Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility

We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informative prior, we derive stochastic representations for the optimal portfolio weights at each time point of portfolio reallocation. This provides a direct access not only to the posterior distribution of the portfolio weights but also to their point estimates together with uncertainties and their asymptotic distributions. Furthermore, we present the posterior predictive distribution for the investor's wealth at each time point of the investment period in terms of a stochastic representation for the future wealth realization. This in turn makes it possible to use quantile-based risk measures or to calculate the probability of default. We apply the suggested Bayesian approach to assess the uncertainty in the multi-period optimal portfolio by considering assets from the FTSE 100 in the weeks after the British referendum to leave the European Union. The behaviour of the novel portfolio estimation method in a precarious market situation is illustrated by calculating the predictive wealth, the risk associated with the holding portfolio, and the default probability in each period.Comment: 38 pages, 5 figure

Critical practice of grant application and administration: an intervention

Introduction: Researchers experience increasing pressures to connect with bodies that finance their projects. In this climate, critical scholars face many obstacles as they seek to navigate the treacherous waters of securing external funds. To debate these challenges, the ACME Editorial Collective organized a panel for the 2009 Annual Meeting of the Association of American Geographers in Las Vegas. This intervention represents a follow-up discussion and collective writing process among some of the panelists and members of the audience who attended the panel. Below, we examine the neoliberalization of the current funding systems, discuss the implications for research practice, and make suggestions for critical engagement and transformation. Our suggestions, however, will not be easy to implement, as we can infer from the experience of the radical scholars of the post-1968 generation whose ascension into the upper echelons of North American and European university systems was also associated with the neoliberalization of the funding systems. This intervention represents a modest contribution in the tradition of critical research practice of creating the possibilities for progressive change

The Influence of Sex and Season on Conspecific Spatial Overlap in a Large, Actively-Foraging Colubrid Snake

Understanding the factors influencing the degree of spatial overlap among conspecifics is important for understanding multiple ecological processes. Compared to terrestrial carnivores, relatively little is known about the factors influencing conspecific spatial overlap in snakes, although across snake taxa there appears to be substantial variation in conspecific spatial overlap. In this study, we described conspecific spatial overlap of eastern indigo snakes (Drymarchon couperi) in peninsular Florida and examined how conspecific spatial overlap varied by sex and season (breeding season vs. non-breeding season). We calculated multiple indices of spatial overlap using 6- and 3-month utilization distributions (UD) of dyads of simultaneously adjacent telemetered snakes. We also measured conspecific UD density values at each telemetry fix and modeled the distribution of those values as a function of overlap type, sex, and season using generalized Pareto distributions. Home range overlap between males and females was significantly greater than overlap between individuals of the same sex and male home ranges often completely contained female home ranges. Male home ranges overlapped little during both seasons, whereas females had higher levels of overlap during the non-breeding season. The spatial patterns observed in our study are consistent with those seen in many mammalian carnivores, in which low male-male overlap and high inter-sexual overlap provides males with greater access to females. We encourage additional research on the influence of prey availability on conspecific spatial overlap in snakes as well as the behavioral mechanisms responsible for maintaining the low levels of overlap we observed

Hypothalamic pregnenolone mediates recognition memory in the context of metabolic disorders

Obesity and type-2 diabetes are associated with cognitive dysfunction. Since the hypothalamus is implicated in energy balance control and memory disorders, we hypothesized that specific neurons in this brain region are at the interface of metabolism and cognition. Acute obesogenic diet administration in mice impaired recognition memory due to defective production of the neurosteroid-precursor pregnenolone in the hypothalamus. Genetic interference with pregnenolone synthesis by Star deletion in hypothalamic POMC, but not AgRP neurons, deteriorated recognition memory independently of metabolic disturbances. Our data suggested that pregnenolone's effects on cognitive function were mediated via an autocrine mechanism on POMC neurons, influencing hippocampal long-term potentiation. The relevance of central pregnenolone on cognition was also confirmed in metabolically-unhealthy obese patients. Our data reveals an unsuspected role for POMC neuron-derived neurosteroids in cognition. These results provide the basis for a framework to investigate new facets of POMC neuron biology with implications for cognitive disorders

