Risk measures and their applications in asset management

Several approaches exist to model decision making under risk, where risk can be broadly defined as the effect of variability of random outcomes. One of the main approaches in the practice of decision making under risk uses mean-risk models; one such well-known is the classical Markowitz model, where variance is used as risk measure. Along this line, we consider a portfolio selection problem, where the asset returns have an elliptical distribution. We mainly focus on portfolio optimization models constructing portfolios with minimal risk, provided that a prescribed expected return level is attained. In particular, we model the risk by using Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). After reviewing the main properties of VaR and CVaR, we present short proofs to some of the well-known results. Finally, we describe a computationally efficient solution algorithm and present numerical results.conditional value-at-risk;elliptical distributions;mean-risk;portfolio optimization;value-at-risk

Structural and magnetic properties of a series of low doped Zn1−x_{1-x}Cox_xO thin films deposited from Zn and Co metal targets on (0001) Al2_2O3_3 substrates

We report on the synthesis of low doping Zn$_{1-x}$Co$_x$O ($0<x<0.1$) thin films on (0001)-Al$_2$O$_3$ substrates. The films were prepared in an oxidizing atmosphere, using the pulsed laser deposition technique starting from Zn and Co metallic targets. We first studied the influence of the strains of ZnO and their stuctural properties. Second, we have investigated the structural and the magnetic properties of the Zn$_{1-x}$Co$_x$O films. We show that at low doping, the lattice parameters and the magnetization of the Zn$_{1-x}$Co$_x$O films depend strongly on the Co concentration.Comment: to be published in Journal Applied Physics (June 2004) as a proceeding of the MMM/Intermag Conferenc

Residual stress measurement round robin on an electron beam welded joint between austenitic stainless steel 316L(N) and ferritic steel P91

This paper is a research output of DMW-Creep project which is part of a national UK programme through the RCUK Energy programme and India's Department of Atomic Energy. The research is focussed on understanding the characteristics of welded joints between austenitic stainless steel and ferritic steel that are widely used in many nuclear power generating plants and petrochemical industries as well as conventional coal and gas-fired power systems. The members of the DMW-Creep project have under- taken parallel round robin activities measuring the residual stresses generated by a dissimilar metal weld (DMW) between AISI 316L(N) austenitic stainless steel and P91 ferritic-martensitic steel. Electron beam (EB) welding was employed to produce a single bead weld on a plate specimen and an additional smoothing pass (known cosmetic pass) was then introduced using a defocused beam. The welding re- sidual stresses have been measured by five experimental methods including (I) neutron diffraction (ND), (II) X-Ray diffraction (XRD), (III) contour method (CM), (IV) incremental deep hole drilling (iDHD) and (V) incremental centre hole drilling (iCHD). The round robin measurements of weld residual stresses are compared in order to characterise surface and sub-surface residual stresses comprehensively

Local search for the surgery admission planning problem

We present a model for the surgery admission planning problem, and a meta-heuristic algorithm for solving it. The problem involves assigning operating rooms and dates to a set of elective surgeries, as well as scheduling the surgeries of each day and room. Simultaneously, a schedule is created for each surgeon to avoid double bookings. The presented algorithm uses simple Relocate and Two-Exchange neighbourhoods, governed by an iterated local search framework. The problem's search space associated with these move operators is analysed for three typical fitness surfaces, representing different compromises between patient waiting time, surgeon overtime, and waiting time for children in the morning on the day of surgery. The analysis shows that for the same problem instances, the different objectives give fitness surfaces with quite different characteristics. We present computational results for a set of benchmarks that are based on the admission planning problem in a chosen Norwegian hospital

Ambulatory blood pressure monitoring and renal functions in children with a solitary kidney

The aim of this study is to investigate the blood pressure (BP) profile, microalbuminuria, renal functions, and relations with remaining normal kidney size in children with unilateral functioning solitary kidney (UFSK). Sixty-six children with UFSK were equally divided into three groups: unilateral renal agenesis (URA), unilateral atrophic kidney (UAK), and unilateral nephrectomy (UNP). Twenty-two age-, weight-, and height-matched healthy children were considered as a control group. The serum creatinine level and first-morning urine microalbumin and creatinine concentrations were determined by the standard methods. Also, the BP profile was determined by ambulatory blood pressure monitoring (ABPM). We found that the serum creatinine level was higher and creatinine clearance was lower in each patient groups compared to those of the control group (p < 0.05). Compared with the controls, each group of patients had mean office, 24-h, daytime, and night-time systolic and diastolic BP values similar to those of the controls (p > 0.05). An inverse correlation was found between the renal size standard deviation scores (SDS) of normal kidneys and 24-h systolic and diastolic BP load SDS in all of the patients (p < 0.05; r = −0.372, r = −0.295, respectively). The observed relationship between renal size SDS and 24-h mean arterial pressure (MAP), systolic and diastolic BP load SDS suggests that children with UFSK should be evaluated by using ABPM for the risk of hypertension

