Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it can be expressed as a difference of two functions. The first term is the composition of a convex function with concave arguments and the second term a composition of a convex function with convex arguments. This structure allows us to derive a global lower bound, or minorant, on the CPT utility, which we can use in a minorization-maximization (MM) algorithm for maximizing CPT utility. We further show that the problem is amenable to a simple convex-concave (CC) procedure which iteratively maximizes a local approximation. Both of these methods can handle small and medium size problems, and complex (but convex) portfolio constraints. We also describe a simpler method that scales to larger problems, but handles only simple portfolio constraints

Quality Control Charts in Large-Scale Assessment Programs

There are relatively few examples of quantitative approaches to quality control in educational assessment and accountability contexts. Among the several techniques that are used in other fields, Shewart charts have been found in a few instances to be applicable in educational settings. This paper describes Shewart charts and gives examples of how they have been used to monitor quality in testing programs. Additional areas of application in large-scale educational assessment programs are proposed Accessed 10,392 times on https://pareonline.net from October 19, 2011 to December 31, 2019. For downloads from January 1, 2020 forward, please click on the PlumX Metrics link to the right

Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY

We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies over a given convex uncertainty set. In some simple cases, such problems can be expressed in an analytical form. In general the problem can be made tractable via dualization, which turns a min-max problem into a min-min problem. Dualization requires expertise and is tedious and error-prone. We demonstrate how CVXPY can be used to automate this dualization procedure in a user-friendly manner. Our framework allows practitioners to specify and solve robust ERM problems with a general class of convex losses, capturing many standard regression and classification problems. Users can easily specify any complex uncertainty set that is representable via disciplined convex programming (DCP) constraints

Effects of Threat Context, Trauma History, and Posttraumatic Stress Disorder Status on Physiological Startle Reactivity in Gulf War Veterans.

In the current study, we explored exaggerated physiological startle responses in posttraumatic stress disorder (PTSD) and examined startle reactivity as a biomarker of PTSD in a large veteran sample. We assessed heart rate (HR), skin conductance (SC), and electromyographic (EMG) startle responses to acoustic stimuli under low-, ambiguous-, and high-threat conditions in Gulf War veterans with current (n = 48), past (n = 42), and no history of PTSD (control group; n = 152). We evaluated PTSD status using the Clinician-Administered PTSD Scale and trauma exposure using the Trauma History Questionnaire. Participants with current PTSD had higher HR, ds = 0.28-0.53; SC, d = 0.37; and startle responses than those with past or no history of PTSD. The HR startle response under ambiguous threat best differentiated current PTSD; however, sensitivity and specificity analyses revealed it to be an imprecise indicator of PTSD status, ROC AUC = .66. Participants with high levels of trauma exposure only showed elevated HR and SC startle reactivity if they had current PTSD. Results indicate that startle is particularly elevated in PTSD when safety signals are available but a possibility of danger remains and when trauma exposure is high. However, startle reactivity alone is unlikely to be a sufficient biomarker of PTSD

Antipsychotics for treatment of delirium in hospitalised non-ICU patients

BackgroundGuidelines suggest limited and cautious use of antipsychotics for treatment of delirium where nonpharmacological interventions havefailed and symptoms remain distressing or dangerous, or both. It is unclear how well these recommendations are supported by current evidence.ObjectivesOur primary objective was to assess the efficacy of antipsychotics versus nonantipsychotics or placebo on the duration of delirium inhospitalised adults. Our secondary objectives were to compare the efficacy of: 1) antipsychotics versus nonantipsychotics or placeboon delirium severity and resolution, mortality, hospital length of stay, discharge disposition, health-related quality of life, and adverseeffects; and 2) atypical vs. typical antipsychotics for reducing delirium duration, severity, and resolution, hospital mortality and lengthof stay, discharge disposition, health-related quality of life, and adverse effects.Search methodsWe searched MEDLINE, Embase, Cochrane EBM Reviews, CINAHL, Thomson Reuters Web of Science and the Latin American andCaribbean Health Sciences Literature (LILACS) from their respective inception dates until July 2017. We also searched the Databaseof Abstracts of Reviews of Effects (DARE), Health Technology Assessment Database, Web of Science ISI Proceedings, and other grey literature.Selection criteriaWe included randomised and quasi-randomised trials comparing 1) antipsychotics to nonantipsychotics or pplacebo and 2) typical to atypical antipsychotics for the treatment of delirium in adult hospitalised (but not critically ill) patients

