Current Portfolios Research Articles

Open Access Bacillus cereus Cocktail Secondary Growth Model for the Food Industry.

A cost-effective algorithm is presented, using a virtual dataset of growth rates from a cocktail of Bacillus cereus strains, for developing an open access, extended-range secondary growth model. Extended-range growth models can span the range of processing conditions typically used in food manufacturing and are therefore more relevant for industry. The open access extended-range secondary growth model for a cocktail of B. cereus strains was created using publicly available data, and the methodology can be adapted for modelling growth of other pathogens. An extended-range model can help manage B. cereus hazards in novel food categories with non-traditional formulations as estimations of B. cereus risks in these foods become more precise. This open access model, however, needs to be validated using data from B. cereus strain cocktails isolated from production facilities. Once validated, these independent factor models are valuable tools, in a pathogen decision support platform, which are tuned to local production environments. Such a platform can address the needs of current and future food product portfolios, effectively mitigating risks associated with B. cereus and other relevant pathogens.

Can multi-period auto-portfolio systems improve returns? Evidence from Chinese and U.S. stock markets

Current portfolios often underperform due to limited utilization of stock selection and a lack of attention to multi-period trading. To address this issue, we propose an auto-portfolio system that addresses these problems by integrating multi-class stock selection with portfolio optimization based on technical indicators. For stock selection, we combine Two-dimensional Convolutional Neural Network with Long and Short-term Memory to forecast the future trends of stocks and select potentially profitable stocks for investment. We then develop two portfolio models based on two technical indicators, which automatically perform multi-period investment. We establish a many-objective optimization problem including return, Conditional Value-at-Risk, skewness, kurtosis, and cost. To solve the optimization problem, we employ Non-dominated Sorting Genetic Algorithm III. The data of Chinese and the U.S. stock markets is used for verification, and a comparative analysis is discussed. In the out-of-sample period, two proposed multi-period portfolio models outperform the other models in both single and multi period, achieving higher Sharpe ratio of 1.021 and 1.052 in China, and 1.116 and 1.236 in the U.S., respectively.

Exploring the Perceptions and Behaviours of UK Prescribers Concerning Novel Lipid-Lowering Agent Prescriptions: A Qualitative Study.

Reducing low-density lipoprotein cholesterol levels lowers the risk of atherosclerotic cardiovascular disease. With the current and future portfolios of emerging lipid-lowering therapies included in various national and international guidelines, the objectives of this study were (i) to investigate the perceptions of UK prescribers', including doctors, pharmacists, and nurses, on current lipid management for cardiovascular diseases and prescriptions of novel lipid-lowering therapies, and (ii) to explore the challenges and facilitating factors of prescribing novel lipid-lowering therapies through qualitative interviews. Qualitative semi-structured interviews with twelve medical and non-medical prescribers were conducted, around 20-30 min in length. The interviews were audio-recorded and transcribed on an online platform. A thematic analysis was deployed. Four major themes emerged from the analysis: (1) prescribing barriers; (2) prescribing enablers; (3) inter-profession variability; and (4) health literacy. These themes highlighted the contrast between the need for optimal shared decision making and the various constraints in practice. Participants expressed their inexperience with novel lipid-lowering therapies and acknowledged the requirement and importance of these agents for primary cardiovascular disease prevention. Participants recognised confidence and competence as key drivers for prescribing therapies and welcomed further education and training to enhance their skillset. Patients' misconceptions towards current lipid-lowering therapies contributed to their refusal of newer agents, highlighting a requirement to improve patient education. Targeting communities through awareness campaigns was identified as a viable solution.

Realisation of responsive and sustainable reconfigurable manufacturing systems

There is a lack of a design method for the manufacturing system reconfiguration to cope with the changing demand and evolving production technologies while minimising energy consumption. The key drivers for the new industrial paradigm are flexibility and sustainable manufacturing, which have been studied independently in the prior research. The aim of this research is to study two drivers simultaneously by designing robust models and analysing manufacturing system configurations to achieve feasible solutions in any scenario that may arise due to evolving, incomplete, and unforeseen production requirements, while minimising energy usage during product manufacture. To achieve this goal, this research develops a robustly validated pre-emptive decision engineering framework (DEF) for the manufacturing system reconfiguration process to manage future uncertainty of future conditions and identifies current production vulnerabilities and alternative production portfolios. In this research, a robust RMS reconfiguration strategy is designed using a compromise decision support problem (cDSP), and decentralised decision-making designs are explored through the use of game theory. The findings provide a new production system for adaptable, responsive, and sustainable manufacturing processes in the dynamic global economy. These results can empower stakeholders to make timely design decisions that lead to significant cost savings and sustainable manufacturing.

