Classical Ergodicity and Modern Portfolio Theory

What role have theoretical methods initially developed in mathematics and physics played in the progress of financial economics? What is the relationship between financial economics and econophysics? What is the relevance of the “classical ergodicity hypothesis” to modern portfolio theory? This paper addresses these questions by reviewing the etymology and history of the classical ergodicity hypothesis in 19th century statistical mechanics. An explanation of classical ergodicity is provided that establishes a connection to the fundamental empirical problem of using nonexperimental data to verify theoretical propositions in modern portfolio theory. The role of the ergodicity assumption in the ex post/ex ante quandary confronting modern portfolio theory is also examined

OxyContin, prescription opioid abuse and economic medicalization

This paper examines the relevance of OxyContin diversion and abuse to the economic medicalization of substance abuse and addiction. Given that medicalization is the general social process of nonmedical problems being transformed into medical problems, economic medicalization occurs where the motivation for the transformation is commercial profitability or, in a corporate context, achieving the objective of shareholder wealth maximization. After considering potential conflicts between medical ethics and business ethics, practical aspects of economic medicalization are detailed by considering the methods used to market OxyContin by Purdue Pharma. Illegal practices are identified and contrasted with legal practices that facilitated economic medicalization. Implications of medicalization research for designing public heath solutions to the epidemic of prescription opioid abuse are discussed

Shareholder wealth maximization, business ethics and social responsibility

The primary objective of this article is to develop a framework for analyzing the ethical foundations and implications of shareholder wealth maximization (SWM). Distinctions between SWM and the more widely examined construct of profit nfaximization are identified, the most significant being the central role played in SWM by the market mechanism for pricing the corporation's securities. It is argued that empirical tests concerned with evaluating the ethical implications of SWM will almost surely involve a joint hypothesis. A number of recent empirical studies aimed at testing hypotheses with explicit ethical content are reviewed

Periacetabular osteotomy with or without arthroscopic management in patients with hip dysplasia: Study protocol for a multicenter randomized controlled trial

BACKGROUND: Hip dysplasia is one of the most common causes of hip arthritis. Its incidence is estimated to be between 3.6 and 12.8% (Canadian Institute for Health Information, Hip and knee replacements in Canada, 2017-2018: Canadian joint replacement registry annual report, 2019; Jacobsen and Sonne-Holm, Rheumatology 44:211-8, 2004). The Periacetabular Osteotomy (PAO) has been used successfully for over 30 years (Gosvig et al., J Bone Joint Surg Am 92:1162-9, 2010), but some patients continue to exhibit symptoms post-surgery (Wyles et al., Clin Orthop Relat Res 475:336-50, 2017). A hip arthroscopy, performed using a small camera, allows surgeons to address torn cartilage inside the hip joint. Although both procedures are considered standard of care treatment options, it is unknown whether the addition of hip arthroscopy improves patient outcomes compared to a PAO alone. To delay or prevent future joint replacement surgeries, joint preservation surgery is recommended for eligible patients. While previous studies found an added cost to perform hip arthroscopies, the cost-effectiveness to Canadian Health care system is not known. METHODS: Patients randomized to the experimental group will undergo central compartment hip arthroscopy prior to completion of the PAO. Patients randomized to the control group will undergo isolated PAO. Patient-reported quality of life will be the primary outcome used for comparison between the two treatment groups as measured by The International Hip Outcome Tool (iHOT-33) (Saberi Hosnijeh et al., Arthritis Rheum 69:86-93, 2017). Secondary outcomes will include the four-square step test and sit-to-stand (validated in patients with pre-arthritic hip pain) and hip-specific symptoms and impairment using the HOOS; global health assessment will be compared using the PROMIS Global 10 Score; health status will be assessed using the EQ-5D-5L and EQ VAS questionnaires (Ganz et al., Clin Orthop Relat Res 466:264-72, 2008) pre- and post-operatively. In addition, operative time, hospital length of stay, adverse events, and health services utilization will be collected. A sub-group of patients (26 in each group) will receive a T1rho MRI before and after surgery to study changes in cartilage quality over time. A cost-utility analysis will be performed to compare costs and quality-adjusted life years (QALYs) associated with the intervention. DISCUSSION: We hypothesize that (1) concomitant hip arthroscopy at the time of PAO to address central compartment pathology will result in clinically important improvements in patient-reported outcome measures (PROMs) versus PAO alone, that (2) additional costs associated with hip arthroscopy will be offset by greater clinical improvements in this group, and that (3) combined hip arthroscopy and PAO will prove to be a cost-effective procedure. TRIAL REGISTRATION: ClinicalTrials.gov NCT03481010 . Registered on 6 March 2020. Protocol version: version 3

