The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models

© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. Estimation of the inputs is the main problem when applying portfolio analysis, and Markov regime-switching models have been shown to improve these estimates. We investigate whether the use of two-regime models remains superior across a range of values of risk aversion and transaction costs, in the presence of skewness and kurtosis and no short sales. Our results for US data suggest that, due to differences in their risk preferences and transactions costs, most retail investors may prefer to use one-regime models, while investment banks may prefer to use two-regime models

The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment

We consider terrorism acts in G7 countries over the period 1998–2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further consider the investor sentiment following the attacks, based on the content of country-level news stories and social media sources, and find that indices in countries associated with higher declines in the post-event sentiment, exhibit significantly higher economic losses. Our data and results are robust to several settings; these include using samples of events from different studies, excluding the 9/11 terrorist attack from the sample of events, excluding stock market indices of G7 countries from the sample of equity data and utilizing more sophisticated event-study methodologies

Factor based commodity investing

A multi-factor commodity portfolio combining the momentum, basis, basis-momentum, hedging pressure and value commodity factor portfolios outperforms significantly, economically and statistically, widely used commodity benchmarks. We find evidence that a variance timing strategy applied to commodity factor portfolios generates timing gains for the commodity momentum factor but not the other commodity factors. Dynamic commodities strategies based on commodity factor return prediction models provide little value added

Erosive Hand Osteoarthritis is Associated with Subclinical Atherosclerosis and Endothelial Dysfunction

Chronic inflammatory disorders have been associated with accelerated atherosclerosis and increased cardiovascular (CV) risk. Recent evidence suggests that erosive hand osteoarthritis (EOA) has considerable inflammation; therefore, we examined the presence of subclinical atherosclerosis and endothelial dysfunction in EOA. Twenty-four patients with EOA and 24 age- and sex-matched healthy individuals without clinical OA were included in the study. No subject had a history of CV disease. Intima-media thickness (IMT) and atheromatous plaques in the common carotid and common femoral arteries were measured by Doppler ultrasonography. The endothelium-dependent, flow-mediated dilatation (FMD) and endothelium-independent, sublingual glyceryl trinitrate (NTG)-induced dilatation (NMD) of the brachial artery were assessed. The EOA patients had significantly elevated systolic and diastolic blood pressure (p\u3c0.001 for both). The 10-year risk of general CV disease, as predicted with the Framingham Risk Score, was similar in patients and controls (p=0.18). IMT of both common carotid and common femoral artery were increased in EOA (p=0.01 and p\u3c0.01, respectively), but the frequency of atherosclerotic plaques was not increased. There was no difference in FMD and NMD between the two groups, but the difference between FMD and NMD was increased in EOA. In conclusion, this small controlled study showed an association between EOA and subclinical atherosclerosis that cannot be fully attributed to traditional CV risk factors, as assessed by the Framingham score. These results suggest that chronic, low-grade inflammation is implicated in atherosclerosis in EOA

Harmful diversification: evidence from alternative investments

Alternative assets have become as important as equities and fixed income in the portfolios of major investors, and so their diversification properties are also important. However, adding five alternative assets (real estate, commodities, hedge funds, emerging markets and private equity) to equity and bond portfolios is shown to be harmful for US investors. We use 19 portfolio models, in conjunction with dummy variable regression, to demonstrate this harm over the 1997-2015 period. This finding is robust to different estimation periods, risk aversion levels, and the use of two regimes. Harmful diversification into alternatives is not primarily due to transactions costs or non-normality, but to estimation risk. This is larger for alternative assets, particularly during the credit crisis which accounts for the harmful diversification of real estate, private equity and emerging markets. Diversification into commodities, and to a lesser extent hedge funds, remains harmful even when the credit crisis is excluded

Systemic Redox Imbalance in Chronic Kidney Disease: A Systematic Review.

Patients with chronic kidney disease (CKD) experience imbalance between oxygen reactive species (ROS) production and antioxidant defenses leading to cell and tissue damage. However, it remains unclear at which stage of renal insufficiency the redox imbalance becomes more profound. The aim of this systematic review was to provide an update on recent advances in our understanding of how the redox status changes in the progression of renal disease from predialysis stages 1 to 4 to end stage 5 and whether the various treatments and dialysis modalities influence the redox balance. A systematic review was conducted searching PubMed and Scopus by using the Cochrane and PRISMA guidelines. In total, thirty-nine studies met the inclusion criteria and were reviewed. Even from an early stage, imbalance in redox status is evident and as the kidney function worsens it becomes more profound. Hemodialysis therapy per se seems to negatively influence the redox status by the elevation of lipid peroxidation markers, protein carbonylation, and impairing erythrocyte antioxidant defense. However, other dialysis modalities do not so far appear to confer advantages. Supplementation with antioxidants might assist and should be considered as an early intervention to halt premature atherogenesis development at an early stage of CKD

Serum VEGF levels are related to the presence of pulmonary arterial hypertension in systemic sclerosis