RCML: A Novel Algorithm for Regressing Price Movement during Commodity Futures Stress Testing Based on Machine Learning

Stress testing, an essential part of the risk management toolkit of financial institutions, refers to the evaluation of a portfolio’s potential risk under an extreme, but plausible, scenario. The most representative method for performing stress testing is historical scenario simulation, which aims to evaluate historical adverse market events on the current portfolios of financial institutions. However, some current commodities were not listed in the commodity futures market at the time of the historical event, causing a lack of the necessary price information to revalue the current positions of these commodities. To avoid over reliance on human hypothesis for these non-existent commodity futures, we propose a novel approach, RCML, to infer reasonable price movements for commodities unlisted in historical events. Unlike the previous methods, based on subjective hypothesis, RCML takes advantage of not only machine learning algorithms, but also multi-view information. Back testing and hypothesis testing are adopted to prove the rationality of RCML results.

Food security under compound shocks: Can Lebanon produce its own Mediterranean food basket?

As Lebanon faces compound challenges, a looming food security crisis is rapidly approaching, much of which could be attributed to the lack of long-term planning for sustainability in its agricultural sector. The disconnect between decision-makers within the agricultural sector, and other interconnected sectors is exacerbated by the lack of integrative national platforms and methodologies for quantifying the trade-offs associated with possible interventions. This study aims to: (1) identify and quantify the critical interconnections between water, energy, nutrition, and food systems in Lebanon; (2) develop a framework to quantify the trade-offs associated with adopting interventions within current water, energy, and agriculture portfolios and practices; (3) evaluate producers' perceptions toward their willingness to implement proposed changes in crop production, renewable energy, and water reuse. Findings show that investing in locally producing Lebanon's needs of broad beans, lentils, chickpeas, and peas, results in cost savings, increased nutritional value in the locally produced basket, and reduced reliance on foreign markets. In turn, this comes at additional water, energy, land and carbon footprints which needs to be accounted for. Given the uncertainty of future currency conversion rates, it becomes more critical to identify a strategic food basket that could be produced locally to reduce reliance on imports. Conclusions from this study can play a role in informing policymaking and planning in Lebanon, which could be adapted and replicated in other countries in the MENA Region.

Securing access to innovative anticancer therapies for children, adolescents, and young adults outside clinical trials: The SACHA study of the French Society of Pediatric Oncology (SFCE).

10006 Background: Access to innovative anticancer therapies for children, adolescents and young adults within clinical trials in France is steadily increasing in the last years. However, current clinical trials portfolios are still inadequate and thus pediatric hemato-oncologists regularly prescribe innovative medicines outside their marketing authorization, and/or experimental drugs through compassionate use. Methods: The Secured Access to innovative medicines for CHildren with cAncer (SACHA) is a French prospective observational study developed by the French Society of Pediatric Oncology (SFCE) with Gustave Roussy as the legal sponsor to prospectively collect real-world safety and activity data of innovative therapies administered to patients ≤ 25 years-old with pediatric malignancies (solid tumor or leukemia) or other related conditions, either on compassionate use of experimental drugs or off-label use of anti-cancer medicines that have been first approved in adults after 2007. Prior to SACHA inclusion, multicenter tumor board discussion defining best available therapeutic options for each patient with a relapsed malignancy is mandatory. Results: The SACHA study opened in March 2020 and by February 2022, 283 patients have been included from 29/31 SFCE recruiting centers; median age: 11.0 years (range: 0.3-24.4). Main cancer types were central nervous system (CNS) tumors (47%), followed by non-CNS tumors (40%) and leukemias (13%). Innovative therapies prescribed in > 10 patients with reported objective response rate (ORR) and related CTCAE v.5 grade ≥2 clinical and/or grade ≥3 biological adverse drug reactions (ADRs) are described in Table. Conclusions: SACHA confirms the feasibility of this type of prospective real word registry, with a high participation of French centers. Based on this French experience, the Innovative Therapies for Children with Cancer (ITCC) consortium is currently developing a “SACHA International Project” to be opened in ITCC and collaborating countries. [Table: see text]

