44,047 research outputs found

    A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time

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    In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The proposed framework not only integrates existing forms of time consistency, but also provides a comprehensive toolbox for analysis and synthesis of the concept of time consistency in decision making. In particular, it allows for in depth comparative analysis of (most of) the existing types of time consistency -- a feat that has not be possible before and which is done in the companion paper [BCP2016] to this one. In our approach the time consistency is studied for a large class of maps that are postulated to satisfy only two properties -- monotonicity and locality. The time consistency is defined in terms of an update rule. The form of the update rule introduced here is novel, and is perfectly suited for developing the unifying framework that is worked out in this paper. As an illustration of the applicability of our approach, we show how to recover almost all concepts of weak time consistency by means of constructing appropriate update rules

    Toward understanding ambulatory activity decline in Parkinson disease

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    BACKGROUND: Declining ambulatory activity represents an important facet of disablement in Parkinson disease (PD). OBJECTIVE: The primary study aim was to compare the 2-year trajectory of ambulatory activity decline with concurrently evolving facets of disability in a small cohort of people with PD. The secondary aim was to identify baseline variables associated with ambulatory activity at 1- and 2-year follow-up assessments. DESIGN: This was a prospective, longitudinal cohort study. METHODS: Seventeen people with PD (Hoehn and Yahr stages 1-3) were recruited from 2 outpatient settings. Ambulatory activity data were collected at baseline and at 1- and 2-year annual assessments. Motor, mood, balance, gait, upper extremity function, quality of life, self-efficacy, and levodopa equivalent daily dose data and data on activities of daily living also were collected. RESULTS: Participants displayed significant 1- and 2-year declines in the amount and intensity of ambulatory activity concurrently with increasing levodopa equivalent daily dose. Worsening motor symptoms and slowing of gait were apparent only after 2 years. Concurrent changes in the remaining clinical variables were not observed. Baseline ambulatory activity and physical performance variables had the strongest relationships with 1- and 2-year mean daily steps. LIMITATIONS: The sample was small and homogeneous. CONCLUSIONS: Future research that combines ambulatory activity monitoring with a broader and more balanced array of measures would further illuminate the dynamic interactions among evolving facets of disablement and help determine the extent to which sustained patterns of recommended daily physical activity might slow the rate of disablement in PD.This study was funded primarily by the Davis Phinney Foundation and the Parkinson Disease Foundation. Additional funding was provided by Boston University Building Interdisciplinary Research Careers in Women's Health (K12 HD043444), the National Institutes of Health (R01NS077959), the Utah Chapter of the American Parkinson Disease Association (APDA), the Greater St Louis Chapter of the APDA, and the APDA Center for Advanced PD Research at Washington University. (Davis Phinney Foundation; Parkinson Disease Foundation; K12 HD043444 - Boston University Building Interdisciplinary Research Careers in Women's Health; R01NS077959 - National Institutes of Health; Utah Chapter of the American Parkinson Disease Association (APDA); Greater St Louis Chapter of the APDA; APDA Center for Advanced PD Research at Washington University

    A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time : LM-measure perspective

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    In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the LM-measure and the notion of the update rule that, we believe, are the key tools for studying time consistency in a unified framework

    Testing the structure and process of personality using ambulatory assessment data : an overview of within-person and person-specific techniques

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    In the present article, we discuss the potential of ambulatory assessment for an idiographic study of the structure and process of personality. To this end, we first review important methodological issues related to the design and implementation of an ambulatory assessment study in the personality domain, including methods of ambulatory assessment, frequency of measurement and duration of the study, ambulatory assessment scales and questionnaires, participant selection, training and motivation, and ambulatory assessment hard- and software. Next, we provide a detailed outline of available analytical approaches that can be used to analyze the intensive longitudinal data generated by an ambulatory assessment study. By doing this, we hope to familiarize personality scholars with these methods and to provide guidance for their use in the field of personality psychology and beyond

    Dynamic Assessment Indices

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    This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of L0L^0-modules. In the first part of the paper we develop the general theory and provide a robust representation of conditional assessment indices, and in the second part we apply this theory to dynamic acceptability indices acting on stochastic processes.Comment: 39 page

    Parametric and Nonparametric Volatility Measurement

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    Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval, (ii) the ex-ante expected volatility over a fixed time interval, and (iii) the instantaneous volatility corresponding to the strength of the volatility process at a point in time. The parametric procedures rely on explicit functional form assumptions regarding the expected and/or instantaneous volatility. In the discrete-time ARCH class of models, the expectations are formulated in terms of directly observable variables, while the discrete- and continuous-time stochastic volatility models involve latent state variable(s). The nonparametric procedures are generally free from such functional form assumptions and hence afford estimates of notional volatility that are flexible yet consistent (as the sampling frequency of the underlying returns increases). The nonparametric procedures include ARCH filters and smoothers designed to measure the volatility over infinitesimally short horizons, as well as the recently-popularized realized volatility measures for (non-trivial) fixed-length time intervals.
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