The merit of high-frequency data in portfolio allocation

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation eigenvalues and eigenvectors evolve on different frequencies. In an extensive out-of-sample forecasting study, we show that the proposed approach yields less risky and more diversified portfolio allocations as prevailing methods employing daily data. These performance gains hold over longer horizons than previous studies have shown

Statin initiation and acute kidney injury following elective cardiovascular surgery: a population cohort study in Denmark

OBJECTIVES: Acute kidney injury (AKI) is a serious complication of cardiac surgery. Statins may prevent post-surgical AKI, yet methodological concerns about existing studies raise questions about the magnitude of a protective effect. We sought to determine the effect of initiating a statin prior to elective cardiac surgery on post-surgical AKI in a regional Danish surgical cohort. METHODS: We identified adults who underwent cardiac surgery during 2006-11 using the Western Denmark Heart Registry. Presurgical medication use, pre- and post-surgical serum creatinine (sCr) measures, and other patient characteristics were obtained from Danish population-based registries. Post-surgical AKI was assessed using sCr measures within 5 days of surgery. The adjusted risk ratio (RR) of AKI and 95% confidence interval (CI) were estimated for patients who initiated a statin within 100 days prior to surgery compared with patients without prior statin use; long-term statin users were excluded to reduce healthy-user bias. Subanalyses were stratified by surgery type: coronary artery bypass grafting (CABG) and non-CABG surgeries. RESULTS: We identified 1929 CABG and 1775 non-CABG patients. AKI occurred in 25% of CABG and 28% of non-CABG surgeries, and in 29% of the non-users and 21% of the statin initiators. Half of CABG patients and 9% of non-CABG patients initiated a statin prior to surgery. The adjusted RRs for the effect of statin initiation on AKI were as follows: all surgeries combined, RR = 0.86 (95% CI: 0.74, 0.98); CABG, RR = 0.88 (0.74, 1.05); non-CABG RR = 0.87 (0.68, 1.11). CONCLUSIONS: Presurgical statin initiation is associated with a reduction in AKI risk after cardiac surgery

Gastric cancer and Helicobacter pylori: a combined analysis of 12 case control studies nested within prospective cohorts

BACKGROUND: The magnitude of the association between Helicobacter pylori and incidence of gastric cancer is unclear. H pylori infection and the circulating antibody response can be lost with development of cancer; thus retrospective studies are subject to bias resulting from classifi- cation of cases as H pylori negative when they were infected in the past. AIMS: To combine data from all case control studies nested within prospective cohorts to assess more reliably the relative risk of gastric cancer associated with H pylori infection.To investigate variation in relative risk by age, sex, cancer type and subsite, and interval between blood sampling and cancer diagnosis. METHODS: Studies were eligible if blood samples for H pylori serology were collected before diagnosis of gastric cancer in cases. Identified published studies and two unpublished studies were included. Individual subject data were obtained for each. Matched odds ratios (ORs) and 95% confidence intervals (95% CI) were calculated for the association between H pylori and gastric cancer. RESULTS: Twelve studies with 1228 gastric cancer cases were considered. The association with H pylori was restricted to noncardia cancers (OR 3.0; 95% CI 2.3–3.8) and was stronger when blood samples for H pylori serology were collected 10+ years before cancer diagnosis (5.9; 3.4–10.3). H pylori infection was not associated with an altered overall risk of cardia cancer (1.0; 0.7–1.4). CONCLUSIONS: These results suggest that 5.9 is the best estimate of the relative risk of non-cardia cancer associated with H pylori infection and that H pylori does not increase the risk of cardia cancer. They also support the idea that when H pylori status is assessed close to cancer diagnosis, the magnitude of the non-cardia association may be underestimated

Inflationary perturbations in anisotropic backgrounds and their imprint on the CMB

We extend the standard theory of cosmological perturbations to homogeneous but anisotropic universes. We present an exhaustive computation for the case of a Bianchi I model, with a residual isotropy between two spatial dimensions, which is undergoing complete isotropization at the onset of inflation; we also show how the computation can be further extended to more general backgrounds. In presence of a single inflaton field, there are three physical perturbations (precisely as in the isotropic case), which are obtained (i) by removing gauge and nondynamical degrees of freedom, and (ii) by finding the combinations of the remaining modes in terms of which the quadratic action of the perturbations is canonical. The three perturbations, which later in the isotropic regime become a scalar mode and two tensor polarizations (gravitational wave), are coupled to each other already at the linearized level during the anisotropic phase. This generates nonvanishing correlations between different modes of the CMB anisotropies, which can be particularly relevant at large scales (and, potentially, be related to the large scale anomalies in the WMAP data). As an example, we compute the spectrum of the perturbations in this Bianchi I geometry, assuming that the inflaton is in a slow roll regime also in the anisotropic phase. For this simple set-up, fixing the initial conditions for the perturbations appears more difficult than in the standard case, and additional assumptions seem to be needed to provide predictions for the CMB anisotropies.Comment: 31 pages, 3 figure