Efficacy of risk reducing diversification portfolio strategies among agro-pastoralists in semi-arid area: A modern portfolio theory approach

Agro-pastoralists in the tropical semi-arid dryland areas of Sub-Saharan Africa (SSA) are significantly affected by climate change and variability. Agro-pastoral families are coping with production-related climatic risks through livelihood diversification to ensure food security. Data were collected from a sample of 411 agro-pastoralists across five districts in the semi-arid northern and central regions of Tanzania through a survey conducted between November 2017 and July 2018. Secondary data regarding crop yields and livestock populations for eight years from 2009 to 2017 were collected from the National Bureau of Statistics and the respective District offices. Results show that about three-quarters of the agro-pastoralists managed diversified crop and livestock portfolios with two or more crops and animal species. However, simulated crop yields reveal positive correlations. Construction of integrated portfolios that generate good returns at a modest risk can be achieved through strategic choices between high-return, high-risk and low-return, low-risk crop and livestock activities. Thus, the paper recommends costly long-term breeding and genotype improvement programs, strategically changing the make-up of the current crop and livestock portfolios, which appear to be an affordable and tailored solution for building risk resilience among agro-pastoral communities in the drylands.

Fiber reinforced thermoplastics compounds for electromagnetic interference shielding applications

Market demands for lightweight and lower cost products drive manufacturers to improve current product portfolios. In the case of electronic devices, the most significant weight originates from the enclosure, traditionally in steel or aluminum, that ensures excellent mechanical and electromagnetic shielding performance. The use of thermoplastics filled with electrically conductive fibers, such as carbon or stainless steel, was investigated as a lightweight and cost-effective alternative to steel sheet for creating electromagnetic interference (EMI) shielding enclosures for electronic devices. This paper presents an EMI shielding analysis workflow for the development of plastic enclosures for an electronic device. The workflow starts by measuring the fiber-reinforced thermoplastic compounds shielding effectiveness (SE) with an experimental method in the 30 MHz–3 GHz frequency band. This analysis helps to filter a vast list of materials with a wide range of shielding performance, 20–100 dB, and allows to obtain empirical data for the second phase of the workflow, computer simulations. Simulations with experimentally adjusted material properties were used to validate the design concept of an enclosure in its early development phase. Results from this study showed that the selected material has better EMI SE performance than a steel sheet venting grid.

Household Wealth: Low-Yielding and Poorly Structured?

In this paper, we present a newly generated data set on real returns of households’ aggregated asset holdings, which adds additional and more sophisticated information to existing relevant datasets in the literature. To do this, we draw on various datasets from public and private sources and then transform and combine them in a consistent manner that allows for international comparative and intertemporal analyses. Based on this, we address two current debates on the development of household wealth in the euro area that have been triggered by the low-interest environment. The first debate refers to the development of real yields on household wealth from 2000 to 2018, whereas the second debate deals with the mean-variance efficiency of household portfolios. Contrary to widespread belief, we find that yields on total wealth, which were largely dominated by non-financial assets’ yields, were mostly positive, although they exhibit a declining trend. Moreover, on average, overall real yields were significantly lower after 2008. Referring to portfolio efficiency, we find that current portfolios seem to be comparatively close to mean-variance efficiency. If households were to optimize their portfolios despite limited room for improvement, holdings of equity and investment fund shares should be reduced, contradicting common recommendations of financial advisors.

