Search results for "Olio"

How to best return the value of a function

1989

Fuzzy Mathematical Programming for Portfolio Management

2000

The classical portfolio selection problem was formulated by Markowitz in the 1950s as a quadratic programming problem in which the risk variance is minimized. Since then, many other models have been considered and their associated mathematical programming formulations can be viewed as dynamic, stochastic or static decision problems. In our opinion, the model formulation depends essentially on two factors: the data nature and the treatment given to the risk and return goals. In this communication, we consider several approaches to deal with the data uncertainty for different classical formulations of the portfolio problem. We make use of duality theory and fuzzy programming techniques to ana…

Aggregation of preferences for skewed asset returns

2014

This paper characterizes the equilibrium demand and risk premiums in the presence of skewness risk. We extend the classical mean-variance two-fund separation theorem to a three-fund separation theorem. The additional fund is the skewness portfolio, i.e. a portfolio that gives the optimal hedge of the squared market return; it contributes to the skewness risk premium through co-variation with the squared market return and supports a stochastic discount factor that is quadratic in the market return. When the skewness portfolio does not replicate the squared market return, a tracking error appears; this tracking error contributes to risk premiums through kurtosis and pentosis risk if and only …

Molecular cloning and functional bacterial expression of a plant glucosidase specifically involved in alkaloid biosynthesis.

2000

Monoterpenoid indole alkaloids are a vast and structurally complex group of plant secondary compounds. In contrast to other groups of plant products which produce many glycosides, indole alkaloids rarely occur as glucosides. Plants of Rauvolfia serpentina accumulate ajmaline as a major alkaloid, whereas cell suspension cultures of Rauvolfia mainly accumulate the glucoalkaloid raucaffricine at levels of 1.6 g/l. Cell cultures do contain a specific glucosidase. known as raucaffricine-O-beta-D-glucosidase (RG), which catalyzes the in vitro formation of vomilenine, a direct intermediate in ajmaline biosynthesis. Here, we describe the molecular cloning and functional expression of this enzyme in…

Pricing Reinsurance Contracts

2011

Pricing and hedging insurance contracts is hard to perform if we subscribe to the hypotheses of the celebrated Black and Scholes model. Incomplete market models allow for the relaxation of hypotheses that are unrealistic for insurance and reinsurance contracts. One such assumption is the tradeability of the underlying asset. To overcome this drawback, we propose in this chapter a stochastic programming model leading to a superhedging portfolio whose final value is at least equal to the insurance final liability. A simple model extension, furthermore, is shown to be sufficient to determine an optimal reinsurance protection for the insurer: we propose a conditional value at risk (VaR) model p…

Risk Management Optimization for Sovereign Debt Restructuring

2015

Abstract Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed conditional Debt-at-Risk. A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, m…

Current Account Adjustment and Retained Earnings

2018

This paper develops a formal strategy to calculate current accounts with retained earnings (RE) on equity investment and analyzes their adjustment during the global financial crisis. RE are the part of companies' profits which are reinvested and not distributed to shareholders as dividends. International statistical standards treat RE on foreign direct investment and RE on portfolio investment differently: while the former enter the current and financial account, the latter do not. We show that this differential treatment strongly affects current accounts of several advanced economies, frequently referred to as financial centers, with large positions in equity (portfolio) investment. Our em…

Back Pain Characteristics in Physical and Office Workers

2018

The aim of our study was to characterize back pain according to the occupation comprising physical  and office work. Accordingly questionnaires from 100 physical workers (PW) and 100 office workers (OW) were collected.  This dedicated questionnaire included 19 questions, of which 7 concerned demographic, work and stature features and 12 concerned back pain.  Collected data showed that lower back pain was more common in PW but cervical pain in OW (p0.001). Most common aetiology of back pain was spinal osteoarthritis, sciatica and scoliosis but of different spread in two groups (p0.001). The history of back pain was most often above 5 years and there were significant differences in frequency,…

Scoliosi idiopatica giovanile: indagine conoscitiva della prevalenza della patologia in Sicilia occidentale

Pulmonary hypertension caused by a severe scoliosis

1996

Background. Pulmonary hypertension in childhood is uncommon. It can be idiopathic or secondary to other pathologies (cardiovascular, skeletric,...). Case description. We report on a 9 year old girl suffering from pulmonary hypertension due to severe dorso-lumbar scoliosis. Conclusions. We discuss the etiopathogenetic relationship between scoliosis and pulmonary hypertension, with particular reference to the role of the treatment with Milwaukee's corset in the evolution of the disease.