Dynamic Asset Allocation in a Conditional Value-at-risk Framework

The thesis first extends the original Black-Litterman model to dynamic asset allocation area by using the expected conditional equilibrium return and conditional covariances based on three volatility models (the DCC model, the EWMA model and the RW model) into the reverse optimisation of the utility function (the implied BL portfolio) and the maximised Sharpe ratio optimisation model (the SR-BL portfolio). The momentum portfolios are inputted as the view portfolios in the Black-Litterman model. The thesis compares performance of the dynamic implied BL portfolio and the dynamic SR-BL portfolio in the single period and multiple periods with in-sample analysis and out-of-sample analysis. The research finds that dynamic BL portfolios can beat benchmark in in-sample and out-of-sample analysis, the dynamic implied BL portfolio always show better performance than the dynamic SR-BL portfolio. The empirical VaR and CVaR of the dynamic SR-BL portfolios are much higher than that of the dynamic implied BL portfolio. The dynamic BL portfolios based on the DCC volatility model perform best in contrast to other two volatility models. In the aim of improving performance of SR-BL portfolios, the thesis further constructs dynamic BL portfolios based on two new optimisation models including maximised reward to VaR ratio optimisation model (MVaR-BL portfolios) and maximised reward to CVaR ratio optimisation model (MCVaR-BL portfolios) with assumption of the normal distribution and the t-distribution at confidence levels of 99%, 95% and 90%. The thesis compares performance of the dynamic MVaR-BL portfolio and the dynamic MCVaR-BL portfolio in the single period and multiple periods with in-sample analysis and out-of-sample analysis. There are three main findings. Firstly, both the MVaR-BL portfolio and the MCVaR-BL portfolio could improve the dynamic SR-BL portfolio performance at moderate confidence levels. Secondly, the MVaR-BL portfolio and the MCVaR-BL portfolio show similar performance with normal distribution assumption, the MCVaR-BL portfolio performs better than the MVaR-BL with t-distribution assumption at certain confidence levels in single period and multiple periods. Thirdly, the performance of the DCC-BL portfolio with t-distribution assumption is superior to the performance of the DCC-BL portfolio with normal distribution assumption. As the result of higher empirical VaR and CVaR of dynamic SR-BL portfolios, the thesis develops to constrain VaR and CVaR in construction of dynamic BL portfolios with assumption of the normal distribution and the t-distribution at confidence levels of 99%, 95% and 90%. The research studies the effect of assumptions of two distributions, three confidence levels and levels of the VaR constraint and the CVaR constraint on dynamic BL portfolios. Both in-sample performance and out-of-sample performance could be improved by imposing constraints, and they suggest adding moderate CVaR constraints to maximal Sharpe ratio optimisation model with t-distribution at certain confidence level could obtain the best dynamic DCC-BL portfolio performance in the single period and multiple periods. The performance evaluation criterion (higher Sharpe ratio, reward to VaR ratio, and reward to CVaR ratio) would affect the choice of optimisation models in dynamic asset allocation

INVESTIGATING THE INFLUENCE OF AUTHORITARIAN LEADERSHIP AND SUPERVISOR SATISFACTION ON TURNOVER INTENTION: THE MODERATING ROLE OF EMPLOYEE UPBRINGING

Authoritarian leadership is prevalent in the Asian region, and previous research has found a positive correlation between authoritarian leadership and employees' intention to leave their jobs. However, there are employees in the workplace who can adapt to such supervisors. Therefore, we approach this study from the perspective of "fit theory" to explore whether employees with authoritarian family upbringing can match with authoritarian leadership. This study aims to investigate the impact of authoritarian leadership on employees' intention to leave, with supervisor satisfaction as the mediator and employees' authoritarian family upbringing as the moderator. A total of 232 valid questionnaires were collected in this study. The results revealed that the level of authoritarian family upbringing among employees has a moderating effect on the relationship between authoritarian leadership and supervisor satisfaction

Diethyl 4-(4,5-dihydro­furan-2-yl)-3,5-di­methyl-1-phenyl-1,4-dihydro­pyrazine-2,6-dicarboxyl­ate

