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

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

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.

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.

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

Targeting the Progression of Parkinson’s Disease

By the time a patient first presents with symptoms of Parkinson’s disease at the clinic, a significant proportion (50-70%) of the cells in the substantia nigra (SN) has already been destroyed. This degeneration progresses until, within a few years, most of the cells have died. Except for rare cases of familial PD, the initial trigger for cell loss is unknown. However, we do have some clues as to why the damage, once initiated, progresses unabated. It would represent a major advance in therapy to arrest cell loss at the stage when the patient first presents at the clinic. Current therapies for Parkinson’s disease focus on relieving the motor symptoms of the disease, these unfortunately lose their effectiveness as the neurodegeneration and symptoms progress. Many experimental approaches are currently being investigated attempting to alter the progression of the disease. These range from replacement of the lost neurons to neuroprotective therapies; each of these will be briefly discussed in this review. The main thrust of this review is to explore the interactions between dopamine, alpha synuclein and redox-active metals. There is abundant evidence suggesting that destruction of SN cells occurs as a result of a self-propagating series of reactions involving dopamine, alpha synuclein and redox-active metals. A potent reducing agent, the neurotransmitter dopamine has a central role in this scheme, acting through redox metallo-chemistry to catalyze the formation of toxic oligomers of alpha-synuclein and neurotoxic metabolites including 6-hydroxydopamine. It has been hypothesized that these feed the cycle of neurodegeneration by generating further oxidative stress. The goal of dissecting and understanding the observed pathological changes is to identify therapeutic targets to mitigate the progression of this debilitating disease