Showing posts with label risk. Show all posts
Showing posts with label risk. Show all posts

Monday, June 26, 2023

Harry Markowitz (1927-2023)

 Harry Markowitz, who invented modern portfolio theory, and did much beside, has died.

Here's his NYT obituary, which was apparently prepared long in advance.

Harry Markowitz, Nobel-Winning Pioneer of Modern Portfolio Theory, Dies at 95. He overturned the traditional approach to buying stocks by examining the relationship between risk and reward. By Robert D. Hershey Jr.

I’m not a one-shot Nobel laureate — only doing one thing,” Dr. Markowitz said in an interview for this obituary in 2014. Although he was 87 at the time, he was embarked on a monumental analysis of securities risk and return."

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PORTFOLIO SELECTION, by Harry Markowitz, The Journal of Finance Volume 7, Issue 1 p. 77-91 First published: March 1952  https://doi.org/10.1111/j.1540-6261.1952.tb01525.x

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Here's the beginning of the 1990 Nobel Prize press release:

16 October 1990

THIS YEAR’S LAUREATES ARE PIONEERS IN THE THEORY OF FINANCIAL ECONOMICS AND CORPORATE FINANCE

The Royal Swedish Academy of Sciences has decided to award the 1990 Alfred Nobel Memorial Prize in Economic Sciences with one third each, to

Professor Harry Markowitz, City University of New York, USA,
Professor Merton Miller, University of Chicago, USA,
Professor William Sharpe, Stanford University, USA,

for their pioneering work in the theory of financial economics.

Harry Markowitz is awarded the Prize for having developed the theory of portfolio choice;
William Sharpe, for his contributions to the theory of price formation for financial assets, the so-called, Capital Asset Pricing Model (CAPM); and
Merton Miller, for his fundamental contributions to the theory of corporate finance.

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Here's the citation for the 1989 von Neumann theory prize in operations research:

"1989 John von Neumann Theory Prize:  


"Harry M. Markowitz received the 1989 John von Neumann Theory Prize. Dr. Markowitz, presenter Ellis Johnson noted, contributed ground-breaking work in three areas: portfolio selection, mathematical programming, and simulation.


"Harry Markowitz is the Marvin Speiser Distinguished Professor of Finance and Economics at Baruch College, NYC. He developed the portfolio selection model in his Ph.D. thesis at the University of Chicago. First published in 1952, today his model is one of the most widely used quantitative tools for investment analysis.


"During the late 50s Markowitz worked on mathematical programming at the RAND Corp. and also did his ground-breaking work on factoring bases and maintaining sparsity in the course of solving linear programs, in effect introducing the triangularization or LU factorization in place of inversion of the basis. His selection criterion for reducing fill-in when forming basis factors is the well-known Markowitz criterion and is still used in state-of-the-art codes for both LU and Cholesky factorizations. Markowitz's third main area of activity involved codifying the underlying notions of simulation by defining a world view composed of entities having attributes and belonging to sets that have defined relationships with each other. The state of the world changes through events, which are triggered by time. Based on this, in the 60s he developed a high-level simulation language, SIMSCRIPT, and in the 80s has collaborated with IBM researchers to develop EAS-E, an integrated data base, modeling and applications development language.


Dr. Markowitz told OR/MS Today that the award was a great honor and a reflection of the influence of von Neumann on portfolio theory."


Wednesday, April 19, 2023

Transplantation: progress and continued shortcomings

 Here's a guest essay from the NYT that focuses on a different set of shortcomings of organ transplantation than organ availability. The author writes about how her long history of immunosuppression, to keep her transplanted organ(s) alive, has left her vulnerable to cancer.

My Transplanted Heart and I Will Die Soon.  By Marine Buffard

"My 35 years living with two different donor hearts (I was 25 at the time of the first transplant) — finishing law school, getting married, becoming a mother and writing two books — has felt like a quest to outlast a limited life expectancy. 

...

"Organ transplantation is mired in stagnant science and antiquated, imprecise medicine that fails patients and organ donors. And I understand the irony of an incredibly successful and fortunate two-time heart transplant recipient making this case, but my longevity also provides me with a unique vantage point. Standing on the edge of death now, I feel compelled to use my experience in the transplant trenches to illuminate and challenge the status quo.

"Over the last almost four decades a toxic triad of immunosuppressive medicines — calcineurin inhibitors, antimetabolites, steroids — has remained essentially the same with limited exceptions. These transplant drugs (which must be taken once or twice daily for life, since rejection is an ongoing risk and the immune system will always regard a donor organ as a foreign invader) cause secondary diseases and dangerous conditions, including diabetes, uncontrollable high blood pressure, kidney damage and failure, serious infections and cancers. The negative impact on recipients is not offset by effectiveness: the current transplant medicine regimen does not work well over time to protect donor organs from immune attack and destruction.

