Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it can be expressed as a difference of two functions. The first term is the composition of a convex function with concave arguments and the second term a composition of a convex function with convex arguments. This structure allows us to derive a global lower bound, or minorant, on the CPT utility, which we can use in a minorization-maximization (MM) algorithm for maximizing CPT utility. We further show that the problem is amenable to a simple convex-concave (CC) procedure which iteratively maximizes a local approximation. Both of these methods can handle small and medium size problems, and complex (but convex) portfolio constraints. We also describe a simpler method that scales to larger problems, but handles only simple portfolio constraints

Quality Control Charts in Large-Scale Assessment Programs

There are relatively few examples of quantitative approaches to quality control in educational assessment and accountability contexts. Among the several techniques that are used in other fields, Shewart charts have been found in a few instances to be applicable in educational settings. This paper describes Shewart charts and gives examples of how they have been used to monitor quality in testing programs. Additional areas of application in large-scale educational assessment programs are proposed Accessed 10,392 times on https://pareonline.net from October 19, 2011 to December 31, 2019. For downloads from January 1, 2020 forward, please click on the PlumX Metrics link to the right

Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY

We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies over a given convex uncertainty set. In some simple cases, such problems can be expressed in an analytical form. In general the problem can be made tractable via dualization, which turns a min-max problem into a min-min problem. Dualization requires expertise and is tedious and error-prone. We demonstrate how CVXPY can be used to automate this dualization procedure in a user-friendly manner. Our framework allows practitioners to specify and solve robust ERM problems with a general class of convex losses, capturing many standard regression and classification problems. Users can easily specify any complex uncertainty set that is representable via disciplined convex programming (DCP) constraints

Improving undergraduate STEM education: The efficacy of discipline-based professional development

We sought to determine whether instructional practices used by undergraduate faculty in the geosciences have shifted from traditional teacher-centered lecture toward student-engaged teaching practices and to evaluate whether the national professional development program On the Cutting Edge (hereinafter Cutting Edge) has been a contributing factor in this change. We surveyed geoscience faculty across the United States in 2004, 2009, and 2012 and asked about teaching practices as well as levels of engagement in education research, scientific research, and professional development related to teaching. We tested these self-reported survey results with direct observations of teaching using the Reformed Teaching Observation Protocol, and we conducted interviews to understand what aspects of Cutting Edge have supported change. Survey data show that teaching strategies involving active learning have become more common, that these practices are concentrated in faculty who invest in learning about teaching, and that faculty investment in learning about teaching has increased. Regression analysis shows that, after controlling for other key influences, faculty who have participated in Cutting Edge programs and who regularly use resources on the Cutting Edge website are statistically more likely to use active learning teaching strategies. Cutting Edge participants also report that learning about teaching, the availability of teaching resources, and interactions with peers have supported changes in their teaching practice. Our data suggest that even one-time participation in a workshop with peers can lead to improved teaching by supporting a combination of affective and cognitive learning outcomes

Strategic Asset Allocation with Illiquid Alternatives

We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over our positions, as we do in liquid asset classes. Instead we can only make commitments; the position builds up over time as capital calls come in, and reduces over time as distributions occur, neither of which the investor has direct control over. The effect on positions of our commitments is subject to a delay, typically of a few years, and is also unknown or stochastic. A further challenge is the requirement that we can meet the capital calls, with very high probability, with our liquid assets. We formulate the illiquid dynamics as a random linear system, and propose a convex optimization based model predictive control (MPC) policy for allocating liquid assets and making new illiquid commitments in each period. Despite the challenges of time delay and uncertainty, we show that this policy attains performance surprisingly close to a fictional setting where we pretend the illiquid asset classes are completely liquid, and we can arbitrarily and immediately adjust our positions. In this paper we focus on the growth problem, with no external liabilities or income, but the method is readily extended to handle this case

