Measuring portfolio performance using a modified measure of risk

This paper reports the results of an investigation into the properties of a theoretical modification of beta proposed by Leland (1999) and based on earlier work of Rubinstein (1976). It is shown that when returns are elliptically symmetric, beta is the appropriate measure of risk and that there are other situations in which the modified beta will be similar to the traditional measure based on the capital asset pricing model. For the case where returns have a normal distribution, it is shown that the criterion either does not exist or reduces exactly to the conventional beta. It is therefore conjectured that the modified measure will only be useful for portfolios that have nonstandard return distributions which incorporate skewness. For such situations, it is shown how to estimate the measure using regression and how to compare the resulting statistic with a traditional estimated beta using Hotelling's test. An empirical study based on stocks from the FTSE350 does not find evidence to support the use of the new measure even in the presence of skewness.Journal of Asset Management (2007) 7, 388-403. doi:10.1057/palgrave.jam.225005

Anomalous wave statistics following sudden depth transitions: application of an alternative Boussinesq-type formulation

AbstractRecent studies of water waves propagating over sloping seabeds have shown that sudden transitions from deeper to shallower depths can produce significant increases in the skewness and kurtosis of the free surface elevation and hence in the probability of rogue wave occurrence. Gramstad et al. (Phys. Fluids 25 (12): 122103, 2013) have shown that the key physics underlying these increases can be captured by a weakly dispersive and weakly nonlinear Boussinesq-type model. In the present paper, a numerical model based on an alternative Boussinesq-type formulation is used to repeat these earlier simulations. Although qualitative agreement is achieved, the present model is found to be unable to reproduce accurately the findings of the earlier study. Model parameter tests are then used to demonstrate that the present Boussinesq-type formulation is not well-suited to modelling the propagation of waves over sudden depth transitions. The present study nonetheless provides useful insight into the complexity encountered when modelling this type of problem and outlines a number of promising avenues for further research.</jats:p

The MIF antagonist ISO-1 attenuates corticosteroid-insensitive inflammation and airways hyperresponsiveness in an ozone-induced model of COPD

Copyright © 2016 Russell et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Introduction. Macrophage migration inhibitory factor (MIF) is an inflammatory cytokine associated with acute and chronic inflammatory disorders and corticosteroid insensitivity. Its expression in the airways of patients with chronic obstructive pulmonary disease (COPD), a relatively steroid insensitive inflammatory disease is unclear, however. Methods. Sputum, bronchoalveolar lavage (BAL) macrophages and serum were obtained from nonsmokers, smokers and COPD patients. To mimic oxidative stress-induced COPD, mice were exposed to ozone for six-weeks and treated with ISO-1, a MIF inhibitor, and/or dexamethasone before each exposure. BAL fluid and lung tissue were collected after the final exposure. Airway hyperresponsiveness (AHR) and lung function were measured using whole body plethysmography. HIF-1α binding to the Mif promoter was determined by Chromatin Immunoprecipitation assays. Results. MIF levels in sputum and BAL macrophages from COPD patients were higher than those from non-smokers, with healthy smokers having intermediate levels. MIF expression correlated with that of HIF-1α in all patients groups and in ozone-exposed mice. BAL cell counts, cytokine mRNA and protein expression in lungs and BAL, including MIF, were elevated in ozone-exposed mice and had increased AHR. Dexamethasone had no effect on these parameters in the mouse but ISO-1 attenuated cell recruitment, cytokine release and AHR. Conclusion MIF and HIF-1α levels are elevated in COPD BAL macrophages and inhibition of MIF function blocks corticosteroid-insensitive lung inflammation and AHR. Inhibition of MIF may provide a novel anti-inflammatory approach in COPD

