Implied volatility, Nonparametric regression,

An individual investor has to decide how to allocate his/her savings from a retirement perspective. This problem covers a long-term horizon. In this paper we consider a 40-year horizon formulating a multi-criteria multistage program with stochastic dominance constraints in an intermediate stage and in the final stage. As we are dealing with a real problem and we have formulated the model in cooperation with a commercial Italian bank, the intermediate stage corresponds to a possible withdrawal allowed by the Italian pension system. The sources of uncertainty considered are: the financial returns, the interest rate evolution, the investor's salary process and a considerable withdrawal event. We include a set of portfolio constraints according to the pension plan regulation. The objective of the model is to minimize the Average Value at Risk Deviation (AV @RD) measure and to satisfy wealth goals. Three different wealth target formulations are considered: a deterministic wealth target (i.e. a comparison between the accumulated average wealth and a fixed threshold) and two stochastic dominance relations -the first order and the second order -introducing a benchmark portfolio and then requiring the optimal portfolio to dominate the benchmark. In particular, we prove that solutions obtained under stochastic dominance constraints ensure a safer allocation while still guaranteeing good returns. Moreover, we show how the withdrawal event affects the solution in terms of allocation in each of the three frameworks. Finally, the sensitivity and convergence of the stochastic solutions and computational issues are investigated.

Survivors after cardiac arrest (CA) due to AMI undergo PCI and then receive dual antiplatelet therapy. Mild therapeutic hypothermia (MTH) is recommended for unconscious patients after CA to improve neurological outcomes. MTH can attenuate the effectiveness of P2Y12 inhibitors by reducing gastrointestinal absorption and metabolic activation. The combined effect of these conditions on the efficacy of P2Y12 inhibitors is unknown. We compared the antiplatelet efficacies of new P2Y12 inhibitors in AMI patients after CA treated with MTH. Forty patients after CA for AMI treated with MTH and received one P2Y12 inhibitor (clopidogrel, prasugrel or ticagrelor) were enrolled in a prospective observational single-center study. Platelet inhibition was measured by VASP (PRI) on days 1, 2, and 3 after drug administration. In-hospital clinical data and 1-year survival data were obtained. The proportion of patients with ineffective platelet inhibition (PRI > 50 %, high on-treatment platelet reactivity) for clopidogrel, prasugrel, and ticagrelor was 77 vs. 19 vs. 1 % on day 1; 77 vs. 17 vs. 0 % on day 2; and 85 vs. 6 vs. 0 % on day 3 (P < 0.001). The platelet inhibition was significantly worse in clopidogrel group than in prasugrel or ticagrelor group. Prasugrel and ticagrelor are very effective for platelet inhibition in patients treated with MTH after CA due to AMI, but clopidogrel is not. Using prasugrel or ticagrelor seems to be a more suitable option in this high-risk group of acute patients.

No abstract

We develop and implement a Linear Programming test to analyze whether a given investment portfolio is efficient in terms of second-order stochastic dominance relative to all possible portfolios formed from a set of base assets. In case of efficiency, the primal model identifies a sub-gradient vector of a utility function that rationalizes the evaluated portfolio. In case of inefficiency, the dual model identifies a second, efficient portfolio that dominates the evaluated portfolio. The test gives a general necessary and sufficient condition, and can deal with general linear portfolio restrictions, inefficiency degree measures, and scenarios with unequal probabilities. We also develop a compact version of the test that substantially reduces computational burden at the cost of losing information about the dual dominating portfolio in case of inefficiency. An application to US investment benchmark data qualifies a broad stock market index as significantly inefficient, and suggests that no risk-averse investor would hold the market index in the face of attractive premiums offered by some more concentrated investment portfolios.