New trading strategy in investment and a new anomaly: A study of the hedge funds from emerging and developed markets

This paper introduces a new trading strategy in investment: including the asset (Asset A) with the highest mean, the asset (Asset B) that stochastically dominates many other assets, and the asset (Asset C) with the smallest standard deviation in their portfolio to form portfolios in the efficient frontier for emerging and developed markets that could get higher expected utility and/or expected arbitrage opportunities. To test whether our proposed new trading strategy performs better, we set a few conjectures including the conjectures that investors should include any one, two, or three of Assets A, B, and C from emerging and developed markets. We test whether the conjectures hold by employing both mean-variance and stochastic dominance (SD) approaches to examine the performance of the portfolio formed by using hedge funds from emerging and developed markets with and without Assets A, B, and C, the naïve 1/N portfolio, and all other assets studied in our paper. We find that most of the portfolios with assets A, B, and C++ stochastically dominate the corresponding portfolio without any one, two, or all three of the A, B, and C strategies and dominate most, if not all, of the individual assets and the naïve 1/N portfolio in the emerging and developed markets, implying the existence of expected arbitrage opportunities in either emerging or developed markets and the market is inefficient. In addition, in this paper, we set a conjecture that combinations of portfolios with no arbitrage opportunity could generate portfolios that could have expected arbitrage opportunity. Our findings conclude that the conjecture holds and we claim that this phenomenon is a new anomaly in the financial market and our paper discovers a new anomaly in the financial market that expected arbitrage opportunity could be generated. We also conduct an out-of-sample analysis to check whether our proposed approach will work well in the out-of-sample period. Our findings also confirm our proposed new trading strategy to include Assets A, B, and C in the portfolio is the best strategy among all the other strategies used in our paper and gets the highest expected wealth and the highest expected utility for the emerging and developed markets. Our findings contribute to the literature on the emerging and developed markets of hedge funds and the reliability of alternative risk frameworks in the evaluation. Our findings also provide practical experience to academics, fund managers, and investors on how to choose assets in their portfolio to get significantly higher expected utility in emerging and developed markets.

Relative expected value of drugs versus competing rewards underpins vulnerability to and recovery from addiction

Behavioural economic theories of addiction contend that greater expected value of drug relative to alternative non-drug rewards is the core mechanism underpinning vulnerability to and recovery from addiction. To evaluate this claim, we exhaustively review studies with human drug users that have measured concurrent choice between drugs vs. alternative rewards, and explored individual differences. These studies show that drug choice can be modulated by drug cues, drug devaluation, imposition of costs/punishment and negative mood induction. Regarding individual differences, dependence severity was reliably associated with overall drug preference, and self-reported drug use to cope with negative affect was reliably associated with greater sensitivity to mood induced increases in drug choice. By contrast, there were no reliable individual differences in sensitivity to the effect of drug cues, drug devaluation or punishment on drug choice. These findings provide insight into the mechanisms that underpin vulnerability to dependence: vulnerability is conferred by greater relative value ascribed to drugs, and relative drug value is further augmented by negative affective states in those who report drug use coping motives. However, dependence does not appear to be characterised by abnormal cue-reactivity, habit learning or compulsion. We then briefly review emerging literature which demonstrates that therapeutic interventions and recovery from addiction might be attributed to changes in the expected relative value of drug versus alternative rewards. Finally, we outline a speculative computational account of the distortions in decision-making that precede action selection in addiction, and we explain how this account provides a blueprint for future research on the determinants of drug choice, and mechanisms of treatment and recovery from addiction. We conclude that a unified economic decision-making account of addiction has great promise in reconciling diverse addiction theories, and neuropsychological evaluation of the underlying decision mechanisms is a fruitful area for future research and treatment.

Alcohol use disorder symptoms are associated with greater relative value ascribed to alcohol, but not greater discounting of costs imposed on alcohol

RATIONALE

Alcohol dependence is characterised by persistent drinking despite health, social and economic costs. Behavioural economics has proposed two explanations for the persistence of alcohol use despite costs. Dependent individuals may (a) ascribe excessively high value to alcohol, such that costs associated with alcohol are exceeded, and/or (b) they may discount (neglect) the costs associated with alcohol.

METHODS

To test these predictions, the current study recruited 127 student drinkers who reported varied alcohol use disorder symptom severity in the Alcohol Use Disorders Inventory Test (AUDIT; mean = 11.17, 69% above the hazardous cutoff). Participants made concurrent forced choices between alcohol and food points under conditions that manipulated the magnitude of points (1, 2 or 3) and the delay to receive points (0 or 3 s). Alcohol value was indexed by preferential choice of alcohol versus food points, whereas sensitivity to costs was indexed by the decrease in alcohol choice when food points were of greater magnitude (sensitivity to opportunity costs) and when alcohol points were delayed (sensitivity to delay costs).

