| 1. |
- Ademuyiwa, Adesoji O., et al.
(författare)
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Determinants of morbidity and mortality following emergency abdominal surgery in children in low-income and middle-income countries
- 2016
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Ingår i: BMJ Global Health. - : BMJ Publishing Group Ltd. - 2059-7908. ; 1:4
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Tidskriftsartikel (refereegranskat)abstract
- Background: Child health is a key priority on the global health agenda, yet the provision of essential and emergency surgery in children is patchy in resource-poor regions. This study was aimed to determine the mortality risk for emergency abdominal paediatric surgery in low-income countries globally.Methods: Multicentre, international, prospective, cohort study. Self-selected surgical units performing emergency abdominal surgery submitted prespecified data for consecutive children aged <16 years during a 2-week period between July and December 2014. The United Nation's Human Development Index (HDI) was used to stratify countries. The main outcome measure was 30-day postoperative mortality, analysed by multilevel logistic regression.Results: This study included 1409 patients from 253 centres in 43 countries; 282 children were under 2 years of age. Among them, 265 (18.8%) were from low-HDI, 450 (31.9%) from middle-HDI and 694 (49.3%) from high-HDI countries. The most common operations performed were appendectomy, small bowel resection, pyloromyotomy and correction of intussusception. After adjustment for patient and hospital risk factors, child mortality at 30 days was significantly higher in low-HDI (adjusted OR 7.14 (95% CI 2.52 to 20.23), p<0.001) and middle-HDI (4.42 (1.44 to 13.56), p=0.009) countries compared with high-HDI countries, translating to 40 excess deaths per 1000 procedures performed.Conclusions: Adjusted mortality in children following emergency abdominal surgery may be as high as 7 times greater in low-HDI and middle-HDI countries compared with high-HDI countries. Effective provision of emergency essential surgery should be a key priority for global child health agendas.
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| 3. |
- Bodnar, Taras, et al.
(författare)
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Bayesian portfolio selection using VaR and CVaR
- 2022
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Ingår i: Applied Mathematics and Computation. - : Elsevier BV. - 0096-3003 .- 1873-5649. ; 427
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Tidskriftsartikel (refereegranskat)abstract
- We study the optimal portfolio allocation problem from a Bayesian perspective using value at risk (VaR) and conditional value at risk (CVaR) as risk measures. By applying the posterior predictive distribution for the future portfolio return, we derive relevant quantities needed in the computations of VaR and CVaR, and express the optimal portfolio weights in terms of observed data only. This is in contrast to the conventional method where the optimal solution is based on unobserved quantities which are estimated. We also obtain the expressions for the weights of the global minimum VaR (GMVaR) and global minimum CVaR (GMCVaR) portfolios, and specify conditions for their existence. It is shown that these portfolios may not exist if the level used for the VaR or CVaR computation are too low. By using simulation and real market data, we compare the new Bayesian approach to the conventional plug-in method by studying the accuracy of the GMVaR portfolio and by analysing the estimated efficient frontiers. It is concluded that the Bayesian approach outperforms the conventional one, in particular at predicting the out-of-sample VaR.
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| 4. |
- Bodnar, Taras, 1979-, et al.
(författare)
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Dynamic shrinkage estimation of the high-dimensional minimum-variance portfolio
- 2023
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Ingår i: IEEE Transactions on Signal Processing. - 1053-587X .- 1941-0476. ; 71, s. 1334-1349
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, new results in random matrix theory are derived, which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage target is determined as the holding portfolio estimated from previous data. The theoretical findings are applied to develop theory for dynamic estimation of the GMV portfolio, where the new estimator of its weights is shrunk to the holding portfolio at each time of reconstruction. Both cases with and without overlapping samples are considered in the paper. The non-overlapping samples corresponds to the case when different data of the asset returns are used to construct the traditional estimator of the GMV portfolio weights and to determine the target portfolio, while the overlapping case allows intersections between the samples. The theoretical results are derived under weak assumptions imposed on the data-generating process. No specific distribution is assumed for the asset returns except from the assumption of finite 4+ε, ε>0, moments. Also, the population covariance matrix with unbounded largest eigenvalue can be considered. The performance of new trading strategies is investigated via an extensive simulation. Finally, the theoretical findings are implemented in an empirical illustration based on the returns on stocks included in the S&P 500 index.
