336 research outputs found
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
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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
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Effects of Threat Context, Trauma History, and Posttraumatic Stress Disorder Status on Physiological Startle Reactivity in Gulf War Veterans.
In the current study, we explored exaggerated physiological startle responses in posttraumatic stress disorder (PTSD) and examined startle reactivity as a biomarker of PTSD in a large veteran sample. We assessed heart rate (HR), skin conductance (SC), and electromyographic (EMG) startle responses to acoustic stimuli under low-, ambiguous-, and high-threat conditions in Gulf War veterans with current (n = 48), past (n = 42), and no history of PTSD (control group; n = 152). We evaluated PTSD status using the Clinician-Administered PTSD Scale and trauma exposure using the Trauma History Questionnaire. Participants with current PTSD had higher HR, ds = 0.28-0.53; SC, d = 0.37; and startle responses than those with past or no history of PTSD. The HR startle response under ambiguous threat best differentiated current PTSD; however, sensitivity and specificity analyses revealed it to be an imprecise indicator of PTSD status, ROC AUC = .66. Participants with high levels of trauma exposure only showed elevated HR and SC startle reactivity if they had current PTSD. Results indicate that startle is particularly elevated in PTSD when safety signals are available but a possibility of danger remains and when trauma exposure is high. However, startle reactivity alone is unlikely to be a sufficient biomarker of PTSD
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
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