laws, then the problem admits a strong LP relaxation over a so-called extended greedoid polytope, which has strong structural and algorithmic properties. We present an adaptive-greedy algorithm (which extends Klimov's) taking as input the linear objective coefficients, which (1) determines whether the optimal LP solution is achievable by a policy in the given family; and (2) if so, computes a set of class-ranking indices that characterize optimal priority policies in the family. In the special case of project scheduling, we show that, under additional conditions, the optimal indices can be computed separately for each project (index decomposition). We further apply the framework to the important restless bandit model (two-action Markov decision chains), obtaining new index policies, that extend Whittle's (1988), and simple sufficient conditions for their validity. These results highlight the power of polyhedral methods (the so-called achievable region approach) in dynamic and stochastic optimization.

On certain greedoid polyhedra, partially indexable scheduling problems and extended restless bandit allocation indices

We present a polyhedral framework for establishing general structural properties on optimal solutions of stochastic scheduling problems, where multiple job classes vie for service resources: the existence of an optimal priority policy in a given family, characterized by a greedoid(whose feasible class subsets may receive higher priority), where optimal priorities are determined by class-ranking indices, under restricted linear performance objectives (partial indexability). This framework extends that of Bertsimas and Niño-Mora (1996), which explained the optimality of priority-index policies under all linear objectives (general indexability). We show that, if performance measures satisfy partial conservation laws (with respect to the greedoid), which extend previous generalized conservation laws, then theproblem admits a strong LP relaxation over a so-called extended greedoid polytope, which has strong structural and algorithmic properties. We present an adaptive-greedy algorithm (which extends Klimov's) taking as input the linear objective coefficients, which (1) determines whether the optimal LP solution is achievable by a policy in the given family; and (2) if so, computes a set of class-ranking indices that characterize optimal priority policies in the family. In the special case of project scheduling, we show that, under additional conditions, the optimal indices can be computed separately for each project (index decomposition). We further apply the framework to the important restless bandit model (two-action Markov decision chains), obtaining new index policies, that extend Whittle's (1988), and simple sufficient conditions for their validity. These results highlight the power of polyhedral methods (the so-called achievable region approach) in dynamic and stochastic optimization.

Restless bandits, partial conservation laws and indexability

We show that if performance measures in a stochastic scheduling problem satisfy a set of so-called partial conservation laws (PCL), which extend previously studied generalized conservation laws (GCL), then the problem is solved optimally by a priority-index policy for an appropriate range of linear performance objectives, where the optimal indices are computed by a one-pass adaptive-greedy algorithm, based on Klimov's. We further apply this framework to investigate the indexability property of restless bandits introduced by Whittle, obtaining the following results: (1) we identify a class of restless bandits (PCL-indexable) which are indexable; membership in this class is tested through a single run of the adaptive-greedy algorithm, which also computes the Whittle indices when the test is positive; this provides a tractable sufficient condition for indexability; (2) we further indentify the class of GCL-indexable bandits, which includes classical bandits, having the property that they are indexable under any linear reward objective. The analysis is based on the so-called achievable region method, as the results follow fromnew linear programming formulations for the problems investigated.

Comparison of potential adjustment variables representing primary intellectual level in epidemiological studies on neurotoxicity

BACKGROUND: Primary intellectual abilities (PIA) are a confounder in epidemiological studies on neurotoxicity. A good measure of this confounder should be independent of age as PIA is an intrinsic ability. Furthermore, as PIA is related to health endpoints, any measure of PIA should reveal this association. This study is aimed at comparing vocabulary test, diploma and age at end of schooling properties as measures of PIA in a non-exposed population of workers. METHODS: The design was a cross-sectional study of 413 non-exposed workers (203 women and 210 men) selected from a health check-up center. The effect of age on the vocabulary score was assessed using an analysis of covariance adjusted for diploma. Relationships between neuropsychological performances and vocabulary score, diploma and end of schooling age were, respectively, assessed using multiple linear regressions adjusted for age and gender. RESULTS: Vocabulary score increased significantly with age, both for men and women. The increase was 0.14 word per year for women, and 0.18 word per year for men. The explained variance of the models evaluating the relationships between age at end of schooling, diploma, vocabulary test, and neuropsychological performances was quite similar for the three measures of PIA. CONCLUSIONS: Vocabulary score was found to be age-related, even after adjustment for diploma. No difference was found between these three variables in terms of their relationship to neuropsychological endpoints. Moreover, the literature shows that vocabulary test performances are influenced by exposure to neurotoxic agents. These results suggest that vocabulary score could be of interest for participants of similar ages and similar diplomas. Otherwise, the other two variables would be better PIA measures in neurotoxicology studies.

