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Estimating the NIH Efficient Frontier 英文参考文献.doc

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Estimating the NIH Efficient Frontier 英文参考文献

EstimatingtheNIHEfficientFrontier DimitriosBisias1.,AndrewW.Lo1,2,3*.,JamesF.Watkins4. 1Sloan School of Management, Massachusetts Institute of Technology, Cambridge, Massachusetts, United States of America, 2Computer Science and Artificial IntelligenceLaboratoryandDepartmentofElectricalEngineeringandComputerScience,MassachusettsInstituteofTechnology,Cambridge,Massachusetts,UnitedStates of America, 3AlphaSimplex Group, LLC, Cambridge, Massachusetts, United States of America, 4Department of Surgery, Brigham and Women’s Hospital and Harvard MedicalSchool,Boston,Massachusetts,UnitedStatesofAmerica Abstract Background: The National Institutes of Health (NIH) is among the world’s largest investors in biomedical research, with amandateto:‘‘…lengthenlife,andreducetheburdensofillnessanddisability.’’Itsfundingdecisionshavebeencriticized asinsufficientlyfocusedondiseaseburden.Wehypothesizethatmodernportfoliotheorycancreateacloserlinkbetween basic research and outcome, and offer insight into basic-science related improvements in public health. We propose portfoliotheoryasasystematicframeworkformakingbiomedicalfundingallocationdecisions–onethatisdirectlytiedto therisk/rewardtrade-offofburden-of-diseaseoutcomes. Methods and Findings: Using data from 1965 to 2007, we provide estimates of the NIH ‘‘efficient frontier’’, the set of fundingallocationsacross7groupsofdisease-orientedNIHinstitutesthatyieldthegreatestexpectedreturnoninvestment foragivenlevelofrisk,wherereturnoninvestmentismeasuredbysubsequentimpactonU.S.yearsoflifelost(YLL).The resultssuggestthatNIHmaybeactivelymanagingitsresearchrisk,giventhatthevolatilityofitscurrentallocationis17% lessthanthatofanequal-allocationportfoliowithsimilarexpectedreturns.Theestimatedefficientfrontiersuggeststhat further improvements in expected return (89% to 119% vs. current) or reduction in risk (22% to 35% vs. current) are availableholdingriskorexpectedreturn,respectively,constant,andthat28%to89%greaterdecreaseinaverageyears-of- life-lo