Influence of transaction costs on foreign exchange option contracts: intra-daily tests

This paper tests the impact of transactions cost specification on deviations from lower boundary and put-call parity properties. Using PHLX traded foreign exchange options, prices for puts and calls are matched to the nearest five minutes. The results indicate how boundaries on the arbitrage profit function determined by alternative measures of transactions costs can impact the interpretation of deviations from distribution free properties of options such as put-call parity

Put-call parity, transactions costs and PHLX currency options: intra-daily tests

This paper tests the impact of transactions cost specification on deviations from lower boundary and put-call parity properties. Using PHLX traded foreign exchange options, prices for puts and calls are matched to the nearest five minutes. The results indicate how boundaries on the arbitrage profit function determined by alternative measures of transactions costs can impact the interpretation of deviations from distribution free properties of options such as put-call parity

Accounting standards for employee stock option disclosure

Abstract: Recent changes to accounting standards for employee stock-based compensation with contingent features are examined. The implementation of FAS 123R by the Financial Accounting Standards Board in December 2005 now requires the fair value of such expenses to be recorded in net income. This accounting change is now impacting the reported financial statements of firms that have been substantial users of employee stock options. This provides an opportunity to directly observe the actual impact FAS 123R is having on such firms. Arguments for and against mandatory expensing are reviewed and an assessment of the contrasting positions provided. Significant limitations of current reporting requirements for executive stock options identified in Poitras (2004) still have not been addressed

Immunization Bounds, Time Value and Non-Parallel Yield Curve Shifts

Since Redington (1952) it has been recognized that classical immunization theory fails when shifts in the term structure are not parallel. Using partial durations and convexities to specify immunization bounds for non-parallel shifts in yield curves, Reitano (1991a,b) extended classical immunization theory to admit non-parallel yield curve shifts, demonstrating that these bounds can be effectively manipulated by adequate selection of the securities being used to immunize the portfolio. By exploiting properties of the multivariate Taylor series expansion of the fund surplus value function, this paper extends this analysis to include time values, permitting a connection to results on the time value-convexity tradeoff. Measures of partial duration, partial convexity and time value are used to investigate the generality of the duration puzzle identified by Bierwag et al.(1993) and Soto (2001).Nous savons depuis Redington (1952) que la théorie classique d’immunisation ne fonctionne pas lorsque les mouvements dans la structure par termes des taux d’intérêt ne sont pas parallèles. En utilisant des mesures de durée et de convexité partielles pour identifier les bornes d’immunisation pour des mouvements non-parallèles, Reitano (1991a, 1991b) a généralisé la théorie classique d’immunisation à des mouvements non-parallèles, permettant ainsi de manipuler les bornes d’immunisation en sélectionnant les titres appropriés dans le portefeuille. Au moyen des propriétés d’expansions de Taylor multivariées sur la valeur des fonds, cet article analyse le comportement des bornes d’immunisation en prenant en considération la valeur dans le temps de l’argent et en liant cette valeur à la convexité de la structure par termes. Des mesures de durée et de convexité partielles sont alors utilisées pour étudier la généralisation du puzzle de durée tel que présenté par Bierwag et alii (1993) et Soto (2001)