•We present new theoretical insights into the DCA method and averaging style investment timing strategies with rigorous mathematics analysis.•We provide closed form formulae for the expected value ...and variance of the investor’s wealth process.•We prove a counterintuitive but important result that the frequency of DCA investment has a non monotonic and non trivial impact on risk, risk return trade-off.•Our results are relevant in: finance, insurance operational research, option pricing literature.
In this paper we present new theoretical and practical insights into the method of dollar cost averaging (DCA) and averaging-style investment timing strategies, with a formal analysis of the problem. Firstly, we provide a rigorous mathematical formulation for studying DCA and related strategies. This provides closed form formulae for the expected value and variance of the investor’s wealth process, which mathematically proves many properties that have been documented in the literature only by empirical studies. Secondly, we prove a counterintuitive, but important, result that the frequency of DCA investment has a non-monotonic and non-trivial impact on risk, risk-return trade-off and other important performance metrics (such as the Sharpe ratio).Thirdly, we provide a method of valuing the DCA risk for models which incorporate jumps. We also provide a method of hedging DCA risk based on applying Asian options. Finally, using the PROJ method of computation, we obtain a robust and computationally efficient method for calculating standard risk measures of generic and deterministic investment strategies, such as DCA. We provide numerical experiments to illustrate our conclusions, and conduct an empirical study on the S&P500 index (from 1954 to 2019) to substantiate our results.
Developments in the genome organisation field has resulted in the recent methodology to infer spatial conformations of the genome directly from experimentally measured genome contacts (Hi-C data). ...This provides a detailed description of both intra- and inter-chromosomal arrangements. Chromosomal intermingling is an important driver for radiation-induced DNA mis-repair. Which is a key biological endpoint of relevance to the fields of cancer therapy (radiotherapy), public health (biodosimetry) and space travel. For the first time, we leverage these methods of inferring genome organisation and couple them to nano-dosimetric radiation track structure modelling to predict quantities and distribution of DNA damage within cell-type specific geometries. These nano-dosimetric simulations are highly dependent on geometry and are benefited from the inclusion of experimentally driven chromosome conformations. We show how the changes in Hi-C contract maps impact the inferred geometries resulting in significant differences in chromosomal intermingling. We demonstrate how these differences propagate through to significant changes in the distribution of DNA damage throughout the cell nucleus, suggesting implications for DNA repair fidelity and subsequent cell fate. We suggest that differences in the geometric clustering for the chromosomes between the cell-types are a plausible factor leading to changes in cellular radiosensitivity. Furthermore, we investigate changes in cell shape, such as flattening, and show that this greatly impacts the distribution of DNA damage. This should be considered when comparing in vitro results to in vivo systems. The effect may be especially important when attempting to translate radiosensitivity measurements at the experimental in vitro level to the patient or human level.
Celotno besedilo
Dostopno za:
DOBA, IZUM, KILJ, NUK, PILJ, PNG, SAZU, SIK, UILJ, UKNU, UL, UM, UPUK
We present an efficient method for robustly pricing discretely monitored barrier and occupation time derivatives under exponential Lévy models. This includes ordinary barrier options, as well as ...(resetting) Parisian options, delayed barrier options (also known as cumulative Parisian or Parasian options), fader options and step options (soft-barriers), all with single and double barriers, which have yet to be priced with more general Lévy processes, including KoBoL (CGMY), Merton's jump diffusion and NIG. The method's efficiency is derived in part from the use of frame-projected transition densities, which transform the problem into the Fourier domain and accelerate the convergence of intermediate expectations. Moreover, these expectations are approximated by Toeplitz matrix-vector multiplications, resulting in a fast implementation. We devise an augmentation approach that contributes to the method's robustness, adding protection against mis-specifying a proper truncation support of the transition density. Theoretical convergence is verified by a series of numerical experiments which demonstrate the method's efficiency and accuracy.
This paper presents the first plasmid DNA irradiations carried out with Very High Energy Electrons (VHEE) over 100-200 MeV at the CLEAR user facility at CERN to determine the Relative Biological ...Effectiveness (RBE) of VHEE. DNA damage yields were measured in dry and aqueous environments to determine that ~ 99% of total DNA breaks were caused by indirect effects, consistent with other published measurements for protons and photons. Double-Strand Break (DSB) yield was used as the biological endpoint for RBE calculation, with values found to be consistent with established radiotherapy modalities. Similarities in physical damage between VHEE and conventional modalities gives confidence that biological effects of VHEE will also be similar-key for clinical implementation. Damage yields were used as a baseline for track structure simulations of VHEE plasmid irradiation using GEANT4-DNA. Current models for DSB yield have shown reasonable agreement with experimental values. The growing interest in FLASH radiotherapy motivated a study into DSB yield variation with dose rate following VHEE irradiation. No significant variations were observed between conventional and FLASH dose rate irradiations, indicating that no FLASH effect is seen under these conditions.
Sex differences in autistic symptomatology are believed to contribute to the mis- and missed diagnosis of many girls and women with an autism spectrum condition (ASC). Whilst recent years have seen ...the emergence of clinical and empirical reports delineating the profile of young autistic girls, recognition of sex differences in symptomatology in adulthood is far more limited.
We chose here to focus on symptomatology as reported using a screening instrument, the Ritvo Autism Asperger Diagnostic Scale-Revised (RAADS-R). In a meta-analysis, we pooled and analysed RAADS-R data from a number of experimental groups. Analysis of variance (ANOVA) searched for the presence of main effects of Sex and Diagnosis and for interactions between these factors in our sample of autistic and non-autistic adults.
In social relatedness and circumscribed interests, main effects of Diagnosis revealed that as expected, autistic adults reported significantly greater lifetime prevalence of symptoms in these domains; an effect of Sex, in circumscribed interests, also suggested that males generally reported more prevalent symptoms than females. An interaction of Sex and Diagnosis in language symptomatology revealed that a normative sex difference in language difficulties was attenuated in autism. An interaction of Sex and Diagnosis in the sensorimotor domain revealed the opposite picture: a lack of sex differences between typically developing men and women and a greater prevalence of sensorimotor symptoms in autistic women than autistic men.
We discuss the literature on childhood sex differences in relation to those which emerged in our adult sample. Where childhood sex differences fail to persist in adulthood, several interpretations exist, and we discuss, for example, an inherent sampling bias that may mean that only autistic women most similar to the male presentation are diagnosed. The finding that sensorimotor symptomatology is more highly reported by autistic women is a finding requiring objective confirmation, given its potential importance in diagnosis.
Relative Biological Effectiveness (RBE), the ratio of doses between radiation modalities to produce the same biological endpoint, is a controversial and important topic in proton therapy. A number of ...phenomenological models incorporate variable RBE as a function of Linear Energy Transfer (LET), though a lack of mechanistic description limits their applicability. In this work we take a different approach, using a track structure model employing fundamental physics and chemistry to make predictions of proton and photon induced DNA damage, the first step in the mechanism of radiation-induced cell death. We apply this model to a proton therapy clinical case showing, for the first time, predictions of DNA damage on a patient treatment plan. Our model predictions are for an idealised cell and are applied to an ependymoma case, at this stage without any cell specific parameters. By comparing to similar predictions for photons, we present a voxel-wise RBE of DNA damage complexity. This RBE of damage complexity shows similar trends to the expected RBE for cell kill, implying that damage complexity is an important factor in DNA repair and therefore biological effect.
Gully processes and gully dynamics Kirkby, M. J.; Bracken, L. J.
Earth surface processes and landforms,
30 November 2009, Letnik:
34, Številka:
14
Journal Article
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