Illiquid Assets and Optimal Portfolio Choice

The presence of illiquid assets, such as human wealth or a family owned business, complicates the problem of portfolio choice. This paper is concerned with the problem of optimal asset allocation and consumption in a continuous time model when one asset cannot be traded. This illiquid asset, which depends on an uninsurable source of risk, provides a liquid dividend. In the case of human capital we can think about this dividend as labor income. The agent is endowed with a given amount of the illiquid asset and with some liquid wealth which can be allocated in a market where there is a risky and a riskless asset. The main point of the paper is that the optimal allocations to the two liquid assets and consumption will critically depend on the endowment and characteristics of the illiquid asset, in addition to the preferences and to the liquid holdings held by the agent. We provide what we believe to be the first analytical solution to this problem when the agent has power utility of consumption and terminal wealth. We also derive the value that the agent assigns to the illiquid asset. The risk adjusted valuation procedure we develop can be used to value both liquid and illiquid assets, as well as contingent claims on those assets.

Saving for retirement in Europe: the long-term risk-return tradeoff

A comparison of the performances of pension products that ignores long-term trends might significantly overestimate the long-term impact of volatility risks while underestimating the impact of persistent, low-frequency trends. This paper proposes a comparison making use of projection models based on the long-term risk–return tradeoff proposed by Campbell and Viceira (2005) to explicitly take into account slow-moving economic trends. In order to illustrate the approach and its implications, we discuss the capital protection provided by life-cycle target-date fund strategies and minimum guarantee strategies

Star-shaped Risk Measures

In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity property of coherent risk measures is dispensed with and positive homogeneity is weakened, include all practically used risk measures, in particular, both convex risk measures and Value-at-Risk. From a financial viewpoint, our relaxation of convexity is necessary to quantify the capital requirements for risk exposure in the presence of liquidity risk, competitive delegation, or robust aggregation mechanisms. From a decision theoretical perspective, star-shaped risk measures emerge from variational preferences when risk mitigation strategies can be adopted by a rational decision maker

Consumer Protection and the Design of the Default Option of a Pan-European Pension Product

We address potential strengths and weaknesses of alternative protection schemes, which can be adopted as a ‘default option’ in a private, third pillar, pension product. In light of the observed behavior of savers adopting the ‘default option’ at international level, we perform a comparative analysis aimed at quantifying the costs and the benefits of two different risk mitigation techniques and market-standard investment products available to European consumers. We make the case for eligibility of life-cycle target-date funds as default option for the pan-European pension products

Solvable Affine Term Structure Models

Abstract Pricing of contingent claims in the Affine Term Structure Models (ATSM) can be reduced to the solution of a set of Riccati-type Ordinary Differential Equations (ODE), as shown in Duffie

PROJECTS AND OPERATIONS IN THE OIL AND GAS E&P SEGMENT: A BIBLIOGRAPHIC PANEL

This article provides a better understanding from the literature on the multi-disciplinary processes management and on large critical projects, in multiple environments, in an oil operator. A bibliographic panel was prepared, from a bibliometric research, focusing on portfolio, projects, operations and resources. The analysis of the literature was made from the perspective of integration of processes, taking as fundaments their interdependencies and multidisciplinary aspects. There was no evidence that integration is a reality in processes so large and multi-disciplinary, as well as in multiple environments with large projects. However, good practices were found and they are related to isolated cases. This study identified and separated issues that are inherent to the studied processes, from the ones that are result of poor integration and immaturity of the processes which are of vital importance for the construction of an integrated and multidisciplinary model. This article takes a critical look on how the treatment of such aspects add value through the identification of the interfaces, that are important in organizations that operate in multiple environments projects, together with production operations

Branching Processes and Evolution at the Ends of a Food Chain

In a critically self--organized model of punctuated equilibrium, boundaries determine peculiar scaling of the size distribution of evolutionary avalanches. This is derived by an inhomogeneous generalization of standard branching processes, extending previous mean field descriptions and yielding $\nu=1/2$ together with $\tau'=7/4$, as distribution exponent of avalanches starting from species at the ends of a food chain. For the nearest neighbor chain one obtains numerically $\tau'=1.25 \pm 0.01$, and $\tau'_{first}=1.35 \pm 0.01$ for the first return times of activity, again distinct from bulk exponents.Comment: REVTex file, 12 pages, 2 figures in eps-files uuencoded, psfig.st

