The effects of decision flexibility in the hierarchical investment decision process

Large institutional investors allocate their funds over a number of classes (e.g. equity, fixed income and real estate), various geographical regions and different industries. In practice, these allocation decisions are usually made in a hierarchical (top-down), consecutive way. At the higher decision level, the allocation is made on basis of benchmark portfolios (indexes). Such indexes are then set as targets for the lower levels. For example, at the top level the allocation decision is made on the basis of asset class benchmark indexes, on the second level the decisions are made on the basis of sector benchmark indexes, etc. Obviously, the lower levels have considerable flexibility to deviate from these targets. That is the reason why targets often come with limits on the maximally allowed deviation (or "tracking error") from these targets. The potential consequences of deviations from the benchmark portfolios have received very little attention in the literature. In this paper, we discuss and illustrate this influence. The lower level tracking errors with respect to the benchmark indexes propagate to the top level. As a result the risk-return characteristics of the actual aggregate portfolio will be different from those of the initial benchmark-based portfolio. We illustrate this effect for a two level process to allocate funds over individual US stocks and sectors. We show that the benchmark allocation approaches used in practice yield inferior solutions when compared to a non-hierarchical approach where full information about individual lower level investment opportunities is available. Our results reveal that even small deviations from the benchmark portfolios can cause large shifts in the top-level risk-return space. This implies that the incorporation of lower level information in the initial top-level decision process will lead to a different (possibly better) allocation.decision flexibility;multi-level decision process;porfolio management;tracking error analysis

Schur multipliers of Cartan pairs

We define the Schur multipliers of a separable von Neumann algebra M with Cartan masa A, generalising the classical Schur multipliers of $B(\ell^2)$. We characterise these as the normal A-bimodule maps on M. If M contains a direct summand isomorphic to the hyperfinite II_1 factor, then we show that the Schur multipliers arising from the extended Haagerup tensor product $A \otimes_{eh} A$ are strictly contained in the algebra of all Schur multipliers

The effects of decision flexibility in the hierarchical investment decision process

Large institutional investors allocate their funds over a number of classes (e.g. equity, fixed income and real estate), various geographical regions and different industries. In practice, these allocation decisions are usually made in a hierarchical (top-down), consecutive way. At the higher decision level, the allocation is made on basis of benchmark portfolios (indexes). Such indexes are then set as targets for the lower levels. For example, at the top level the allocation decision is made on the basis of asset class benchmark indexes, on the second level the decisions are made on the basis of sector benchmark indexes, etc. Obviously, the lower levels have considerable flexibility to deviate from these targets. That is the reason why targets often come with limits on the maximally allowed deviation (or "tracking error") from these targets. The potential consequences of deviations from the benchmark portfolios have received very little attention in the literature. In this paper, we discuss and illustrate this influence. The lower level tracking errors with respect to the benchmark indexes propagate to the top level. As a result the risk-return characteristics of the actual aggregate portfolio will be different from those of the initial benchmark-based portfolio. We illustrate this effect for a two level process to allocate funds over individual US stocks and sectors. We show that the benchmark allocation approaches used in practice yield inferior solutions when compared to a non-hierarchical approach where full information about individual lower level investment opportunities is available. Our results reveal that even small deviations from the benchmark portfolios can cause large shifts in the top-level risk-return space. This implies that the incorporation of lower level information in the initial top-level decision process will lead to a different (possibly better) allocation

A Framework for Managing a Portfolio of Socially Responsible Investments

In this paper we present and illustrate using real-life data a framework for managing an investment portfolio in which the investment opportunities are described in terms of a set of attributes and part of this set is intended to capture the effects on society. Here we link with the emerging literature on SRI: Socially Responsible Investment. Given the multifarious descriptions of the individual investment opportunities we show how these can be combined into portfolios with the same attributes at the portfolio level. Also we show how a manager can systematically be supported in the choice between different portfolio profiles. As part of the framework we use multi-criteria decision tools

Acute Effects of Delta-9-Tetrahydrocannabinol on Performance Monitoring in Healthy Volunteers

Rationale: The error-related negativity (ERN) is a negative event-related potential that occurs immediately after an erroneous response and is thought to reflect human performance monitoring. Delta-9-Tetrahydrocannabinol (THC) administration in healthy volunteers has been linked to impaired performance monitoring in behavioral studies, but to date no studies have examined the effects of cannabinoids on the ERN. Methods: EEG data from 10 healthy volunteers was recorded during execution of a speeded choice-reaction-time task (Flankers task) after administration of THC or placebo vapor in a double-blind randomized crossover design. Results: The findings of this study show that the ERN was significantly reduced after administration of THC. The behavioral outcomes on the Flankers task showed no indications of drug-induced impairments. Discussion: The diminished ERN reflects impairments in the process of performance monitoring. The task design was not optimized to find behavioral effects. The study shows that cannabinoids impair performance monitoring

Применение метода матричной прогонки для моделирования процесса пневматической обработки угольного пласта

Розглянуто чисельне рішення системи рівнянь математичної фізики, покладених в основу математичної моделі пневматичної дії на вугільний пласт, за допомогою методу матричної прогонки.The numerical solution of system of mathematical physics equations, formed the base of mathematical model of process of pneumatic action on coal stratum, using the method of matrix drive is considered

Nephrotoxicity of continuous amphotericin B in critically ill patients with abdominal sepsis:a retrospective analysis with propensity score matching

BACKGROUND: Continuous infusion of conventional amphotericin B (CCAB) is used in ICUs for pre-emptive treatment of invasive fungal infections. Amphotericin B has previously been associated with nephrotoxicity. OBJECTIVES: To investigate if CCAB with therapeutic drug monitoring (TDM) results in renal impairment over time in critically ill patients with abdominal sepsis. PATIENTS AND METHODS: The study was conducted at mixed medical-surgical ICUs of two large teaching hospitals in the Netherlands. Consecutive patients who were treated on the ICUs between 2006 and 2019 for abdominal sepsis, with or without CCAB, were included. CCAB dosing was guided by TDM. Serum creatinine concentrations and renal failure scores of patients with CCAB treatment were compared with those without CCAB treatment. Excluded were: (i) patients treated with CCAB for less than 72 h; and (ii) patients with renal replacement therapy. RESULTS: A total of 319 patients were included (185 treated with CCAB and 134 controls). A multiple linear regression model showed that the serum creatinine concentration was independent of CCAB treatment (β = -0.023; 95% CI = -12.2 to 7.2; P = 0.615). Propensity score matching resulted in 134 pairs of CCAB-treated and non-treated patients. Again, the analysis of these pairs showed that the cumulative CCAB dose was not associated with serum creatinine concentration during intensive care treatment (β = 0.299; 95% CI = -0.38 to 0.98; P = 0.388). CONCLUSIONS: CCAB with TDM did not result in renal impairment over time in critically ill patients with abdominal sepsis