CAPM, rewards, and empirical asset pricing with coherent risk

The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two measures. In particular, this gives us - a new way of measuring reward; - a new approach to the empirical asset pricing

Pricing and hedging in incomplete markets with coherent risk

We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to different agents. The technique is closely connected with the convolution of coherent risk measures and equilibrium considerations. Furthermore, we propose a way to apply the above technique to the coherent estimation of the Greeks

Coherent measurement of factor risks

We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures introduced in this paper, which assess the risks driven by particular factors like the price of oil, S&P500 index, or the credit spread; - risk contributions and factor risk contributions, which provide a coherent alternative to the sensitivity coefficients. We also propose two particular classes of coherent risk measures called Alpha V@R and Beta V@R, for which all the objects described above admit an extremely simple empirical estimation procedure. This procedure uses no model assumptions on the structure of the price evolution. Moreover, we consider the problem of the risk management on a firm's level. It is shown that if the risk limits are imposed on the risk contributions of the desks to the overall risk of the firm (rather than on their outstanding risks) and the desks are allowed to trade these limits within a firm, then the desks automatically find the globally optimal portfolio

Dilute Bose gas in two dimensions: Density expansions and the Gross-Pitaevskii equation

A dilute two-dimensional (2D) Bose gas at zero temperature is studied by the method developed earlier by the authors. Low density expansions are derived for the chemical potential, ground state energy, kinetic and interaction energies. The expansion parameter is found to be a dimensionless in-medium scattering amplitude u obeying the equation 1/u+\ln u=-\ln(na^2\pi)-2\gamma, where na^2 and \gamma are the gas parameter and the Euler constant, respectively. It is shown that the ground state energy is mostly kinetic in the low density limit; this result does not depend on a specific form of the pairwise interaction potential, contrary to 3D case. A new form of 2D Gross-Pitaevskii equation is proposed within our scheme.Comment: 4 pages, REVTeX, no figure

Large magneto-thermal effect and the spin-phonon coupling in a parent insulating cuprate Pr_{1.3}La_{0.7}CuO_4

The magnetic-field (H) dependence of the thermal conductivity \kappa of Pr_{1.3}La_{0.7}CuO_4 is found to show a pronounced minimum for in-plane fields at low temperature, which is best attributed to the scattering of phonons by free spins that are seen by a Schottky-type specific heat and a Curie-Weiss susceptibility. Besides pointing to a strong spin-phonon coupling in cuprates, the present result demonstrates that the H-dependence of the phonon heat transport should not be naively neglected when discussing the \kappa(H) behavior of cuprates, since the Schottky anomaly is ubiquitously found in cuprates at any doping.Comment: 6 pages, 4 figures, accepted for publication in Phys. Rev.

Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale

The Skorokhod reflection of a continuous semimartingale is unfolded, in a possibly skewed manner, into another continuous semimartingale on an enlarged probability space according to the excursion-theoretic methodology of Prokaj (2009). This is done in terms of a skew version of the Tanaka equation, whose properties are studied in some detail. The result is used to construct a system of two diffusive particles with rank-based characteristics and skew-elastic collisions. Unfoldings of conventional reflections are also discussed, as are examples involving skew Brownian Motions and skew Bessel processes.Comment: 20 pages. typos corrected, added a remark after Proposition 2.3, simplified the last part of Example 2.

OpenADAM: an open source genome-wide association data management system for Affymetrix SNP arrays

BACKGROUND: Large scale genome-wide association studies have become popular since the introduction of high throughput genotyping platforms. Efficient management of the vast array of data generated poses many challenges. DESCRIPTION: We have developed an open source web-based data management system for the large amount of genotype data generated from the Affymetrix GeneChip Mapping Array and Affymetrix Genome-Wide Human SNP Array platforms. The database supports genotype calling using DM, BRLMM, BRLMM-P or Birdseed algorithms provided by the Affymetrix Power Tools. The genotype and corresponding pedigree data are stored in a relational database for efficient downstream data manipulation and analysis, such as calculation of allele and genotype frequencies, sample identity checking, and export of genotype data in various file formats for analysis using commonly-available software. A novel method for genotyping error estimation is implemented using linkage disequilibrium information from the HapMap project. All functionalities are accessible via a web-based user interface. CONCLUSION: OpenADAM provides an open source database system for management of Affymetrix genome-wide association SNP data.published_or_final_versio

Who Are You Going to Call? Primary Care Patients’ Disclosure Decisions Regarding Direct–to–Consumer Genetic Testing

Background: Direct–to–consumer genetic testing (DTCGT) offers risk estimates for a variety of complex diseases and conditions, yet little is known about its impact on actual users, including their decisions about sharing the information gleaned from testing. Ethical considerations include the impact of unsolicited genetic information with variable validity and clinical utility on relatives, and the possible burden to the health care system if revealed to physicians. Aims: The qualitative study explored primary care patients’ views, attitudes, and decision making considerations regarding DTCGT. This article focuses on the disclosure decisions participants made regarding participation, testing, and results of DTCGT, a topic which arose as a secondary aim of the study. Methods: Through four longitudinal interviews (pre–test, results, 3 and 12 months post–test) we examined twenty primary care patients’ decisions, expressed intentions, and actions regarding disclosure to immediate and extended family, friends and coworkers, and physicians about participation in and results of DTCGT. Individual interviews were analyzed using qualitative content analysis and a summative approach to describe the global themes. Results: Most participants disclosed to some immediate family; less than half disclosed to extended family; approximately half talked to friends. Most participants stated they would or might disclose to physicians about DTCGT and a few did. Conceptual themes that emerged from the data analysis include ambivalence about disclosure, consistency between intention and actual disclosure behavior and decisions, and conditional information sharing. Conclusions: Participants’ intentional and actual disclosure patterns offer insight into how they view DTCGT, weigh results, and the potential impact of DTCGT