Association of c-Raf expression with survival and its targeting with antisense oligonucleotides in ovarian cancer

c-Raf is an essential component of the extracellular related kinase (ERK) signal transduction pathway. Immunohistochemical staining indicated that c-Raf was present in 49/53 ovarian adenocarcinomas investigated and high c-Raf expression correlated significantly with poor survival (P = 0.002). c-Raf protein was detected in 15 ovarian cancer cell lines. Antisense oligodeoxynucleotides (ODNs) (ISIS 5132 and ISIS 13650) reduced c-Raf protein levels and inhibited cell proliferation in vitro. Selectivity was demonstrated by the lack of effect of ISIS 5132 on A-Raf or ERK, while a random ODN produced only minor effects on growth and did not influence c-Raf expression. ISIS 5132 produced enhanced apoptosis and cells accumulated in S and G 2/M phases of the cell cycle. In vivo, ISIS 5132 inhibited growth of the s.c. SKOV-3 xenograft while a mismatch ODN had no effect. These data indicate that high levels of c-Raf expression may be important in ovarian cancer and use of antisense ODNs targeted to c-Raf could provide a strategy for the treatment of this disease. © 2001 Cancer Research Campaign http://www.bjcancer.co

Antenatal and postnatal corticosteroid and resuscitation induced lung injury in preterm sheep

<p>Abstract</p> <p>Background</p> <p>Initiation of ventilation using high tidal volumes in preterm lambs causes lung injury and inflammation. Antenatal corticosteroids mature the lungs of preterm infants and postnatal corticosteroids are used to treat bronchopulmonary dysplasia.</p> <p>Objective</p> <p>To test if antenatal or postnatal corticosteroids would decrease resuscitation induced lung injury.</p> <p>Methods</p> <p>129 d gestational age lambs (n = 5-8/gp; term = 150 d) were operatively delivered and ventilated after exposure to either 1) no medication, 2) antenatal maternal IM Betamethasone 0.5 mg/kg 24 h prior to delivery, 3) 0.5 mg/kg Dexamethasone IV at delivery or 4) Cortisol 2 mg/kg IV at delivery. Lambs then were ventilated with no PEEP and escalating tidal volumes (<it>V</it>_T) to 15 mL/kg for 15 min and then given surfactant. The lambs were ventilated with <it>V</it>_T8 mL/kg and PEEP 5 cmH₂0 for 2 h 45 min.</p> <p>Results</p> <p>High V_Tventilation caused a deterioration of lung physiology, lung inflammation and injury. Antenatal betamethasone improved ventilation, decreased inflammatory cytokine mRNA expression and alveolar protein leak, but did not prevent neutrophil influx. Postnatal dexamethasone decreased pro-inflammatory cytokine expression, but had no beneficial effect on ventilation, and postnatal cortisol had no effect. Ventilation increased liver serum amyloid mRNA expression, which was unaffected by corticosteroids.</p> <p>Conclusions</p> <p>Antenatal betamethasone decreased lung injury without decreasing lung inflammatory cells or systemic acute phase responses. Postnatal dexamethasone or cortisol, at the doses tested, did not have important effects on lung function or injury, suggesting that corticosteroids given at birth will not decrease resuscitation mediated injury.</p

Tyrosine kinase signalling in breast cancer: Tyrosine kinase-mediated signal transduction in transgenic mouse models of human breast cancer

The ability of growth factors and their cognate receptors to induce mammary epithelial proliferation and differentiation is dependent on their ability to activate a number of specific signal transduction pathways. Aberrant expression of specific receptor tyrosine kinases (RTKs) has been implicated in the genesis of a significant proportion of sporadic human breast cancers. Indeed, mammary epithelial expression of activated RTKs such as ErbB2/neu in transgenic mice has resulted in the efficient induction of metastatic mammary tumours. Although it is clear from these studies that activation these growth factor receptor signalling cascades are directly involved in mammary tumour progression, the precise interaction of each of these signalling pathways in mammary tumourigenesis and metastasis remains to be elucidated. The present review focuses on the role of several specific signalling pathways that have been implicated as important components in RTK-mediated signal transduction. In particular, it focuses on two well characterized transgenic breast cancer models that carry the polyomavirus middle T(PyV mT) and neu oncogenes

Involvement of JNK-mediated pathway in EGF-mediated protection against paclitaxel-induced apoptosis in SiHa human cervical cancer cells