Genetic polymorphisms of the main transcription factors for adiponectin gene promoter in regulation of adiponectin levels: association analysis in three European cohorts.

Adiponectin serum concentrations are an important biomarker in cardiovascular epidemiology with heritability etimates of 30-70%. However, known genetic variants in the adiponectin gene locus (ADIPOQ) account for only 2%-8% of its variance. As transcription factors are thought to play an under-acknowledged role in carrying functional variants, we hypothesized that genetic polymorphisms in genes coding for the main transcription factors for the ADIPOQ promoter influence adiponectin levels. Single nucleotide polymorphisms (SNPs) at these genes were selected based on the haplotype block structure and previously published evidence to be associated with adiponectin levels. We performed association analyses of the 24 selected SNPs at forkhead box O1 (FOXO1), sterol-regulatory-element-binding transcription factor 1 (SREBF1), sirtuin 1 (SIRT1), peroxisome-proliferator-activated receptor gamma (PPARG) and transcription factor activating enhancer binding protein 2 beta (TFAP2B) gene loci with adiponectin levels in three different European cohorts: SAPHIR (n = 1742), KORA F3 (n = 1636) and CoLaus (n = 5355). In each study population, the association of SNPs with adiponectin levels on log-scale was tested using linear regression adjusted for age, sex and body mass index, applying both an additive and a recessive genetic model. A pooled effect size was obtained by meta-analysis assuming a fixed effects model. We applied a significance threshold of 0.0033 accounting for the multiple testing situation. A significant association was only found for variants within SREBF1 applying an additive genetic model (smallest p-value for rs1889018 on log(adiponectin) = 0.002, β on original scale = -0.217 µg/ml), explaining ∼0.4% of variation of adiponectin levels. Recessive genetic models or haplotype analyses of the FOXO1, SREBF1, SIRT1, TFAPB2B genes or sex-stratified analyses did not reveal additional information on the regulation of adiponectin levels. The role of genetic variations at the SREBF1 gene in regulating adiponectin needs further investigation by functional studies.

TBS (Trabecular Bone Score) is More Sensitive Than BMD to Diabetes-Related Fracture Risk

Background:Type 2 diabetes (T2D) is associated with increased fracture risk but paradoxically greater BMD. TBS (trabecular bone score), a novel grey-level texture measurement extracted from DXA images, correlates with 3D parameters of bone micro-architecture. We evaluated the ability of lumbar spine (LS) TBS to account for the increased fracture risk in diabetes. Methods:29,407 women ≥50 years at the time of baseline hip and spine DXA were identified from a database containing all clinical BMD results for the Province of Manitoba, Canada. 2,356 of the women satisfied a well-validated definition for diabetes, the vast majority of whom (>90%) would have T2D. LS L14 TBS was derived for each spine DXA examination blinded to clinical parameters and outcomes. Health service records were assessed for incident non-traumatic major osteoporotic fracture codes (mean follow-up 4.7 years). Results:In linear regression adjusted for FRAX risk factors (age,BMI, glucocorticoids, prior major fracture, rheumatoid arthritis, COPD as a smoking proxy, alcohol abuse) and osteoporosis therapy, diabetes was associated with higher BMD for LS, femoral neck and total hip but lower LS TBS (all p<0.001). Similar results were seen after excluding obese subjects withBMI>30. In logistic regression (Figure), the adjusted odds ratio (OR) for a skeletal measurement in the lowest vs highest tertile was less than 1 for all BMD measurements but increased for LS TBS (adjusted OR 2.61, 95%CI 2.30-2.97). Major osteoporotic fractures were identified in 175 (7.4%) with and 1,493 (5.5%) without diabetes (p < 0.001). LS TBS predicted fractures in those with diabetes (adjusted HR 1.27, 95%CI 1.10-1.46) and without diabetes (HR 1.31, 95%CI 1.24-1.38). LS TBS was an independent predictor of fracture (p<0.05) when further adjusted for BMD (LS, femoral neck or total hip). The explanatory effect of diabetes in the fracture prediction model was greatly reduced when LS TBS was added to the model (indicating that TBS captured a large portion of the diabetes-associated risk), but was paradoxically increased from adding any of the BMD measurements. Conclusions:Lumbar spine TBS is sensitive to skeletal deterioration in postmenopausal women with diabetes, whereas BMD is paradoxically greater. LS TBS predicts osteoporotic fractures in those with diabetes, and captures a large portion of the diabetes-associated fracture risk. Combining LS TBS with BMD incrementally improves fracture prediction.

