Explore the vast range of titles available.

Any quantitative model (e.g., in financial risk management) must rely on modeling assumptions and is thus prone to model risk. In “The Joint Impact of F Divergences and Reference Models on the Contents of Uncertainty Sets,” the authors reassess the “robustness” approach to model risk. In this approach, model risk is defined in a nonparametric way. Calculations under a reference model are contrasted against worst case scenarios over all alternative models within a maximal “divergence” from the reference model. The choices of the reference model and the divergence measure jointly shape the uncertainty set—and thus, the perceived severity of model risk. The authors argue that there is no single divergence measure that is suitable for all reference models. Instead, when choosing a divergence measure, properties of the reference model should be taken into account. This concerns in particular assumptions on tail risk made under the reference model. In the presence of model risk, it is well established to replace classical expected values with worst-case expectations over all models within a fixed radius from a given reference model. This is the “robustness” approach. For the class of F -divergences, we provide a careful assessment of how the interplay between reference model and divergence measure shapes the contents of uncertainty sets. We show that the classical divergences, relative entropy and polynomial divergences, are inadequate for reference models that are moderately heavy-tailed, such as lognormal models. Worst cases either are infinitely pessimistic or rule out the possibility of fat-tailed “power law” models as plausible alternatives. Moreover, we rule out the existence of a single F -divergence, which is appropriate regardless of the reference model. Thus, the reference model should not be neglected when settling on any particular divergence measure in the robustness approach.

We establish a direct link between sophisticated investors in the option market, private stock market investors, and the idiosyncratic volatility (IVol) puzzle. To do so, we employ three option-based volatility spreads and attention data from Google Trends. In line with the IVol puzzle, the volatility spreads indicate that sophisticated investors indeed consider high-IVol stocks as being overvalued. Moreover, the option measures help to distinguish overpriced from fairly priced high-IVol stocks. Thus, these measures are able to predict the IVol puzzle’s magnitude in the cross-section of stock returns. Further, we link the origin of the IVol puzzle to the trading activity of irrational private investors as the return predictability only exists among stocks that receive a high level of private investor attention. Overall, our joint examination of option and stock markets sheds light on the behavior of different investor groups and their contribution to the IVol puzzle. Thereby, our analyses support the intuitive idea that noise trading leads to mispricing, which is identified by sophisticated investors and exploited in the option market.

We study the merits of capped retirement products with guarantee for investors who have the flexibility to dynamically adjust their investment strategy. All contracts under consideration are fairly priced such that the net profit of the provider is zero. Without the rider, an expected utility maximizing CRRA investor does not want an investment cap. Here, she commits herself to a strategy a priori. With the flexibility rider, the optimization problem changes and the optimal strategy is a response to an exogenously set price. A fair pricing then anticipates the optimal response of the investor. We show that the maximum expected utility of the investor can, for anticipated fairly priced products, be obtained for a finite cap. Thus, a capped product design can give a Pareto improvement to the otherwise uncapped contract version.

Relax certificates are written on multiple underlying stocks. Their payoff depends on a barrier condition and is thus path-dependent. As long as none of the underlying assets crosses a lower barrier, the investor receives the payoff of a coupon bond. Otherwise, there is a cash settlement at maturity which depends on the lowest stock return. Thus, the products consist of a knock-out coupon bond and a knock-in claim on the minimum of the stock prices. In a Black-Scholes model setup, the price of the knock-out part can be given in closed (or semi-closed) form in the case of one or two underlyings only. With the exception of the trivial case of one underlying, the price of the knock-in minimum claim always has to be calculated numerically. Hence, we derive semi-closed form upper price bounds. These bounds are the lowest upper price bounds which can be calculated without the use of numerical methods. In addition, the bounds are especially tight for the vast majority of relax certificates which are traded at a discount relative to the corresponding coupon bond. This is also illustrated with market data.

In the presence of model risk, it is well established to replace classical expected values with worst-case expectations over all models within a fixed radius from a given reference model. This is the \"robustness\" approach. For the class of F-divergences, we provide a careful assessment of how the interplay between reference model and divergence measure shapes the contents of uncertainty sets. We show that the classical divergences, relative entropy and polynomial divergences, are inadequate for reference models that are moderately heavy-tailed, such as lognormal models. Worst cases either are infinitely pessimistic or rule out the possibility of fat-tailed \"power law\" models as plausible alternatives. Moreover, we rule out the existence of a single 𝐹-divergence, which is appropriate regardless of the reference model. Thus, the reference model should not be neglected when settling on any particular divergence measure in the robustness approach.