Exact/heuristic hybrids using rVNS and hyperheuristics for workforce scheduling

In this paper we study a complex real-world workforce scheduling problem. We propose a method of splitting the problem into smaller parts and solving each part using exhaustive search. These smaller parts comprise a combination of choosing a method to select a task to be scheduled and a method to allocate resources, including time, to the selected task. We use reduced Variable Neighbourhood Search (rVNS) and hyperheuristic approaches to decide which sub problems to tackle. The resulting methods are compared to local search and Genetic Algorithm approaches. Parallelisation is used to perform nearly one CPU-year of experiments. The results show that the new methods can produce results fitter than the Genetic Algorithm in less time and that they are far superior to any of their component techniques. The method used to split up the problem is generalisable and could be applied to a wide range of optimisation problems

Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System

In this paper, we address the question whether the impact of default risk on equity returns depends on the financial system firms operate in. Using an implementation of Merton's option-pricing model for the value of equity to estimate firms' default risk, we construct a factor that measures the excess return of firms with low default risk over firms with high default risk. We then compare results from asset pricing tests for the German and the U.S. stock markets. Since Germany is the prime example of a bank-based financial system, where debt is supposedly a major instrument of corporate governance, we expect that a systematic default risk effect on equity returns should be more pronounced for German rather than U.S. firms. Our evidence suggests that a higher firm default risk systematically leads to lower returns in both capital markets. This contradicts some previous results for the U.S. by Vassalou/Xing (2004), but we show that their default risk factor looses its explanatory power if one includes a default risk factor measured as a factor mimicking portfolio. It further turns out that the composition of corporate debt affects equity returns in Germany. Firms' default risk sensitivities are attenuated the more a firm depends on bank debt financing

Investor heterogeneity and the cross-section of U.K. investment trust performance

We use the upper and lower bounds derived by Ferson and Lin (2010) to examine the impact of investor heterogeneity on the performance of U.K. investment trusts relative to alternative linear factor models. We find using the upper bounds that investor heterogeneity has an important impact for nearly all investment trusts. The upper bounds are large in economic terms and significantly different from zero. We find no evidence of any trusts where all investors agree on the sign of performance beyond what we expect by chance. Using the lower bound, we find that trusts with a larger disagreement about trust performance have a weaker relation between the trust premium and past Net Asset Value (NAV) performance

A 2.3-Day Periodic Variability in the Apparently Single Wolf-Rayet Star WR 134: Collapsed Companion or Rotational Modulation?

We present the results of an intensive campaign of spectroscopic and photometric monitoring of the peculiar Wolf-Rayet star WR 134 from 1989 to 1997. This unprecedentedly large data set allows us to confirm unambiguously the existence of a coherent 2.25 +/- 0.05 day periodicity in the line-profile changes of He II 4686, although the global pattern of variability is different from one epoch to another. This period is only marginally detected in the photometric data set. Assuming the 2.25 day periodic variability to be induced by orbital motion of a collapsed companion, we develop a simple model aiming at investigating (i) the effect of this strongly ionizing, accreting companion on the Wolf-Rayet wind structure, and (ii) the expected emergent X-ray luminosity. We argue that the predicted and observed X-ray fluxes can only be matched if the accretion on the collapsed star is significantly inhibited. Additionally, we performed simulations of line-profile variations caused by the orbital revolution of a localized, strongly ionized wind cavity surrounding the X-ray source. A reasonable fit is achieved between the observed and modeled phase-dependent line profiles of He II 4686. However, the derived size of the photoionized zone substantially exceeds our expectations, given the observed low-level X-ray flux. Alternatively, we explore rotational modulation of a persistent, largely anisotropic outflow as the origin of the observed cyclical variability. Although qualitative, this hypothesis leads to greater consistency with the observations.Comment: 34 pages, 16 figures. Accepted by the Astrophysical Journa