Cardioprotective effects of lixisenatide in rat myocardial ischemia-reperfusion injury studies

BACKGROUND: Lixisenatide is a glucagon-like peptide-1 analog which stimulates insulin secretion and inhibits glucagon secretion and gastric emptying. We investigated cardioprotective effects of lixisenatide in rodent models reflecting the clinical situation. METHODS: The acute cardiac effects of lixisenatide were investigated in isolated rat hearts subjected to brief ischemia and reperfusion. Effects of chronic treatment with lixisenatide on cardiac function were assessed in a modified rat heart failure model after only transient coronary occlusion followed by long-term reperfusion. Freshly isolated cardiomyocytes were used to investigate cell-type specific mechanisms of lixisenatide action. RESULTS: In the acute setting of ischemia-reperfusion, lixisenatide reduced the infarct-size/area at risk by 36% ratio without changes on coronary flow, left-ventricular pressure and heart rate. Treatment with lixisenatide for 10 weeks, starting after cardiac ischemia and reperfusion, improved left ventricular end-diastolic pressure and relaxation time and prevented lung congestion in comparison to placebo. No anti-fibrotic effect was observed. Gene expression analysis revealed a change in remodeling genes comparable to the ACE inhibitor ramipril. In isolated cardiomyocytes lixisenatide reduced apoptosis and increased fractional shortening. Glucagon-like peptide-1 receptor (GLP1R) mRNA expression could not be detected in rat heart samples or isolated cardiomyocytes. Surprisingly, cardiomyocytes isolated from GLP-1 receptor knockout mice still responded to lixisenatide. CONCLUSIONS: In rodent models, lixisenatide reduced in an acute setting infarct-size and improved cardiac function when administered long-term after ischemia-reperfusion injury. GLP-1 receptor independent mechanisms contribute to the described cardioprotective effect of lixisenatide. Based in part on these preclinical findings patients with cardiac dysfunction are currently being recruited for a randomized, double-blind, placebo-controlled, multicenter study with lixisenatide. TRIAL REGISTRATION: (ELIXA, ClinicalTrials.gov Identifier: NCT01147250

Whole Exome Sequencing of Patients with Steroid-Resistant Nephrotic Syndrome

BACKGROUND AND OBJECTIVES: Steroid-resistant nephrotic syndrome overwhelmingly progresses to ESRD. More than 30 monogenic genes have been identified to cause steroid-resistant nephrotic syndrome. We previously detected causative mutations using targeted panel sequencing in 30% of patients with steroid-resistant nephrotic syndrome. Panel sequencing has a number of limitations when compared with whole exome sequencing. We employed whole exome sequencing to detect monogenic causes of steroid-resistant nephrotic syndrome in an international cohort of 300 families. DESIGN, SETTING, PARTIIPANTS AND MEASUREMENTS: Three hundred thirty-five individuals with steroid-resistant nephrotic syndrome from 300 families were recruited from April of 1998 to June of 2016. Age of onset was restricted to <25 years of age. Exome data were evaluated for 33 known monogenic steroid-resistant nephrotic syndrome genes. RESULTS: In 74 of 300 families (25%), we identified a causative mutation in one of 20 genes known to cause steroid-resistant nephrotic syndrome. In 11 families (3.7%), we detected a mutation in a gene that causes a phenocopy of steroid-resistant nephrotic syndrome. This is consistent with our previously published identification of mutations using a panel approach. We detected a causative mutation in a known steroid-resistant nephrotic syndrome gene in 38% of consanguineous families and in 13% of nonconsanguineous families, and 48% of children with congenital nephrotic syndrome. A total of 68 different mutations were detected in 20 of 33 steroid-resistant nephrotic syndrome genes. Fifteen of these mutations were novel. NPHS1, PLCE1, NPHS2, and SMARCAL1 were the most common genes in which we detected a mutation. In another 28% of families, we detected mutations in one or more candidate genes for steroid-resistant nephrotic syndrome. CONCLUSIONS: Whole exome sequencing is a sensitive approach toward diagnosis of monogenic causes of steroid-resistant nephrotic syndrome. A molecular genetic diagnosis of steroid-resistant nephrotic syndrome may have important consequences for the management of treatment and kidney transplantation in steroid-resistant nephrotic syndrome