Abstract IA02: The Compelling Imperative to Diversify Participation in Clinical Trials and Research

Abstract COVID 19 has brought race disparities to the forefront as part of a national dialogue and upset. Those of us that are people of color or do research in this space are not surprised. The reality is that despite the numerous reports and efforts that have so keenly highlighted race disparities and recommendations to address them, we have yet to truly move the needle to improve the health of black and brown people. Interestingly, COVID 19 has caused a national pivot among funding agencies to add research around COVID-19 to their current funding portfolios as enhancement awards or RFAs specific to the pandemic, quickly emerged requiring a rapid response. The value and need for this pivot given this monumental time in global health history is necessary. Yet to what extent are we thinking carefully and deliberately about the importance of diversity in our clinical research and trials to ensure our findings positively impact the populations who are hardest hit and carry the greatest burden of the disease, namely African Americans and other people of color. This a fundamental question and poses an opportunity for us to do something different than what has been our historical pattern. It is well documented that a lack of diverse participation in clinical research and trials is a national problem, where in most studies disproportionally engage white men and women more than any other race and ethnic group. For example, in a recent publication the authors found that 96% of prostate cancer research study participants are white men, in a disease in which black men have the highest incidence and mortality than any other race and ethnic group. National studies engage thousands of patients in clinical research, trials, registries and biobanks but on average have less than 20% of participants from underrepresented race and ethnic groups. This is a far cry from national representation of race and ethnic groups of color and has clear implications that in essence perpetuates the disparities we seek to reduce or eliminate. Lack of diversity in research participation limits our ability to accelerate research and improve population health more broadly. For example, it limits generalizability of findings from the development of effective therapeutics to dissemination and implementation of evidence-based methods to increase screening, treatment, and quality of care are critical, all critical points care points highlighted by COVID-19. It excludes or limits access to cutting edge and potentially life-saving therapies that may have the potential to ease the burden of disease and death for people of color. Essentially, access to clinical research and trials is a social justice and an equity issue and without deliberate and intentional diversity strategies being initiated as we develop and design studies, we are adding to the ongoing sickness and death or preventable diseases among people who are black and brown, this particularly true in the case of COVID 19, cancer and other chronic diseases. While diversity in clinical trials to improve population health and advance racial equity is critical, COVID 19 has presented added challenges and opportunities to address the lack of diversity in oncology clinical research, trials, and biobanking. The very nature of a pandemic requires rapid response, action with a heightened sense of urgency, and some would argue, fear of the unknown. Add these key factors to the well-known points that influence lack of diversity in clinical trials including race and ethnic minorities not being asked or informed about clinical trials, assumptions made by research teams that suggest implicit biases, lack of an overarching diversity strategy embedded in recruitment strategies, lack of accountability -despite the requirement to complete the minority enrollment table, and a paucity of authentic community and stakeholder partnerships that have the ability to build trust and bolster diversity in clinical research before, during and post the pandemic and across an array of diseases, the outcomes could seem dismal. However, addressing these key elements can yield invaluable outcomes, namely improved health and quality of life, preventing avoidable deaths, and equity. This presentation provides key recommendations to advance equity and move the needle in increasing diversity in oncology clinical research and trials, a national imperative. Citation Format: Nadine J. Barrett. The Compelling Imperative to Diversify Participation in Clinical Trials and Research [abstract]. In: Proceedings of the AACR Virtual Conference: Thirteenth AACR Conference on the Science of Cancer Health Disparities in Racial/Ethnic Minorities and the Medically Underserved; 2020 Oct 2-4. Philadelphia (PA): AACR; Cancer Epidemiol Biomarkers Prev 2020;29(12 Suppl):Abstract nr IA02.

Effects of diversification on bank efficiency: Evidence from Shinkin banks in Japan

This study investigates whether diversification leads to improved performance in Shinkin banks, a representative cooperative financial institution in Japan. Shinkin banks’ soundness is important for the regional financial system on which small- and medium-sized enterprises depend. We consider loan and income diversification and use four measures of portfolio concentration. We find that loan and income portfolio concentrations increase inefficiency, regardless of concentration measures. These findings suggest the importance of Shinkin banks changing their current portfolios, which skew toward mortgage loans and the real estate sector. Furthermore, excessive convergence of the income structure across Shinkin banks reduces efficiency.

A espiral de antisseleção no mercado brasileiro de planos de saúde individuais

The anti-selection in the health insurance market can be a perverse phenomenon and compromising the balance of the insurance portfolio. The possibility of growing this effect is associated with the measures to guarantee the renewal of the policy and to establish a cross subsidy between the types of risks. The objective is to evaluate possible effects of the introduction of popular healthcare insurance plans in the Brazilian individual health insurance market. The results did not suggest the presence of intergenerational subsidies. But if it would be introduced products with more competitive relative prices than the current ones, the anti-selective movement of policyholders is such that it jeopardizes, without exception. Therefore, there is evidence of a clear spiral movement with deterioration of current portfolios.

