A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.Comment: 38 pages, 9 figures, 3 tables, changes: VAR(1)-CCC-GARCH(1,1) process dynamics and the analysis of increasing horizon are included in the simulation study, under revision in Annals of Operations Researc

Narcissism in patients admitted to psychiatric acute wards: its relation to violence, suicidality and other psychopathology

<p>Abstract</p> <p>Background</p> <p>The objective was to examine various aspects of narcissism in patients admitted to acute psychiatric wards and to compare their level of narcissism to that of an age- and gender-matched sample from the general population (NORM).</p> <p>Methods</p> <p>This cross-sectional study interviewed 186 eligible acute psychiatric patients with the Brief Psychiatric Rating Scale (BPRS) and the Global Assessment of Functioning (GAF). The patients filled in the Narcissistic Personality Inventory-21 item version (NPI-21), The Hospital Anxiety and Depression Scale (HADS) and the Rosenberg Self-Esteem Scale. High and low narcissism was defined by the median of the total NPI-21 score. An age- and gender-matched control sample from the general population also scored the NPI-21 (NORM).</p> <p>Results</p> <p>Being male, involuntary admitted, having diagnosis of schizophrenia, higher self-esteem, and severe violence were significantly associated with high narcissism, and so were also low levels of suicidality, depression, anxiety and GAF scores. Severe violence and high self-esteem were significantly associated with high narcissism in multivariable analyses. The NPI-21 and its subscales showed test-retest correlations ≥0.83, while the BPRS and the HADS showed lower correlations, confirming the trait character of the NPI-21. Depression and suicidality were negatively associated with the NPI-21 total score and all its subscales, while positive association was observed with grandiosity. No significant differences were observed between patients and NORM on the NPI-21 total score or any of the NPI subscales.</p> <p>Conclusion</p> <p>Narcissism in the psychiatric patients was significantly associated with violence, suicidality and other symptoms relevant for management and treatment planning. Due to its trait character, use of the NPI-21 in acute psychiatric patients can give important clinical information. The similar level of narcissism found in patients and NORM is in need of further examination.</p

The Influence of Markov Decision Process Structure on the Possible Strategic Use of Working Memory and Episodic Memory

Researchers use a variety of behavioral tasks to analyze the effect of biological manipulations on memory function. This research will benefit from a systematic mathematical method for analyzing memory demands in behavioral tasks. In the framework of reinforcement learning theory, these tasks can be mathematically described as partially-observable Markov decision processes. While a wealth of evidence collected over the past 15 years relates the basal ganglia to the reinforcement learning framework, only recently has much attention been paid to including psychological concepts such as working memory or episodic memory in these models. This paper presents an analysis that provides a quantitative description of memory states sufficient for correct choices at specific decision points. Using information from the mathematical structure of the task descriptions, we derive measures that indicate whether working memory (for one or more cues) or episodic memory can provide strategically useful information to an agent. In particular, the analysis determines which observed states must be maintained in or retrieved from memory to perform these specific tasks. We demonstrate the analysis on three simplified tasks as well as eight more complex memory tasks drawn from the animal and human literature (two alternation tasks, two sequence disambiguation tasks, two non-matching tasks, the 2-back task, and the 1-2-AX task). The results of these analyses agree with results from quantitative simulations of the task reported in previous publications and provide simple indications of the memory demands of the tasks which can require far less computation than a full simulation of the task. This may provide a basis for a quantitative behavioral stoichiometry of memory tasks

Age-Related Intraneuronal Elevation of αII-Spectrin Breakdown Product SBDP120 in Rodent Forebrain Accelerates in 3×Tg-AD Mice

Spectrins line the intracellular surface of plasmalemma and play a critical role in supporting cytoskeletal stability and flexibility. Spectrins can be proteolytically degraded by calpains and caspases, yielding breakdown products (SBDPs) of various molecular sizes, with SBDP120 being largely derived from caspase-3 cleavage. SBDPs are putative biomarkers for traumatic brain injury. The levels of SBDPs also elevate in the brain during aging and perhaps in Alzheimer’s disease (AD), although the cellular basis for this change is currently unclear. Here we examined age-related SBDP120 alteration in forebrain neurons in rats and in the triple transgenic model of AD (3×Tg-AD) relative to non-transgenic controls. SBDP120 immunoreactivity (IR) was found in cortical neuronal somata in aged rats, and was prominent in the proximal dendrites of the olfactory bulb mitral cells. Western blot and densitometric analyses in wild-type mice revealed an age-related elevation of intraneuronal SBDP120 in the forebrain which was more robust in their 3×Tg-AD counterparts. The intraneuronal SBDP120 occurrence was not spatiotemporally correlated with transgenic amyloid precursor protein (APP) expression, β-amyloid plaque development, or phosphorylated tau expression over various forebrain regions or lamina. No microscopically detectable in situ activated caspase-3 was found in the nuclei of SBDP120-containing neurons. The present study demonstrates the age-dependent intraneuronal presence of an αII-spectrin cleavage fragment in mammalian forebrain which is exacerbated in a transgenic model of AD. This novel neuronal alteration indicates that impairments in membrane protein metabolism, possibly due to neuronal calcium mishandling and/or enhancement of calcium sensitive proteolysis, occur during aging and in transgenic AD mice

Disruption of Spectrin-Like Cytoskeleton in Differentiating Keratinocytes by PKCδ Activation Is Associated with Phosphorylated Adducin

Spectrin is a central component of the cytoskeletal protein network in a variety of erythroid and non-erythroid cells. In keratinocytes, this protein has been shown to be pericytoplasmic and plasma membrane associated, but its characteristics and function have not been established in these cells. Here we demonstrate that spectrin increases dramatically in amount and is assembled into the cytoskeleton during differentiation in mouse and human keratinocytes. The spectrin-like cytoskeleton was predominantly organized in the granular and cornified layers of the epidermis and disrupted by actin filament inhibitors, but not by anti-mitotic drugs. When the cytoskeleton was disrupted PKCδ was activated by phosphorylation on Thr505. Specific inhibition of PKCδ(Thr505) activation with rottlerin prevented disruption of the spectrin-like cytoskeleton and the associated morphological changes that accompany differentiation. Rottlerin also inhibited specific phosphorylation of the PKCδ substrate adducin, a cytoskeletal protein. Furthermore, knock-down of endogenous adducin affected not only expression of adducin, but also spectrin and PKCδ, and severely disrupted organization of the spectrin-like cytoskeleton and cytoskeletal distribution of both adducin and PKCδ. These results demonstrate that organization of a spectrin-like cytoskeleton is associated with keratinocytes differentiation, and disruption of this cytoskeleton is mediated by either PKCδ(Thr505) phosphorylation associated with phosphorylated adducin or due to reduction of endogenous adducin, which normally connects and stabilizes the spectrin-actin complex