| 1. |
- Lennartsson, Jan, 1981, et al.
(författare)
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Game intelligence in team sports
- 2015
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Ingår i: PLoS ONE. - : Public Library of Science (PLoS). - 1932-6203. ; 10:5
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Tidskriftsartikel (refereegranskat)abstract
- We set up a game theoretic framework to analyze a wide range of situations from team sports. A fundamental idea is the concept of potential ; the probability of the offense scoring the next goal minus the probability that the next goal is made by the defense. We develop categorical as well as continuous models, and obtain optimal strategies for both offense and defense. A main result is that the optimal defensive strategy is to minimize the maximum potential of all offensive strategies.
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| 2. |
- Larsson, Stig, 1952, et al.
(författare)
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Optimal closing of a pair trade with a model containing jumps
- 2010
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekström, Lindberg and Tysk studied the problem of optimally closing a pair trading strategy when the difference of the two assets is modelled by an Ornstein-Uhlenbeck process. In this paper we study the same problem, but the model is generalized to also include jumps. More precisely we assume that the above difference is an Ornstein-Uhlenbeck type process, driven by a Lévy process of finite activity. We prove a verification theorem and analyze a numerical method for the associated free boundary problem. We prove rigorous error estimates, which are used to draw some conclusions from numerical simulations.
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| 3. |
- Larsson, Stig, 1952, et al.
(författare)
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Optimal closing of a pair trade with a model containing jumps
- 2013
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Ingår i: Applications of Mathematics. - : Institute of Mathematics, Czech Academy of Sciences. - 0862-7940 .- 1572-9109. ; 58:3, s. 249-268
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Tidskriftsartikel (refereegranskat)abstract
- A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely used investment strategy in the financial industry. Recently, Ekström, Lindberg, and Tysk studied the problem of optimally closing a pair trading strategy when the difference of the two assets is modelled by an Ornstein-Uhlenbeck process. In the present work the model is generalized to also include jumps. More precisely, we assume that the difference between the assets is an Ornstein-Uhlenbeck type process, driven by a Levy process of finite activity. We prove a necessary condition for optimality (a so-called verification theorem), which takes the form of a free boundary problem for an integro-differential equation. We analyze a finite element method for this problem and prove rigorous error estimates, which are used to draw conclusions from numerical simulations. In particular, we present strong evidence for the existence and uniqueness of an optimal solution.
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| 4. |
- Malinovschi, Andrei, 1978-, et al.
(författare)
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Consequences of Using Post- or Prebronchodilator Reference Values in Interpreting Spirometry
- 2023
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Ingår i: American Journal of Respiratory and Critical Care Medicine. - : American Thoracic Society. - 1073-449X .- 1535-4970. ; 208:4, s. 461-471
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Tidskriftsartikel (refereegranskat)abstract
- RATIONALE: Post-bronchodilator (BD) spirometry is used for diagnosis of chronic obstructive pulmonary disease (COPD). However, pre-BD reference values are used for spirometry interpretation.OBJECTIVES: To compare the resulting prevalence rates of abnormal spirometry and study the consequences of using pre- or post-BD reference values generated within the Swedish CArdioPulmonary bioImage Study (SCAPIS) when interpreting post-BD spirometry in a general population.METHODS: SCAPIS reference values for post-BD and pre-BD spirometry were based on 10,156 and 1,498 never-smoking, healthy participants, respectively. We studied the associations of abnormal spirometry, defined by using pre- or post-BD reference values, with respiratory burden in the SCAPIS general population (28,851 individuals).MEASUREMENTS AND MAIN RESULTS: Bronchodilation resulted in higher predicted median and lower limit of normal (LLN) for FEV1/FVC ratio. The prevalence of post-BD FEV1/FVC < pre-bronchodilator LLN was 4.8% and that of post-BD FEV1/FVC < post-bronchodilator LLN was 9.9% for the general population. An additional 5.1% was identified as having an abnormal post-BD FEV1/FVC ratio and this group had more respiratory symptoms, emphysema (13.5% vs. 4.1%, p<0.001) and self-reported physician-diagnosed COPD (2.8% vs. 0.5%, p<0.001) than subjects with post-BD FEV1/FVC ratio > LLN for both pre- and post-bronchodilation).CONCLUSIONS: Pre- and post-bronchodilator spirometry reference values differ with regard to FEV1/FVC ratio. Use of post-bronchodilator reference values doubled the population prevalence of airflow obstruction; this was related to a higher respiratory burden. Using post-bronchodilator reference values when interpreting post-bronchodilator spirometry might enable identification of individuals with mild disease and be clinically relevant.
