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

Muscle fiber conduction velocity is more affected after eccentric than concentric exercise

It has been shown that mean muscle fiber conduction velocity (CV) can be acutely impaired after eccentric exercise. However, it is not known whether this applies to other exercise modes. Therefore, the purpose of this experiment was to compare the effects of eccentric and concentric exercises on CV, and amplitude and frequency content of surface electromyography (sEMG) signals up to 24 h post-exercise. Multichannel sEMG signals were recorded from biceps brachii muscle of the exercised arm during isometric maximal voluntary contraction (MVC) and electrically evoked contractions induced by motor-point stimulation before, immediately after and 2 h after maximal eccentric (ECC group, N = 12) and concentric (CON group, N = 12) elbow flexor exercises. Isometric MVC decreased in CON by 21.7 ± 12.0% (± SD, p < 0.01) and by 30.0 ± 17.7% (p < 0.001) in ECC immediately post-exercise when compared to baseline. At 2 h post-exercise, ECC showed a reduction in isometric MVC by 24.7 ± 13.7% (p < 0.01) when compared to baseline, while no significant reduction (by 8.0 ± 17.0%, ns) was observed in CON. Similarly, reduction in CV was observed only in ECC both during the isometric MVC (from baseline of 4.16 ± 0.3 to 3.43 ± 0.4 m/s, p < 0.001) and the electrically evoked contractions (from baseline of 4.33 ± 0.4 to 3.82 ± 0.3 m/s, p < 0.001). In conclusion, eccentric exercise can induce a greater and more prolonged reduction in muscle force production capability and CV than concentric exercis

Reciprocity as a foundation of financial economics

This paper argues that the subsistence of the fundamental theorem of contemporary financial mathematics is the ethical concept ‘reciprocity’. The argument is based on identifying an equivalence between the contemporary, and ostensibly ‘value neutral’, Fundamental Theory of Asset Pricing with theories of mathematical probability that emerged in the seventeenth century in the context of the ethical assessment of commercial contracts in a framework of Aristotelian ethics. This observation, the main claim of the paper, is justified on the basis of results from the Ultimatum Game and is analysed within a framework of Pragmatic philosophy. The analysis leads to the explanatory hypothesis that markets are centres of communicative action with reciprocity as a rule of discourse. The purpose of the paper is to reorientate financial economics to emphasise the objectives of cooperation and social cohesion and to this end, we offer specific policy advice

“Excellence R Us”: university research and the fetishisation of excellence

The rhetoric of “excellence” is pervasive across the academy. It is used to refer to research outputs as well as researchers, theory and education, individuals and organisations, from art history to zoology. But does “excellence” actually mean anything? Does this pervasive narrative of “excellence” do any good? Drawing on a range of sources we interrogate “excellence” as a concept and find that it has no intrinsic meaning in academia. Rather it functions as a linguistic interchange mechanism. To investigate whether this linguistic function is useful we examine how the rhetoric of excellence combines with narratives of scarcity and competition to show that the hypercompetition that arises from the performance of “excellence” is completely at odds with the qualities of good research. We trace the roots of issues in reproducibility, fraud, and homophily to this rhetoric. But we also show that this rhetoric is an internal, and not primarily an external, imposition. We conclude by proposing an alternative rhetoric based on soundness and capacity-building. In the final analysis, it turns out that that “excellence” is not excellent. Used in its current unqualified form it is a pernicious and dangerous rhetoric that undermines the very foundations of good research and scholarship

Unemployment and Portfolio Choice: Does Persistence Matter?

We use a life cycle model of consumption and portfolio choice to study the effects of social security on the investment decisions of households for the European case. Our model is mainly based on the one developed by Cocco, Gomes, and Maenhout (2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states. In contrast to most models in the life cycle literature, our model allows for three different states, namely employment, short-term as well as long-term unemployment. This allows us to examine the effects of persistence in the unemployment process on portfolio choice. Our main findings are, first, that in case of short-term unemployment only, social security systems as those established in the EU are able to offset the negative impact of unemployment risk on the portfolio-share invested in risky assets. Second, the simulation results reveal that when allowing for long-term unemployment the equity-share is suppressed, especially for young investors. We show that this negative effect of unemployment is mainly driven by its persistence

Muscles in “Concert”: Study of Primary Motor Cortex Upper Limb Functional Topography