<p>Abstract</p> <p>Background</p> <p>The association between systemic sclerosis and pulmonary arterial hypertension (PAH) is well recognized. Vascular endothelial growth factor (VEGF) has been reported to play an important role in pulmonary hypertension. The aim of the present study was to examine the relationship between systolic pulmonary artery pressure, clinical and functional manifestations of the disease and serum VEGF levels in systemic sclerosis.</p> <p>Methods</p> <p>Serum VEGF levels were measured in 40 patients with systemic sclerosis and 13 control subjects. All patients underwent clinical examination, pulmonary function tests and echocardiography.</p> <p>Results</p> <p>Serum VEGF levels were higher in systemic sclerosis patients with sPAP ≥ 35 mmHg than in those with sPAP < 35 mmHg (352 (266, 462 pg/ml)) vs (240 (201, 275 pg/ml)) (p < 0.01), while they did not differ between systemic sclerosis patients with sPAP < 35 mmHg and controls. Serum VEGF levels correlated to systolic pulmonary artery pressure, to diffusing capacity for carbon monoxide and to MRC dyspnea score. In multiple linear regression analysis, serum VEGF levels, MRC dyspnea score, and D_LCOwere independent predictors of systolic pulmonary artery pressure.</p> <p>Conclusion</p> <p>Serum VEGF levels are increased in systemic sclerosis patients with sPAP ≥ 35 mmHg. The correlation between VEGF levels and systolic pulmonary artery pressure may suggest a possible role of VEGF in the pathogenesis of PAH in systemic sclerosis.</p

Anti-Ro60 Seropositivity Determines Anti-Ro52 Epitope Mapping in Patients With Systemic Sclerosis

Epitope mapping of anti-Ro52 antibodies (Abs) has been extensively studied in patients with Sjögren's syndrome (SjS) and systemic lupus erythematosus (SLE). Comprehensive epitope mapping in systemic sclerosis (SSc), where anti-Ro52 antibodies are also frequently detected, has not been performed. The aim of the present study was to fully characterize Ro52 epitopes in anti-Ro52-positive SSc using Ro52 fragments spanning the full antigen. Further analysis was made according to anti-Ro60 status. Epitope mapping was performed in 43 anti-Ro52-positive SSc patients. Seventy eight anti-Ro52-positive pathological controls, including 20 patients with SjS, 28 patients with SLE, 15 patients with dermatomyositis (DM), and 15 patients with primary biliary cholangitis (PBC), and 20 anti-Ro52-negative healthy individuals as normal controls were also tested. Five recombinant Ro52 fragments [Ro52-1 (aa 1-127), Ro52-2 (aa 125-268), Ro52-3 (aa 268-475), Ro52-4 (aa 57-180), and Ro52-5 (aa 181-320) were used to test reactivity by line-immunoassay and in house ELISA. Anti-Ro60 reactivity was tested by ELISA. All anti-Ro52 positive sera reacted with Ro52-2; none recognized Ro52-3. Antibodies against Ro52-1 were less frequently found in SSc than in SjS/SLE (11.6 vs. 41.7%, p = 0.001); and antibodies against Ro52-4 were less frequently found in SSc than in SjS/SLE (27.9 vs. 50%, p = 0.03). In SSc patients, reactivity against Ro52-1 was more frequent in anti-Ro52+/anti-Ro60+ than in anti-Ro52+/anti-Ro60-patients (33.3 vs. 0%, p = 0.003). In this comprehensive analysis of Ro52 epitope mapping in SSc, the coiled coil domain remains the predominant epitope on Ro52. Contrary to SjS and SLE, patients with SSc fail to identify epitopic regions within the N-terminus of the protein, especially if they lack con-current anti-Ro60 reactivity

Diagnostic value of anti-cyclic citrullinated peptide antibodies in Greek patients with rheumatoid arthritis

Background: Anti-cyclic citrullinated peptide (anti-CCP) antibodies have been of diagnostic value in Northern European Caucasian patients with rheumatoid arthritis ( RA). In these populations, anti-CCP antibodies are associated with the HLA-DRB1 shared epitope. We assessed the diagnostic value of anti-CCP antibodies in Greek patients with RA where the HLA shared epitope was reported in a minority of patients. Methods: Using an enzyme-linked immunosorbent assay ( ELISA) (CCP2) kit, we tested anti-CCP antibodies in serum samples from 155 Greek patients with RA, 178 patients with other rheumatic diseases, and 100 blood donors. We also determined rheumatoid factor (RF) and compared it to anti-CCP antibodies for area under the curve (AUC), sensitivity, specificity and likelihood ratios. Results: Sensitivity of anti-CCP2 antibodies and RF for RA was 63.2% and 59.1%, and specificity was 95.0% and 91.2%, respectively. When considered simultaneously, the AUC for anti-CCP antibodies was 0.90 with 95% CI of 0.87 to 0.93 and the AUC for RF was 0.71 with 95% CI of 0.64 to 0.77. The presence of both antibodies increased specificity to 98.2%. Anti-CCP antibodies were positive in 34.9% of RF-negative RA patients. Anti-CCP antibodies showed a correlation with the radiographic joint damage. Anti-CCP-positive RA patients had increased the swollen joint count and serum CRP concentration compared to anti-CCP-negative RA patients (Mann-Whitney U test, p = 0.01, and p < 0.001, respectively). However, no correlation was found between anti-CCP antibodies and DAS28 score ( r = 0.13, p = 0.12). Conclusion: In Greek patients with RA, anti-CCP2 antibodies exhibit a better diagnostic value than RF and a correlation with radiological joint damage and therefore are useful in everyday rheumatology practice