Computational aspects of prospect theory with asset pricing applications

We develop an algorithm to compute asset allocations for Kahneman and Tversky’s (Econometrica, 47(2), 263–291, 1979) prospect theory. An application to benchmark data as in Fama and French (Journal of Financial Economics, 47(2), 427–465, 1992) shows that the equity premium puzzle is resolved for parameter values similar to those found in the laboratory experiments of Kahneman and Tversky (Econometrica, 47(2), 263–291, 1979). While previous studies like Benartzi and Thaler (The Quarterly Journal of Economics, 110(1), 73–92, 1995), Barberis, Huang and Santos (The Quarterly Journal of Economics, 116(1), 1–53, 2001), and Grüne and Semmler (Asset prices and loss aversion, Germany, Mimeo Bielefeld University, 2005) focussed on dynamic aspects of asset pricing but only used loss aversion to explain the equity premium puzzle our paper explains the unconditional moments of asset pricing by a static two-period optimization problem. However, we incorporate asymmetric risk aversion. Our approach allows reducing the degree of loss aversion from 2.353 to 2.25, which is the value found by Tversky and Kahneman (Journal of Risk and Uncertainty, 5, 297–323, 1992) while increasing the risk aversion from 1 to 0.894, which is a slightly higher value than the 0.88 found by Tversky and Kahneman (Journal of Risk and Uncertainty, 5, 297–323, 1992). The equivalence of these parameter settings is robust to incorporating the size and the value portfolios of Fama and French (Journal of Finance, 47(2), 427–465, 1992). However, the optimal prospect theory portfolios found on this larger set of assets differ drastically from the optimal mean-variance portfolio.     

Towards quantifying tropical tree species richness in tropical forests

This letter reports tests of whether the normalized difference vegetation index (NDVI) from Landsat Enhanced Thematic Mapper Plus (ETM+) and radar backscatter (C‐, L‐ and P‐bands) from Airborne Synthetic Aperture Radar (AIRSAR) imagery can be used to estimate tree species richness from 25 1‐ha plots within continuous lowland forest types (dry, moist, wet) in the Panama Canal Zone Watershed. Species richness for trees ranged from 49 to 98 species per ha. There was no evidence that density, basal area, above‐ground biomass or P‐backscatter was correlated with tree species richness. Mean and standard deviations (SDs) of the NDVI could explain 39% and 37% of the variance in tree species richness, respectively (41% when combined), while mean radar backscatter in the shorter wavelength C‐ and L‐bands could explain 44% and 33% of the variance in tree species richness, respectively (50% when combined).     

Concordance between ANSI occupational back injury codes and claim form diagnoses and a lower bound estimate of the fraction associated with disc displacement/herniation

The current BLS Annual Survey of Occupational Illnesses and Injuries and several recent analyses of factors affecting missed worktime in occupational back injuries rely on ANSI-based injury codes derived from injury narratives to classify occupational injuries and estimate incidence and outcome. No population-based studies of the concordance between back injury codes and clinical diagnoses have been reported. Back injury cases were identified in two large work-injured populations totaling almost 80,000 cases in the states of Michigan and Minnesota. In both populations, cases had been coded by the single nature-of-injury and part-of-body-injured codes assigned by an ANSI-based injury-coding system and by as many as four (Michigan) or three (Minnesota) clinical diagnoses according to the International Classification of Diseases-Clinical Modification, 9th Revision. Concordance was measured by the sensitivity and predictive value positive (PVP, aka PV+ or PPA) of the injury coding scheme for related diagnostic groups. We also used an algorithm based on the limited clinical information available to corroborate the diagnosis of displaced/herniated disc for cases that underwent spinal surgery. Cases identified by the algorithm were then used to obtain a lower bound estimate of the fraction with disc injury. The injury coding scheme had PVPs of 82.9-90.1% and overall sensitivities of 69.7-75.9%. Sensitivities for individual diagnostic groups show that their distribution in ANSI-coded injury groups is skewed slightly toward cases with sprain and disc displacement/herniation, but these shifts are modest. The lower bound estimate of the fraction of cases with disc displacement/herniation in a population of cases with back injuries producing at least 1 day of missed worktime is 5.8%. The demographic comparisons indicate that, as the time between injury and cohort ascertainment increases during the first 8 days of missed worktime following injury, the proportion of younger workers in an injury cohort decreases. The relationship between increasing age and increasing missed worktime disability, reported in various outcome studies, is also present during the first few days following injury. The use of ANSI injury codes underestimates the contribution of back injuries to missed worktime because 24-30% of cases are missed by the ANSI coding system. However, the distribution of diagnostic groups in the injury-coded groups approximates that observed with all diagnosed cases and supports the use of such data to study outcome. Our estimate, and one from Quebec, suggest that disc displacement/herniation occurs more frequently in the subset of occupational back injuries compared to the set of back injuries from all sources.     