Rethinking Exploration

“Down but not out” is how Westwood Global Energy Group described exploration drilling in an article based on its State of Exploration 2020 Report. The Baker Hughes rig count provides supporting details. On 12 May, the data showed 339 active rigs in the United States - the lowest level since the rig count was introduced in 1987. On 1 June, the US count plunged to 301 in its 12th week of losses. At the worst of the 2014-2016 oil bust - the previous lowest point on record - 404 rigs were operating. The worldwide rig count for May was 1,176, down 338 from the 1,514 counted in April and down 1,006 from the 2,182 counted in May 2019. And, Rystad predicted on 28 May that more than half of the world’s planned licensing rounds for 2020 are likely to be canceled. The consensus among industry experts is that exploration will be hit by some of the deepest cuts inflicted by the coronavirus pandemic, the biggest oil market crash in history, and the transition to a low-carbon energy future. The silver lining is that there is still a business case for exploration despite these difficult times. Julie Wilson, director of global exploration research for Wood Mackenzie, said in a recent virtual panel discussion that the role of exploration in replacing supply sources in current portfolios with “new and better” barrels of oil equivalent (BOE) will continue over the next 20 years. But for explorers to prosper, those barrels will need to be low in cost and emissions. Rude Awakening For the exploration sector, 2020 began with a degree of cautious optimism and increasing activity. Confidence had returned with improved performance, the highest commercial success rate (CSR) in 10 years, and the discovery in 2019 of several multi-billion-barrel plays. Explorers were keenly aware of challenges ahead, including investability, capital efficiency, the risks of exploring in deep water, and societal pressure to move toward energy transition. But, the overall outlook was for another 30 years of profitable exploration. At the start of the year, the high-impact well count had been expected to be similar or slightly higher than the 93 wells completed in 2019. Westwood now expects around 60 to 70 high-impact exploration wells to be completed by the end of 2020, a decline of up to 35% and back to the numbers and volumes seen from 2016 to 2018 following the 2014 oil price crash. In the Gulf of Mexico (GOM), the number of executed high-impact wells has declined from 34 to 15, all in deep water. Seven of those have been spudded. For independent GOM explorers, the number of expected wells went from 13 to one, as companies decided to focus their bare-minimum budgets on near-term production.

The scientific and technological cross-space: Is technological diversification driven by scientific endogenous capacity?

The principle of relatedness allows us to explore the likelihood that territories diversify their current technological portfolios based on the global co-occurrence patterns of technologies. Countries that excel at developing semiconductors should develop mobile phones because both technologies require similar endogenous capacities, including scientific knowledge. However, thus far, studies have been mostly limited to the knowledge common base assumption and have not questioned enough whether different scientific endogenous capacities may be behind similar diversification performances. To address this question, we introduce the concept of scientific and technological cross-density, which we define as the average proximity of a new potential technology to a country's scientific and technological portfolio. To conceptualize and measure the effect that scientific and technological cross-density may have on technological diversification, we applied a two-stage methodology to a sample of 182 countries during the 1988–2014 period. First, we build a network, the science and technology cross-space, (sci-tech cross-space), which relates knowledge and technologies based on co-occurrence values. Second, we estimate the effect of scientific-technological cross-density and technological density on technological diversification at the country level. We find that the more a new technology is related to a country's scientific portfolio, the greater its entry probability; additionally, the effect of technological density on technological diversification is greater than the effect of scientific and technological density.

Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?

Studies on the environmental, social, and governance (ESG) index have become increasingly important since the ESG index offers attractive characteristics, such as environmental friendliness. Scholars and institutional investors are evaluating if investment in the ESG index can positively change current portfolios. It is crucial that institutional investors seek related assets to diversify their investments when such investors create funds in the renewable energy sector, which is highly related to environmental issues. The ESG index has proven to be a good investment choice, but we are not aware of its performance when combined with renewable energy securities. To uncover this nature, we investigate the dependence structure of the ESG index and four renewable energy indices with constant and time-varying copula models and evaluate the potential performance of using different ratios of the ESG index in the portfolio. Criteria such as risk-adjusted return, standard deviation, and conditional value-at-risk (CVaR) show that the ESG index can provide satisfactory results in lowering the potential CVaR and maintaining a high return. A goodness-of-fit test is then used to ensure the results obtained from the copula models.

