| 1. |
- Holgersson, Thomas, 1968-, et al.
(författare)
-
A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- 2020
-
Ingår i: AStA Advances in Statistical Analysis. - : Springer. - 1863-8171 .- 1863-818X. ; 104:1, s. 59-80
-
Tidskriftsartikel (refereegranskat)abstract
- The problem of how to determine portfolio weights so that the variance of portfolio returns is minimized has been given considerable attention in the literature, and several methods have been proposed. Some properties of these estimators, however, remain unknown, and many of their relative strengths and weaknesses are therefore difficult to assess for users. This paper contributes to the field by comparing and contrasting the risk functions used to derive efficient portfolio weight estimators. It is argued that risk functions commonly used to derive and evaluate estimators may be inadequate and that alternative quality criteria should be considered instead. The theoretical discussions are supported by a Monte Carlo simulation and two empirical applications where particular focus is set on cases where the number of assets (p) is close to the number of observations (n).
|
|
| 2. |
- Dai, Deliang, 1953-, et al.
(författare)
-
Expected and unexpected values of Individual Mahalanobis Distances
- 2017
-
Ingår i: Communications in Statistics - Theory and Methods. - : Taylor & Francis. - 0361-0926 .- 1532-415X. ; 46:18, s. 8999-9006
-
Tidskriftsartikel (refereegranskat)abstract
- This paper derives first-order sampling moments of individual Mahalanobis distances (MD) in cases when the dimension p of the variable is proportional to the sample size n. Asymptotic expected values when n, p → ∞ are derived under the assumption p/n → c, 0 ⩽ c < 1. It is shown that some types of standard estimators remain unbiased in this case, while others are asymptotically biased, a property that appears to be unnoticed in the literature. Second order moments are also supplied to give some additional insight to the matter.
|
|
| 3. |
- Eriksson, D, et al.
(författare)
-
Extended exome sequencing identifies BACH2 as a novel major risk locus for Addison's disease
- 2016
-
Ingår i: Journal of Internal Medicine. - : Wiley. - 0954-6820 .- 1365-2796. ; 286:6, s. 595-608
-
Tidskriftsartikel (refereegranskat)abstract
- BACKGROUND: Autoimmune disease is one of the leading causes of morbidity and mortality worldwide. In Addison's disease, the adrenal glands are targeted by destructive autoimmunity. Despite being the most common cause of primary adrenal failure, little is known about its aetiology.METHODS: To understand the genetic background of Addison's disease, we utilized the extensively characterized patients of the Swedish Addison Registry. We developed an extended exome capture array comprising a selected set of 1853 genes and their potential regulatory elements, for the purpose of sequencing 479 patients with Addison's disease and 1394 controls.RESULTS: We identified BACH2 (rs62408233-A, OR = 2.01 (1.71-2.37), P = 1.66 × 10(-15) , MAF 0.46/0.29 in cases/controls) as a novel gene associated with Addison's disease development. We also confirmed the previously known associations with the HLA complex.CONCLUSION: Whilst BACH2 has been previously reported to associate with organ-specific autoimmune diseases co-inherited with Addison's disease, we have identified BACH2 as a major risk locus in Addison's disease, independent of concomitant autoimmune diseases. Our results may enable future research towards preventive disease treatment.
|
|
| 4. |
- Ahnesjö, Jonas, 1969-, et al.
(författare)
-
Benefits of outdoor exercise and recovery outdoors in elderly
- 2019
-
Ingår i: HEPA Europe, Odense, Denmark, August 28-30, 2019. ; , s. 38-38
-
Konferensbidrag (refereegranskat)abstract
- Purpose: The purpose of this study was to test the hypothesis that the ”outdoors” has an added health effect on top of that of physical activity. This hypothesis is based on the fairly extensive volume of evidens suggesting that the outdoor environment is beneficial for overall health. We, however, consider most previous studies insufficiently designed in order to draw causal relationship between spending time outdoors and examined health parameters. In this study we state that our experimental design allows us to do just that. Methods:In this randomized cross-over experimental design, 49 healthy subjects (+65 years, 27 female) performed a standardized submaximal bike ergometer test in three different environments (indoors, simulated outdoors and outdoors). The test consisted of 20 minutes cycling and subjects were instructed to stay between 11-13 at the Borg RPE scale (i.e. moderate intensity). Each test was followed by two hours of passive recovery. We measured power output, heart rate, lactate and counts of five fractions (lymphocytes, monocytes, neutrophiles, basophiles and eosinophiles) of white blood cells (leukocytes) in circulation. Results:Our results revealed that the outdoor treatment resulted in higher levels of lactate, higher heart rate and higher power output despite that there were no differences in Borg RPE-rating between the treatments. The white blood cell analysis showed an increase of circulating leukocytes in almost all fractions immediately post exercise in all treatments. Numbers decreased rapidly post exercise and the lymphocyte numbers stayed well under baseline for more than one hour during recovery. This is referred to as an “open window” where the immune function is temporarily suppressed and there is an elevated risk of infection of primarily URTI. Conclusions:Our results not only suggest that exercise is more efficient out of doors such that more exercise/effort is obtained but also that recovery outdoors may be a way to decrease the risk of infections due to exercise induced immune suppression. The risk of getting an infection is known to be generally lower out of doors. Taken together, our results support the notion that exercising and spending time outdoors indeed is beneficial for health in senior citizens.
