Constrained portfolio choices in the decumulation phase of a pension plan

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim of this work is to deal with the more realistic case when constraints on the investment strategies and on the state variable are present. Due to the difficulty of the task, we consider the basic model of [Gerrard, Haberman & Vigna, 2004], where interim consumption and annuitization time are fixed. The main goal is to find the optimal portfolio choice to be adopted by the retiree from retirement to annuitization time in a Black and Scholes financial market. We define and study the problem at two different complexity levels. In the first level (problem P1), we only require no short-selling. In the second level (problem P2), we add a constraint on the state variable, by imposing that the final fund cannot be lower than a certain guaranteed safety level. This implies, in particular, no ruin. The mathematical problem is naturally formulated as a stochastic control problem with constraints on the control and the state variable, and is approached by the dynamic programming method. We give a general result of existence and uniqueness of regular solutions for the Hamilton-Jacobi-Bellman equation and, in a special case, we explicitly compute the value function for the problem and give the optimal strategy in feedback form. A numerical application of the special case - when explicit solutions are available - ends the paper and shows the extent of applicability of the model to a DC pension fund in the decumulation phase.pension fund; decumulation phase; constrained portfolio; stochastic optimal control; dynamic programming; Hamilton-Jacobi-Bellman equation

Linear perturbations of the Wigner distribution and the Cohen class

The Wigner distribution is a milestone of Time-frequency Analysis. In order to cope with its drawbacks while preserving the desirable features that made it so popular, several kinds of modifications have been proposed. This contribution fits into this perspective. We introduce a family of phase-space representations of Wigner type associated with invertible matrices and explore their general properties. As a main result, we provide a characterization for the Cohen's class [L. Cohen, Generalized phase-space distribution functions, J. Math. Phys. 7 (1996) 781-786; Time-frequency Analysis (Prentice Hall, New Jersey, 1995)]. This feature suggests to interpret this family of representations as linear perturbations of the Wigner distribution. We show which of its properties survive under linear perturbations and which ones are truly distinctive of its central role

The relationship among the health-related quality of life, illness severity, personality and psychiatric symptoms in patients with psoriasis: an empirical investigation

Background: Psoriasis is a complex and chronic inflammatory skin disorder. The mechanisms underlying this immune-mediated disease are not clear, but some evidence indicates that specific personality features and symptom patterns may play an important role in the development and clinical presentation of the disorder and influence the quality of patients’ lives. This study aimed at evaluating the associations among the quality of life, illness severity, psychiatric symptoms and personality patterns in patients with psoriasis treated with biological or topical therapy. Methods: Fifty psoriatic patients were evaluated with self-report measures: the Symptom Checklist-90-R (SCL-90R) and the Psoriasis Index of Quality of Life (PSORIQoL). Their personality and psychological functioning were assessed by external raters using the Shedler-Westen Assessment Procedure (SWAP-200) applied to the Clinical Diagnostic Interviews (CDI). Finally, the severity and the area of psoriatic lesions were evaluated by dermatologists with the Psoriasis Area Severity Index (PASI). Results: Significant differences between the groups (biological vs topical therapy) were found in PASI scores: patients assigned to biological therapy showed lower levels of illness severity. No differences were found in PSORIQoL scores. The quality of life was negatively associated with various dimensions of SCL-90R and with borderline (r = .39; p< .01), dependent (r = .41; p< .01) and avoidant (r = .35; p< .05) personality styles/disorders; conversely, it did not relate to PASI. Conclusions: The results seem to suggest that the quality of life in psoriatic patients is more influenced by personality characteristics and psychiatric symptoms than by the severity of psoriatic lesions

Expression of Alpha-Enolase (ENO1), Myc Promoter-Binding Protein-1 (MBP-1) and Matrix Metalloproteinases (MMP-2 and MMP-9) Reflect the Nature and Aggressiveness of Breast Tumors

