Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the first time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating the portfolio weights as well as that from estimating the multivariate dynamic model of asset returns make the existing methods in a univariate framework inapplicable. And it proposes a general theory to quantify estimation risk applicable to the present problem and suggests practitioners a simple but effective way to carry out valid inference to overcome the effect of estimation risk in backtesting portfolio VaR. A simulation exercise illustrates our theoretical findings. In application, a portfolio of three stocks is considered.

Examination of Dietary Patterns and FODMAPs Intake in Patients with Irritable Bowel Syndrome

Innovations in Healthcare (The Ohio State University Denman Undergraduate Research Forum)Background: Utilizing a food frequency questionnaire (FFQs) to determine current dietary practices of those with and without IBS allows the Registered Dietitian Nutritionist (RDN) to understand usual dietary intake as it related to FODMAP ingestion. Objective: To identify the average lactose, fructose, and polyol intake in people with and without IBS to gauge if there are differences in usual dietary intake. Methods: VioScreen™, a web-based FFQ, was offered to all patients attend a gastrointestinal outpatient clinic at the Ohio State University Wexner Medical Center to assess dietary patterns and lactose, fructose, and polyols intake. Those that completed the FFQ were stratified into those with and without IBS. Results: Participants (N=140) were included in this study. Mean age was 43.0 ± 15.5 years with an average BMI of 28.2 ± 7.4 kg/m2. No difference in the average fructose (36 g ± 38 vs 25 g ± 34; P = 0.156), lactose (14 g ± 10 vs 12 g ± 14; P = 0.655) and polyols (1 g ± 0.5 vs 1 g ± 0.6; P = 0.260) was detected between those with and without IBS. Conclusion: Patients with IBS do not consume significantly less fructose, lactose, and polyols compared to patients without IBS. Data suggests high-FODMAPs foods can trigger IBS symptoms. RDNs should evaluate the dietary patterns before the education of low-FODMAPs to ensure the education is targeting patient-specific high FODMAPs foods.Funding for this project supported by CTSA grant number (UL1TR002733)No embargoAcademic Major: Medical Dietetic

Evaluation of the performance of granular fertilizer boom sprayer through computational fluid-particles-dynamid CFD simulation and scaled-down model analysis

Malaysian Agricultural Research and Development Institute (MARDI) had bought two Japanese made granular fertilizer boom sprayers to test it on Malaysia’s Paddy field. In order to confirm the local feasibility of this fertilizer applicator, they had called UTHM researchers for proper experimental and numerical evaluations. A year of experimental assessments, the conclusion was supported with full range of numerical results and has a good agreement with MARDI’s findings. In this evaluation, ANSYS CFD was used for the fluid-particles-structure simulation while the statistical and image processing were made via MATLAB software. The simulation results were verified with the results from an in-house scaled-down model which was fabricated with the ratio of 2:15. The simulation was carried out by manipulating the angles of the boom sprayer collecting plates, ranging from 32o to 120o. The length of the collecting plate, the distance of the blow head, the sizes of the fertilizer and the air velocity of the blower were also varied in order to establish the correlations between the parameters. The ambient pressure was kept at 1 atm. Even though we managed to find 60o as the optimum collecting plate angle for most fertilizer sizes, there are two major factors that made it impossible to obtain good fertilizer distribution namely; the use of mixture of three different fertilizer (Nitrogen, Phosphorus and Potassium) sizes at once and the varying velocity profiles throughout the boom sprayer