Accrual-based and real earnings management before and after IFRS adoption: the case of Greece

Purpose – The purpose of this study is to examine the use of accrual-based vs real earnings management (EM) by Greek firms, before and after the mandatory adoption of International Financial Reporting Standards (IFRS). The research is motivated by the fact that past studies have indicated the existence of significant levels of EM for Greece in particular before IFRS. Design/methodology/approach – Accrual-based earnings management (AEM) is examined by assessing performance-adjusted discretionary accruals, while real earnings management (REM) is defined in terms of abnormal levels of production costs, discretionary expenses, and cash flows from operations, for a three-year period before and after the adoption of IFRS in 2005. Findings – The authors find evidence on a statistically significant shift from AEM to REM after the adoption of IFRS, indicating the replacement of one form of EM with the other. Research limitations/implications – The validity of the results depends on the ability of the empirical models used to efficiently capture the existence of AEM and REM. Practical implications – IFRS adoption aims to improve accounting quality, especially in countries with high need for such an improvement; however, the tendency to substitute one form of EM with another highlights unintended consequences of IFRS adoption, which do not improve the informational content of financial statements if EM continues under different forms. Originality/value – Under the expectation that IFRS adoption should lead to improvements in accounting quality, this study examines whether IFRS actually led to a reduction of EM practices for a country with exceptionally high levels of EM before IFRS, by accounting for all possible forms of EM.

Dietary Quality and Associated Factors among Factory Workers in the Metropolitan Region of Sao Paulo, Brazil

The workplace is a manageable community-based setting for ensuring proper nutrition. This study aimed to evaluate dietary quality and associated factors among adult workers at a cosmetics factory in the metropolitan area of Sao Paulo, Brazil. This factory was actively participating in the Brazilian Workers` Meal Program, which was created to ensure workers` nutritional health. In this cross-sectional study, data on 202 adult workers were assessed using questionnaires (sociodemographic, anthropometric, and lifestyle characteristics) administered during August and September 2006. Dietary intake, measured by 24-hour dietary recall, was used to calculate the modified Healthy Eating Index (HEI). A repeated administration of the 24-hour dietary recall was applied in a random subsample to calculate the modified HEI adjusted for the within-person variation in intake. Mean adjusted modified HEI scores were analyzed using multiple linear regression adjusted for energy. The mean adjusted modified HEI score was 72.3 +/- 8.0. The lowest adjusted modified HEI components scores were ""milk and dairy products"" (4.4 +/- 3.2) and ""sodium"" (3.7 +/- 3.1). Two percent of workers had ""poor diet"" (adjusted modified HEI score <51 points) and the majority (87%) had ""diet that needs modification"" (adjusted modified HEI score between 51 and 80), despite their participation in the meal program. Adjusted modified HEI scores were considerably higher for men (74.7 +/- 7.0) than for women (66.9 +/- 8.2) and for normal body mass index (calculated as kg/m(2)) (73.3 +/- 7.8) than for overweight/obese (70.9 +/- 8.1). Based on these results, the vast majority of workers were found to have diets that needed improvement. Individuals with higher-quality diets were more likely to have lower body mass index and to be male. J Am Diet Assoc. 2010;110:786-790.