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| 5. |
- Bodnar, Taras, 1979-, et al.
(författare)
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Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
- 2023
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Ingår i: Finance Research Letters. - : Elsevier BV. - 1544-6123 .- 1544-6131. ; 54
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Tidskriftsartikel (refereegranskat)abstract
- The main contribution of this paper is the derivation of the asymptotic behavior of the out-of-sample variance, the out-of-sample relative loss, and of their empirical counterparts in the high-dimensional setting, i.e., when both ratios p/n and p/n tend to some positive constants as ? → ∞ and ? → ∞, where p is the portfolio dimension, while n and m are the sample sizes from the in-sample and out-of-sample periods, respectively. The results are obtained for the traditional estimator of the global minimum variance (GMV) portfolio and for the two shrinkage estimators introduced by Frahm and Memmel (2010) and Bodnar et al. (2018). We show that the behavior of the empirical out-of-sample variance may be misleading in many practical situations, leading, for example, to a comparison of zeros. On the other hand, this will never happen with the empirical out-of-sample relative loss, which seems to provide a natural normalization of the out-of-sample variance in the high-dimensional setup. As a result, an important question arises if the out-of-sample variance can safely be used in practice for portfolios constructed from a large asset universe.
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| 7. |
- Bodnar, Taras, et al.
(författare)
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Quantile-based optimal portfolio selection
- 2021
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Ingår i: Computational Management Science. - : Springer Science and Business Media LLC. - 1619-697X .- 1619-6988. ; :18, s. 299-324
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Tidskriftsartikel (refereegranskat)abstract
- In this paper the concept of quantile-based optimal portfolio selection is introduced and a specific portfolio connected to it, the conditional value-of-return (CVoR) portfolio, is proposed. The CVoR is defined as the mean excess return or the conditional value-at-risk (CVaR) of the return distribution. The portfolio selection consists solely of quantile-based risk and return measures. Financial institutions that work in the context of Basel 4 use CVaR as a risk measure. In this regulatory framework sufficient and necessary conditions for optimality of the CVoR portfolio are provided under a general distributional assumption. Moreover, it is shown that the CVoR portfolio is mean-variance efficient when the returns are assumed to follow an elliptically contoured distribution. Under this assumption the closed-form expression for the weights and characteristics of the CVoR portfolio are obtained. Finally, the introduced methods are illustrated in an empirical study based on monthly data of returns on stocks included in the S&P index. It is shown that the new portfolio selection strategy outperforms several alternatives in terms of the final investor wealth.
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| 9. |
- Bodnar, Taras, et al.
(författare)
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Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- 2022
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Ingår i: Random Matrices. Theory and Applications. - 2010-3263. ; 11:01
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Tidskriftsartikel (refereegranskat)abstract
- Optimal portfolio selection problems are determined by the (unknown) parameters of the data generating process. If an investor wants to realize the position suggested by the optimal portfolios, he/she needs to estimate the unknown parameters and to account for the parameter uncertainty in the decision process. Most often, the parameters of interest are the population mean vector and the population covariance matrix of the asset return distribution. In this paper, we characterize the exact sampling distribution of the estimated optimal portfolio weights and their characteristics. This is done by deriving their sampling distribution by its stochastic representation. This approach possesses several advantages, e.g. (i) it determines the sampling distribution of the estimated optimal portfolio weights by expressions, which could be used to draw samples from this distribution efficiently; (ii) the application of the derived stochastic representation provides an easy way to obtain the asymptotic approximation of the sampling distribution. The later property is used to show that the high-dimensional asymptotic distribution of optimal portfolio weights is a multivariate normal and to determine its parameters. Moreover, a consistent estimator of optimal portfolio weights and their characteristics is derived under the high-dimensional settings. Via an extensive simulation study, we investigate the finite-sample performance of the derived asymptotic approximation and study its robustness to the violation of the model assumptions used in the derivation of the theoretical results.
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