Measuring portfolio performance using a modified measure of risk

This paper reports the results of an investigation into the properties of a theoretical modification of beta proposed by Leland (1999) and based on earlier work of Rubinstein (1976). It is shown that when returns are elliptically symmetric, beta is the appropriate measure of risk and that there are other situations in which the modified beta will be similar to the traditional measure based on the capital asset pricing model. For the case where returns have a normal distribution, it is shown that the criterion either does not exist or reduces exactly to the conventional beta. It is therefore conjectured that the modified measure will only be useful for portfolios that have nonstandard return distributions which incorporate skewness. For such situations, it is shown how to estimate the measure using regression and how to compare the resulting statistic with a traditional estimated beta using Hotelling's test. An empirical study based on stocks from the FTSE350 does not find evidence to support the use of the new measure even in the presence of skewness.Journal of Asset Management (2007) 7, 388-403. doi:10.1057/palgrave.jam.225005

Absorbing and transferring risk: assessing the impact of a statewide high-risk-pregnancy telemedical program on VLBW maternal transports

BACKGROUND: Prior research has shown that resources have an impact on birth outcomes. In this paper we ask how combinations of telemedical and hospital-level resources impact transports of mothers expecting very low birth weight (VLBW) babies in Arkansas. METHODS: Using de-identified birth certificate data from the Arkansas Department of Health, data were gathered on transports of women carrying VLBW babies for two six-month periods: a period just before the start of ANGELS (12/02-05/03), a telemedical outreach program for high-risk pregnancies, and a period after the program had been running for six months (12/03-05/04). For each maternal transport, the following information was recorded: maternal race-ethnicity, maternal age, and the birth weight of the infant. Logistic regression was used to assess the relationship between the predictors (telemedicine, hospital level, maternal characteristics) and the probability of a transport. RESULTS: Having a telemedical site available increases the probability of a mother carrying a VLBW baby being transported to a level III facility either before or during birth. Having at least a level II nursery also increases the chance of a maternal transport. Where both level II nurseries and telemedical access are available, the odds of VLBW maternal transports are only modestly increased in comparison to the case where neither is present. At the individual level, Hispanic mothers were less likely to be transported than other mothers, and teenaged mothers were more likely to be transported than those 18 and over. A mother's being Black or being over 35 did not have an impact on the odds of being transported to a level III facility. CONCLUSION: Combinations of resources have an impact on physician decisions regarding VLBW transports and are interpretable in terms of the capacity to diagnose and absorb risk. We suggest a collegial review of transport patterns and birth outcomes from areas with different levels of resources as a vehicle for moving the entire system of care forward over time. With such an evidence-based review in place, the collegial relations among level III specialists and obstetricians from around the state can, over time, develop workable protocols for when and how level III facilities should be involved

Consumption experience, choice experience and the endowment effect

We report experiments investigating how experience influences the endowment effect. Our experiments feature endowments which are bundles of unfamiliar consumption goods. We examine how a subject’s willingness to swap items from their endowment is influenced by prior experiences of tasting the goods in question and by prior experiences of choosing between them. We do not find a statistically significant endowment effect in our baseline treatment and, because of this, we are unable to test for an effect of consumption experience. We do find an endowment effect when the endowment is acquired in two instalments and, in this setting, we find some evidence that choice experience increases trading. In a follow up experiment, we find evidence that the absence of an endowment effect in our baseline treatment is due to subjects being more willing to swap when they do not have to give up the last unit of their endowment

Quantification of Epithelial Cell Differentiation in Mammary Glands and Carcinomas from DMBA- and MNU-Exposed Rats

Rat mammary carcinogenesis models have been used extensively to study breast cancer initiation, progression, prevention, and intervention. Nevertheless, quantitative molecular data on epithelial cell differentiation in mammary glands of untreated and carcinogen-exposed rats is limited. Here, we describe the characterization of rat mammary epithelial cells (RMECs) by multicolor flow cytometry using antibodies against cell surface proteins CD24, CD29, CD31, CD45, CD49f, CD61, Peanut Lectin, and Thy-1, intracellular proteins CK14, CK19, and FAK, along with phalloidin and Hoechst staining. We identified the luminal and basal/myoepithelial populations and actively dividing RMECs. In inbred rats susceptible to mammary carcinoma development, we quantified the changes in differentiation of the RMEC populations at 1, 2, and 4 weeks after exposure to mammary carcinogens DMBA and MNU. DMBA exposure did not alter the percentage of basal or luminal cells, but upregulated CD49f (Integrin α6) expression and increased cell cycle activity. MNU exposure resulted in a temporary disruption of the luminal/basal ratio and no CD49f upregulation. When comparing DMBA- or MNU-induced mammary carcinomas, the RMEC differentiation profiles are indistinguishable. The carcinomas compared with mammary glands from untreated rats, showed upregulation of CD29 (Integrin β1) and CD49f expression, increased FAK (focal adhesion kinase) activation especially in the CD29hi population, and decreased CD61 (Integrin β3) expression. This study provides quantitative insight into the protein expression phenotypes underlying RMEC differentiation. The results highlight distinct RMEC differentiation etiologies of DMBA and MNU exposure, while the resulting carcinomas have similar RMEC differentiation profiles. The methodology and data will enhance rat mammary carcinogenesis models in the study of the role of epithelial cell differentiation in breast cancer

