A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.Comment: 38 pages, 9 figures, 3 tables, changes: VAR(1)-CCC-GARCH(1,1) process dynamics and the analysis of increasing horizon are included in the simulation study, under revision in Annals of Operations Researc

Rapid Detection of Chlamydia trachomatis and Typing of the Lymphogranuloma venereum associated L-Serovars by TaqMan PCR

<p>Abstract</p> <p>Background</p> <p>Infection due to <it>Chlamydia trachomatis </it>is the most common sexually transmitted bacterial disease of global health significance, and especially the L-serovars causing lymphogranuloma venereum are increasingly being found in Europe in men who have sex with men.</p> <p>Results</p> <p>The design and evaluation of a rapid, multiplex, real-time PCR targeting the major outer membrane protein (<it>omp-1</it>) -gene and a L-serovar-specific region of the polymorphic protein H (<it>pmp-H</it>) -gene for the detection of <it>Chlamydia trachomatis </it>is reported here. The PCR takes place as a single reaction with an internal control. For L1-, L2- and L3-serovar differentiation a second set of real-time PCRs was evaluated based on the amplification of serovar-specific <it>omp-1</it>-regions. The detection limit of each real-time PCR, multiplexed or not, was 50 genome copies per reaction with an efficiency ranging from 90,5–95,2%.</p> <p>In a retrospective analysis of 50 ocular, rectal and urogenital specimens formerly tested to be positive for <it>C. trachomatis </it>we identified six L2-serovars in rectal specimens of HIV-positive men, one in a double-infection with L3, and one L2 in a urethral specimen of an HIV-negative male.</p> <p>Conclusion</p> <p>This unique real-time PCR is specific and convenient for the rapid routine-diagnostic detection of lymphogranuloma venereum-associated L-serovars and enables the subsequent differentiation of L1, L2 and L3 for epidemiologic studies.</p

Hospitalisations at the end of life: using a sentinel surveillance network to study hospital use and associated patient, disease and healthcare factors

<p>Abstract</p> <p>Background</p> <p>Hospital deaths following several hospital admissions or long hospital stays may be indicative of a low quality of dying. Although place of death has been extensively investigated at population level, hospital use in the last months of life and its determinants have been studied less often, especially in Europe and with a general end-of-life patient population. In this study we aim to describe hospital use in the last three months of life in Belgium and identify associated patient, disease and healthcare factors.</p> <p>Methods</p> <p>We conducted a retrospective registration study (13 weeks in 2004) with the Belgian Sentinel Network of General Practitioners, an epidemiological surveillance system representative of all GPs in Belgium, covering 1.75% of the total Belgian patient population. All registered non-sudden or expected deaths of patients (aged one year or older) at the GPs' practices were included. Bivariate and regression analyses were performed.</p> <p>Results</p> <p>The response rate was 87%. The GPs registered 319 deaths that met inclusion criteria. Sixty percent had been hospitalised at least once in the last three months of life, for a median of 19 days. The percentage of patients hospitalised increased exponentially in the last weeks before death; one fifth was admitted in the final week of life. Seventy-two percent of patients hospitalised at least once in the final three months died in hospital. A palliative treatment goal, death from cardiovascular diseases, the expression of a wish to die in an elderly home and palliative care delivery by the GP were associated with lower hospitalisation odds.</p> <p>Conclusion</p> <p>Hospital care plays a large role in the end of patients' lives in Belgium, especially in the final weeks of life. The result is a high rate of hospital deaths, showing the institutionalised nature of dying. Patients' clinical conditions, the expression of preferences and also healthcare characteristics such as being treated as a palliative care patient, seem to be associated with hospital transfers. It is recommended that hospitalisation decisions are only made after careful consideration. Short admissions in the final days of life should be prevented in order to make dying at home more feasible.</p

A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly increased again in the late 1990.s. Estimates of the new Keynesian Phillips curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied trend inflation estimate evolves smoothly and is well aligned with survey expectations. There is evidence in favor of the variation of trend inflation following from the underlying marginal cost that drives inflation

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated, together with the effect of permanent shocks on business cycles. Second, the linear VAR model is extended to include a smooth transition function in a (monetary) equation and stochastic volatility in the disturbances. The risk of a liquidity trap in the U.S.A. and Japan is evaluated. Although this risk found to be reasonably high, we find only mild evidence that the monetary policy transmission mechanism is different and that central banks consider the expected cost of a liquidity trap in policy setting. Posterior probabilities of different models are evaluated using Markov chain Monte Carlo techniques

“Escape” of aldosterone production in patients with left ventricular dysfunction treated with an angiotensin converting enzyme inhibitor: Implications for therapy

Despite the findings in randomized trials of a significant effect of angiotensin-converting enzyme (ACE) inhibitors in reducing morbidity and mortality of patients with symptomatic left ventricular dysfunction, the morbidity and mortality of these patients remains relatively high. One potential strategy to further improve morbidity and mortality in these patients is blockade of aldosterone. Many clinicians have assumed that ACE inhibitors would block both angiotensin II and aldosterone. However, there are data to suggest that aldosterone production may “escape” despite the use of an ACE inhibitor. An escape of aldosterone production has several important consequences, including: sodium retention, potassium and magnesium loss, myocardial collagen production, ventricular hypertrophy, myocardial norepinephrine release, endothelial dysfunction, and a decrease in serum high density lipoprotein cholesterol. Due to the potential importance of these mechanisms, the finding that there is a significant correlation between aldosterone production and mortality in patients with heart failure, as well as evidence that an aldosterone antagonist, spironolactone, when administered to patients with heart failure treated with conventional therapy including an ACE inhibitor results in increased diuresis and symptomatic improvement, an international prospective multicenter study has been organized, the Randomized Aldactone Evaluation Study (RALES Pilot Study), to evaluate the safety of blocking the effects of aldosterone in patients with heart failure treated with an ACE inhibitor.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/44631/1/10557_2004_Article_BF00877755.pd