Black-Litterman Asset Allocation under Hidden Truncation Distribution

In this paper, we study the Black-Litterman (BL) asset allocation model (Black and Litterman, 1990) under the hidden truncation skew-normal distribution (Arnold and Beaver, 2000). In particular, when returns are assumed to follow this skew normal distribution, we show that the posterior returns, after incorporating views, are also skew normal. By using Simaan three moments risk model (Simaan, 1993), we could then obtain the optimal portfolio. Empirical data show that the optimal portfolio obtained this way has less risk compared to an optimal portfolio of the classical BL model and that they become more negatively skewed as the expected returns of portfolios increase, which suggests that the investors trade a negative skewness for a higher expected return. We also observe a negative relation between portfolio volatility and portfolio skewness. This observation suggests that investors may be making a trade-off, opting for lower volatility in exchange for higher skewness, or vice versa. This trade-off indicates that stocks with significant price declines tend to exhibit increased volatility.Comment: 45 page

Quantum Photovoltaic Cells Driven by Photon Pulses

We investigate the quantum thermodynamics of two quantum systems, a two-level system and a four-level quantum photocell, each driven by photon pulses as a quantum heat engine. We set these systems to be in thermal contact only with a cold reservoir while the heat (energy) source, conventionally given from a hot thermal reservoir, is supplied by a sequence of photon pulses. The dynamics of each system is governed by a coherent interaction due to photon pulses in terms of the Jaynes-Cummings Hamiltonian together with the system-bath interaction described by the Lindblad master equation. We calculate the thermodynamic quantities for the two-level system and the quantum photocell including the change in system energy, power delivered by photon pulses, power output to an external load, heat dissipated to a cold bath, and entropy production. We thereby demonstrate how a quantum photocell in the cold bath can operate as a continuum quantum heat engine with the sequence of photon pulses continuously applied. We specifically introduce the power efficiency of the quantum photocell in terms of the ratio of output power delivered to an external load with current and voltage to the input power delivered by the photon pulse. Our study indicates a possibility that a quantum system driven by external fields can act as an efficient quantum heat engine under non-equilibrium thermodynamics.Comment: 10 pages, 8 figures, submitte

SNP Diagnosis in Elite Athletes by Korean Athletic Performance

PURPOSE The purpose of this study is to analyze SNPs related to performance (maximal strength vs. cardiovascular endurance) of world-class Korean elite athletes using the Genome-Wide Human SNP Array 6.0 and to determine genotypes related to maximal strength and cardiovascular endurance performance that are unique to “ Koreans”. METHODS Using the Genome-Wide Human SNP Array 6.0, we analyzed SNPs obtained from 54 world-class Korean elite athletes (Olympic participants/World Championship medalists). The group was divided into the 16 maximal strength group (12 males and 4 females weightlifters who had won medals at the Olympic and World Championships), 12 cardiovascular endurance group (12 males marathon runners who had run within 2 hours and 12 minutes in international competitions), and 26 individuals from the general population (25 males and 1 female). All the obtained SNPs were subjected to quality control (QC), and a total of 867,982 SNPs were analyzed between the marathon runners and general population subjects (641,040 SNPs) and between weightlifters and general population subjects (634,418 SNPs). RESULTS The number of SNPs with more than two SNPs within 100 kb, which satisfied the threshold of sample QC and significance level of p<.0001, was 60 in marathoners and 18 in weightlifters compared to the general population subjects. When the genomic features of SNPs of each performance trait were analyzed, the 60 SNPs for cardiovascular endurance with two or more SNPs within 100 kb that met the p<.0001 threshold for significance were distributed across 15 regions, and the 18 SNPs for maximal strength were distributed across 7 regions. CONCLUSIONS In conclusion, SNPs related to cardiovascular endurance and maximal strength suggest the possibility of producing gene chips to derive genotypes unique to “ Koreans” in the future. Additionally, this study provides important basic data for further research