In the title compound, C22H26N2O5, the central 1,4-dihydro­pyrazine ring adopts a boat conformation, while the benzene ring and the two disordered components of the furan ring are inclined at angles of 77.9 (5) and 61.9 (7)°. Three of the C atoms of the furan ring are disordered over two positions with occupancies of 0.655 (18) and 0.345 (18). In the crystal structure, weak inter­molecular C—H⋯O hydrogen bonds link the mol­ecules into chains propagating in [010]

Modeling the Mistakes of Boundedly Rational Agents Within a Bayesian Theory of Mind

When inferring the goals that others are trying to achieve, people intuitively understand that others might make mistakes along the way. This is crucial for activities such as teaching, offering assistance, and deciding between blame or forgiveness. However, Bayesian models of theory of mind have generally not accounted for these mistakes, instead modeling agents as mostly optimal in achieving their goals. As a result, they are unable to explain phenomena like locking oneself out of one's house, or losing a game of chess. Here, we extend the Bayesian Theory of Mind framework to model boundedly rational agents who may have mistaken goals, plans, and actions. We formalize this by modeling agents as probabilistic programs, where goals may be confused with semantically similar states, plans may be misguided due to resource-bounded planning, and actions may be unintended due to execution errors. We present experiments eliciting human goal inferences in two domains: (i) a gridworld puzzle with gems locked behind doors, and (ii) a block-stacking domain. Our model better explains human inferences than alternatives, while generalizing across domains. These findings indicate the importance of modeling others as bounded agents, in order to account for the full richness of human intuitive psychology.Comment: Accepted to CogSci 2021. 6 pages, 5 figures. (Appendix: 1 page, 1 figure

Effects of ac-field amplitude on the dielectric susceptibility of relaxors

The thermally activated flips of the local spontaneous polarization in relaxors were simulated to investigate the effects of the applied-ac-field amplitude on the dielectric susceptibility. It was observed that the susceptibility increases with increasing the amplitude at low temperatures. At high temperatures, the susceptibility experiences a plateau and then drops. The maximum in the temperature dependence of susceptibility shifts to lower temperatures when the amplitude increases. A similarity was found between the effects of the amplitude and frequency on the susceptibility.Comment: 8 pages, 7 figures, Phys. Rev. B (in July 1st

Efficacy and safety of a combination of miglitol, metformin and insulin aspart in the treatment of type 2 diabetes

Purpose: To study the clinical effect of combining insulin aspart with different drugs in the treatment oftype 2 diabetes mellitus (T2DM).Methods: Two hundred and thirty-seven T2DM patients admitted to the Endocrinology Department of the Second Affiliated Hospital of Kunming Medical University from March to September 2018 were selected as subjects in this study. Miglitol and metformin were used in combination with insulin aspart in the treatment of T2DM. In addition, data on the effectiveness and safety of different treatment options,such as patient’s weight, waist circumference, blood glucose indicators, indices of heart, liver and kidney functions, and incidence of complications were recorded and compared between the two groups.Results: The use of a combination of miglitol and insulin aspart produced an excellent hypoglycaemic effect, and it significantly reduced the incidence of sensory neuropathy in the eyes and distal limbs (p < 0.05). The use of combination of metformin and insulin aspart effectively protected the heart and kidney, and prevented hypoglycaemia (p < 0.05).Conclusion: These results suggest that treatment with a combination of miglitol and insulin aspart is suitable for patients with T2DM whose blood sugar levels are out of control, while combined treatment with metformin and insulin aspart is more suited for patients who desire to reduce blood sugar and blood lipids through weight loss, and patients with cardiac and renal insufficiency

Relationship between occupational stress, job burnout, and depressive symptoms among workers in an automobile manufacturing enterprise in Guangzhou

