HMM based scenario generation for an investment optimisation problem

This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, important features of the time series, like extreme behaviour or volatility clustering cannot be captured. We propose an approach by which the parameters of the GBM are able to switch between regimes, more precisely they are governed by a hidden Markov chain. Thus, we model the financial time series via a hidden Markov model (HMM) with a GBM in each state. Using this approach, we generate scenarios for a financial portfolio optimisation problem in which the portfolio CVaR is minimised. Numerical results are presented.This study was funded by NET ACE at OptiRisk Systems

Familial hypercholesterolaemia in children and adolescents from 48 countries: a cross-sectional study

Background Approximately 450 000 children are born with familial hypercholesterolaemia worldwide every year, yet only 2·1% of adults with familial hypercholesterolaemia were diagnosed before age 18 years via current diagnostic approaches, which are derived from observations in adults. We aimed to characterise children and adolescents with heterozygous familial hypercholesterolaemia (HeFH) and understand current approaches to the identification and management of familial hypercholesterolaemia to inform future public health strategies. Methods For this cross-sectional study, we assessed children and adolescents younger than 18 years with a clinical or genetic diagnosis of HeFH at the time of entry into the Familial Hypercholesterolaemia Studies Collaboration (FHSC) registry between Oct 1, 2015, and Jan 31, 2021. Data in the registry were collected from 55 regional or national registries in 48 countries. Diagnoses relying on self-reported history of familial hypercholesterolaemia and suspected secondary hypercholesterolaemia were excluded from the registry; people with untreated LDL cholesterol (LDL-C) of at least 13·0 mmol/L were excluded from this study. Data were assessed overall and by WHO region, World Bank country income status, age, diagnostic criteria, and index-case status. The main outcome of this study was to assess current identification and management of children and adolescents with familial hypercholesterolaemia. Findings Of 63 093 individuals in the FHSC registry, 11 848 (18·8%) were children or adolescents younger than 18 years with HeFH and were included in this study; 5756 (50·2%) of 11 476 included individuals were female and 5720 (49·8%) were male. Sex data were missing for 372 (3·1%) of 11 848 individuals. Median age at registry entry was 9·6 years (IQR 5·8–13·2). 10 099 (89·9%) of 11 235 included individuals had a final genetically confirmed diagnosis of familial hypercholesterolaemia and 1136 (10·1%) had a clinical diagnosis. Genetically confirmed diagnosis data or clinical diagnosis data were missing for 613 (5·2%) of 11 848 individuals. Genetic diagnosis was more common in children and adolescents from high-income countries (9427 [92·4%] of 10 202) than in children and adolescents from non-high-income countries (199 [48·0%] of 415). 3414 (31·6%) of 10 804 children or adolescents were index cases. Familial-hypercholesterolaemia-related physical signs, cardiovascular risk factors, and cardiovascular disease were uncommon, but were more common in non-high-income countries. 7557 (72·4%) of 10 428 included children or adolescents were not taking lipid-lowering medication (LLM) and had a median LDL-C of 5·00 mmol/L (IQR 4·05–6·08). Compared with genetic diagnosis, the use of unadapted clinical criteria intended for use in adults and reliant on more extreme phenotypes could result in 50–75% of children and adolescents with familial hypercholesterolaemia not being identified. Interpretation Clinical characteristics observed in adults with familial hypercholesterolaemia are uncommon in children and adolescents with familial hypercholesterolaemia, hence detection in this age group relies on measurement of LDL-C and genetic confirmation. Where genetic testing is unavailable, increased availability and use of LDL-C measurements in the first few years of life could help reduce the current gap between prevalence and detection, enabling increased use of combination LLM to reach recommended LDL-C targets early in life. Funding Pfizer, Amgen, Merck Sharp & Dohme, Sanofi–Aventis, Daiichi Sankyo, and Regeneron

Familial hypercholesterolaemia in children and adolescents from 48 countries: a cross-sectional study

