Diversification with volatility products

Recent changes to clearing-house regulations have promoted exchange-traded products offering risk premia previously accessible only over-the-counter. Thus, as correlations increase between equity, bonds and commodities, a new strand of research questions the benefits of home-grown diversification using volatility products. First we ask: “What expected returns will induce equity and bond investors to perceive ex-ante diversification benefits from adding volatility?” We call this the optimal diversification threshold. We derive the theoretical thresholds for minimum-variance, mean-variance and Black–Litterman optimization. Empirical analysis of US and European markets shows that volatility diversification is frequently perceived to be optimal, ex-ante, but these apparent benefits are almost never realized, being eroded by high roll and transaction costs. Exchange-traded volatility only proved an effective diversifier during the banking crisis. At other times long equity and bond portfolios diversified with volatility futures have not performed as well as those without diversification, or even those diversified with commodities

Selective modulation of subtype III IP3R by Akt regulates ER Ca2+ release and apoptosis

Ca2+ transfer from endoplasmic reticulum (ER) to mitochondria can trigger apoptotic pathways by inducing release of mitochondrial pro-apoptotic factors. Three different types of inositol 1,4,5-trisphosphate receptor (IP3R) serve to discharge Ca2+ from ER, but possess some peculiarities, especially in apoptosis induction. The anti-apoptotic protein Akt can phosphorylate all IP3R isoforms and protect cells from apoptosis, reducing ER Ca2+ release. However, it has not been elucidated which IP3R subtypes mediate these effects. Here, we show that Akt activation in COS7 cells, which lack of IP3R I, strongly suppresses IP3-mediated Ca2+ release and apoptosis. Conversely, in SH-SY 5Y cells, which are type III-deficient, Akt is unable to modulate ER Ca2+ flux, losing its anti-apoptotic activity. In SH-SY 5Y-expressing subtype III, Akt recovers its protective function on cell death, by reduction of Ca2+ release. Moreover, regulating Ca2+ flux to mitochondria, Akt maintains the mitochondrial integrity and delays the trigger of apoptosis, in a type III-dependent mechanism. These results demonstrate a specific activity of Akt on IP3R III, leading to diminished Ca2+ transfer to mitochondria and protection from apoptosis, suggesting an additional level of cell death regulation mediated by Akt

Regulation of connexin- and pannexin-based channels by post-translational modifications

Connexin (Cx) and pannexin (Panx) proteins form large conductance channels, which function as regulators of communication between neighbouring cells via gap junctions and/or hemichannels. Intercellular communication is essential to coordinate cellular responses in tissues and organs, thereby fulfilling an essential role in the spreading of signalling, survival and death processes. The functional properties of gap junctions and hemichannels are modulated by different physiological and pathophysiological stimuli. At the molecular level, Cxs and Panxs function as multi-protein channel complexes, regulating their channel localisation and activity. In addition to this, gap junctional channels and hemichannels are modulated by different post-translational modifications (PTMs), including phosphorylation, glycosylation, proteolysis, N-acetylation, S-nitrosylation, ubiquitination, lipidation, hydroxylation, methylation and deamidation. These PTMs influence almost all aspects of communicating junctional channels in normal cell biology and pathophysiology. In this review, we will provide a systematic overview of PTMs of communicating junction proteins and discuss their effects on Cx and Panx-channel activity and localisation

Issues in option-based risk management

This dissertation focuses on option-based risk management from corporate finance and investment perspectives. The first chapter focuses on a corporate finance issue: understanding dynamic hedge ratios of gold mining firms. An understanding of the hedging activities of a firm is critical to developing a thorough picture of risk exposures. In this paper we provide an alternative explanation for the dynamic nature of hedge ratios of mining firms. While the extant hedging literature is voluminous, it often errs by directly or indirectly assuming that Selective Hedging (in which managers base their hedging decisions on their expectations of future prices) is the source of dynamic hedge ratios. In contrast, we argue that the dynamic hedging activities of gold producers may not be indicative of Selective Hedging, but rather a form of hedging driven by the firm’s cost structure whereby the managers attempt to dynamically replicate a protective put position on the value of their future production to ensure a minimum threshold profit margin (similar to Portfolio Insurance). Informational asymmetries relating to the details of the firms cost structure may allow such managers to add value to the firm through their hedging activities. Thus, this model of hedging activity does not suffer from the persistence paradox of the Selective Hedging model. The second essay focuses on option-based risk management from an investment perspective. The majority of the extant literature on option-based risk management focuses on equity investments. This is the first study to examine collar strategies on such a wide range of asset classes (17 exchange traded funds representing currencies, commodities, fixed income, and real estate). By considering the performance of collar strategies on a diverse set of assets, we draw insights into the unique characteristics of each asset class and the implications of these differences for risk management. We find significant differences across asset classes with respect to implied and realized volatility levels, volatility skew, transaction costs, liquidity and the effectiveness of collar strategies. This research provides valuable insight into the implementation of risk management strategies for retail and institutional investors in the rapidly evolving financial markets