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| 5. |
- Torén, Kjell, 1952, et al.
(författare)
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Chronic airflow limitation and its relation to respiratory symptoms among ever-smokers and never-smokers: a cross-sectional study
- 2020
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Ingår i: Bmj Open Respiratory Research. - : BMJ. - 2052-4439. ; 7:1
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Tidskriftsartikel (refereegranskat)abstract
- Background The diagnosis of chronic obstructive pulmonary disease is based on the presence of persistent respiratory symptoms and chronic airflow limitation (CAL). CAL is based on the ratio of forced expiratory volume in 1 s to forced vital capacity (FEV1:FVC) after bronchodilation, and FEV1:FVC less than the fifth percentile is often used as a cut-off for CAL. The aim was to investigate if increasing percentiles of FEV1:FVC were associated withany respiratory symptom(cough with phlegm, dyspnoea or wheezing) in a general population sample of never-smokers and ever-smokers. Methods In a cross-sectional study comprising 15 128 adults (50-64 years), 7120 never-smokers and 8008 ever-smokers completed a respiratory questionnaire and performed FEV(1)and FVC after bronchodilation. We calculated theirz-scores for FEV1:FVC and defined the fifth percentile using the Global Lung Function Initiative (GLI) reference value, GLI(5)and increasing percentiles up to GLI(25). We analysed the associations between different strata of percentiles and prevalence ofany respiratory symptomusing multivariable logistic regression for estimation of OR. Results Among all subjects, regardless of smoking habits, the odds ofany respiratory symptomwere elevated up to the GLI(15-20)strata. Among never-smokers, the odds ofany respiratory symptomwere elevated at GLI(<5)(OR 3.57, 95% CI 2.43 to 5.23) and at GLI(5-10)(OR 2.57, 95% CI 1.69 to 3.91), but not at higher percentiles. Among ever-smokers, the odds ofany respiratory symptomwere elevated from GLI(<5)(OR 4.64, 95% CI 3.79 to 5.68) up to GLI(>= 25)(OR 1.33, 95% CI 1.00 to 1.75). Conclusions The association between percentages of FEV1:FVC and respiratory symptoms differed depending on smoking history. Our results support a higher percentile cut-off for FEV1:FVC for never-smokers and, in particular, for ever-smokers.
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| 6. |
- Ekström, Erik, et al.
(författare)
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Optimal liquidation of a call spread
- 2010
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Ingår i: Journal of Applied Probability. - 0021-9002 .- 1475-6072. ; 47:2, s. 586-593
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Tidskriftsartikel (refereegranskat)abstract
- We study the optimal liquidation strategy for a call spread in the case when an investor, who does not hedge, believes in a volatility that differs from the implied volatility. The liquidation problem is formulated as an optimal stopping problem, which we solve explicitly. We also provide a sensitivity analysis with respect to the model parameters.
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| 7. |
- Ekström, Magnus, et al.
(författare)
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Exertional breathlessness related to medical conditions in middle-aged people: the population-based SCAPIS study of more than 25,000 men and women.