RESULTS

Percent choice of alcohol over food varied consistently with the relative magnitude of reward points offered (p < .001) and with time delays imposed on reward points (p < .001). AUDIT scores were associated with greater alcohol versus food choice across all conditions (p = .001). As alcohol use disorder symptom severity increased, the sensitivity of alcohol choice to the relative magnitude of points (p = .29) and time delays (p = .62) remained unchanged, suggesting no differential discounting of opportunity or delay costs imposed on alcohol. In contrasts of AUDIT categories, there was comparable sensitivity to costs across groups defined as low-risk (N = 39), hazardous (n = 57), harmful (n = 20) and possible dependent drinkers (n = 11).

CONCLUSIONS

Alcohol use disorder symptom severity is associated with greater relative value ascribed to alcohol, but not with greater discounting of opportunity or delay costs imposed on alcohol. Despite limitations of the current study, it may be concluded that cost discounting plays a lesser role in dependence than previously thought.

Tobacco demand, delay discounting, and smoking topography among smokers with and without psychopathology

INTRODUCTION

Tobacco demand (i.e., relative value attributed to a given reinforcer) and delay discounting (i.e., relative preference for smaller immediate rewards over larger delayed rewards) are two behavioral economic processes that are linked to the progression of problematic substance use. These processes have not been studied among those with psychopathology, a vulnerable group of smokers. The current study examined differences in tobacco demand and delay discounting, and their association with smoking topography among smokers with (n=43) and without (n=64) past-year psychopathology.

METHOD

Adult daily smokers (n=107,Mage=43.5; SD=9.7) participated in a study on "smoking behavior." Past-year psychological disorders were assessed via a clinician-administered diagnostic assessment. All subjects participated in an ad libitum smoking trial and then completed an assessment of delay discounting (Monetary Choice Questionnaire) and tobacco demand (Cigarette Purchase Task) approximately 45-60min post-smoking.

RESULTS

Smokers with psychopathology, compared to those without, had significantly higher demand intensity and maximum expenditure on tobacco (Omax), but did not differ on other demand indices or delay discounting. Smokers with psychopathology had shorter average inter-puff intervals and shorter time to cigarette completion than smokers without psychopathology. Tobacco demand and delay discounting measures were significantly intercorrelated among smokers with psychopathology, but not those without. Both behavioral economic measures were associated with specific aspects of smoking topography in smokers with psychopathology.

DISCUSSION

The association between tobacco demand and delay discounting is evident among smokers with psychopathology and both measures were most consistently related to smoking behavior.

Psychopathology and tobacco demand

INTRODUCTION

Behavioral economic measurement of the relative value of tobacco (Cigarette Purchase Task; CPT) is used to examine individual differences in motivation for tobacco under certain contexts. Smokers with psychopathology, relative to those without, may demonstrate stronger demand for tobacco following a period of smoking deprivation, which could account for disparate rates of smoking and cessation among this subgroup.

METHOD

Participants (n=111) were community-recruited adult daily smokers who completed the CPT after a deprivation period of approximately 60min. Presence of psychopathology was assessed via clinical interview; 40.5% (n=45) of the sample met criteria for past-year psychological diagnosis. Specifically, 31.5% (n=35) had an emotional disorder (anxiety/depressive disorder), 17.1% (n=19) had a substance use disorder, and 19.1% of the sample had more than one disorder.

RESULTS

Smokers with any psychopathology showed significantly higher intensity (demand at unrestricted cost; $0) and O_max (peak expenditure for a drug) relative to smokers with no psychopathology. Intensity was significantly higher among smokers with an emotional disorder compared to those without. Smokers with a substance use disorder showed significantly higher intensity and O_max, and lower elasticity, reflecting greater insensitivity to price increases. Having≥2 disorders was associated with higher intensity relative to having 1 or no disorders.

DISCUSSION

Findings suggest that presence of psychopathology may be associated with greater and more persistent motivation to smoke. Future work is needed to explore the mechanism linking psychopathology to tobacco demand.