Watching People Making Decisions: A Gogglebox on Online Consumer Interaction

This paper presents a research study, using eye tracking technology, to measure participant cognitive load when encountering micro-decision. It elaborates and improves on a pilot study that was used to test the experiment design. Prior research that led to a taxonomy of decision constructs faced in online transactional processes is discussed. The main findings relate to participants’ subjective cognitive load and task error rates

Resource allocation within the National AIDS Control Program of Pakistan: a qualitative assessment of decision maker's opinions

BACKGROUND: Limited resources, whether public or private, demand prioritisation among competing needs to maximise productivity. With a substantial increase in the number of reported HIV cases, little work has been done to understand how resources have been distributed and what factors may have influenced allocation within the newly introduced Enhanced National AIDS Control Program of Pakistan. The objective of this study was to identify perceptions of decision makers about the process of resource allocation within Pakistan's Enhanced National AIDS Control Program. METHODS: A qualitative study was undertaken and in-depth interviews of decision makers at provincial and federal levels responsible to allocate resources within the program were conducted. RESULTS: HIV was not considered a priority issue by all study participants and external funding for the program was thought to have been accepted because of poor foreign currency reserves and donor agency influence rather than local need. Political influences from the federal government and donor agencies were thought to manipulate distribution of funds within the program. These influences were thought to occur despite the existence of a well-laid out procedure to determine allocation of public resources. Lack of collaboration among departments involved in decision making, a pervasive lack of technical expertise, paucity of information and an atmosphere of ad hoc decision making were thought to reduce resistance to external pressures. CONCLUSION: Development of a unified program vision through a consultative process and advocacy is necessary to understand goals to be achieved, to enhance program ownership and develop consensus about how money and effort should be directed. Enhancing public sector expertise in planning and budgeting is essential not just for the program, but also to reduce reliance on external agencies for technical support. Strengthening available databases for effective decision making is required to make financial allocations based on real, rather than perceived needs. With a large part of HIV program funding dedicated to public-private partnerships, it becomes imperative to develop public sector capacity to administer contracts, coordinate and monitor activities of the non-governmental sector

Substrate Profiling of Tobacco Etch Virus Protease Using a Novel Fluorescence-Assisted Whole-Cell Assay

Site-specific proteolysis of proteins plays an important role in many cellular functions and is often key to the virulence of infectious organisms. Efficient methods for characterization of proteases and their substrates will therefore help us understand these fundamental processes and thereby hopefully point towards new therapeutic strategies. Here, a novel whole-cell in vivo method was used to investigate the substrate preference of the sequence specific tobacco etch virus protease (TEVp). The assay, which utilizes protease-mediated intracellular rescue of genetically encoded short-lived fluorescent substrate reporters to enhance the fluorescence of the entire cell, allowed subtle differences in the processing efficiency of closely related substrate peptides to be detected. Quantitative screening of large combinatorial substrate libraries, through flow cytometry analysis and cell sorting, enabled identification of optimal substrates for TEVp. The peptide, ENLYFQG, identical to the protease's natural substrate peptide, emerged as a strong consensus cleavage sequence, and position P3 (tyrosine, Y) and P1 (glutamine, Q) within the substrate peptide were confirmed as being the most important specificity determinants. In position P1′, glycine (G), serine (S), cysteine (C), alanine (A) and arginine (R) were among the most prevalent residues observed, all known to generate functional TEVp substrates and largely in line with other published studies stating that there is a strong preference for short aliphatic residues in this position. Interestingly, given the complex hydrogen-bonding network that the P6 glutamate (E) is engaged in within the substrate-enzyme complex, an unexpectedly relaxed residue preference was revealed for this position, which has not been reported earlier. Thus, in the light of our results, we believe that our assay, besides enabling protease substrate profiling, also may serve as a highly competitive platform for directed evolution of proteases and their substrates

Malaria prevention in north-eastern Tanzania: patterns of expenditure and determinants of demand at the household level

OBJECTIVE: This study aims to provide a better understanding of the amounts spent on different malaria prevention products and the determinants of these expenditures. METHODS: 1,601 households were interviewed about their expenditure on malaria mosquito nets in the past five years, net re-treatments in the past six months and other expenditures prevention in the past two weeks. Simple random sampling was used to select villages and streets while convenience sampling was used to select households. Expenditure was compared across bed nets, aerosols, coils, indoor spraying, using smoke, drinking herbs and cleaning outside environment. FINDINGS: 68% of households owned at least one bed net and 27% had treated their nets in the past six months. 29% were unable to afford a net. Every fortnight, households spent an average of US $0.18 on nets and their treatment, constituting about 47$0.21). Factors positively related to expenditure were household wealth, years of education of household head, household head being married and rainy season. Poor quality roads and living in a rural area had a negative impact on expenditure. CONCLUSION: Expenditure on bed nets and on alternative malaria prevention products was comparable. Poor households living in rural areas spend significantly less on all forms of malaria prevention compared to their richer counterparts. Breaking the cycle between malaria and poverty is one of the biggest challenges facing malaria control programmes in Africa