Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor's problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio retur

Influence of a six month endurance exercise program on the immune function of prostate cancer patients undergoing Antiandrogen or Chemotherapy: design and rationale of the ProImmun study

Background: Exercise seems to minimize prostate cancer specific mortality risk and treatment related side effects like fatigue and incontinence. However the influence of physical activity on the immunological level remains uncertain. Even prostate cancer patients undergoing palliative treatment often have a relatively long life span compared to other cancer entities. To optimize exercise programs and their outcomes it is essential to investigate the underlying mechanisms. Further, it is important to discriminate between different exercise protocols and therapy regimes. Methods/Design: The ProImmun study is a prospective multicenter patient preference randomized controlled trial investigating the influence of a 24 week endurance exercise program in 80–100 prostate cancer patients by comparing patients undergoing Antiandrogen therapy combined with exercise (AE), Antiandrogen therapy without exercise (A), Chemotherapy with exercise(CE) or Chemotherapy without exercise (C). The primary outcome of the study is a change in prostate cancer relevant cytokines and hormones (IL-6, MIF, IGF-1, Testosterone). Secondary endpoints are immune cell ratios, oxidative stress and antioxidative capacity levels, VO2 peak, fatigue and quality of life. Patients of the intervention group exercise five times per week, while two sessions are supervised. During the supervised sessions patients (AE and CE) exercise for 33 minutes on a bicycle ergometer at 70-75% of their VO2 peak. To assess long term effects and sustainability of the intervention two follow-up assessments are arranged 12 and 18 month after the intervention. Discussion: The ProImmun study is the first trial which primarily investigates immunological effects of a six month endurance exercise program in prostate cancer patients during palliative care. Separating patients treated with Antiandrogen therapy from those who are additionally treated with Chemotherapy might allow a more specific view on the influence of endurance training interventions and the impact of different therapy protocols on the immune function. Trial registration: German Clinical Trials Register: DRKS0000473

What Drives Inflation and How: Evidence from Additive Mixed Models Selected by cAIC

We analyze which forces explain inflation and how in a large panel of 124 countries from 1997 to 2015. Models motivated by economic theory are compared to an approach based on model-based boosting and non-linearities are explicitly considered. We provide compelling evidence that the interaction of energy price and energy rents stand out among 40 explanatory variables. The output gap and globalization are also relevant drivers of inflation. Credit and money growth, a country's inflation history and demographic changes are comparably less important while central bank related variables as well as political variables turn out to have the least empirical relevance. In a subset of countries public debt denomination and exchange rate arrangements also play a noteworthy role in the inflation process. By contrast, other public-debt variables and an inflation targeting regime have weaker explanatory power. Finally, there is clear evidence of structural breaks in the effects since the financial crisis

Modulation des HMG-CoA-Reduktase/GGPP/ Rho-Signalwegs zur Apoptoseinduktion in adhärenten Myelomzellen