Notch4 and Wnt-1 proteins function to regulate branching morphogenesis of mammary epithelial cells in an opposing fashion

The ab initio folding problem can be divided into two sequential tasks of approximately equal computational complexity: the generation of native-like backbone folds and the positioning of side chains upon these backbones. The prediction of side-chain conformation in this context is challenging, because at best only the near-native global fold of the protein is known. To test the effect of displacements in the protein backbones on side-chain prediction for folds generated ab initio, sets of near-native backbones (< or = 4 A C alpha RMS error) for four small proteins were generated by two methods. The steric environment surrounding each residue was probed by placing the side chains in the native conformation on each of these decoys, followed by torsion-space optimization to remove steric clashes on a rigid backbone. We observe that on average 40% of the chi1 angles were displaced by 40 degrees or more, effectively setting the limits in accuracy for side-chain modeling under these conditions. Three different algorithms were subsequently used for prediction of side-chain conformation. The average prediction accuracy for the three methods was remarkably similar: 49% to 51% of the chi1 angles were predicted correctly overall (33% to 36% of the chi1+2 angles). Interestingly, when the inter-side-chain interactions were disregarded, the mean accuracy increased. A consensus approach is described, in which side-chain conformations are defined based on the most frequently predicted chi angles for a given method upon each set of near-native backbones. We find that consensus modeling, which de facto includes backbone flexibility, improves side-chain prediction: chi1 accuracy improved to 51-54% (36-42% of chi1+2). Implications of a consensus method for ab initio protein structure prediction are discussed.     

Optimal method of urgent decompression of the collecting system for obstruction and infection due to ureteral calculi

PURPOSE: We compare the efficacy of percutaneous nephrostomy with retrograde ureteral catheterization for renal drainage in cases of obstruction and infection associated with ureteral calculi. MATERIALS AND METHODS: We randomized 42 consecutive patients presenting with obstructing ureteral calculi and clinical signs of infection (temperature greater than 38 C and/or white blood count greater than 17,000/mm.3) to drainage with percutaneous nephrostomy or retrograde ureteral catheterization. Preoperative patient and stone characteristics, procedural parameters, clinical outcomes and costs were assessed for each group. RESULTS: Urine cultures obtained at drainage were positive in 62.9% of percutaneous nephrostomy and 19.1% of retrograde ureteral catheterization patients. There was no significant difference in the time to treatment between the 2 groups. Procedural and fluoroscopy times were significantly shorter in the retrograde ureteral catheterization (32.7 and 5.1 minutes, respectively) compared with the percutaneous nephrostomy (49.2 and 7.7 minutes, respectively) group. One treatment failure occurred in the percutaneous nephrostomy group, which was successfully salvaged with retrograde ureteral catheterization. Time to normal temperature was 2.3 days in the percutaneous nephrostomy and 2.6 in the retrograde ureteral catheterization group, and time to normal white blood count was 2 days in the percutaneous nephrostomy and 1.7 days in the retrograde ureteral catheterization group (p not significant). Length of stay was 4.5 days in the percutaneous nephrostomy group compared with 3.2 days in the retrograde ureteral catheterization group (p not significant). Cost analysis revealed that retrograde ureteral catheterization was twice as costly as percutaneous nephrostomy. CONCLUSIONS: Retrograde ureteral catheterization and percutaneous nephrostomy effectively relieve obstruction and infection due to ureteral calculi. Neither modality demonstrated superiority in promoting a more rapid recovery after drainage. Percutaneous nephrostomy is less costly than retrograde ureteral catheterization. The decision of which mode of drainage to use may be based on logistical factors, surgeon preference and stone characteristics.     

社区GIS数据模型的设计与应用研究

城市社区的发展需要社区GIS提供强有力的服务工具,运用关系数据库的理论并结合郑州市社区GIS的开发,探讨了社区GIS数据的分类和数据组织,按照关系数据库设计的方法,建立了社区GIS数据模型.郑州市社区GIS的成功运行,表明采用这种方法设计社区GIS数据模型的方法是行之有效的.     

Corrosion Mechanisms of Steel and Cast Iron by Molten Aluminum

The corrosion mechanisms by liquid aluminum of three industrial materials have been studied: unalloyed steel (UAS), and ferritic and modified pearlitic cast irons (FCI and PCI, respectively). The behavior of these materials when in contact with liquid aluminum is different. Aluminum diffuses deep into the UAS and forms intermetallic compounds with iron at the surface and in the steel matrix. At the surface, only Fe₂Al₅ and FeAl₃ are found. In the matrix, FeAl₂ also is formed in agreement with the equilibrium Fe-Al diagram. From the matrix to FeAl₂, the Al content in the ferrite increases progressively until Al saturation is reached. At this step, black elongated precipitates (Al₄C₃ and/or graphite) appear. Graphite lamellas present in both FCI and PCI constitute an efficient barrier to the Al diffusion. The high silicon content of the FCI leads to the formation of a phase free from Al and saturated in Si. For the PCI, a thin layer rich in Al and Si, which is formed between the matrix and Fe₂Al₅, limits the diffusion of atoms. The effects of Cr and P added in the PCI also are discussed.