CONDITIONAL VALUE AT RISK CONDITIONAL VALUE AT RISK AS A CRITERION FOR OPTIMAL PORTFOLIO SELECTION MASTER OF SCIENCE (2005) (Mathematics) TITLE: Conditional Value at Risk as a Criterion for Optimal Portfolio Selection

ABSTRACT The focus of my master's project research involves Conditional Value at Risk (or Expected Shortfall) as a risk measure for optimal portfolio selection. The project is organized as follows. In the first chapter, we introduce and discuss the quantile based risk measures, Value at Risk (VaR) and Conditional Value at Risk (CVaR), with respect to axiomatic characterization of coherent risk measures. As an alternative to VaR, CVaR has been attracting attention since it is a coherent measure. The properties and advantages of CVaR are analyzed. The second chapter deals with mean-risk models of portfolio optimization. The common idea in all asset allocation models is the minimization of some measure of risk while simultaneously maximizing portfolio expected return. Portfolio optimization in a mean-CVaR framework has been actively discussed recently. CVaR is a numerically tractable measure, allowing optimal portfolios to be computed by means of convex programming. Most importantly for applications, however, a mean-CVaR model can be used with scenario simulation of loss distributions. We investigate the convergence of the Monte-Carlo based CVaR optimal portfolio algorithm when an analytical solution of the optimization problem can be obtained. The last chapter considers the benchmark (or relative) portfolio selection problem in terms of a multiobjective problem. Tracking error optimization in a mean-multirisk framework allows implementation of an interactive decision making and taking into account of the investor's preferences. iii ACKNOWLEDGEMENTS

Formation of political parties in Ukraine

SIGLEUuStB Koeln(38)-940106099 / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman

Aircraft Noise around Toronto International and other Southern Ontario Airports, 1976-1979

Abstract copyright UK Data Service and data collection copyright owner.Six hundred and seventy-three interviews were collected at 56 sites around Toronto International Airport. The sites were stratified according to the noise level (NEF), location relative to the flight path, and the presence or absence of road traffic noise at the site. The interview was designed to answer questions regarding the degree of annoyance due to any of the transportation sources heard, the activities interrupted, perceived health effects, and actions taken because of the noise. Additional information was gathered regarding fear of crashes, non-noise effects of aircraft, socio-economic characteristics of the household, and physical characteristics of the building. Road traffic noise levels were measured by a 24-hour monitoring at each site. Aircraft noise levels were calculated using the United States Federal Aviation Administration Integrated Noise Model, utilizing data obtained from Transport Canada regarding movements at the airport. In addition to the Toronto data 292 interviews were conducted at 20 sites around three general aviation airports (Waterloo-Wellington, Buttonville, Oshawa). The same information was collected through the interviews but the sample was selected on the basis of location relative to the runways and training circuits

Community Response to Road Traffic Noise in the Toronto-Hamilton Corridor, 1975 and 1976

Abstract copyright UK Data Service and data collection copyright owner.The file encompasses data collected over two summers. The first year, 949 interviews were conducted at 37 sites, exposed to a variety of noise sources (highway, arterial, railway and some industrial sites). In the second year of the survey, sites were restricted to those close to road traffic sources only. In that year, the sample was stratified according to noise level, type of dwelling, and tenure of the inhabitants. For both years, the interview was designed to collect information on the level of annoyance due to transportation sources, and the activity interference and perceived health effects due to noise. Information on actions taken and complaints made was also collected. Physical noise measurement was accomplished by a 24 hour noise monitoring. In 1976, 837 interviews were completed at 28 sites

Expression profiling of human milk derived exosomal microRNAs and their targets in HIV‐1 infected mothers

Despite the use of antiretroviral therapy (ART) in HIV‐1 infected mothers approximately 5% of new HIV‐1 infections still occur in breastfed infants annually, which warrants for the development of novel strategies to prevent new HIV‐1 infections in infants. Human milk (HM) exosomes are highly enriched in microRNAs (miRNAs), which play an important role in neonatal immunity. Furthermore, HM exosomes from healthy donors are known to inhibit HIV‐1 infection and transmission; however, the effect of HIV‐1 on HM exosomal miRNA signatures remains unknown. In this study, we used nCounter NanoString technology and investigated miRNAs expression profiles in first week postpartum HM exosomes from HIV‐1 infected and uninfected control mothers (n = 36). Our results indicated that HIV‐1 perturbed the differential expression patterns of 19 miRNAs (13 upregulated and 6 downregulated) in HIV‐1 infected women compared to healthy controls. DIANA‐miR functional pathway analyses revealed that multiple biological pathways are involved including cell cycle, pathways in cancer, TGF‐β signaling, FoxO signaling, fatty acid biosynthesis, p53 signaling and apoptosis. Moreover, the receiver operating characteristics (ROC) curve analyses of miR‐630 and miR‐ 378g yielded areas under the ROC curves of 0.82 (95% CI 0.67 to 0.82) and 0.83 (95% CI 0.67 to 0.83), respectively highlighting their potential to serve as biomarkers to identify HIV‐1 infection in women. These data may contribute to the development of new therapeutic strategies in prevention of mother‐ to‐child transmission (MTCT) of HIV‐1