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Ebook Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

Submitted by puput on Tue, 02/23/2010 - 02:11

There is strong empirical evidence that the conditional variance of asset returns, particularly stock market returns, is not constant over time. Bollerslev, Chou and Kroner (1992), Campbell, Lo and MacKinlay (1997, Chapter 12), Campbell, Lettau, Malkiel and Xu (2001) and others review the main findings of the ample econometric research on stock return volatility: Stock return volatility is serially correlated, and shocks to volatility are negatively correlated with unexpected stock returns. Changes in volatility are persistent (French, Schwert and Stambaugh 1987, Campbell and Hentschel 1992). Large negative stock returns tend to be associated with increases in volatility that persist over long periods of time. Stock return volatility appears to be correlated across markets over the world (Engle, Ito and Lin 1990, Ang and Bekaert 1999).

While there is an abundant literature exploring the pricing of assets when volatility is time varying, there is not much research exploring optimal dynamic portfolio choice with volatility risk. This situation is unfortunate, because Samuelson (1969) and Merton (1969, 1971, 1973) have shown that time variation in investment opportunities imply optimal portfolio strategies for multi-period investors that can be different from those of single-period, or myopic, investors. Multi-period investors value assets not only for their short-term risk-return characteristics, but also for their ability to hedge consumption against adverse shifts in future investment opportunities. Thus these investors have an extra demand for risky assets that reflects intertemporal hedging.

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Ebook Leading Indicators In A Globalised World

Submitted by puput on Thu, 01/21/2010 - 03:08

Monetary policy decisions affect the economy with long and varying lags. It is therefore crucial to have an educated judgement about the economic conditions and outlook prevailing at the time. Leading indicators constitute an important tool in applied business cycle analysis to form such a judgement. A main potential shortcoming of country-specific leading indicators is, however, that their components are commonly domestic variables. The ability of such leading indicators to predict economic activity might have diminished due to the rapid advances in globalisation, as reflected in the deepening of international financial and trade linkages. Notwithstanding the significant structural changes that have taken place at the global level over recent years, to our knowledge the possible implications for the leading indicator properties have not been addressed in a systematic fashion as yet.

This paper aims at filling this gap. It looks into this issue based on the OECD composite leading indicators (CLI) across 11 countries and uses, in line with common practice, industrial production as the reference series. The OECD CLI has the advantage (1) to be widely monitored by practitioners and (2) to be available for a wide variety of countries, on a monthly basis and over a long time span (see also Camba-Mendez et al., 1999).

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Free Ebook Computational design and experimental characterization of protein oligomers

Submitted by antoq on Sun, 11/02/2008 - 01:47

Previous efforts in designing protein binding interfaces have focused on altering binding specificities. These methods fall short, however, when applied to the design of novel binding sites due to difficulties in accurately modeling protein backbones. The goal of this project is to create dimers from monomeric proteins. We developed a special docking algorithm that positions the member protein subunits to a plausible configuration with respect to each other using parameters determined from known complex structures. The docking procedure treats the proteins as rigid bodies and uses Fourier correlation theorem and fast Fourier transform to efficiently search for dimers with the highest interfacial surface complementarities. Using the docked structures as scaffolds for design and employing hydrophobic surface residues to drive dimer formation, we have demonstrated two successful designs, one heterodimer and one homodimer, using protein G and engrailed homeodomain respectively as the starting monomeric proteins. The designed dimers were characterized using circular dichroism, nuclear magnetic resonance, analytical ultracentrifugation, and X-ray crystallography methods. This is the first report of computationally designed de novo protein homodimers generated using a combination of protein docking and protein design tools. These results suggest that this strategy can be used to address the protein recognition problem, and is generally applicable to creating novel binding sites with compatible binding partners

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