Antipsychotics for treatment of delirium in hospitalised non-ICU patients

Background: Guidelines suggest limited and cautious use of antipsychotics for treatment of delirium where nonpharmacological interventions have failed and symptoms remain distressing or dangerous, or both. It is unclear how well these recommendations are supported by current evidence. Objectives: Our primary objective was to assess the efficacy of antipsychotics versus nonantipsychotics or placebo on the duration of delirium in hospitalised adults. Our secondary objectives were to compare the efficacy of: 1) antipsychotics versus nonantipsychotics or placebo on delirium severity and resolution, mortality, hospital length of stay, discharge disposition, health-related quality of life, and adverse effects; and 2) atypical vs. typical antipsychotics for reducing delirium duration, severity, and resolution, hospital mortality and length of stay, discharge disposition, health-related quality of life, and adverse effects. Search methods: We searched MEDLINE, Embase, Cochrane EBM Reviews, CINAHL, Thomson Reuters Web of Science and the Latin American and Caribbean Health Sciences Literature (LILACS) from their respective inception dates until July 2017. We also searched the Database of Abstracts of Reviews of Effects (DARE), Health Technology Assessment Database, Web of Science ISI Proceedings, and other grey literature. Selection criteria: We included randomised and quasi-randomised trials comparing 1) antipsychotics to nonantipsychotics or placebo and 2) typical to atypical antipsychotics for the treatment of delirium in adult hospitalised (but not critically ill) patients. Data collection and analysis: We examined titles and abstracts of identified studies to determine eligibility. We extracted data independently in duplicate. Disagreements were settled by further discussion and consensus. We used risk ratios (RR) with 95% confidence intervals (CI) as a measure of treatment effect for dichotomous outcomes, and between-group standardised mean differences (SMD) with 95% CI for continuous outcomes. Main results: We included nine trials that recruited 727 participants. Four of the nine trials included a comparison of an antipsychotic to a nonantipsychotic drug or placebo and seven included a comparison of a typical to an atypical antipsychotic. The study populations included hospitalised medical, surgical, and palliative patients. No trial reported on duration of delirium. Antipsychotic treatment did not reduce delirium severity compared to nonantipsychotic drugs (standard mean difference (SMD) -1.08, 95% CI -2.55 to 0.39; four studies; 494 participants; very low-quality evidence); nor was there a difference between typical and atypical antipsychotics (SMD -0.17, 95% CI -0.37 to 0.02; seven studies; 542 participants; low-quality evidence). There was no evidence antipsychotics resolved delirium symptoms compared to nonantipsychotic drug regimens (RR 0.95, 95% CI 0.30 to 2.98; three studies; 247 participants; very low-quality evidence); nor was there a difference between typical and atypical antipsychotics (RR 1.10, 95% CI 0.79 to 1.52; five studies; 349 participants; low-quality evidence). The pooled results indicated that antipsychotics did not alter mortality compared to nonantipsychotic regimens (RR 1.29, 95% CI 0.73 to 2.27; three studies; 319 participants; low-quality evidence) nor was there a difference between typical and atypical antipsychotics (RR 1.71, 95% CI 0.82 to 3.35; four studies; 342 participants; low-quality evidence). No trial reported on hospital length of stay, hospital discharge disposition, or health-related quality of life. Adverse event reporting was limited and measured with inconsistent methods; in those reporting events, the number of events were low. No trial reported on physical restraint use, long-term cognitive outcomes, cerebrovascular events, or QTc prolongation (i.e. increased time in the heart's electrical cycle). Only one trial reported on arrhythmias and seizures, with no difference between typical or atypical antipsychotics. We found antipsychotics did not have a higher risk of extrapyramidal symptoms (EPS) compared to nonantipsychotic drugs (RR 1.70, 95% CI 0.04 to 65.57; three studies; 247 participants; very-low quality evidence); pooled results showed no increased risk of EPS with typical antipsychotics compared to atypical antipsychotics (RR 12.16, 95% CI 0.55 to 269.52; two studies; 198 participants; very low-quality evidence). Authors' conclusions: There were no reported data to determine whether antipsychotics altered the duration of delirium, length of hospital stay, discharge disposition, or health-related quality of life as studies did not report on these outcomes. From the poor quality data available, we found antipsychotics did not reduce delirium severity, resolve symptoms, or alter mortality. Adverse effects were poorly or rarely reported in the trials. Extrapyramidal symptoms were not more frequent with antipsychotics compared to nonantipsychotic drug regimens, and no different for typical compared to atypical antipsychotics

Outcomes and Cost-Effectiveness of Two Nicotine Replacement Treatment Delivery Models for a Tobacco Quitline

Many tobacco cessation quitlines provide nicotine replacement therapy (NRT) in the U.S. but consensus is lacking regarding the best shipping protocol or NRT amounts. We evaluated the impact of the Minnesota QUITPLAN® Helpline’s shift from distributing NRT using a single eight-week shipment to a two-shipment protocol. For this observational study, the eight week single-shipment cohort (n = 247) received eight weeks of NRT (patches or gum) at once, while the split-shipment cohort (n = 160) received five weeks of NRT (n = 94), followed by an additional three weeks of NRT if callers continued with counseling (n = 66). Patient satisfaction, retention, quit rates, and cost associated with the three groups were compared. A higher proportion of those receiving eight weeks of NRT, whether in one or two shipments, reported that the helpline was “very helpful” (77.2% of the single-shipment group; 81.1% of the two-shipment group) than those receiving five weeks of NRT (57.8% of the one-shipment group) (p = 0.004). Callers in the eight week two-shipment group completed significantly more calls (3.0) than callers in the five week one-shipment group (2.4) or eight week single-shipment group (1.7) (p < 0.001). Using both responder and intent-to-treat calculations, there were no significant differences in 30-day point prevalence abstinence at seven months among the three protocol groups even when controlling for demographic and tobacco use characteristics, and treatment group protocol. The mean cost per caller was greater for the single-shipment phase than the split-shipment phase ($350 vs.$326) due to the savings associated with not sending a second shipment to some participants. Assuming no difference in abstinence rates resulting from the protocol change, cost-per-quit was lowest for the five week one-shipment group ($1,155), and lower for the combined split-shipment cohort ($1,242) than for the single-shipment cohort ($1,350). Results of this evaluation indicate that while satisfaction rates increase among those receiving more counseling and NRT, quit rates do not, even when controlling for demographic and tobacco use characteristics