Optimal leverage from non-ergodicity

In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loosely or too tightly constraining investors' risk preferences, from their respective perspectives. The conflict can be understood on the basis that the multiplicative models used in both approaches are non-ergodic which leads to ensemble-average returns differing from time-average returns in single realizations. The classic treatments, from the very beginning of probability theory, use ensemble-averages, whereas the Kelly-result is obtained by considering time-averages. Maximizing the time-average growth rates for an investment defines an optimal leverage, whereas growth rates derived from ensemble-average returns depend linearly on leverage. The latter measure can thus incentivize investors to maximize leverage, which is detrimental to time-average growth and overall market stability. The Sharpe ratio is insensitive to leverage. Its relation to optimal leverage is discussed. A better understanding of the significance of time-irreversibility and non-ergodicity and the resulting bounds on leverage may help policy makers in reshaping financial risk controls.Comment: 17 pages, 3 figures. Updated figures and extended discussion of ergodicit

Combined effects of time spent in physical activity, sedentary behaviors and sleep on obesity and cardio-metabolic health markers: a novel compositional data analysis approach

<div><p>The associations between time spent in sleep, sedentary behaviors (SB) and physical activity with health are usually studied without taking into account that time is finite during the day, so time spent in each of these behaviors are codependent. Therefore, little is known about the combined effect of time spent in sleep, SB and physical activity, that together constitute a composite whole, on obesity and cardio-metabolic health markers. Cross-sectional analysis of NHANES 2005–6 cycle on N = 1937 adults, was undertaken using a compositional analysis paradigm, which accounts for this intrinsic codependence. Time spent in SB, light intensity (LIPA) and moderate to vigorous activity (MVPA) was determined from accelerometry and combined with self-reported sleep time to obtain the 24 hour time budget composition. The distribution of time spent in sleep, SB, LIPA and MVPA is significantly associated with BMI, waist circumference, triglycerides, plasma glucose, plasma insulin (all p<0.001), and systolic (p<0.001) and diastolic blood pressure (p<0.003), but not HDL or LDL. Within the composition, the strongest positive effect is found for the proportion of time spent in MVPA. Strikingly, the effects of MVPA replacing another behavior and of MVPA being displaced by another behavior are asymmetric. For example, re-allocating 10 minutes of SB to MVPA was associated with a lower waist circumference by 0.001% but if 10 minutes of MVPA is displaced by SB this was associated with a 0.84% higher waist circumference. The proportion of time spent in LIPA and SB were detrimentally associated with obesity and cardiovascular disease markers, but the association with SB was stronger. For diabetes risk markers, replacing SB with LIPA was associated with more favorable outcomes. Time spent in MVPA is an important target for intervention and preventing transfer of time from LIPA to SB might lessen the negative effects of physical inactivity.</p></div

Haptoglobin Phenotype, Preeclampsia Risk and the Efficacy of Vitamin C and E Supplementation to Prevent Preeclampsia in a Racially Diverse Population

Haptoglobin's (Hp) antioxidant and pro-angiogenic properties differ between the 1-1, 2-1, and 2-2 phenotypes. Hp phenotype affects cardiovascular disease risk and treatment response to antioxidant vitamins in some non-pregnant populations. We previously demonstrated that preeclampsia risk was doubled in white Hp 2-1 women, compared to Hp 1-1 women. Our objectives were to determine whether we could reproduce this finding in a larger cohort, and to determine whether Hp phenotype influences lack of efficacy of antioxidant vitamins in preventing preeclampsia and serious complications of pregnancy-associated hypertension (PAH). This is a secondary analysis of a randomized controlled trial in which 10,154 low-risk women received daily vitamin C and E, or placebo, from 9-16 weeks gestation until delivery. Hp phenotype was determined in the study prediction cohort (n = 2,393) and a case-control cohort (703 cases, 1,406 controls). The primary outcome was severe PAH, or mild or severe PAH with elevated liver enzymes, elevated serum creatinine, thrombocytopenia, eclampsia, fetal growth restriction, medically indicated preterm birth or perinatal death. Preeclampsia was a secondary outcome. Odds ratios were estimated by logistic regression. Sampling weights were used to reduce bias from an overrepresentation of women with preeclampsia or the primary outcome. There was no relationship between Hp phenotype and the primary outcome or preeclampsia in Hispanic, white/other or black women. Vitamin supplementation did not reduce the risk of the primary outcome or preeclampsia in women of any phenotype. Supplementation increased preeclampsia risk (odds ratio 3.30; 95% confidence interval 1.61-6.82, p<0.01) in Hispanic Hp 2-2 women. Hp phenotype does not influence preeclampsia risk, or identify a subset of women who may benefit from vitamin C and E supplementation to prevent preeclampsia

Diet and food strategies in a southern al-Andalusian urban environment during Caliphal period, ecija, Sevilla

