Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights

This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically multivariate framework. For the first time in the literature, it takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating the portfolio weights as well as that from estimating the multivariate dynamic model of asset returns make the existing methods in a univariate framework inapplicable. And it proposes a general theory to quantify estimation risk applicable to the present problem and suggests practitioners a simple but effective way to carry out valid inference to overcome the effect of estimation risk in backtesting portfolio VaR. A simulation exercise illustrates our theoretical findings. In application, a portfolio of three stocks is considered.

Examination of Dietary Patterns and FODMAPs Intake in Patients with Irritable Bowel Syndrome

Innovations in Healthcare (The Ohio State University Denman Undergraduate Research Forum)Background: Utilizing a food frequency questionnaire (FFQs) to determine current dietary practices of those with and without IBS allows the Registered Dietitian Nutritionist (RDN) to understand usual dietary intake as it related to FODMAP ingestion. Objective: To identify the average lactose, fructose, and polyol intake in people with and without IBS to gauge if there are differences in usual dietary intake. Methods: VioScreen™, a web-based FFQ, was offered to all patients attend a gastrointestinal outpatient clinic at the Ohio State University Wexner Medical Center to assess dietary patterns and lactose, fructose, and polyols intake. Those that completed the FFQ were stratified into those with and without IBS. Results: Participants (N=140) were included in this study. Mean age was 43.0 ± 15.5 years with an average BMI of 28.2 ± 7.4 kg/m2. No difference in the average fructose (36 g ± 38 vs 25 g ± 34; P = 0.156), lactose (14 g ± 10 vs 12 g ± 14; P = 0.655) and polyols (1 g ± 0.5 vs 1 g ± 0.6; P = 0.260) was detected between those with and without IBS. Conclusion: Patients with IBS do not consume significantly less fructose, lactose, and polyols compared to patients without IBS. Data suggests high-FODMAPs foods can trigger IBS symptoms. RDNs should evaluate the dietary patterns before the education of low-FODMAPs to ensure the education is targeting patient-specific high FODMAPs foods.Funding for this project supported by CTSA grant number (UL1TR002733)No embargoAcademic Major: Medical Dietetic

High-scale leptogenesis with three-loop neutrino mass generation and dark matter

We demonstrate a common origin for high-scale leptogenesis and three-loop neutrino mass generation. Specifically we extend the standard model by two real singlet scalars, two singly charged scalars carrying different lepton numbers and two or more singlet fermions with Majorana masses. Our model respects a softly broken lepton number and an exactly conserved $Z_2^{}$ discrete symmetry. Through the lepton-number-violating decays of the real scalars and then the lepton-number-conserving decays of the charged scalars, we can obtain a lepton asymmetry stored in the standard model leptons. This lepton asymmetry can be partially converted to a baryon asymmetry by the sphaleron processes. The interactions for this leptogenesis can also result in a three-loop diagram to generate the neutrino masses. The lightest singlet fermion can keep stable to serve as a dark matter particle.Comment: 4 pages, 2 figure