Multifractal scaling in the Bak-Tang-Wiesenfeld Sandpile and edge events

An analysis of moments and spectra shows that, while the distribution of avalanche areas obeys finite size scaling, that of toppling numbers is universally characterized by a full, nonlinear multifractal spectrum. Rare, large avalanches dissipating at the border influence the statistics very sensibly. Only once they are excluded from the sample, the conditional toppling distribution for given area simplifies enough to show also a well defined, multifractal scaling. The resulting picture brings to light unsuspected, novel physics in the model.Comment: 5 pages, 4 figure

ACE2 and TMPRSS2 Potential Involvement in Genetic Susceptibility to SARS-COV-2 in Cancer Patients

Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has caused a global pandemic. One open question is whether genetics could influence the severity of symptoms. Considering the limited data on cancer patients, we analyzed public data repositories limited to investigate angiotensin-converting enzyme 2 (ACE2) and the transmembrane serine protease 2 (TMPRSS2) expressions and genetic variants to identify the basis of individual susceptibility to SARS-CoV-2. Gene expression and variant data were retrieved from Tissue Cancer Genome Atlas, Genotype-Tissue Expression, and gnomAD. Differences in gene expression were tested with Mann-Whitney U-test. Allele frequencies of germline variants were explored in different ethnicities, with a special focus on ACE2 variants located in the binding site to SARS-CoV-2 spike protein. The analysis of ACE2 and TMPRSS2 expressions in healthy tissues showed a higher expression in the age class 20 to 59 years (false discovery rate [FDR] < 0.0001) regardless of gender. ACE2 and TMPRSS2 were more expressed in tumors from males than females (both FDR < 0.0001) and, opposite to the regulation in tissues from healthy individuals, more expressed in elderly patients (FDR = 0.005; FDR < 0.0001, respectively). ACE2 and TMPRSS2 expressions were higher in cancers of elderly patients compared with healthy individuals (FDR < 0.0001). Variants were present at low frequency (range 0% to 3%) and among those with the highest frequency, the variant S19P belongs to the SARS-CoV-2 spike protein binding site and it was exclusively present in Africans with a frequency of 0.2%. The mechanisms of ACE2 and TMPRSS2 regulation could be targeted for preventive and therapeutic purposes in the whole population and especially in cancer patients. Further studies are needed to show a direct correlation of ACE2 and TMPRSS2 expressions in cancer patients and the incidence of COVID-19

A Qualitative Exploration of the Use of Contraband Cell Phones in Secured Facilities

Offenders accepting contraband cell phones in secured facilities violate state corrections law, and the possession of these cell phones is a form of risk taking behavior. When offenders continue this risky behavior, it affects their decision making in other domains where they are challenging authorities; and may impact the length of their incarceration. This qualitative phenomenological study examined the lived experience of ex-offenders who had contraband cell phones in secured correctional facilities in order to better understand their reasons for taking risks with contraband cell phones. The theoretical foundation for this study was Trimpop\u27s risk-homeostasis and risk-motivation theories that suggest an individual\u27s behaviors adapt to negotiate between perceived risk and desired risk in order to achieve satisfaction. The research question explored beliefs and perceptions of ex-offenders who chose to accept the risk of using contraband cell phones during their time in secured facilities. Data were collected anonymously through recorded telephone interviews with 8 male adult ex-offenders and analyzed using thematic content analysis. Findings indicated participants felt empowered by possession of cell phones in prison, and it was an acceptable risk to stay connected to family out of concern for loved ones. The study contributes to social change by providing those justice system administrators, and prison managers responsible for prison cell phone policies with more detailed information about the motivations and perspectives of offenders in respect to using contraband cell phones while imprisoned in secured facilities