Discovery of Q203, a potent clinical candidate for the treatment of tuberculosis

New therapeutic strategies are needed to combat the tuberculosis pandemic and the spread of multidrug-resistant (MDR) and extensively drug-resistant (XDR) forms of the disease, which remain a serious public health challenge worldwide1, 2. The most urgent clinical need is to discover potent agents capable of reducing the duration of MDR and XDR tuberculosis therapy with a success rate comparable to that of current therapies for drug-susceptible tuberculosis. The last decade has seen the discovery of new agent classes for the management of tuberculosis3, 4, 5, several of which are currently in clinical trials6, 7, 8. However, given the high attrition rate of drug candidates during clinical development and the emergence of drug resistance, the discovery of additional clinical candidates is clearly needed. Here, we report on a promising class of imidazopyridine amide (IPA) compounds that block Mycobacterium tuberculosis growth by targeting the respiratory cytochrome bc1 complex. The optimized IPA compound Q203 inhibited the growth of MDR and XDR M. tuberculosis clinical isolates in culture broth medium in the low nanomolar range and was efficacious in a mouse model of tuberculosis at a dose less than 1 mg per kg body weight, which highlights the potency of this compound. In addition, Q203 displays pharmacokinetic and safety profiles compatible with once-daily dosing. Together, our data indicate that Q203 is a promising new clinical candidate for the treatment of tuberculosis

Skew Normal Bayesian Asset Allocation

This dissertation explores a Bayesian asset allocation problem based on the skew-normal distribution assumption and extends the Bayesian asset allocation model obtained by assuming hidden truncation skew-normal returns. Hidden truncation model provides a flexible family of skewed alternatives to the classical k dimensional normal distribution. In their groundbreaking framework in Bayesian asset allocation, Black and Litterman (BL) were able to construct stable mean-variance efficient portfolios. They had successfully combined subjective investors’ views through a prior distribution with market historical data to derive a posterior distribution of portfolio returns and optimal asset allocations under the assumption of normal returns. Many studies show that normality assumption is not empirically supported and turns out to be inappropriate in many cases because of the asymmetry in asset returns. By adopting the skew normal distribution, the new model not only captures the skewness of the asset returns but also provides a more flexible model in a Bayesian asset allocation problem. This paper, among other results, provides a closed form for the posterior predictive distribution of returns given the investors’ views. I investigate a parametric class of probability distributions, the skew normal distribution. Azzalini (see Azzalini and Dalla Valle (1996)) introduced the univariate skew normal (SN) distribution and studied the properties of its density functions and later extended it to the multivariate skew normal (MSN) distribution. And I explore the last multivariate skew-normal distribution developed by Gupta (See Gupta (2004)). For the empirical study in my dissertation, I construct two different portfolios: Large-cap and mid-cap portfolios. I extend the Black-Litterman (BL) asset allocation model by assuming hidden truncation skew-normal returns. Most of the well-known skew-normal models can be viewed as being products of such a hidden truncation construction. I present a new theoretical construction of the multivariate skew-normal distribution for mean-variance-skewness portfolio optimization. The empirical results suggest that, using the skew-normal returns, the skew-normal BL model provides optimal portfolios with the same expected return but less risk compared to an optimal portfolio of the classical BL model. For example, the skew-normal BL allocation provides a less monthly volatility of 0.36%. The portfolios become more negatively skewed as the expected returns of portfolios increase for given N, which suggest that the investors trade a negative skewness for a higher expected return. I also find that the negative relation between portfolio volatility and portfolio skewness. In other words, the investors trade a lower volatility for a higher skewness or vice versa reflecting that stocks with big drops in price are more volatile

FLUCTUATION THEOREM FOR QUANTUM BIPARTITE SYSTEMS

Ph.DDOCTOR OF PHILOSOPH

The Roles of the Speed and Accuracy of Morphological Processing in the Reading Comprehension of Spanish-Speaking Language Minority Learners

This study examines morphological awareness performance in 27 low-SES Spanish-English bilingual students in Grades 4 through 7. Given that 1) reading fluency is a strong predictor of reading comprehension and 2) bilingual students with poor comprehension are often slow, albeit accurate readers, the primary goal of this study was to investigate the extent to which speed of morphological processing contributes to both reading fluency and reading comprehension in bilinguals. First, comparisons of accuracy and response times indicated that monolinguals significantly outperformed bilinguals on every measure. Further, hierarchical regression analyses showed that morphological processing speed makes significant, unique contributions to both text reading fluency and reading comprehension which are at least equal to those made by morphological processing accuracy.  These results underscore the important role of morphological processing efficiency in reading comprehension and suggest that interventions targeting the speed of morphological processing may improve reading comprehension skills for bilingual students.

