Investment, income, incompleteness

The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very dificult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and admissible consumption and investment strategy, which is near-optimal in the sense that the wealthequivalent loss compared to the unknown optimal strategy is very small. We first explain and implement the strategy in a simple setting with constant interest rates, a single risky asset, and an exogenously given income stream, but we also show that the success of the strategy is robust to changes in parameter values, to the introduction of stochastic interest rates, and to endogenous labor supply decisions

Investment, income, and incompleteness

The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very difficult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and admissible consumption and investment strategy, which is near-optimal in the sense that the wealthequivalent loss compared to the unknown optimal strategy is very small. We first explain and implement the strategy in a simple setting with constant interest rates, a single risky asset, and an exogenously given income stream, but we also show that the success of the strategy is robust to changes in parameter values, to the introduction of stochastic interest rates, and to endogenous labor supply decisions

Essays on continuous-time portfolio optimization and credit risk

Die vorliegende Arbeit beschäftigt sich mit der zeitstetigen Portfoliooptimierung sowie mit Themen aus dem Bereich des Kreditrisikos. Das Ziel der Portfoliooptimierung ist es, zu einem gegebenen Anfangskapital die bestmöglichen Konsum- und Investmentstrategien zu finden. In dieser Arbeit wird dabei vor allem der Einfluss von Einkommen auf diese Entscheidungen untersucht. Da einerseits jedoch der zukünftige Einkommensstrom vom Zufall bestimmt ist und es andererseits keine Finanzprodukte gibt, die diesen replizieren können, stellt die Einbindung von Einkommen in die Portfoliooptimierung ein großes Problem dar. Es führt dazu, dass die Annahmen eines vollständigen Marktes nicht weiter gelten, so dass die Standardmethoden zur Lösung nicht angewendet werden können. Diese Arbeit analysiert mehrere Ausprägungen dieses Problems und geht auf verschiedene Verfahren zur Lösung ein. Weiterhin untersucht diese Studie den Einfluss des Kreditrisikos einer Firma auf die jeweilige Firmenrendite. Dabei wird vor allem auf eine Anomalie, die bereits umfassend in der Literatur diskutiert wurde, Bezug genommen. Diese Anomalie besagt, dass Firmen mit hohen Ausfallwahrscheinlichkeiten geringere Renditen erwirtschaften als Firmen mit kleineren Ausfallwahrscheinlichkeiten. Eine weitere Frage, die in den Bereich des Kreditrisikos fällt, ist die Frage, inwieweit Modelle dazu in der Lage sind, strukturierte Produkte zu bewerten und abzusichern. Diese Arbeit versucht Antworten darauf zu geben

Threshold effects of financial stress on monetary policy rules: A panel data analysis

This study tests for the state-dependent response of monetary policy to increases in overall financial stress and financial sector-specific stress across a panel of advanced and emerging economy central banks. We use a factor-augmented dynamic panel threshold regression model with (estimated) common components to deal with crosssectional dependence. We find strong evidence of state-dependence in the response of monetary policy to financial sector-specific stress for advanced economy central banks, as they pursue aggressive monetary policy loosening in response to stock market and banking stress only in times of high financial market volatility. By comparison, evidence of threshold effects of financial stress is generally weak for emerging market central banks

Inherited myeloproliferative neoplasm risk affects haematopoietic stem cells

Myeloproliferative neoplasms (MPNs) are blood cancers that are characterized by the excessive production of mature myeloid cells and arise from the acquisition of somatic driver mutations in haematopoietic stem cells (HSCs). Epidemiological studies indicate a substantial heritable component of MPNs that is among the highest known for cancers1. However, only a limited number of genetic risk loci have been identified, and the underlying biological mechanisms that lead to the acquisition of MPNs remain unclear. Here, by conducting a large-scale genome-wide association study (3,797 cases and 1,152,977 controls), we identify 17 MPN risk loci (P < 5.0 × 10-8), 7 of which have not been previously reported. We find that there is a shared genetic architecture between MPN risk and several haematopoietic traits from distinct lineages; that there is an enrichment for MPN risk variants within accessible chromatin of HSCs; and that increased MPN risk is associated with longer telomere length in leukocytes and other clonal haematopoietic states-collectively suggesting that MPN risk is associated with the function and self-renewal of HSCs. We use gene mapping to identify modulators of HSC biology linked to MPN risk, and show through targeted variant-to-function assays that CHEK2 and GFI1B have roles in altering the function of HSCs to confer disease risk. Overall, our results reveal a previously unappreciated mechanism for inherited MPN risk through the modulation of HSC function

ZBTB33 is mutated in clonal hematopoiesis and myelodysplastic syndromes and impacts RNA splicing

Clonal hematopoiesis results from somatic mutations in cancer driver genes in hematopoietic stem cells. We sought to identify novel drivers of clonal expansion using an unbiased analysis of sequencing data from 84,683 persons and identified common mutations in the 5-methylcytosine reader ZBTB33 as well as in YLPM1, SRCAP, and ZNF318. We also identified these mutations at low frequency in patients with myelodysplastic syndrome. Zbtb33-edited mouse hematopoietic stem and progenitor cells exhibited a competitive advantage in vivo and increased genome-wide intron retention. ZBTB33 mutations potentially link DNA methylation and RNA splicing, the two most commonly mutated pathways in clonal hematopoiesis and myelodysplastic syndromes.SIGNIFICANCE: Mutations in known driver genes can be found in only about half of individuals with clonal hematopoiesis. Here, we performed a somatic mutation discovery effort in nonmalignant blood samples, which identified novel candidate genes that may play biological roles in hematopoietic stem cell expansion and hematologic malignancies

Extensive clinical, hormonal and genetic screening in a large consecutive series of 46,XY neonates and infants with atypical sexual development

Background: One in 4500 children is born with ambiguous genitalia, milder phenotypes occur in one in 300 newborns. Conventional time-consuming hormonal and genetic work-up provides a genetic diagnosis in around 20-40% of 46, XY cases with ambiguous genitalia. All others remain without a definitive diagnosis. The investigation of milder cases, as suggested by recent reports remains controversial. Methods: Integrated clinical, hormonal and genetic screening was performed in a sequential series of 46, XY children, sex-assigned male, who were referred to our pediatric endocrine service for atypical genitalia (2007-2013). Results: A consecutive cohort of undervirilized 46, XY children with external masculinization score (EMS) 2-12, was extensively investigated. In four patients, a clinical diagnosis of Kallmann syndrome or Mowat-Wilson syndrome was made and genetically supported in 2/3 and 1/1 cases respectively. Hormonal data were suggestive of a (dihydro) testosterone biosynthesis disorder in four cases, however no HSD17B3 or SRD5A2 mutations were found. Array-CGH revealed a causal structural variation in 2/6 syndromic patients. In addition, three novel NR5A1 mutations were found in non-syndromic patients. Interestingly, one mutation was present in a fertile male, underlining the inter-and intrafamilial phenotypic variability of NR5A1-associated phenotypes. No AR, SRY or WT1 mutations were identified. Conclusion: Overall, a genetic diagnosis could be established in 19% of non-syndromic and 33% of syndromic cases. There is no difference in diagnostic yield between patients with more or less pronounced phenotypes, as expressed by the external masculinisation score (EMS). The clinical utility of array-CGH is high in syndromic cases. Finally, a sequential gene-by-gene approach is time-consuming, expensive and inefficient. Given the low yield and high expense of Sanger sequencing, we anticipate that massively parallel sequencing of gene panels and whole exome sequencing hold promise for genetic diagnosis of 46, XY DSD boys with an undervirilized phenotype