"A Factor Allocation Approach to Optimal Bond Portfolio"

This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particular, we apply a factor allocation approach to constructing the optimal bond portfolio in a class of multi-factor Gaussian yield curve models. In other words, we consider a bond portfolio problem in terms of a factors' allocation problem. Thus, we can obtain clear interpretation about the relation between the change in the shape of a yield curve and dynamic optimal strategy, which is usually hard to be obtained due to high correlations among individual bonds. We first present a closed form solution of the optimal bond portfolio in a class of the multi-factor Gaussian term structure model. Then, we investigate the effects of various changes in the term structure on the optimal portfolio strategy through series of comparative statics.

"A Factor Allocation Approach to Optimal Bond Portfolio"

This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particular, we apply a factor allocation approach to constructing the optimal bond portfolio in a class of multi-factor Gaussian yield curve models. In other words, we consider a bond portfolio problem in terms of a factors' allocation problem. Thus, we can obtain clear interpretation about the relation between the change in the shape of a yield curve and dynamic optimal strategy, which is usually hard to be obtained due to high correlations among individual bonds. We first present a closed form solution of the optimal bond portfolio in a class of the multi-factor Gaussian term structure model. Then, we investigate the effects of various changes in the term structure on the optimal portfolio strategy through series of comparative statics.

Term Structure of Interest Rates under Recursive Preferences in Continuous Time ( Revised in February 2008, subsequently published in "Asia-Pacific Financial Markets", Vol.15-3,4, 273-305. )

This paper proposes a testable continuous-time term-structure model with recursive utility to investigate structural relationships between the real economy and the term structure of real and nominal interest rates. In a representative-agent model with recursive utility and mean-reverting expectations on real output growth and inflation, this paper shows that, if (1) real short-term interest rates are high during economic booms and (2) the agent is comparatively risk-averse (less risk-averse) relative to time-separable utility, then a real yield curve slopes down (slopes up, respectively). Additionally, for the comparatively risk-averse agent, if (3) expected inflation is negatively correlated with the real output and its expected growth, then a nominal yield curve can slope up, regardless of the slope of the real yield curve.

Large-eddy simulation of turbulent open-channel flow with free-surface fluctuations

Proceedings of the Seventh International Conference on Hydroscience and Engineering, Philadelphia, PA, September 2006. http://hdl.handle.net/1860/732Large-eddy simulations of open-channel flows with free-surface fluctuations have been conducted. The conventional HSMAC algorithm of Hirt & Cook(1972) is extended to incorporate the calculation of the motion of the free surface within the iteration cycle for computing the pressure and the velocity using the kinematic and the dynamic conditions to be satisfied on the free surface. This method of computing a moving free surface has been verified in a benchmark of two-dimensional standing wave flow. For the sub-grid scale model, the standard Smagorinsky model with near-wall damping is used. Its performance is verified in a fully developed open-channel flow over a smooth flat bed at a laboratory Reynolds number. Subcritical flow past a sudden drop is then simulated and the results indicate that the mean velocity distribution can be predicted very well but the turbulent stresses need improvement

Iso-α-Acids, Bitter Components in Beer, Suppress Inflammatory Responses and Attenuate Neural Hyperactivation in the Hippocampus

Due to the growth in aging populations worldwide, prevention and therapy for age-related cognitive decline and dementia are in great demand. We previously demonstrated that long-term intake of iso-α-acids, which are hop-derived bitter compounds found in beer, prevent Alzheimer’s pathology in a rodent model. On the other hand, the effects of iso-α-acids on neural activity in Alzheimer’s disease model mice have not been investigated. Here, we demonstrated that short-term intake of iso-α-acids suppresses inflammation in the hippocampus and improves memory impairment even after disease onset. Importantly, we demonstrated that short-term administration of iso-α-acids attenuated the neural hyperactivation in hippocampus. In 6-month-old 5 × FAD mice exhibiting hippocampus inflammation and memory impairment, oral administration of iso-α-acids for 7 days reduced inflammatory cytokines, including MIP-1α and soluble Aβ and improved object memory in the novel object recognition test. In 12-month-old J20 mice, intake of iso-α-acids for 7 days also suppressed inflammatory cytokines and soluble Aβ in the brain. Manganese-enhanced magnetic resonance imaging (MEMRI) of hippocampi of J20 mice showed increased manganese compared with wild type mice, but iso-α-acids canceled this increased MEMRI signal in J20 mice, particularly in the hippocampus CA1 and CA3 region. Taken together, these findings suggest that short-term intake of iso-α-acids can suppress hippocampus inflammation even after disease onset and improve hyper neural activity in Alzheimer’s disease model mice

Coincidence between transcriptome analyses on different microarray platforms using a parametric framework

A parametric framework for the analysis of transcriptome data is demonstrated to yield coincident results when applied to data acquired using two different microarray platforms. Discrepancies among transcriptome studies are frequently reported, casting doubt on the reliability of collected data. The inconsistency among observations can be largely attributed to differences among the analytical frameworks employed for data analysis. The existing frameworks normalizes data against a standard determined from the data to be analyzed. In the present study, a parametric framework based on a strict model for normalization is applied to data acquired using an in-house printed chip and GeneChip. The framework is based on a common statistical characteristic of microarray data, and each data is normalized on the basis of a linear relationship with this model. In the proposed framework, the expressional changes observed and genes selected are coincident between platforms, achieving superior universality of data compared to other methods

Innovative Treatment of a Fetal Lung Mass Model Using High-intensity Focused Ultrasound (HIFU)

Current therapy for space-occupying fetal lung mass lesions (fetal pulmonary lobectomy) is invasive and technically demanding. Accordingly, new therapeutic procedures are required which are much less invasive and more efficient. The purpose of this study was to investigate the feasibility of high-intensity focused ultrasound (HIFU) as a new therapeutic modality for fetal lung mass lesions, using an experimental animal model. We created a solid fetal lung model by differential lung ventilation using anesthetized adult rabbits. In this model, experimental animals with a unilateral independent (fluid-filled) lung were maintained by single lung ventilation of the other dependent lung. Within the independent lung, target blood vessels depicted by color flow Doppler were repeatedly irradiated with HIFU energy beams (n=19). Occlusion of these blood vessels in vivo was confirmed by evaluation of the flow using color flow Doppler. After the procedure, the animals were sacrificed and their harvested lungs were assessed grossly and microscopically. Pulmonary blood vessels (artery and/or vein) were effectively occluded with 2 to 5 cycles of HIFU energy delivery (10.5 seconds each) with a success rate of 62.5% (arteries) and 72.7% (veins). No clear changes including tissue perforations were observed grossly on the surface of the lungs. Ultrasound-guided HIFU energy delivery seems promising for occlusion of the pulmonary blood vessels within a fluid-filled independent lung (fetal lung model). Thus in the future, HIFU irradiation could be used as a less invasive technique to occlude the feeding vessels of fetal lung mass lesions in utero