Das Herlyn-Werner-Wunderlich-Syndrom (HWWS) ist ein seltenes Fehlbildungssyndrom, das durch Uterus didelphys, obstruierte Hemivagina und ipsilaterale Nierenagenesie definiert wird. Führendes Symptom sind zyklusabhängige Unterbauchschmerzen durch Akkumulation von Menstruationsblut in der obstruierten Hemivagina oder im Hemiuterus. Je nach Ausprägungsform können zudem vaginaler Ausfluss, Spotting und aszendierende Infektionen auftreten. Klinisch findet sich eine tastbare oder sonographisch darstellbare Raumforderung im Unterleib oder der Vagina. Wegweisend ist eine einseitige Nierenagenesie oder -anomalie. Eine frühe Diagnosestellung und Therapieeinleitung ist wichtig, um die Langzeitmorbidität der Patientinnen zu reduzieren. Hierfür empfiehlt sich ein chirurgisches Vorgehen mit Resektion des Vaginalseptums mit individuellem Vorgehen je nach Ausprägungsform. Nach Therapie bestehen gute Chancen für eine erfolgreiche Schwangerschaft.

Zusammenfassung Das Herlyn-Werner-Wunderlich-Syndrom (HWWS) ist ein seltenes Fehlbildungssyndrom, das durch Uterus didelphys, obstruierte Hemivagina und ipsilaterale Nierenagenesie definiert wird. Führendes Symptom sind zyklusabhängige Unterbauchschmerzen durch Akkumulation von Menstruationsblut in der obstruierten Hemivagina oder im Hemiuterus. Je nach Ausprägungsform können zudem vaginaler Ausfluss, Spotting und aszendierende Infektionen auftreten. Klinisch findet sich eine tastbare oder sonographisch darstellbare Raumforderung im Unterleib oder der Vagina. Wegweisend ist eine einseitige Nierenagenesie oder -anomalie. Eine frühe Diagnosestellung und Therapieeinleitung ist wichtig, um die Langzeitmorbidität der Patientinnen zu reduzieren. Hierfür empfiehlt sich ein chirurgisches Vorgehen mit Resektion des Vaginalseptums mit individuellem Vorgehen je nach Ausprägungsform. Nach Therapie bestehen gute Chancen für eine erfolgreiche Schwangerschaft.

In the presence of model risk, it is well-established to replace classical expected values by worst-case expectations over all models within a fixed radius from a given reference model. This is the \"robustness\" approach. We show that previous methods for measuring this radius, e.g. relative entropy or polynomial divergences, are inadequate for reference models which are moderately heavy-tailed such as lognormal models. Worst cases are either infinitely pessimistic, or they rule out the possibility of fat-tailed \"power law\" models as plausible alternatives. We introduce a new family of divergence measures which captures intermediate levels of pessimism.

Low total testosterone (TT) and sex hormone-binding globulin (SHBG) concentrations have been associated with the metabolic syndrome (MetS) in men, but the reported strength of association varies considerably. We aimed to investigate whether associations differ across specific subgroups (according to age and body mass index (BMI)) and individual MetS components. Two previously published meta-analyses including an updated systematic search in PubMed and EMBASE. Cross-sectional or prospective observational studies with data on TT and/or SHBG concentrations in combination with MetS in men. We conducted an individual participant data meta-analysis of 20 observational studies. Mixed effects models were used to assess cross-sectional and prospective associations of TT, SHBG and free testosterone (FT) with MetS and its individual components. Multivariable adjusted odds ratios (ORs) and hazard ratios (HRs) were calculated and effect modification by age and BMI was studied. Men with low concentrations of TT, SHBG or FT were more likely to have prevalent MetS (ORs per quartile decrease were 1.69 (95% CI 1.60-1.77), 1.73 (95% CI 1.62-1.85) and 1.46 (95% CI 1.36-1.57) for TT, SHBG and FT, respectively) and incident MetS (HRs per quartile decrease were 1.25 (95% CI 1.16-1.36), 1.44 (95% 1.30-1.60) and 1.14 (95% 1.01-1.28) for TT, SHBG and FT, respectively). Overall, the magnitude of associations was largest in non-overweight men and varied across individual components: stronger associations were observed with hypertriglyceridemia, abdominal obesity and hyperglycaemia and associations were weakest for hypertension. Associations of testosterone and SHBG with MetS vary according to BMI and individual MetS components. These findings provide further insights into the pathophysiological mechanisms linking low testosterone and SHBG concentrations to cardiometabolic risk.

Patients with proximal deep-vein thrombosis were assigned to undergo anticoagulation either alone or combined with pharmacomechanical thrombolysis. After 6 to 24 months, there was no significant between-group difference in the incidence of the post-thrombotic syndrome.