"My first donor heart died of transplant medicines’ inadequate protection of the donor heart from rejection; my second will die most likely from their stymied immune effects that give free rein to cancer.

...

"Without vigorous pushback, hospitals and physicians have been allowed to set an embarrassingly low bar for achievement. Indeed, the prevailing metric for success as codified by the Health Resources and Services Administration is only one year of post-transplant survival, which relieves pressure for improvement."

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That one year of measured graft survival is both too short, as the author points out, and too long.  By penalizing transplant centers for transplants that fail to survive a year, the current regulations make transplant centers too risk averse, so that kidney transplants that would have only, say, an 85% chance of working well are often not conducted, leaving patients to remain on dialysis, often til death,  for that 85% chance of life.

Transplantation is, still, a modern miracle. But until we can do without it, we'll have to keep trying to do it better.

Friday, June 25, 2021

Blood donation, risk groups, and blood tests

 Before blood tests were developed for hepatitis virus and later for HIV, it made sense to screen potential blood donors by whether they were members of broad risk categories.  As tests have improved (and I think we still don't have those for prion based diseases like mad cow disease), it makes more sense to rely on testing, although risky behavior that might have recently resulted in infection, not yet detectable by blood tests, is still a screening factor.

All this is by way of saying that the current U.S. limitation on donation by homosexual men is out of date. Martha Gershun points me to this recent op-ed in the Baltimore Sun:

As a sexually active gay man, I can’t donate blood or tissue in America. That’s ridiculous | By GREG BRIGHTBILL

"My blood type is O negative, I am healthy, I can run a half-marathon, I do not smoke or use drugs, I only have two to three drinks a week, and I am in a committed relationship. Yet, due to homophobic stereotypes and outdated policies, gay men like myself  -- termed “MSM” or “men who have sex with men” -- cannot freely donate blood and soft tissue in America.

"According to the most recent Food and Drug Administration guidance, updated last year, MSMs must undertake a three-month deferral from male-to-male sexual activity before blood donation. Shockingly, that’s an improvement on the original full ban on blood donation implemented in 1985 (for any male who had a sexual encounter with another male after 1977) and the 2015 version of the policy, which required a 12-month deferral.

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In the UK, the guidelines have been changed, this month, to reflect the increased availability of testing. Here's the latest from the UK's NHS Blood and Transplant:

Landmark change to blood donation eligibility rules on today’s World Blood Donor Day  

"New eligibility rules that will allow more men who have sex with men to donate blood, platelets and plasma come into effect this week, marking an historic move to make blood donation more inclusive while keeping blood just as safe."

"From today (Monday) – World Blood Donor Day – the questions asked of everyone when they come to donate blood in England, Scotland and Wales will change. Eligibility will be based on individual circumstances surrounding health, travel and sexual behaviours evidenced to be at a higher risk of sexual infection.

"Donors will no longer be asked if they are a man who has had sex with another man, removing the element of assessment that is based on the previous population-based risks.

"Instead, any individual who attends to give blood - regardless of gender - will be asked if they have had sex and, if so, about recent sexual behaviours. Anyone who has had the same sexual partner for the last three months will be eligible to donate.

...

We screen all donations for evidence of significant infections, which goes hand-in-hand with donor selection to maintain the safety of blood sent to hospitals. All donors will now be asked about sexual behaviours which might have increased their risk of infection, particularly recently acquired infections. This means some donors might not be eligible on the day but may be in the future."

...

"Under the changes people can donate if they have had the same sexual partner for the last three months, or if they have a new sexual partner with whom they have not had anal sex, and there is no known recent exposure to an STI or recent use of PrEP or PEP. This will mean more men who have sex with men will be eligible to donate.

"Anyone who has had anal sex with a new partner or with multiple partners in the last three months will be not be able to give blood right now but may be eligible in the future. Donors who have been recently treated for gonorrhoea will be deferred. Anyone who has ever received treatment for syphilis will not be able to give blood."


Friday, March 26, 2021

Ethical payment for research participation

 Discussions of ethical questions turn out to have less math or data than other discussions, but more, well, discussion...  Here's our reply to issues raised in the prior discussion in the preceding issues of the American Journal of Bioethics.