Asymmetric impact of energy consumption and economic growth on ecological footprint: Using asymmetric and nonlinear approach

The main objective of this article is to examine the impacts of energy consumption and economic growth on environmental quality in Pakistan. We use the ecological footprint (environmental quality) as a target variable, the control variables of gross domestic products are a proxy of economic growth, and energy consumption and gross fixed capital formation are proxies of capital from 1971 to 2014. For this purpose, a unit root test with break dates is employed for a stationary check, and a BDS test is used for nonlinearity. The nonlinear autoregressive distributed lag approach is employed to assess the asymmetric co-integration among the variables. These results confirm the asymmetric co-integration among the variables. The asymmetric causality technique is also applied to scrutinize the causal link between the variables. The asymmetric feedback effect is observed between positive shocks to environmental quality and energy consumption, and symmetrically, environmental quality causes energy consumption. By contrast, the neutral effect is observed among environmental quality, economic growth, and capital. Based on these findings, current energy portfolios should be diversified by either enhancing or incorporating renewable energy technologies, and this is indispensable to support the existing successful strides of environmental policies. Thus, policymakers must buttress their commitments to reduce emissions by sustaining and decarbonizing the trajectory of economic growth.

Information System Strategic Planning at PT EP-TEC Solutions Indonesia

This research aimed to analyze the internal and external environment of business and information system /information technology (IS/IT), to identify current and future application portfolios, and to develop an Information System Strategic Planning to achieve the vision, mission, and objectives of PT EP-TEC Solutions Indonesia. The data were obtained from the results of interviews, observations, literature study, questionnaires, and analysis of the company’s internal documents. Data were taken from interviewing and questionnaires that were ten managerial levels of 50 employees at PT EP-TEC Solutions Indonesia. The weight on the SWOT IFAS and EFAS matrix used a pairwise comparison method. The method applied descriptive method by using the Information System Strategic Planning framework from Ward and Peppard. The analytical tools used Porter’s Five Forces, PEST, SWOT, Value Chain, IT Balance Scorecard, and McFarlan Strategic Grid. The results of this research indicate that future application portfolio recommendation that supports SI business strategies, IS/IT management strategies, and IT strategies that can help PT EP-TEC Solutions Indonesia in achieving strategic goals. From these results, it can be concluded that there are several proposals for applications, security tools, profiles of knowledge and skills, and recommendations for IS/IT infrastructure that can be applied in the company.

The Population Accuracy Index: A New Measure of Population Stability for Model Monitoring

Risk models developed on one dataset are often applied to new data and, in such cases, it is prudent to check that the model is suitable for the new data. An important application is in the banking industry, where statistical models are applied to loans to determine provisions and capital requirements. These models are developed on historical data, and regulations require their monitoring to ensure they remain valid on current portfolios—often years since the models were developed. The Population Stability Index (PSI) is an industry standard to measure whether the distribution of the current data has shifted significantly from the distribution of data used to develop the model. This paper explores several disadvantages of the PSI and proposes the Prediction Accuracy Index (PAI) as an alternative. The superior properties and interpretation of the PAI are discussed and it is concluded that the PAI can more accurately summarise the level of population stability, helping risk analysts and managers determine whether the model remains fit-for-purpose.

The Geography of Information Acquisition

Using detailed data about company visits by Chinese mutual funds, we provide direct evidence of mutual fund information acquisition activities and the consequent informational advantages mutual funds establish in local firms. Mutual funds are more likely to visit local and nearby firms, though ease of travel between fund and firm locations alleviates geographic distance constraints. Company visits by mutual funds are related to both fund trading activities and fund trading performance. The relation between company visits and fund trading performance is particularly strong in newly initiated stock positions. Consistent with this result, we find evidence of intensive information acquisition by mutual funds in stocks not in their current portfolios. Our results suggest that mutual fund local preference in portfolio choice is at least partially driven by geographic constraints of information acquisition and the ensuing information asymmetry.