|
|
| 5. |
- Ahnesjö, Jonas, 1969-, et al.
(författare)
-
The effect of exercising in different environments on heart rate and power output among older adults–a randomized crossover study
- 2022
-
Ingår i: PLOS ONE. - : Public Library of Science. - 1932-6203. ; 17:11
-
Tidskriftsartikel (refereegranskat)abstract
- BackgroundA growing body of evidence suggests that exposure to nature is beneficial for human health. However, the observed health effect of nature may be mediated by physical activity and that humans are physically active at a higher intensity outdoors compared to when they are physical active indoors.ObjectiveThis study examines the variation of heart rate and power output for a fixed rating of perceived exertion in a group of healthy older adults in three different environments representing three levels of exposure to nature.MethodsTo this randomized, 3-by-3 crossover design study, healthy older adults (≥65 years) were recruited from local gyms. All participants participated in three experimental conditions; indoors, simulated outdoors and outdoor environments, in a randomized order. The participants exercised for 20 minutes at an intensity equivalent to a rating of 11–13 on the Borg scale for perceived exertion (RPE). Measurements of heart rate, power output (Watt) and ratings of perceived exertion were taken at minutes 1 to 6 and at minute 20. To examine the effect of the environment on heart rate and power, linear mixed models were used.ResultsIn all, 48 participants (56% females) were included in the analysis. No significant main effects on the outcomes were observed for power output (p = 0.073, η2 = 0.04) or heart rate (p = 0.067, η2 = 0.04)ConclusionNo significant effect on the outcomes was observed. However, borderline significant outcomes for power output or heart rate outdoors in nature, along with previous studies in the field, indicates that such an effect cannot be completely ruled out, but any effect is likely to be small. Future research examining health benefits of the independent exposure to nature are encouraged to adjust for the dose of physical activity.
|
|
| 6. |
- Carlsson, Lena M S, 1957, et al.
(författare)
-
Life expectancy after bariatric surgery or usual care in patients with or without baseline type 2 diabetes in Swedish Obese Subjects.
- 2023
-
Ingår i: International journal of obesity (2005). - 1476-5497. ; 47, s. 931-8
-
Tidskriftsartikel (refereegranskat)abstract
- To determine life expectancy and causes of death after bariatric surgery in relation to baseline type 2 diabetes (T2D) in the prospective, Swedish Obese Subjects study.The study included 2010 patients with obesity who underwent bariatric surgery and 2037 matched controls, eligible for surgery. The surgery group underwent gastric bypass (n=265), banding (n=376), or vertical banded gastroplasty (n=1369). The control group (n=2037) received usual obesity care. Causes of death were obtained from the Swedish Cause of Death Register, case sheets and autopsy reports, in patients with baseline T2D (n=392 surgery patients/n=305 controls) or non-T2D (n=1609 surgery patients/n=1726 controls) during a median follow-up 26 years.In T2D and non-T2D subgroups, bariatric surgery was associated with increased life expectancy (2.1, 95% confidence interval (95% CI) 0.2-4.0; and 1.6, 0.5-2.7 years, respectively) and reduced overall mortality (adjusted hazard ratio (adjHR)=0.77, 95% CI: 0.61-0.97; and 0.82, 0.72-0.94, respectively), and the treatment benefit was similar (interaction p=0.615). Bariatric surgery was associated with reduced cardiovascular mortality in both subgroups (adjHR=0.65, 95% CI: 0.46-0.91; and 0.70, 0.55-0.88, respectively (interaction p=0.516)).Bariatric surgery is associated with similar reduction of overall and cardiovascular mortality and increased life expectancy regardless of baseline diabetes status.
|
|
| 7. |
- Gustavsson, Johan, 1974, et al.