Holly Fernandez Lynch, Thomas C. Darton, Jae Levy, Frank McCormick, Ubaka Ogbogu, Ruth O. Payne, Alvin E. Roth, Akilah Jefferson Shah, Thomas Smiley & Emily A. Largent (2021) Plumbing the Depths of Ethical Payment for Research Participation, The American Journal of Bioethics, DOI: 10.1080/15265161.2021.1895364

"In closing, we’ll respond to Savulescu’s lamentation that our article did not offer “a full economic evaluation of a proposed HIC study such as the UK, with a proposal for a specific amount” (2021). Although we understand this criticism, and considered it ourselves, we were hesitant to make this final move, as there are several different amounts and rationales that could be ethically justified under our framework. Nonetheless, analyzing a particular protocol and the range of payment offers that might be justifiable would be a compelling next step."

Monday, March 1, 2021

Compensating challenge vaccine trial participants: further discussion in the American Journal of Bioethics

 The AJB invites commentaries on its target articles, and the comments on our article on payments in human infection challenge trials have now appeared.  (If I've done this right, you can read them by clicking on the links below.) This is from The American Journal of Bioethics, Volume 21, Issue 3 (2021)

Our target article points out that while much of the medical ethics literature focuses on the claim that payments can subject potential participants, particularly poor people, to undue influence or coercion by being too large, there can be a countervailing concern that payments that are too small can be exploitative, and that this might often be the greater ethical concern.

The commentaries are all brief, but there are nine of them, so let me recommend to my regular market design readers that two that might be rewarding to begin with are those by Julian Savulescu, and by Seán O’Neill McPartlin & Josh Morrison.

Target Article
Open Peer Commentaries
Article commentary
Pages: 32-34
Published online: 22 Feb 2021
OpenURL
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Article commentary
Pages: 35-37
Published online: 22 Feb 2021
OpenURL
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Article commentary
Pages: 43-45
Published online: 22 Feb 2021
OpenURL
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Article commentary
Pages: 45-47
Published online: 22 Feb 2021
OpenURL
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Previous post:

Thursday, October 29, 2020

Paying participants in challenge trials of Covid-19 vaccines, by Ambuehl, Ockenfels, and Roth

 Here's a new short paper in Journal of Medical Ethics: (it's ungated, you can read it all at the link): 

Payment in challenge studies from an economics perspective 

by Sandro Ambuehl, Axel Ockenfels, and Alvin E. Roth

published online early, Oct 28, 2020. http://dx.doi.org/10.1136/medethics-2020-

"Participants in medical studies perform a service. Outside the domain of research participation, there is nearly universal agreement that workers providing a service should be compensated fairly, and that work involving more discomfort and risk should be compensated more generously. Accordingly, labour regulations impose floors (minimum wage laws), not caps on compensation. Caps, even if intended to protect against undue inducement, also raise concerns about illegal price-fixing that disadvantages workers. Such limits on payment for egg donors have successfully been challenged in court.

...

"Payment caps can lead to attempts to circumvent the regulation. For example, many countries that prevent payment for the donation of blood plasma instead import it from the USA where payment is legal—the volume of the US export market for plasma products approaches $20 billion per year.ii Similarly, restrictions on CHIM trial payments may lead to an increase in trials in countries with less stringent regulation.

...

"we note that increasing hourly pay by a risk-compensation percentage as proposed in the target article provides compensation proportional to risk only if the risk increases proportionally with the number of hours worked. (Some risky tasks take little time; imagine challenge trials to test bulletproof vests.) To ensure that equal consequences are compensated with equal amounts across a wide variety of studies, we instead recommend a three-part contract consisting of: (1) salary for time involvement that is adjusted to account for the amount of discomfort experienced during participation, (2) insurance against ex post adverse outcomes and (3) ex ante compensation for risks that cannot be compensated ex post (such as death). Such a scheme also increases transparency about what is requested from participants and thus contributes to high-quality participation decisions."

...

"The current discussion about payment in challenge trials is important because the potential benefits of well-designed challenge trials that could accelerate the development of safe and effective vaccines are enormous. Overall, economic research has shown, first, that ethical concerns over high payments may rely on intuitive predictions about behavioural effects that find little or no empirical support, and that the dangers of underpayment are at least as real as those of overpayment. Second, a part of the ethics literature attaches significantly more weight to concerns of undue inducement than the general population. Accordingly, it appears to us that there is sufficient public support for preparing for challenge trials, with paid participants, without a need for excessive ethical concern that payments might inadvertently become too generous to trial participants."

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Our article is an invited commentary on

Related comments appear in

  1. Compensating for research risk: permissible but not obligatory
    Holly Fernandez Lynch et al., J Med Ethics
  2. Payment of COVID-19 challenge trials: underpayment is a bigger worry than overpayment
    Jennifer Blumenthal-Barby et al., J Med Ethics, 2020
  3. How much money would it take for you to be infected with COVID-19 for research?
    By Olivia Grimwade and Julian Savulescu., JME blog, 2020