We investigated the signalling pathways by which epidermal growth factor (EGF) modulates paclitaxel-induced apoptosis in SiHa human cervical cancer cells. SiHa cells exposed to paclitaxel underwent apoptosis, which was strongly inhibited by EGF. This inhibition of apoptosis by EGF was not altered by pharmacological blockade of phosphatidylinositol 3′-OH kinase (PI-3K) with the PI-3K specific inhibitor LY294002 or blockade of the mitogen-activated protein kinase (MAPK) kinase (MEK) with the MEK specific inhibitor PD98059, or by transfection of the cells with PI-3K or MEK dominant-negative expression vectors. EGF did not stimulate PI-3K/Akt, MEK/MAPK, or p38 MAPK activity in SiHa cells but did transiently activate the c-Jun NH2-terminal kinase (JNK). Co-exposure of SiHa cells to SB202190 at concentrations that inhibit JNK abolished the protective effect of EGF on SiHa cells against paclitaxel-induced apoptosis. Our findings indicate that the JNK signaling pathway plays an important role in EGF-mediated protection from paclitaxel-induced apoptosis in SiHa cells. © 2001 Cancer Research Campaign http://www.bjcancer.co

Predicting sample size required for classification performance

<p>Abstract</p> <p>Background</p> <p>Supervised learning methods need annotated data in order to generate efficient models. Annotated data, however, is a relatively scarce resource and can be expensive to obtain. For both passive and active learning methods, there is a need to estimate the size of the annotated sample required to reach a performance target.</p> <p>Methods</p> <p>We designed and implemented a method that fits an inverse power law model to points of a given learning curve created using a small annotated training set. Fitting is carried out using nonlinear weighted least squares optimization. The fitted model is then used to predict the classifier's performance and confidence interval for larger sample sizes. For evaluation, the nonlinear weighted curve fitting method was applied to a set of learning curves generated using clinical text and waveform classification tasks with active and passive sampling methods, and predictions were validated using standard goodness of fit measures. As control we used an un-weighted fitting method.</p> <p>Results</p> <p>A total of 568 models were fitted and the model predictions were compared with the observed performances. Depending on the data set and sampling method, it took between 80 to 560 annotated samples to achieve mean average and root mean squared error below 0.01. Results also show that our weighted fitting method outperformed the baseline un-weighted method (p < 0.05).</p> <p>Conclusions</p> <p>This paper describes a simple and effective sample size prediction algorithm that conducts weighted fitting of learning curves. The algorithm outperformed an un-weighted algorithm described in previous literature. It can help researchers determine annotation sample size for supervised machine learning.</p

Can oral corticosteroids reduce the severity or duration of an acute cough, and the associated National Health Service and societal costs, in adults presenting to primary care?: study protocol for a randomised controlled trial

Background: Acute lower respiratory tract infection (LRTI) is one of the most common conditions managed internationally and is costly to health services and patients. Despite good evidence that antibiotics are not effective for improving the symptoms of uncomplicated LRTI, they are widely prescribed, contributing to antimicrobial resistance. Many of the symptoms observed in LRTI are mediated by inflammatory processes also observed in exacerbations of asthma, for which there is strong evidence of corticosteroid effectiveness. The primary aim of the OSAC (Oral Steroids for Acute Cough) Trial is to determine whether oral prednisolone (40 mg daily for 5 days) can reduce the duration of moderately bad (or worse) cough and the severity of all its associated symptoms on days 2 to 4 post-randomisation (day 1 is trial entry) by at least 20% in adults ≥18 years with acute LRTI presenting to primary care. Methods/design: OSAC is a two-arm, multi-centre, placebo-controlled, randomised superiority trial. The target sample size is 436 patients, which allows for a 20% dropout rate. Patients will be recruited from primary care sites (General Practitioner surgeries) across England and followed up until symptom resolution. The two primary clinical outcomes are the duration of moderately bad (or worse) cough, and the severity of all its associated symptoms on days 2 to 4 post-randomisation. Secondary outcomes include: antibiotic consumption; symptom burden; adverse events; participant satisfaction with treatment and intention to consult for future similar illnesses. A parallel economic evaluation will investigate the cost-effectiveness of the intervention. Discussion: Results from the OSAC trial will increase knowledge regarding the clinical and cost-effectiveness of corticosteroids for LRTI, and will establish the potential of a new treatment option that could substantially improve patient health. We have chosen a relatively high ‘efficacy dose’ as this will enable us to decide on the potential for further research into lower dose oral and/or inhaled corticosteroids. This trial will also contribute to a growing body of research investigating the natural course of this very common illness, as well as the effects of steroids on the undesirable inflammatory symptoms associated with infection. Trial registration: Current Controlled Trials ISRCTN57309858 (31 January 2013)