(författare)
-
High-speed 850-nm VCSELs for 40 Gb/s transmission
- 2010
-
Konferensbidrag (övrigt vetenskapligt/konstnärligt)abstract
- We have explored the possibility to extend the data transmission rate for standard 850-nm GaAs-based VCSELs beyond the 10 Gbit/s limit of today's commercially available directly-modulated devices. By sophisticated tailoring of the design for high-speed performance we demonstrate that 10 Gb/s is far from the upper limit. For example, the thermal conductivity of the bottom mirror is improved by the use of binary compounds, and the electrical parasitics are kept at a minimum by incorporating a large diameter double layered oxide aperture in the design. We also show that the intrinsic high speed performance is significantly improved by replacing the traditional GaAs QWs with strained InGaAs QWs in the active region. The best overall performance is achieved for a device with a 9 μm diameter oxide aperture, having in a threshold current of 0.6 mA, a maximum output power of 9 mW, a thermal resistance of 1.9 °C/mW, and a differential resistance of 80 Ω. The measured 3dB bandwidth exceeds 20 GHz, and we experimentally demonstrate that the device is capable of error-free transmission (BER
|
|
| 8. |
- Hulthén, Hana, et al.
(författare)
-
Supply forecasting using machine learning : a case study from FMCGs sector
- 2019
-
Ingår i: 31st Nofoma Conference, Supply Chains and Sustainable Development of Societies, Norwegian Business School, Oslo, June 12-14, 2019.
-
Konferensbidrag (refereegranskat)abstract
- PurposeIn fast moving consumer goods sector (FMCGs), manufacturers’ access to demand related data (e.g. point of sales data, lost sales, end-customer orders) is often limited making demand forecasting impossible. Instead, to enhance production planning, the manufacturers might base their DC supply forecasts on limited information including shipments from DC to wholesalers and retail stores. This is not optimal. To enhance the situation, the purpose is: (i) to propose a method of how manufacturers can use Machine Learning (ML) approach to improve supply forecasting to a DC if demand information is lacking, and (ii) to identify the demand information needed for demand forecasting supported by ML approach.Design/methodology/approachA single case study methodology of a manufacturer from FMCG sector, principle component analysis, and simple linear regression in R programming language is used. Also, linear regression using stochastic gradient descent optimization technique in Amazon ML is applied.Findings We propose a method of how FMCG manufacturers lacking demand data can utilize the ML approach to enhance supply forecasting, and identify needed demand related information to implement demand forecasting.Research limitations/implications (if applicable)The results are based on one case and need validation through more cases. Practical limitations/implications (if applicable)The results can be used by managers lacking demand related data to improve DC supply forecasting in FMCGs sector. Originality/valueThe results can contribute to the area of supply forecasting through ML.
|
|
| 9. |
- Karlsson, Peter S., 1968-, et al.
(författare)
-
A Liu estimator for the beta regression model and its application to chemical data
- 2020
-
Ingår i: Journal of Chemometrics. - : John Wiley & Sons. - 0886-9383 .- 1099-128X. ; 34:10, s. 1-16
-
Tidskriftsartikel (refereegranskat)abstract
- Abstract Beta regression has become a popular tool for performing regression analysis on chemical, environmental, or biological data in which the dependent variable is restricted to the interval [0, 1]. For the first time, in this paper, we propose a Liu estimator for the beta regression model with fixed dispersion parameter that may be used in several realistic situations when the degree of correlation among the regressors differs. First, we show analytically that the new estimator outperforms the maximum likelihood estimator (MLE) using the mean square error (MSE) criteria. Second, using a 'simulation study, we investigate the properties in finite samples of six different suggested estimators of the shrinkage parameter and compare it with the MLE. The simulation results indicate that in the presence of multicollinearity, the Liu estimator outperforms the MLE uniformly. Finally, using an empirical application on chemical data, we show the benefit of the new approach to applied researchers.
|
|
| 10. |
- Karlsson, Peter S., 1968-
(författare)
-
The Incompleteness Problem of the APT Model
- 2011
-
Ingår i: Computational Economics. - : Springer Science and Business Media LLC. - 0927-7099 .- 1572-9974. ; 38:2, s. 129-151
-
Tidskriftsartikel (refereegranskat)abstract
- The Arbitrage Pricing Theory provides a theory to quantify risk and thereward for taking it. While the theory itself is sound from most perspectives, its empirical version is connected with several shortcomings. One extremely delicate problemarises because the set of observable asset returns rarely has a history of complete observations. Traditionally, this problem has been solved by simply excluding assets withouta complete set of observations from the analysis. Unfortunately, such a methodologymay be shown to (i) lead for any fixed time period to selection bias in that only thelargest companies will remain and (ii) lead to an asymptotically empty set containingno observations at all. This paper discusses some possible solutions to this problemand also provides a case study containing Swedish OMX data for demonstration.
|
|