Role of sarcoplasmic reticulum and mitochondria in Ca2+ signaling in vascular smooth muscle

Superficial sarcoplasmic reticulum (SR) regulates smooth muscle force development directly and indirectly. In the rabbit basilar artery (BA), relative contributions of direct effects and those mediated through activation of Kca were evaluated by measuring force and intracellular Ca²⁺ concentration ([Ca²⁺]j) in response to the SR-depleting agents thapsigargin (Tg) and ryanodine and the large conductance Kca (BKca) blockers iberiotoxin (IbTx) and tetraethylammonium ion (TEA). It appears that a significant fraction of Kca remains activated in the absence of SR function and that SR contributes to relaxation after blockade of Kca . We found that depletion of SR before stimulating Ca²⁺ influx through voltage-gated Ca²⁺channels markedly reduced force development rate and that thapsigargin abolished this effect. We conclude that the SR of rabbit cerebral arteries modulates constriction by direct and indirect mechanisms. Next, we investigated the role of mitochondria (MT) in calcium signaling in a primary culture of rat aortic smooth muscle cells. We have used the calcium photoprotein, aequorin, selectively targeted to the mitochondrial matrix to measure [Ca²⁺] in this organelle. Our results reveal that smooth muscle cell stimulation with 1 mM ATP or 1 uM vasopressin (AVP) causes a large, transient increase in mitochondrial [Ca ] ([Ca²⁺][sub m]). This large transient can be'blocked with 100 μM cyclopiazonic acid (CPA) or 1 uM Tg, suggesting a close relationship between the SR and MT. Thus, in addition to SR, MT are also important in Ca²⁺ homeostasis of smooth muscle. Finally, gene expression studies using RT-PCR were performed in 3 types of smooth muscle; rabbit BA, inferior vena cava (IVC), and a rat aortic smooth muscle cell (RASMC) line. Expression of BKca channels, and VGCC differed between rabbit BA and IVC, and was compared to functional data using various inhibitors. Taken together, this data suggests an association of RyR to BKca in BA, and store-operated Ca²⁺ channels and IP3 in IVC. We hypothesize that SR and MT interactions with channels and pumps on the PM, and with each other, are critical in the formation of cytoplasmic Ca²⁺ microdomains, contributing to the diversity of Ca signaling in different smooth muscles.Medicine, Faculty ofAnesthesiology, Pharmacology and Therapeutics, Department ofGraduat

Security and confidentiality of data about the state of health of the patient in the Polish health care system

Celem pracy było przedstawienie systemu zabezpieczenia danych osobowych pacjentów, w oparciu o obowiązujące przepisy. W związku z tym, że dane o stanie zdrowia należą do kategorii danych wrażliwych, podlegają szczególnej ochronie. Właściwe przetwarzanie danych osobowych pacjentów jest więc przedmiotem wielu regulacji zawartych w aktach prawnych. Z uwagi na postępujący proces komputeryzacji ochrony zdrowia, ustawodawca wprowadził, od 1 sierpnia 2017 roku, wymóg prowadzenia dokumentacji medycznej wyłącznie w formie elektronicznej. Zmusiło to placówki medyczne do zwrócenia szczególnej uwagi na właściwe zabezpieczenie danych w systemie informatycznym. Unia Europejska również postanowiła wprowadzić zmiany i zastąpić obecną dyrektywę 95/46/WE Parlamentu Europejskiego i Rady z dnia 24 października 1995 r. w sprawie ochrony osób fizycznych w zakresie przetwarzania danych osobowych i swobodnego przepływu tych danych rozporządzeniem Parlamentu Europejskiego i Rady, o tym samym tytule.The aim of thesis was presenting the system which protects patients’ personal details base on legal rules. In case of the fact that personal details belong to the category of soft, they are treated in a special way. The proper processing of personal details is a subject of many regulations included in legal acts. Taking into consideration progressive process of computarisation of health protection, legislator has introduced requirement of leading medical documentation only in electronic form since 01.08.2007. It got medical establishments to call their attention to proper protection of personal data in information technology system. European Union also decided to introduce some changes and replace current directive 95/46/WE of European Parliament and Council from 24.10.1995. It was related to the protection of natural legal person in personal details processing and free movement of that data