Resurgence as Choice

Resurgence is typically defined as an increase in a previously extinguished target behavior when a more recently reinforced alternative behavior is later extinguished. Some treatments of the phenomenon have suggested that it might also extend to circumstances where either the historic or more recently reinforced behavior is reduced by other non-extinction related means (e.g., punishment, decreases in reinforcement rate, satiation, etc.). Here we present a theory of resurgence suggesting that the phenomenon results from the same basic processes governing choice. In its most general form, the theory suggests that resurgence results from changes in the allocation of target behavior driven by changes in the values of the target and alternative options across time. Specifically, resurgence occurs when there is an increase in the relative value of an historically effective target option as a result of a subsequent devaluation of a more recently effective alternative option. We develop a more specific quantitative model of how extinction of the target and alternative responses in a typical resurgence paradigm might produce such changes in relative value across time using a temporal weighting rule. The example model does a good job in accounting for the effects of reinforcement rate and related manipulations on resurgence in simple schedules where Behavioral Momentum Theory has failed. We also discuss how the general theory might be extended to other parameters of reinforcement (e.g., magnitude, quality), other means to suppress target or alternative behavior (e.g., satiation, punishment, differential reinforcement of other behavior), and other factors (e.g., non- contingent versus contingent alternative reinforcement, serial alternative reinforcement, and multiple schedules).

The Korean Spinal Neurosurgery Society ; Are We Reimbursed Properly for Spinal Neurosurgical Practices under the Korean Resource Based Relative Value Scale Service?

OBJECTIVES

The Korean Resource Based Relative Value Scale (K-RBRVS) was introduced in 2001 as an alternative of the previous medical fee schedule. Unfortunately, most neurosurgeons are unfamiliar with the details of the K-RBRVS and how it affects the reimbursement rates for the surgical procedures we perform. We summarize the K-RBRVS in brief, and discuss on how the relative value (RV) of the spinal neurosurgical procedures have changed since the introduction in 2001.

METHODS

We analyzed the change of spinal procedure RVs since 2001, and compared it with the change of values in the brain neurosurgical procedures. RVs of 88 neurospinal procedures on the list of K-RBRVS were analyzed, while 24 procedures added during annual revisions were excluded.

RESULTS

During the past 15 years, RVs for spinal procedures have increased 62.8%, which is not so different with the cumulative increase of consumer prices during this time period or the increase rate of 92.3% for brain surgeries. When comparing the change of RVs in more complex procedures between spinal and brain neurosurgery, the increase rate was 125.3% and 133%, respectively.

CONCLUSION

More effort of the society of spinal surgeons seems to be needed to get adequate reimbursement, as there have been some discrimination compared to brain surgeons in the increase of RVs. And considering the relative underestimation of spinal neurosurgeons' labor, more objective measures of neurospinal surgeons' work and productivity should be developed for impartial reimbursement.

[Seasonal distribution of clinical case codes (DOC study)]

OBJECTIVES

The German diagnosis-related groups remuneration system (G-DRG) was implemented in 2004 and patient-related diagnoses and procedures lead to allocation to specific DRGs. This system includes several codes, such as case mix (CM), case mix index (CMI) and number of cases. Seasonal distribution of these codes as well as distribution of diagnoses and DRGs may lead to logistical consequences for clinical management.

METHODS

From 2004 to 2013 all the main diagnoses and DRGs for inpatients were recorded. Monthly and seasonal distributions were analyzed using ANOVA.

RESULTS

The average monthly number of cases was 265 ± 25 cases, the average CM was 388.50 ± 51.75 and the average CMI was 1.46 ± 0.15 with no significant seasonal differences (p > 0.1). Concussion was the most frequently occurring main diagnosis (3739 cases) followed by fractures of the humeral head (699). Significant distribution differences could be shown for humeral head fractures in monthly (p = 0.018) and seasonal comparisons (p = 0.006) with a maximum in winter. Radius (p = 0.01) and ankle fractures (p ≤ 0.001) also occurred most frequently in winter. Non-bony lesions of the shoulder were significantly less in spring (p = 0.04). The DRGs showed no evidence of a monthly or seasonal clustering (p > 0.1).

CONCLUSION

The significant clustering of injuries in specific months and seasons should lead to logistic consequences (e.g. operating room slots, availability of nursing and anesthesia staff). For a needs assessment the analysis of main diagnoses is more appropriate than DRGs.

Predictability influences whether outcomes are processed in terms of original or relative values

Previous studies have provided insights into the representations of original and relative values and the influence of predictability on decision making. However, whether the predictability of outcomes can influence the processing manner of outcomes (i.e. whether the outcomes are processed in terms of original or relative values) is still unknown. To investigate this issue, we had participants perform a monetary decision task which resulted in two outcomes with the same relative values but different original values in either a predictable or unpredictable condition, while recording event-related potentials (ERP). ERP results showed that the outcome processing in the unpredictable condition elicited more positive deflections in the time window of 300-500ms (P300) than did those in the predictable condition. More importantly, the outcome with high original value elicited a greater P300 component than did that with low original value in the unpredictable condition even though these two outcomes had the same relative values, while in the predictable condition no significant difference was observed between ERPs elicited by the two outcomes even though their original values were different. These results suggest that the outcomes might be processed in terms of relative values in the predictable condition but original values in the unpredictable condition.