BACKGROUND: Previous studies with Transcranial Magnetic Stimulation (TMS) have focused on the cortical representation of limited group of muscles. No attempts have been carried out so far to get simultaneous recordings from hand, forearm and arm with TMS in order to disentangle a 'functional' map providing information on the rules orchestrating muscle coupling and overlap. The aim of the present study is to disentangle functional associations between 12 upper limb muscles using two measures: cortical overlapping and cortical covariation of each pair of muscles. Interhemispheric differences and the influence of posture were evaluated as well. METHODOLOGY/PRINCIPAL FINDINGS: TMS mapping studies of 12 muscles belonging to hand, forearm and arm were performed. Findings demonstrate significant differences between the 66 pairs of muscles in terms of cortical overlapping: extremely high for hand-forearm muscles and very low for arm vs hand/forearm muscles. When right and left hemispheres were compared, overlapping between all possible pairs of muscles in the left hemisphere (62.5%) was significantly higher than in the right one (53.5% ). The arm/hand posture influenced both measures of cortical association, the effect of Position being significant [p = .021] on overlapping, resulting in 59.5% with prone vs 53.2% with supine hand, but only for pairs of muscles belonging to hand and forearm, while no changes occurred in the overlapping of proximal muscles with those of more distal districts. CONCLUSIONS/SIGNIFICANCE: Larger overlapping in the left hemisphere could be related to its lifetime higher training of all twelve muscles studied with respect to the right hemisphere, resulting in larger intra-cortical connectivity within primary motor cortex. Altogether, findings with prone hand might be ascribed to mechanisms facilitating coupling of muscles for object grasping and lifting -with more proximal involvement for joint stabilization- compared to supine hand facilitating actions like catching. TMS multiple-muscle mapping studies permit a better understanding of motor control and 'plastic' reorganization of motor system

Problems with Using the Normal Distribution – and Ways to Improve Quality and Efficiency of Data Analysis

Background: The Gaussian or normal distribution is the most established model to characterize quantitative variation of original data. Accordingly, data are summarized using the arithmetic mean and the standard deviation, by x 6 SD, or with the standard error of the mean, x 6 SEM. This, together with corresponding bars in graphical displays has become the standard to characterize variation. Methodology/Principal Findings: Here we question the adequacy of this characterization, and of the model. The published literature provides numerous examples for which such descriptions appear inappropriate because, based on the ‘‘95 % range check’’, their distributions are obviously skewed. In these cases, the symmetric characterization is a poor description and may trigger wrong conclusions. To solve the problem, it is enlightening to regard causes of variation. Multiplicative causes are by far more important than additive ones, in general, and benefit from a multiplicative (or log-) normal approach. Fortunately, quite similar to the normal, the log-normal distribution can now be handled easily and characterized at the level of the original data with the help of both, a new sign, x /, times-divide, and notation. Analogous to x 6 SD, it connects the multiplicative (or geometric) mean x * and the multiplicative standard deviation s * in the form x * x /s*, that is advantageous and recommended. Conclusions/Significance: The corresponding shift from the symmetric to the asymmetric view will substantially increas

Transcranial Alternating Current Stimulation Enhances Individual Alpha Activity in Human EEG

Non-invasive electrical stimulation of the human cortex by means of transcranial direct current stimulation (tDCS) has been instrumental in a number of important discoveries in the field of human cortical function and has become a well-established method for evaluating brain function in healthy human participants. Recently, transcranial alternating current stimulation (tACS) has been introduced to directly modulate the ongoing rhythmic brain activity by the application of oscillatory currents on the human scalp. Until now the efficiency of tACS in modulating rhythmic brain activity has been indicated only by inference from perceptual and behavioural consequences of electrical stimulation. No direct electrophysiological evidence of tACS has been reported. We delivered tACS over the occipital cortex of 10 healthy participants to entrain the neuronal oscillatory activity in their individual alpha frequency range and compared results with those from a separate group of participants receiving sham stimulation. The tACS but not the sham stimulation elevated the endogenous alpha power in parieto-central electrodes of the electroencephalogram. Additionally, in a network of spiking neurons, we simulated how tACS can be affected even after the end of stimulation. The results show that spike-timing-dependent plasticity (STDP) selectively modulates synapses depending on the resonance frequencies of the neural circuits that they belong to. Thus, tACS influences STDP which in turn results in aftereffects upon neural activity

Intraoperative electrocortical stimulation of Brodman area 4: a 10-year analysis of 255 cases

BACKGROUND: Brain tumor surgery is limited by the risk of postoperative neurological deficits. Intraoperative neurophysiological examination techniques, which are based on the electrical excitability of the human brain cortex, are thus still indispensable for surgery in eloquent areas such as the primary motor cortex (Brodman Area 4). METHODS: This study analyzed the data obtained from a total of 255 cerebral interventions for lesions with direct contact to (121) or immediately adjacent to (134) Brodman Area 4 in order to optimize stimulation parameters and to search for direct correlation between intraoperative potential changes and specific surgical maneuvers when using monopolar cortex stimulation (MCS) for electrocortical mapping and continuous intraoperative neurophysiological monitoring. RESULTS: Compound muscle action potentials (CMAPs) were recorded from the thenar muscles and forearm flexors in accordance with the large representational area of the hand and forearm in Brodman Area 4. By optimizing the stimulation parameters in two steps (step 1: stimulation frequency and step 2: train sequence) MCS was successful in 91% (232/255) of the cases. Statistical analysis of the parameters latency, potential width and amplitude showed spontaneous latency prolongations and abrupt amplitude reductions as a reliable warning signal for direct involvement of the motor cortex or motor pathways. CONCLUSION: MCS must be considered a stimulation technique that enables reliable qualitative analysis of the recorded potentials, which may thus be regarded as directly predictive. Nevertheless, like other intraoperative neurophysiological examination techniques, MCS has technical, anatomical and neurophysiological limitations. A variety of surgical and non-surgical influences can be reason for false positive or false negative measurements