Das multiple Myelom ist eine Erkrankung, bei der terminal differenzierte Plasmazellen das Knochenmark infiltrieren, wodurch das typische klinische Bild eines Myelompatienten zustande kommt. In den letzten Jahren haben sich die Hinweise gehäuft, dass die Bindung der Myelomzellen im Knochenmark an Stromazellen die Chemosensitivität der Myelomzellen vermindert und somit zur „de-novo drug resistance" beiträgt. Das primäre Ziel dieser Arbeit war es, ein Zellmodell zu entwerfen, mit welchem die Untersuchung der Interaktionen von Stromazelle und Myelomzelle und damit der zelladhäsionsabhängigen Zytostatikaresistenz (CAM-DR) möglich ist. Darüber hinaus sollte diese Zytostatikaresistenz charakterisiert und mögliche molekulare Therapietargets identifiziert werden, welche eine Verhinderung von CAM-DR ermöglichen. Da das etablierte Kokulturmodell auf einer Kultur mit der Stromazelllinie HS-5 beruhte, wurde diese zuerst bezüglich der Oberflächenmarker und des Apoptoseverhaltens charakterisiert. Es wurde gezeigt, dass sich primäre Stromazellen aus Knochenmarksspiraten und die Stromazelllinie HS-5 zwar in ihrer Chemosensibilität unterscheiden, sie prinzipiell jedoch gleich reagieren. Beide lösen bei einer direkten Kokultur mit Myelomzellen im selben Maße CAMDR in den Myelomzellen aus. Die anschließende Charakterisierung von CAM-DR bewies, dass CAM-DR nicht zelllinienspezifisch und nicht zytostatikaspezifisch ist. HS-5-Zellen verhinderten nicht nur die Entstehung von später sondern auch von früher Apoptose. Es zeigte sich, dass das Ausmaß von CAM-DR maßgeblich von der Dauer der Kokultivierung abhängt. Des Weiteren stellte sich heraus, dass in diesem Zellmodell die von den HS-5-Zellen sezernierten Zytokine keinen Einfluss auf die Apoptoseinduktion hatten. Konsequenterweise wurden die Oberflächenantigene auf den Myelomzellen und den Stromazellen quantifiziert und teilweise deren Alteration nach einer Inkubation mit Zytostatika festgestellt. Sowohl eine Blockade der wichtigsten Integrine VLA-4 und LFA-1 als die Modulation der wichtigsten Signalwege konnte CAM-DR zwar teilweise, aber nicht vollkommen verhindern. Allein Vertreter der Statine, Simvastatin und Lovastatin, konnten CAM-DR drastisch reduzieren. Wie weiterhin gezeigt werden konnte, lag dies nicht an einer verminderten Expression von Oberflächenintegrinen, einer verminderten Zytokinsekretion der Stromazellen oder einer verstärkten Deadhäsion der Myelomzellen von den Stromazellen, sondern an der Hemmung der Geranylgeraniolpyrophosphatsynthese. Wir wiesen nach, daß Statine in der Kokultur über die Hemmung des HMG-CoA-Reduktase/GG-PP/Rho/Rho-kinase-Signalwegs wirken. Dies wurde in weiteren Experimenten, in denen selektiv die Geranylgeranioltransferase mittels GGTI-298 und die Rho-Kinase mit Y-27632 gehemmt wurden, bestätigt. Die Ergebnisse der vorliegenden Arbeit können als Grundlage für einen potentiellen Einsatz von Statinen in der Therapie des multiplen Myeloms dienen, denn bezüglich des dargestellten Signalwegs wirken die Statine bereits im subtoxischen Bereich. Die weitere Erforschung von CAM-DR und deren assoziierte Signalwege bei anderen Tumorentitäten sowie die Evaluation der klinischen Relevanz der Gabe von Statinen zur Blockade von CAM-DR ergeben sich als wichtige nächste Schritte als Konsequenz der vorliegenden Arbeit

Accuracy of a Novel Transcutaneous PCO2 and PO2 Sensor with Optical PO2 Measurement in Neonatal Intensive Care: A Single-Centre Prospective Clinical Trial

BACKGROUND AND OBJECTIVES Transcutaneous PCO2 and PO2 measurement systems offer non-invasive blood gas trend monitoring. The aim of this prospective study was to assess bias and precision of a transcutaneous PCO2 and PO2 measurement system incorporating a novel pO2 sensor (Sentec OxiVenT™) in neonates ≥34 weeks of gestational age (GA) admitted to intensive care. METHODS Transcutaneous PCO2 and PO2 were compared to arterial and capillary blood gas measurements. Bias and precision were calculated by fitting linear mixed models to account for repeated measurements, and influence of clinical covariates on bias and precision was assessed. RESULTS We obtained 611 paired transcutaneous and blood gas measurements in 110 patients (median GA 38.3 [interquartile range 36.1-39.7] weeks; age 9 [4-15] days; weight 3,000 [2,500-3,500] g). Transcutaneous PCO2 showed significant bias to arterial PCO2 (+0.61; 95% confidence interval 0.46, 0.76 kPa), but not to capillary PCO2 (-0.23; -0.46, 0.002 kPa). Bias of transcutaneous PO2 was significant to arterial PO2 (-2.50; -2.94, -2.06 kPa), while no significant bias compared to capillary PO2 was observed (+0.17; -0.30, 0.64 kPa). Precision intervals were ±1.8/2.0 kPa for arterial versus capillary PCO2 and ±4.9/3.3 kPa for arterial versus capillary PO2 comparisons, respectively. Further, sensor operating temperature (43°C vs. 42°C), soft tissue oedema, vasoactive drugs, weight, and GA significantly altered bias (p < 0.05). CONCLUSIONS The tested transcutaneous blood gas measurement system showed no significant bias compared to capillary PCO2 and PO2, acceptable bias to arterial PCO2, and limited agreement with arterial PO2. Precision intervals were wide for all comparisons