Validation of Two-Minute Step Test and Development of VO Prediction Equation in Older Korean Adults

PURPOSE This study aimed to verify the criterion validity of the two-minute step test in older Korean adults, develop an equation for predicting VO2max, and verify cross-validation. METHODS A submaximal exercise test and the two-minute walk test were performed on 150 older adults (74 males and 74 females) aged 65 years or older. Correlation analysis was performed to confirm criterion validity. An equation for estimating VO2max was developed through multiple regression analysis, and cross-validation was confirmed by performing a correlation analysis between measured and predicted values of VO2max. RESULTS The correlation coefficient between VO2max and the two-minute step test was 0.457 (p<.001). The adjusted R2 of the developed VO2max prediction equation was 0.430 (p<.001), and the explanatory variables finally selected were sex, age, number of steps in the two-minute step test, and percentage of body fat. The correlation coefficient between the measured VO2max (19.08±4.36) and the predicted VO2max (19.73±3.36) was 0.654 (p<.001). CONCLUSIONS This study confirmed the criterion validity of the two-minute step test in older Korean adults, and the cross-validation of the developed VO2max prediction formula was verified. The explanatory variables of the prediction equation will be easy to apply in the field, and more meaningful results will be derived if the validity of the prediction equation developed for a larger number of participants is verified

The Roles of the Speed and Accuracy of Morphological Processing in the Reading Comprehension of Spanish-Speaking Language Minority Learners

This study examines morphological awareness performance in 27 low-SES Spanish-English bilingual students in Grades 4 through 7. Given that 1) reading fluency is a strong predictor of reading comprehension and 2) bilingual students with poor comprehension are often slow, albeit accurate readers, the primary goal of this study was to investigate the extent to which speed of morphological processing contributes to both reading fluency and reading comprehension in bilinguals. First, comparisons of accuracy and response times indicated that monolinguals significantly outperformed bilinguals on every measure. Further, hierarchical regression analyses showed that morphological processing speed makes significant, unique contributions to both text reading fluency and reading comprehension which are at least equal to those made by morphological processing accuracy.  These results underscore the important role of morphological processing efficiency in reading comprehension and suggest that interventions targeting the speed of morphological processing may improve reading comprehension skills for bilingual students.

Executive Function and the P300 after Treadmill Exercise and Futsal in College Soccer Players

(1) Background: Although a body of evidence demonstrates that acute exercise improves executive function, few studies have compared more complex, laboratory-based modes of exercise, such as soccer that involve multiple aspects of the environment. (2) Methods: Twelve experienced soccer players (24.8 ± 2 years) completed three counterbalanced 20 min sessions of (1) seated rest; (2) moderate intensity treadmill exercise; and (3) a game of futsal. Once heart rate returned to within 10% of pre-activity levels, participants completed the Stroop Color Word Conflict Task while reaction time (RT) and P300 event-related potentials were measured. (3) Results: Reaction time during Stroop performance was significantly faster following the futsal game and treadmill exercise compared to the seated rest. The P300 amplitude during Stroop performance was significantly greater following futsal relative to both treadmill and seated-rest conditions. (4) Conclusions: These findings suggest that single bouts of indoor soccer among college-aged soccer players, compared to treadmill and seated-rest conditions, may engender the greatest effect on brain networks controlling attention allocation and classification speed during the performance of an inhibitory control task. Future research is needed to determine if cognitively engaging forms of aerobic exercise may differentially impact executive control processes in less experienced and older adult participants