The Iberian medieval period is unique in European history due to the widespread socio-cultural changes that took place after the arrival of Arabs, Berbers and Islam in 711 AD. Recently, isotopic research has been insightful on dietary shifts, status, resource availability and the impact of environment. However, there is no published isotopic research exploring these factors in southern Iberian populations, and as the history of this area differs to the northern regions, this leaves a significant lacuna in our knowledge. This research fills this gap via isotopic analysis of human (n = 66) and faunal (n = 13) samples from the 9th to the 13th century Écija, a town renowned for high temperatures and salinity. Stable carbon (δ13C) and nitrogen (δ15N) isotopes were assessed from rib collagen, while carbon (δ13C) values were derived from enamel apatite. Human diet is consistent with C3 plant consumption with a very minor contribution of C4 plants, an interesting feature considering the suitability of Écija to C4 cereal production. δ15N values vary among adults, which may suggest variable animal protein consumption or isotopic variation within animal species due to differences in foddering. Consideration of δ13C collagen and apatite values together may indicate sugarcane consumption, while moderate δ15N values do not suggest a strong aridity or salinity effect. Comparison with other Iberian groups shows similarities relating to time and location rather than by religion, although more multi-isotopic studies combined with zooarchaeology and botany may reveal subtle differences unobservable in carbon and nitrogen collagen studies alone.OLC is funded by Plan Galego I2C mod.B (ED481D 2017/014). The research was partially funded by the projects “Galician Paleodiet” and by Consiliencia network (ED 431D2017/08) Xunta de GaliciaS

Effect of prenatal glucocorticoid treatment on size at birth among infants born at term gestation

ObjectiveTo determine whether prenatal treatment with a single course of glucocorticoids (GCs) affects size at birth among full-term infants independent of fetal size before GC administration or exposure to preterm labor (PTL).Study designIn all, 105 full-term infants were recruited into three study groups (30 GC treated; 60 controls matched for gestational age (GA) at birth and sex; and 15 PTL controls without GC exposure). Size of the infants was estimated before treatment using two-dimensional (2D) ultrasound and by direct measurement at birth.ResultsLength, weight and head circumference at birth were smaller among GC-treated infants compared with matched controls (P's&lt;0.01), although fetal size did not differ before treatment (P's&gt;0.2). Exposure to PTL did not account for this effect.ConclusionsPrenatal treatment with a single course of GCs was associated with a reduction in size at birth among infants born at term gestation. This effect cannot be explained by differences in fetal size before treatment or exposure to PTL

Semidiurnal temperature changes caused by tidal front movements in the warm season in seabed habitats on the Georges Bank northern margin and their ecological implications

This article is distributed under the terms of the Creative Commons Public Domain. The definitive version was published in PLoS ONE 8 (2013): e55273, doi:10.1371/journal.pone.0055273.Georges Bank is a large, shallow feature separating the Gulf of Maine from the Atlantic Ocean. Previous studies demonstrated a strong tidal-mixing front during the warm season on the northern bank margin between thermally stratified water in the Gulf of Maine and mixed water on the bank. Tides transport warm water off the bank during flood tide and cool gulf water onto the bank during ebb tide. During 10 days in August 2009, we mapped frontal temperatures in five study areas along ~100 km of the bank margin. The seabed “frontal zone”, where temperature changed with frontal movment, experienced semidiurnal temperature maxima and minima. The tidal excursion of the frontal boundary between stratified and mixed water ranged 6 to 10 km. This “frontal boundary zone” was narrower than the frontal zone. Along transects perpendicular to the bank margin, seabed temperature change at individual sites ranged from 7.0°C in the frontal zone to 0.0°C in mixed bank water. At time series in frontal zone stations, changes during tidal cycles ranged from 1.2 to 6.1°C. The greatest rate of change (−2.48°C hr−1) occurred at mid-ebb. Geographic plots of seabed temperature change allowed the mapping of up to 8 subareas in each study area. The magnitude of temperature change in a subarea depended on its location in the frontal zone. Frontal movement had the greatest effect on seabed temperature in the 40 to 80 m depth interval. Subareas experiencing maximum temperature change in the frontal zone were not in the frontal boundary zone, but rather several km gulfward (off-bank) of the frontal boundary zone. These results provide a new ecological framework for examining the effect of tidally-driven temperature variability on the distribution, food resources, and reproductive success of benthic invertebrate and demersal fish species living in tidal front habitats.This study was supported by salary funds from the regular annual salary budget from Northeast Fisheries Science Center (NEFSC) and United States Geological Survey Woods Hole Coastal and Marine Science Center (USGS WH C&MSC), respectively; ship time funds from the NEFSC annual budget for days-at-sea ship operations; equipment from the NEFSC and USGS WH C&MSC annual equipment budgets

Madagascar corals track sea surface temperature variability in the Agulhas Current core region over the past 334 years

The Agulhas Current (AC) is the strongest western boundary current in the Southern Hemisphere and is key for weather and climate patterns, both regionally and globally. Its heat transfer into both the midlatitude South Indian Ocean and South Atlantic is of global significance. A new composite coral record (Ifaty and Tulear massive Porites corals), is linked to historical AC sea surface temperature (SST) instrumental data, showing robust correlations. The composite coral SST data start in 1660 and comprise 200 years more than the AC instrumental record. Numerical modelling exhibits that this new coral derived SST record is representative for the wider core region of the AC. AC SSTs variabilities show distinct cooling through the Little Ice Age and warming during the late 18th, 19th and 20th century, with significant decadal variability superimposed. Furthermore, the AC SSTs are teleconnected with the broad southern Indian and Atlantic Oceans, showing that the AC system is pivotal for inter-ocean heat exchange south of Africa