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

Background: There is growing evidence that supports the efficacy of a diet low in fermentable oligosaccharides, disaccharides, monosaccharides, and polyols (FODMAPs) for symptom management in irritable bowel syndrome (IBS). 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: VioScreenTM, a web-based FFQ, was offered to all patients in the outpatient Gastroenterology, Hepatology, and Nutrition (GHN) 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. Demographic data and health variables including age (yr), weight (kg), and BMI (kg/m2) were collected as part of the electronic FFQ. 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. Those with IBS (n=24) were of similar age as those without IBS (41.9 ± 17.1 years vs 43.3 ± 15.2 years, respectively). 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 or worsen 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 or potential trigger foods.Funding for this project supported by CTSA grant number (UL1TR002733)No embargoAcademic Major: Medical Dietetic

The excitation operator approach to non-Markovian dynamics of quantum impurity models in the Kondo regime

We present a numerical method for studying the real time dynamics of a small interacting quantum system coupled to an infinite fermionic reservoir. By building an orthonormal basis in the operator space, we turn the Heisenberg equation of motion into a system of linear differential equations, which is then solved iteratively by constructing excitation operators. The application of our method depends on a layer structure in the operator space, which help us to turn an infinite linear system into a series of small systems. We apply the method to investigate the decoherence dynamics of quantum impurity models in the Kondo regime with a non-Markovian reservoir. Taking full account of environmental back-actions and electron-electron interactions, we find that the coexistence of the Kondo correlation and a non-Markovian reservoir induces coherence ringings, which will be suppressed by either driving the system away from the particle-hole symmetric point or changing the reservoir into a Markovian one.Comment: 7 pages, 5 figure

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