Improving undergraduate STEM education: The efficacy of discipline-based professional development

We sought to determine whether instructional practices used by undergraduate faculty in the geosciences have shifted from traditional teacher-centered lecture toward student-engaged teaching practices and to evaluate whether the national professional development program On the Cutting Edge (hereinafter Cutting Edge) has been a contributing factor in this change. We surveyed geoscience faculty across the United States in 2004, 2009, and 2012 and asked about teaching practices as well as levels of engagement in education research, scientific research, and professional development related to teaching. We tested these self-reported survey results with direct observations of teaching using the Reformed Teaching Observation Protocol, and we conducted interviews to understand what aspects of Cutting Edge have supported change. Survey data show that teaching strategies involving active learning have become more common, that these practices are concentrated in faculty who invest in learning about teaching, and that faculty investment in learning about teaching has increased. Regression analysis shows that, after controlling for other key influences, faculty who have participated in Cutting Edge programs and who regularly use resources on the Cutting Edge website are statistically more likely to use active learning teaching strategies. Cutting Edge participants also report that learning about teaching, the availability of teaching resources, and interactions with peers have supported changes in their teaching practice. Our data suggest that even one-time participation in a workshop with peers can lead to improved teaching by supporting a combination of affective and cognitive learning outcomes

Strategic Asset Allocation with Illiquid Alternatives

We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over our positions, as we do in liquid asset classes. Instead we can only make commitments; the position builds up over time as capital calls come in, and reduces over time as distributions occur, neither of which the investor has direct control over. The effect on positions of our commitments is subject to a delay, typically of a few years, and is also unknown or stochastic. A further challenge is the requirement that we can meet the capital calls, with very high probability, with our liquid assets. We formulate the illiquid dynamics as a random linear system, and propose a convex optimization based model predictive control (MPC) policy for allocating liquid assets and making new illiquid commitments in each period. Despite the challenges of time delay and uncertainty, we show that this policy attains performance surprisingly close to a fictional setting where we pretend the illiquid asset classes are completely liquid, and we can arbitrarily and immediately adjust our positions. In this paper we focus on the growth problem, with no external liabilities or income, but the method is readily extended to handle this case

Interleukin (IL)-22 and IL-17 are coexpressed by Th17 cells and cooperatively enhance expression of antimicrobial peptides

Th17 cells are a distinct lineage of effector CD4+ T cells characterized by their production of interleukin (IL)-17. We demonstrate that Th17 cells also expressed IL-22, an IL-10 family member, at substantially higher amounts than T helper (Th)1 or Th2 cells. Similar to IL-17A, IL-22 expression was initiated by transforming growth factor β signaling in the context of IL-6 and other proinflammatory cytokines. The subsequent expansion of IL-22–producing cells was dependent on IL-23. We further demonstrate that IL-22 was coexpressed in vitro and in vivo with both IL-17A and IL-17F. To study a functional relationship among these cytokines, we examined the expression of antimicrobial peptides by primary keratinocytes treated with combinations of IL-22, IL-17A, and IL-17F. IL-22 in conjunction with IL-17A or IL-17F synergistically induced the expression of β-defensin 2 and S100A9 and additively enhanced the expression of S100A7 and S100A8. Collectively, we have identified IL-22 as a new cytokine expressed by Th17 cells that synergizes with IL-17A or IL-17F to regulate genes associated with skin innate immunity