THE AFFORDABLE CARE ACT AND AMBULANCE RESPONSE TIMES

This study contributes to the literature on supply-side adjustments to insurance expansions by examining the effect of the Affordable Care Act (ACA) on ambulance response times. Exploiting temporal and geographic variation in the implementation of the ACA as well as pre-treatment differences in uninsured rates, we estimate that the expansions of private and Medicaid coverage under the ACA combined to slow ambulance response times by an average of 19%. We conclude that, through extending coverage to individuals who, in its absence, would not have availed themselves of emergency medical services, the ACA added strain to emergency response systems

The importance of nerve microenvironment for schwannoma development

Schwannomas are predominantly benign nerve sheath neoplasms caused by Nf2 gene inactivation. Presently, treatment options are mainly limited to surgical tumor resection due to the lack of effective pharmacological drugs. Although the mechanistic understanding of Nf2 gene function has advanced, it has so far been primarily restricted to Schwann cell-intrinsic events. Extracellular cues determining Schwann cell behavior with regard to schwannoma development remain unknown. Here we show pro-tumourigenic microenvironmental effects on Schwann cells where an altered axonal microenvironment in cooperation with injury signals contribute to a persistent regenerative Schwann cell response promoting schwannoma development. Specifically in genetically engineered mice following crush injuries on sciatic nerves, we found macroscopic nerve swellings in mice with homozygous nf2 gene deletion in Schwann cells and in animals with heterozygous nf2 knockout in both Schwann cells and axons. However, patient-mimicking schwannomas could only be provoked in animals with combined heterozygous nf2 knockout in Schwann cells and axons. We identified a severe re-myelination defect and sustained macrophage presence in the tumor tissue as major abnormalities. Strikingly, treatment of tumor-developing mice after nerve crush injury with medium-dose aspirin significantly decreased schwannoma progression in this disease model. Our results suggest a multifactorial concept for schwannoma formation-emphasizing axonal factors and mechanical nerve irritation as predilection site for schwannoma development. Furthermore, we provide evidence supporting the potential efficacy of anti-inflammatory drugs in the treatment of schwannomas

Long-term cellular immunity of vaccines for Zaire Ebola Virus Diseases

Recent Ebola outbreaks underscore the importance of continuous prevention and disease control efforts. Authorized vaccines include Merck’s Ervebo (rVSV-ZEBOV) and Johnson & Johnson’s two-dose combination (Ad26.ZEBOV/MVA-BN-Filo). Here, in a five-year follow-up of the PREVAC randomized trial (NCT02876328), we report the results of the immunology ancillary study of the trial. The primary endpoint is to evaluate long-term memory T-cell responses induced by three vaccine regimens: Ad26–MVA, rVSV, and rVSV–booster. Polyfunctional EBOV-specific CD4+ T-cell responses increase after Ad26 priming and are further boosted by MVA, whereas minimal responses are observed in the rVSV groups, declining after one year. In-vitro expansion for eight days show sustained EBOV-specific T-cell responses for up to 60 months post-prime vaccination with both Ad26-MVA and rVSV, with no decline. Cytokine production analysis identify shared biomarkers between the Ad26-MVA and rVSV groups. In secondary endpoint, we observed an elevation of pro-inflammatory cytokines at Day 7 in the rVSV group. Finally, we establish a correlation between EBOV-specific T-cell responses and anti-EBOV IgG responses. Our findings can guide booster vaccination recommendations and help identify populations likely to benefit from revaccination

Bayesian Inference for High-Dimensional Data with Applications to Portfolio Theory