Breast cancer is a complex and heterogeneous disease: Several molecular alterations cause cell proliferation and the acquisition of an invasive phenotype. Extracellular matrix (ECM) is considered essential for sustaining tumor growth and matrix metalloproteinases (MMPs) have been identified as drivers of many aspects of the tumor phenotype. Mounting evidence indicates that both α-enolase (ENO1) and Myc promoter-binding protein-1 (MBP-1) also played pivotal roles in tumorigenesis, although as antagonists. ENO1 is involved in cell growth, hypoxia tolerance and autoimmune activities besides its major role in the glycolysis pathway. On the contrary, MBP-1, an alternative product of ENO1, suppresses cell proliferation and the invasive ability of cancer cells. Since an important task in personalized medicine is to discriminate a different subtype of patients with different clinical outcomes including chances of recurrence and metastasis, we investigated the functional relationship between ENO1/MBP-1 expression and MMP-2 and MMP-9 activity levels in both tissues and sera of breast cancer patients. We focused on the clinical relevance of ENO1 and MMPs (MMP-2 and MMP-9) overexpression in breast cancer tissues: The association between the higher ENO1, MMP-2 and MMP-9 expression with a worse prognosis suggest that the elevated ENO1 and MMPs expression are promising biomarkers for breast cancer. A relationship seems to exist between MBP-1 expression and the decrease in the activity levels of MMP-9 in cancer tissues and MMP-2 in sera. Moreover, the sera of breast cancer patients grouped for MBP-1 expression differentially induced, in vitro, cell proliferation and migration. Our findings support the hypothesis of patient's stratification based on ENO1, MBP-1 and MMPs expression. Elucidating the molecular pathways through which MBP-1 influences MMPs expression and breast cancer regression can lead to the discovery of new management strategies

Constrained Portfolio Choices in the Decumulation Phase of a Pension Plan

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim of this work is to deal with the more realistic case when constraints on the investment strategies and on the state variable are present. Due to the difficulty of the task, we consider the basic model of [Gerrard, Haberman & Vigna, 2004], where interim consumption and annuitization time are fixed. The main goal is to find the optimal portfolio choice to be adopted by the retiree from retirement to annuitization time in a Black and Scholes financial market. We define and study the problem at two different complexity levels. In the first level (problem P1), we only require no short-selling. In the second level (problem P2), we add a constraint on the state variable, by imposing that the final fund cannot be lower than a certain guaranteed safety level. This implies, in particular, no ruin. The mathematical problem is naturally formulated as a stochastic control problem with constraints on the control and the state variable, and is approached by the dynamic programming method. We give a general result of existence and uniqueness of regular solutions for the Hamilton-Jacobi-Bellman equation and, in a special case, we explicitly compute the value function for the problem and give the optimal strategy in feedback form. A numerical application of the special case - when explicit solutions are available - ends the paper and shows the extent of applicability of the model to a DC pension fund in the decumulation phase.This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim of this work is to deal with the more realistic case when constraints on the investment strategies and on the state variable are present. Due to the difficulty of the task, we consider the basic model of [Gerrard, Haberman & Vigna, 2004], where interim consumption and annuitization time are fixed. The main goal is to find the optimal portfolio choice to be adopted by the retiree from retirement to annuitization time in a Black and Scholes financial market. We define and study the problem at two different complexity levels. In the first level (problem P1), we only require no short-selling. In the second level (problem P2), we add a constraint on the state variable, by imposing that the final fund cannot be lower than a certain guaranteed safety level. This implies, in particular, no ruin. The mathematical problem is naturally formulated as a stochastic control problem with constraints on the control and the state variable, and is approached by the dynamic programming method. We give a general result of existence and uniqueness of regular solutions for the Hamilton-Jacobi-Bellman equation and, in a special case, we explicitly compute the value function for the problem and give the optimal strategy in feedback form. A numerical application of the special case - when explicit solutions are available - ends the paper and shows the extent of applicability of the model to a DC pension fund in the decumulation phase.Non-Refereed Working Papers / of national relevance onl

Ultraviolet generation in periodically poled Lithium Tantalate waveguides

We demonstrate ultraviolet generation in lithium tantalate channel waveguides for frequency doubling via quasi-phase-matching. The samples, proton exchanged and nanostructured by electric-field assisted surface periodic poling with domains as deep as 40 μm, yield continuous wave light at 365.4 nm with conversion efficiencies larger than 7.5% W-1 cm-2

Infectious diseases and vaccination strategies: how to protect the "unprotectable"?

Introduction. The circulation of infectious diseases puts small infants too young to be vaccinated at risk of morbidity and mortality, often requiring prolonged hospitalization. Material and Methods. We have reviewed the medical records of children not eligible for vaccination because of age, admitted to hospital for pertussis, measles, or varicella from February 1, 2010, till February 1, 2012. Results. Of the case records scrutinized, 21 were hospitalized for pertussis, 18 for measles, and 32 for varicella. Out of them, 42%, 66%, and 78% diagnosed with, respectively, pertussis, measles, and varicella had a complicated course of the disease. Discussion. To avoid infectious disease circulation, childhood immunization strategies should be adopted, such as vaccination of healthcare givers, adult household contacts, and parents planning to have, or who have had, a newborn baby