Background: Approximately 450 000 children are born with familial hypercholesterolaemia worldwide every year, yet only 2·1% of adults with familial hypercholesterolaemia were diagnosed before age 18 years via current diagnostic approaches, which are derived from observations in adults. We aimed to characterise children and adolescents with heterozygous familial hypercholesterolaemia (HeFH) and understand current approaches to the identification and management of familial hypercholesterolaemia to inform future public health strategies. Methods: For this cross-sectional study, we assessed children and adolescents younger than 18 years with a clinical or genetic diagnosis of HeFH at the time of entry into the Familial Hypercholesterolaemia Studies Collaboration (FHSC) registry between Oct 1, 2015, and Jan 31, 2021. Data in the registry were collected from 55 regional or national registries in 48 countries. Diagnoses relying on self-reported history of familial hypercholesterolaemia and suspected secondary hypercholesterolaemia were excluded from the registry; people with untreated LDL cholesterol (LDL-C) of at least 13·0 mmol/L were excluded from this study. Data were assessed overall and by WHO region, World Bank country income status, age, diagnostic criteria, and index-case status. The main outcome of this study was to assess current identification and management of children and adolescents with familial hypercholesterolaemia. Findings: Of 63 093 individuals in the FHSC registry, 11 848 (18·8%) were children or adolescents younger than 18 years with HeFH and were included in this study; 5756 (50·2%) of 11 476 included individuals were female and 5720 (49·8%) were male. Sex data were missing for 372 (3·1%) of 11 848 individuals. Median age at registry entry was 9·6 years (IQR 5·8-13·2). 10 099 (89·9%) of 11 235 included individuals had a final genetically confirmed diagnosis of familial hypercholesterolaemia and 1136 (10·1%) had a clinical diagnosis. Genetically confirmed diagnosis data or clinical diagnosis data were missing for 613 (5·2%) of 11 848 individuals. Genetic diagnosis was more common in children and adolescents from high-income countries (9427 [92·4%] of 10 202) than in children and adolescents from non-high-income countries (199 [48·0%] of 415). 3414 (31·6%) of 10 804 children or adolescents were index cases. Familial-hypercholesterolaemia-related physical signs, cardiovascular risk factors, and cardiovascular disease were uncommon, but were more common in non-high-income countries. 7557 (72·4%) of 10 428 included children or adolescents were not taking lipid-lowering medication (LLM) and had a median LDL-C of 5·00 mmol/L (IQR 4·05-6·08). Compared with genetic diagnosis, the use of unadapted clinical criteria intended for use in adults and reliant on more extreme phenotypes could result in 50-75% of children and adolescents with familial hypercholesterolaemia not being identified. Interpretation: Clinical characteristics observed in adults with familial hypercholesterolaemia are uncommon in children and adolescents with familial hypercholesterolaemia, hence detection in this age group relies on measurement of LDL-C and genetic confirmation. Where genetic testing is unavailable, increased availability and use of LDL-C measurements in the first few years of life could help reduce the current gap between prevalence and detection, enabling increased use of combination LLM to reach recommended LDL-C targets early in life

Revisiting the factor structure of the Short-Form McGill Pain Questionnaire-2 (SF-MPQ-2): Evidence for a bifactor model in individuals with Chiari malformation.

The Short-Form McGill Pain Questionnaire-2 (SF-MPQ-2; Dworkin et al., 2009) is intended to measure the multidimensional qualities of pain (i.e., continuous, intermittent, neuropathic, and affective) as well as total pain. Using structural equation modeling, we evaluated the fit of four competing measurement models of the SF-MPQ-2-an oblique 4-factor model, a 1-factor model, a higher-order model, and a bifactor model-in 552 adults diagnosed with Chiari malformation, a chronic health condition whose primary symptoms include head and neck pain. Results revealed the strongest support for the bifactor model, suggesting that SF-MPQ-2 item responses are due to both a general pain factor and a specific pain factor that is orthogonal to the general pain factor. Additional bifactor analyses of the SF-MPQ-2's model-based reliability and dimensionality revealed that most of the SF-MPQ-2's reliable variance is explained by a general pain factor, and that the instrument can be modeled unidimensionally and scored as a general pain measure. Results also indicated that the general and affective pain factors in the bifactor model uniquely predicted pain-related external criteria (e.g., depression, anxiety, and stress); however, the continuous, intermittent, and neuropathic factors did not

Organic and conventional management of mixtures of wheat and spring cereals

Cereal mixtures may provide both organic and conventional producers with a more sustainable approach in reducing weed pressure, crop rotation flexibility, improved yield stability, buffering against pests and diseases, minimizing soil variability and increasing animal feed value. We examined the response of small grain mixtures containing wheat, oats, barley and triticale to varying degrees of natural competition and environmental stress at three locations in central Alberta, Canada. One modern and one heritage hard-red spring wheat cultivar, along with one cultivar each of oats, barley and triticale and eighteen two-way mixtures, were planted on organic and conventional land at seven location-years between 2003 and 2005. Average yields were 30% to 70% lower on organically managed sites. Monocrop barley yielded 43% and 16% higher than the site average at two organic locations. Our results suggest two main conclusions: (1) on conventionally managed land, wheat-barley mixtures exhibited potential for yield maintenance and weed suppression, and; (2) on organically managed land, competition with weeds had a large negative effect on yield ($>$30%). The 25:75 mixtures of wheat and oats, and all mixtures of Park (a heritage) wheat and Manny barley exhibited yield potential similar to or (up to 1.0 t ha$^{-1})$ greater than monocrop yield. Manny barley mixtures exhibited weed suppressive capabilities

Organic and conventional management of mixtures of wheat and spring cereals

Cereal mixtures may provide both organic and conventional producers with a more sustainable approach in reducing weed pressure, crop rotation flexibility, improved yield stability, buffering against pests and diseases, minimizing soil variability and increasing animal feed value. We examined the response of small grain mixtures containing wheat, oats, barley and triticale to varying degrees of natural competition and environmental stress at three locations in central Alberta, Canada. One modern and one heritage hard-red spring wheat cultivar, along with one cultivar each of oats, barley and triticale and eighteen two-way mixtures, were planted on organic and conventional land at seven location-years between 2003 and 2005. Average yields were 30% to 70% lower on organically managed sites. Monocrop barley yielded 43% and 16% higher than the site average at two organic locations. Our results suggest two main conclusions: (1) on conventionally managed land, wheat-barley mixtures exhibited potential for yield maintenance and weed suppression, and; (2) on organically managed land, competition with weeds had a large negative effect on yield ($>$30%). The 25:75 mixtures of wheat and oats, and all mixtures of Park (a heritage) wheat and Manny barley exhibited yield potential similar to or (up to 1.0 t ha$^{-1})$ greater than monocrop yield. Manny barley mixtures exhibited weed suppressive capabilities