Die Gewichte eines Portfolios liegen meist als als Kombination des Produkts der Präzisionsmatrix und des Erwartungswertvektors vor. In der Praxis müssen diese Parameter geschätzt werden, allerdings ist die Beschreibung der damit verbundenen Schätzunsicherheit über eine Verteilung dieses Produktes eine Herausforderung. In dieser Arbeit wird demonstriert, dass ein geeignetes bayesianisches Modell nicht nur zu einer leicht zugänglichen Posteriori-Verteilung führt, sondern auch zu leicht interpretierbaren Beschreibungen des Portfoliorisikos, wie beispielsweise einer Ausfallwahrscheinlichkeit des gesamten Portfolios zu jedem Zeitpunkt. Dazu werden die Parameter mit ihren konjugierten Prioris ausgestatet. Mit Hilfe bekannter Ergebnisse aus der Theorie multivariater Verteilungen ist es möglich, eine stochastische Darstellung für relevante Ausdrücke wie den Portfoliogewichten oder des effizienten Randes zu geben. Diese Darstellungen ermöglichen nicht nur die Bestimmung von Bayes-Schätzern der Parameter, sondern sind auch noch rechentechnisch hoch effizient, da Zufallszahlen nur aus bekannten und leicht zugänglichen Verteilungen gezogen werden. Insbesondere aber werden Markov-Chain-Monte-Carlo Methoden nicht benötigt. Angewendet wird diese Methodik an einem mehrperiodigen Portfoliomodell für eine exponentielle Nutzenfunktion, am Tangentialportfolio, zur Schätzung des effizienten Randes, des globalen Minimum-Varianz-Portfolios wie auch am gesamten Mittelwert-Varianz Ansatzes. Für alle behandelten Portfoliomodelle werden für wichtige Größen stochastische Darstellungen oder Bayes-Schätzer gefunden. Die Praktikabilität und Flexibilität wie auch bestimmte Eigenschaften werden in Anwendungen mit realen Datensätzen oder Simulationen illustriert.Usually, the weights of portfolio assets are expressed as a comination of the product of the precision matrix and the mean vector. These parameters have to be estimated in practical applications. But it is a challenge to describe the associated estimation risk of this product. It is demonstrated in this thesis, that a suitable Bayesian approach does not only lead to an easily accessible posteriori distribution, but also leads to easily interpretable risk measures. This also includes for example the default probability of the portfolio at all relevant points in time. To approach this task, the parameters are endowed with their conjugate priors. Using results from the theory of multivariate distributions, stochastic representations for the portfolio parameter are derived, for example for the portfolio weights or the efficient frontier. These representations not only allow to derive Bayes estimates of these parameters, but are computationally highly efficient since all th necessary random variables are drawn from well known and easily accessible distributions. Most importantly, Markov-Chain-Monte-Carlo methods are not necessary. These methods are applied to a multi-period portfolio for an exponential utility function, to the tangent portfolio, to estimate the efficient frontier and also to a general mean-variance approach. Stochastic representations and Bayes estimates are derived for all relevant parameters. The practicability and flexibility as well as specific properties are demonstrated using either real data or simulations

Optically Pure Calixarenyl Phosphine via Stereospecific Alkylation on Evans’ Oxazolidinone Moiety

A convenient protocol for the synthesis of 25,26,27-tribenzoyl-28-[((S)-1-diphenylphos- phanyl-propan-2-yl)oxy]-calix[4]arene via stereospecific methylation on Evans’ oxazolidinone moiety was reported. According to the 13C NMR analysis of this phosphine, the calix[4]arene skeleton adopted a 1,3-alternate conformation. The latter conformation of the macrocycle and the (S)-chirality of the carbon atom bearing the methyl substituent were confirmed by a single-crystal X-ray diffraction study. After coordination of the phosphinated ligand to the dimeric [RuCl2(p-cymene)]2 organometallic precursor, the resulting arene–ruthenium complex was tested in the asymmetric reduction of acetophenone and alcohol was obtained with modest enantiomeric excess