BackgroundThe operation mode of automobile manufacturing industry (AMI) makes workers have different degrees of occupational stress and burnout, which may lead to negative emotions and depressive symptoms. ObjectiveTo study the relationship between occupational stress, job burnout, and depressive symptoms in AMI workers. MethodsIn this study, 1300 workers from a Guangzhou AMI company were selected as subjects by cluster random sampling method. Occupational stress, job burnout, and depressive symptoms of the workers were assessed by using the Effort-Reward Imbalance (ERI) questionnaire, the Maslach Burnout Inventory general survey questionnaire, and the Patient Health Questionnaire-9, respectively. Hierarchical regression was used to analyze the effects of occupational stress and job burnout on depressive symptoms in AMI workers. Mediating effect model was used to analyze the mediating effect of job burnout on the relationship between occupational stress and depressive symptoms. ResultsThere were 1300 questionnaires distributed, 1228 valid questionnaires collected, with a 94.5% recovery rate. The ERI ratio of 1228 AMI workers was 1.06±0.72, and the positive rate of occupational stress was 37.3% (458/1228). The score of job burnout was 2.18±1.37, and the positive rate of job burnout was 62.6% (769/1228). The score of depressive symptoms was 10.27±6.42, and the positive rate of depressive symptoms was 47.1% (578/1228). The dimensional scores of effort and over-commitment in occupational stress as well as emotional exhaustion and depersonalization in job burnout of AMI workers were positively correlated with the depressive symptom scores (rs=0.415, 0.571, 0.573, 0.593, P＜0.05). The dimensional scores of reward and personal achievement were negatively correlated (rs=−0.454, −0.339, P＜0.05). The percentages of variance in depressive symptoms score explained by occupational stress and job burnout were 26.7% and 16.6%, respectively. Job burnout had a partial mediating effect between the three dimensions of occupational stress and depressive symptoms, and the mediating effect values were −0.2832 (95%CI: −0.3250– −0.2434), 0.3553 (95%CI: 0.3071–0.4041), and 0.4193 (95%CI: 0.3681–0.4725), respectively. ConclusionAMI workers' occupational stress affects job burnout, but also indirectly affects depressive symptoms. Job burnout partially mediates the association between occupational stress and depressive symptoms. Reducing occupational stress and burnout levels of AMI workers may alleviate depressive symptoms

Dielectric nonlinearity of relaxor ferroelectric ceramics at low ac drives

Dielectric nonlinear response of (PbMg$_{1/3}$Nb$_{2/3}$O$_3$)$_{0.9}$(PbTiO$_3$)$_{0.1}$ (0.9PMN-0.1PT) relaxor ceramics was investigated under different ac drive voltages. It was observed that: (i) the dielectric permittivity is independent on ac field amplitude at high temperatures; (ii) with increasing ac drive, the permittivity maximum increases, and the temperature of the maximum shifts to lower temperature; (iii) the nonlinear effect is weakened when the measurement frequency increases. The influences of increasing ac drive were found to be similar to that of decreasing frequency. It is believed that the dielectric nonlinearities of relaxors at low drives can be explained by the phase transition theory of ergodic space shrinking in succession. A Monte Carlo simulation was performed on the flips of micro polarizations at low ac drives to verify the theory.Comment: Submitted to J. Phys.: Cond. Matte

Activation of PI3K/AKT and MAPK Pathway through a PDGFRβ-Dependent Feedback Loop Is Involved in Rapamycin Resistance in Hepatocellular Carcinoma

Background: Rapamycin is an attractive approach for the treatment and prevention of HCC recurrence after liver transplantation. However, the objective response rates of rapamycin achieved with single-agent therapy were modest, supporting that rapamycin resistance is a frequently observed characteristic of many cancers. Some studies have been devoted to understanding the mechanisms of rapamycin resistance, however, the mechanisms are cell-type-dependent and studies on rapamycin resistance in HCC are extremely limited. Methodology/Principal Findings: The anti-tumor sensitivity of rapamycin was modest in vitro and in vivo. In both human and rat HCC cells, rapamycin up-regulated the expression and phosphorylation of PDGFRb in a time and dose-dependent manner as assessed by RT-PCR and western blot analysis. Using siRNA mediated knockdown of PDGFRb, we confirmed that subsequent activation of AKT and ERK was PDGFRb-dependent and compromised the anti-tumor activity of rapamycin. Then, blockade of this PDGFRb-dependent feedback loop by sorafenib enhanced the anti-tumor sensitivity of rapamycin in vitro and in an immunocompetent orthotopic rat model of HCC. Conclusions: Activation of PI3K/AKT and MAPK pathway through a PDGFRb-dependent feedback loop compromises the anti-tumor activity of rapamycin in HCC, and blockade of this feedback loop by sorafenib is an attractive approach t