- 2024
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Ingår i: Respiratory research. - : BioMed Central (BMC). - 1465-993X .- 1465-9921. ; 25:1
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Tidskriftsartikel (refereegranskat)abstract
- Breathlessness is common in the population and can be related to a range of medical conditions. We aimed to evaluate the burden of breathlessness related to different medical conditions in a middle-aged population.Cross-sectional analysis of the population-based Swedish CArdioPulmonary bioImage Study of adults aged 50-64years. Breathlessness (modified Medical Research Council [mMRC]≥2) was evaluated in relation to self-reported symptoms, stress, depression; physician-diagnosed conditions; measured body mass index (BMI), spirometry, venous haemoglobin concentration, coronary artery calcification and stenosis [computer tomography (CT) angiography], and pulmonary emphysema (high-resolution CT). For each condition, the prevalence and breathlessness population attributable fraction (PAF) were calculated, overall and by sex, smoking history, and presence/absence of self-reported cardiorespiratory disease.We included 25,948 people aged 57.5±[SD] 4.4; 51% women; 37% former and 12% current smokers; 43% overweight (BMI 25.0-29.9), 21% obese (BMI≥30); 25% with respiratory disease, 14% depression, 9% cardiac disease, and 3% anemia. Breathlessness was present in 3.7%. Medical conditions most strongly related to the breathlessness prevalence were (PAF 95%CI): overweight and obesity (59.6-66.0%), stress (31.6-76.8%), respiratory disease (20.1-37.1%), depression (17.1-26.6%), cardiac disease (6.3-12.7%), anemia (0.8-3.3%), and peripheral arterial disease (0.3-0.8%). Stress was the main factor in women and current smokers.Breathlessness mainly relates to overweight/obesity and stress and to a lesser extent to comorbidities like respiratory, depressive, and cardiac disorders among middle-aged people in a high-income setting-supporting the importance of lifestyle interventions to reduce the burden of breathlessness in the population.
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| 8. |
- Lennartsson, Jan, 1981, et al.
(författare)
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Merton’s problem for an investor with a benchmark in a Barndorff-Nielsen and Shephard market
- 2015
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Ingår i: SpringerPlus. - : Springer Science and Business Media LLC. - 2193-1801. ; 4:1
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Tidskriftsartikel (refereegranskat)abstract
- To try to outperform an externally given benchmark with known weights is the most common equity mandate in the financial industry. For quantitative investors, this task is predominantly approached by optimizing their portfolios consecutively over short time horizons with one-period models. We seek in this paper to provide a theoretical justification to this practice when the underlying market is of Barndorff-Nielsen and Shephard type. This is done by verifying that an investor who seeks to maximize her expected terminal exponential utility of wealth in excess of her benchmark will in fact use an optimal portfolio equivalent to the one-period Markowitz mean-variance problem in continuum under the corresponding Black-Scholes market. Further, we can represent the solution to the optimization problem as in Feynman-Kac form. Hence, the problem, and its solution, is completely analogous to Merton’s classical portfolio problem, with the main difference that Merton (1969) maximizes expected utility of terminal wealth, not wealth in excess of a benchmark.
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| 9. |
- Lindberg, Carl, 1978
(författare)
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A note on contracts on quadratic variation
- 2017
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Ingår i: PLoS ONE. - : Public Library of Science (PLoS). - 1932-6203. ; 12:3
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Tidskriftsartikel (refereegranskat)abstract
- Given a Black stochastic volatility model for a future F, and a function g, we show that the price of 1/2 ∫T0 g(t, F(t))F2(t) σ2.(t).dt can be represented by portfolios of put and call options. This generalizes the classical representation result for the variance swap. Further, in a local volatility model, we give an example based on Dupire's formula which shows how the theorem can be used to design variance related contracts with desirable characteristics.
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| 10. |
- Lindberg, Carl, 1978, et al.
(författare)
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Error distributions for random grid approximations of multidimensional stochastic integrals
- 2013
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Ingår i: The Annals of Applied Probability. - 1050-5164. ; 23:2, s. 834-857
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Tidskriftsartikel (refereegranskat)abstract
- This paper proves joint convergence of the approximation error for several stochastic integrals with respect to local Brownian semimartingales, for nonequidistant and random grids. The conditions needed for convergence are that the Lebesgue integrals of the integrands tend uniformly to zero and that the squared variation and covariation processes converge. The paper also provides tools which simplify checking these conditions and which extend the range for the results. These results are used to prove an explicit limit theorem for random grid approximations of integrals based on solutions of multidimensional SDEs, and to find ways to "design" and optimize the distribution of the approximation error. As examples we briefly discuss strategies for discrete option hedging.
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