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Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
(2009)
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness and kurtosis. Furthermore, it is intended to study how this relationship can be utilised in portfolio optimisation. First, based on a database of 600 individual equity returns from 22 emerging world markets, factor models incorporating the first four moments of the return distribution have been constructed at different confidence levels for CVaR, and the contribution of the identified factors in explaining CVaR was determined. Following this the influence of higher moments was examined in portfolio context, i.e. asset allocation decisions were simulated by creating emerging market portfolios from the viewpoint of US investors. This can be regarded as a normal decisionmaking process of a hedge fund focusing on investments into emerging markets. In our analysis we compared and contrasted two approaches with which one can overcome the shortcomings of the variance as a risk measure. First of all, we solved in the presence of conflicting higher moment preferences a multi-objective portfolio optimisation problem for different sets of preferences. In addition, portfolio optimisation was performed in the mean-CVaR framework characterised by using CVaR as a measure of risk. As a part of the analysis, the pair-wise comparison of the different higher moment metrics of the meanvariance and the mean-CVaR efficient portfolios were also made. Throughout the work special attention was given to implied preferences to the different higher moments in optimising CVaR. We also examined the extent to which model risk, namely the risk of wrongly assuming normally-distributed returns can deteriorate our optimal portfolio choice. JEL Classification: G11, G15, C61
If we want to develop a semantic analysis for explicit performatives such as I promise you to free Willy, we are faced with the following puzzle: In order to account for the speech act expressed by the performative verb, one can assume that the so-called performative clause is purely performative and provides the illocutionary force of the speech act whose content is given by the semantic object denoted by the complement clause. Yet under this perspective, the performative clause that is, next to the performative verb, the indexicals I and you that refer to the speaker and to the addressee of the utterance context is semantically invisible and does not contribute compositionally its meaning to the meaning of the entire explicit performative sentence. Conversely, if we account for the truth conditional contribution of the performative clause and deny that the meaning of the performative verb is purely performative, then we have to find a way to account for the speech act expressed by the performative verb. Of course, there is already the widely accepted and very appealing indirectness account for explicit performative utterances developed by Bach & Harnish (1979). Roughly, Bach and Harnish solve this puzzle in deriving the performativity by means of a pragmatic inference process. According to them, the important speech act performed by means of the utterance of the explicit performative sentence is a kind of the conventionalized indirect speech act. However, the boundary between semantics and pragmatics can be drawn in many various ways. Therefore, I think there could be other perspectives regarding the interface between the truth-functional treatment of the declarative explicit performative sentences and the speech acts performed with their utterances and which are expressed by the performative verbs. Hence, this thesis consists in the experiment to develop a further analysis and to check out its consequences with respect to the semantics and pragmatics of explicit performative utterances and the new interface emerged. Briefly, the experiment runs as follows: First, I develop an analysis for explicit performative sentences framed by parenthetical structures such as in (1)(a). In a second step, this parenthetical analysis is applied to the proper Austinian explicit performative sentences in (1)(b). (1) a. Tomorrow, I promise you this, I will teach them Tyrolean songs. b. I promise you that I will teach them Tyrolean songs. To analyze at first explicit performatives framed by parenthetical structures bears the convenience that we are faced with two utterances of two main clauses. In (1)(a) there is the utterance of the host sentence Tomorrow I will teach them Tyrolean songs, and the utterance of the explicit parenthetical I promise you this, where the demonstrative this refers to the utterance of Tomorrow I will teach them Tyrolean songs. Since speakers perform speech acts with utterances of main clauses, I assume that the meaning of the explicit parenthetical I promise you this specifies that the actual illocutionary force of the utterance of Tomorrow I will teach them Tyrolean songs is the illocutionary force of a promise. Hence, instead of deriving an indirect illocutionary force by means of a pragmatic inference schema, we can deal with an ordinary direct speech act that is performed with the utterance of the host sentence. This kind of analysis stresses the particular discourse function of explicit performative utterances. Performative verbs are used whenever the contextual information is not sufficient to determine the illocutionary force of the corresponding implicit speech act. The resulting consequences of the parenthetical analysis are interesting since they cast a different light on performative verbs. Surprisingly, the performative verbs are not performative at all. They do not constitute the execution of a speech act, but are execution supporting. Instead of constituting the particular illocutionary force, they merely specify the illocutionary force of the utterance of the host sentence. For instance, the speaker utters the explicit parenthetical I promise you this for specifying what he is simultaneously doing. Hence the speaker does not succeed in performing the promise simply because he is uttering I promise you this. Rather, by means of the information conveyed by the utterance of I promise you this, the potential illocutionary forces of the utterance of the host sentence are disambiguated. Thus, it is not the case that explicit parentheticals are trivially true when uttered. Their function is more complex. Their self-verifying property (‘saying so makes it so’) is explained by means of disambiguation. Furthermore, according to the parenthetical analysis, instead of being purely performative, the performative verbs contribute compositionally their meanings to the truth conditions of the entire explicit performative sentence. Together with its consequences, this analysis is applied to the proper Austinian performatives, which display subordination. I assume that regardless of their structure, explicit performatives always semantically and pragmatically behave as the parenthetical analysis predicts.
