A method of calculating the downside risk by fitting multivariate nonnormal distributions to financial data is proposed. Firstly, maximum likelihood method by using the random numbers of the Pearson distribution system are introduced. The rates of returns of the stock index are fitted to the multivariate nonnormal distributions by this method. Secondly, the cases of calculating the downside risk by the standard deviation, the percentile of historical simulation method and this method, are compared. 相似文献
Objectives: Atrial fibrillation (AF) affects an estimated 1.5 million individuals in Japan, increasing their stroke risk and imposing considerable costs on the Japanese healthcare system. To reduce stroke incidence, guidelines recommend using anticoagulants in moderate-to-high risk non-valvular AF (NVAF) patients; however, many patients receive no treatment, aspirin only, or remain poorly-controlled on vitamin K antagonists (VKAs) due to high VKA discontinuation rates and non-adherence to guidelines. A prevalence-based Markov model was developed to estimate the clinical and budgetary impact of treating these patients with XareltoTM (rivaroxaban, Bayer AG) in Japan.
Methods: Population, baseline risk of events, and associated management costs were estimated using data from Japanese publications where available. Treatment efficacy and safety were derived from published data and the J-ROCKET AF trial. Drug and physician visit costs were based on data from the Ministry of Health, Labor, and Welfare, the J-ROCKET AF trial, and Japanese clinical guidelines.
Results: This model demonstrates that increased use of rivaroxaban in inadequately-managed NVAF patients could avoid 456 081 non-fatal ischemic strokes (IS) and 76 975 cardiovascular deaths over 10 years in Japan. This clinical benefit offsets the increased incidence of myocardial infarctions and anticoagulant-related bleeding. Decreased event costs could lead to a ¥188.4 billion decrease in net spending over the analysis time horizon.
Conclusions: Introducing rivaroxaban may decrease the burden of NVAF in Japanese society. From a clinical perspective, the reduction in IS and embolic events outweighs the increased risk of anticoagulant-related bleeding; from an economic perspective, reduced event costs offset drug and physician visit costs, resulting in cost savings. 相似文献
The paper examines the current account of 41 major airports. When we exclude depreciation costs, only seven airports are profitable. When depreciation is excluded, only three airports are making profits. Airports managed by local governments are very difficult to sustain financially without subsidies. Airports with more than 5.2 million passengers are profitable when depreciation is taken into account, however most local airports have fewer than 2.5 million passengers. When depreciation costs are excluded, airports need at least 2.7 million passengers to be viable. 相似文献
The present paper provides a simple multiregional input–output model for waste analysis with which to estimate intraregional and interregional effects of industrial wastes embodied in regional final consumptions. The empirical analyses using 1995 nine-regions input–output tables reveals the regional properties of the interregional linkage effects. The Kanto and Kinki regions remarkably control the industrial waste emissions and waste landfills within their own regions by importing waste-intensive intermediate goods and services from the other regions. The Chugoku and Shikoku regions greatly contributed to the production of the waste-intensive goods and services for the other regions, considering the waste emissions and waste landfills relative to the commodity production levels. We also find that the household consumption behaviour in other regions indirectly plays a more important role in waste emissions than the municipal waste disposal behaviour in the region in question at least in 1995. 相似文献
We study the constant rebalancing strategy for multi-period portfolio optimization via conditional value-at-risk (CVaR) when
there are nonlinear transaction costs. This problem is difficult to solve because of its nonconvexity. The nonlinear transaction
costs and CVaR constraints make things worse; state-of-the-art nonlinear programming (NLP) solvers have trouble in reaching
even locally optimal solutions. As a practical solution, we develop a local search algorithm in which linear approximation
problems and nonlinear equations are iteratively solved. Computational results are presented, showing that the algorithm attains
a good solution in a practical time. It is better than the revised version of an existing global optimization. We also assess
the performance of the constant rebalancing strategy in comparison with the buy-and-hold strategy. 相似文献
The aim of this paper is to develop an empirical model of land use change that integrates the growth of regional economy and land use change in a developing country such as China. The concept of ecological growth in terms of regional resources and population is introduced to make an empirical model of land use changes. It is shown that the model might be an efficient tool to analyze and predict regional land use change, and that the policies based on it can play an important role in land use change in China. 相似文献
Action takes place at a given time and place. As a science of human action, economics is, therefore, just as much about the
spaces where real action occurs as it is about real time. The implications of real time for social order is better recognized
than the significance of “action space.” The living city is the principal locus of action space and enabler of social change
as well as the source of fundamental concepts in economic theory. Just as a loss of density and diversity in cities tends
to retard dynamic discovery and development, the turn in economic theory in the mid-20th century toward static equilibrium
reflected a move from an urban-based to a plantation-based conception of the economy—from the city to the farm. Some recent
developments in network theory, game theory, and geography, however, can be interpreted as a re-urbanization of economics.
This study develops a research and development (R&D)–based growth model with basic and applied research to analyze the growth and welfare effects of two patent instruments: (i) the patentability of basic R&D and (ii) the division of profit between basic and applied researchers. We find that for the purpose of stimulating basic R&D and economic growth simultaneously, increasing the share of profit assigned to basic researchers is more effective than raising the patentability of basic R&D, which has either a negative effect or an inverted‐U effect on technological progress. However, a benevolent patent authority requires both patent instruments to achieve the socially optimal allocation in the decentralized economy. 相似文献