Biventricular pacing has been suggested in end-stage heart failure. We present a 59-year-old patient undergoing second re-do CABG (coronary artery bypass graft) and carotid artery endarterectomy. Ejection fraction was 15%, QRS-width 175 ms. Following the carotid and CABG procedure, an implanted single-chamber ICD (implantable cardioverter defibrillator) was upgraded to permanent biventricular DDD pacing by implantation of one epicardial left ventricular and one epicardial atrial electrode. At follow-up two months postoperatively ejection fraction had significantly improved to 45%, the patient underwent stress test with adequate load and reported a good quality of life.
Background Hepatitis C virus (HCV) is a leading cause of chronic liver disease, end-stage cirrhosis, and liver cancer, but little is known about the burden of disease caused by the virus. We summarised burden of disease data presently available for Europe, compared the data to current expert estimates, and identified areas in which better data are needed. Methods Literature and international health databases were systematically searched for HCV-specific burden of disease data, including incidence, prevalence, mortality, disability-adjusted life-years (DALYs), and liver transplantation. Data were collected for the WHO European region with emphasis on 22 countries. If HCV-specific data were unavailable, these were calculated via HCV-attributable fractions. Results HCV-specific burden of disease data for Europe are scarce. Incidence data provided by national surveillance are not fully comparable and need to be standardised. HCV prevalence data are often inconclusive. According to available data, an estimated 7.3–8.8 million people (1.1–1.3%) are infected in our 22 focus countries. HCV-specific mortality, DALY, and transplantation data are unavailable. Estimations via HCV-attributable fractions indicate that HCV caused more than 86000 deaths and 1.2 million DALYs in the WHO European region in 2002. Most of the DALYs (95%) were accumulated by patients in preventable disease stages. About one-quarter of the liver transplants performed in 25 European countries in 2004 were attributable to HCV. Conclusion Our results indicate that hepatitis C is a major health problem and highlight the importance of timely antiviral treatment. However, data on the burden of disease of hepatitis C in Europe are scarce, outdated or inconclusive, which indicates that hepatitis C is still a neglected disease in many countries. What is needed are public awareness, co-ordinated action plans, and better data. European physicians should be aware that many infections are still undetected, provide timely testing and antiviral treatment, and avoid iatrogenic transmission.
Background Public health systems are confronted with constantly rising costs. Furthermore, diagnostic as well as treatment services become more and more specialized. These are the reasons for an interdisciplinary project on the one hand aiming at simplification of planning and scheduling patient appointments, on the other hand at fulfilling all requirements of efficiency and treatment quality. Methods As to understanding procedure and problem solving activities, the responsible project group strictly proceeded with four methodical steps: actual state analysis, analysis of causes, correcting measures, and examination of effectiveness. Various methods of quality management, as for instance opinion polls, data collections, and several procedures of problem identification as well as of solution proposals were applied. All activities were realized according to the requirements of the clinic's ISO 9001:2000 certified quality management system. The development of this project is described step by step from planning phase to inauguration into the daily routine of the clinic and subsequent control of effectiveness. Results Five significant problem fields could be identified. After an analysis of causes the major remedial measures were: installation of a patient telephone hotline, standardization of appointment arrangements for all patients, modification of the appointments book considering the reason for coming in planning defined working periods for certain symptoms and treatments, improvement of telephonic counselling, and transition to flexible time planning by daily updates of the appointments book. After implementation of these changes into the clinic's routine success could be demonstrated by significantly reduced waiting times and resulting increased patient satisfaction. Conclusion Systematic scrutiny of the existing organizational structures of the outpatients' department of our clinic by means of actual state analysis and analysis of causes revealed the necessity of improvement. According to rules of quality management correcting measures and subsequent examination of effectiveness were performed. These changes resulted in higher satisfaction of patients, referring colleagues and clinic staff the like. Additionally the clinic is able to cope with an increasing demand for appointments in outpatients' departments, and the clinic's human resources are employed more effectively.