Two Trees: Asset Price Dynamics Induced by Market Clearing

If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise to complex asset market dynamics. We study this phenomenon in a very simple model. Our model has two Lucas trees.' Each tree has i.i.d.dividend growth, and the representative investor has log utility. We are able to give analytical solutions to the model. Despite this simple setup, price-dividend ratios, expected returns, and return variances vary through time. A dividend shock leads to underreaction' in some states, as expected returns rise and prices slowly adjust, and overreaction' in others. Expected returns and excess returns are predictable by price-dividend ratios in the time series and in the cross section, roughly matching value effects and return forecasting regressions. Returns generally display positive serial correlation and negative cross-serial correlation, leading to 'momentuem,' but the opposite signs are possible as well. A shock to one asset's dividend a.ects the price and expected return of the other asset, leading to substantial correlation of returns even when there is no correlation of cash flows and giving the appearance of contagion.' Market clearing allows the inverse portfolio' problem to be solved, in which the weights of the assets in the market portfolio are inverted' to solve for the parameters of the assets' return generating process.

Stand-alone flat-plate photovoltaic power systems: System sizing and life-cycle costing methodology for Federal agencies

A simple methodology to estimate photovoltaic system size and life-cycle costs in stand-alone applications is presented. It is designed to assist engineers at Government agencies in determining the feasibility of using small stand-alone photovoltaic systems to supply ac or dc power to the load. Photovoltaic system design considerations are presented as well as the equations for sizing the flat-plate array and the battery storage to meet the required load. Cost effectiveness of a candidate photovoltaic system is based on comparison with the life-cycle cost of alternative systems. Examples of alternative systems addressed are batteries, diesel generators, the utility grid, and other renewable energy systems

Teleportation-based number state manipulation with number sum measurement

We examine various manipulations of photon number states which can be implemented by teleportation technique with number sum measurement. The preparations of the Einstein-Podolsky-Rosen resources as well as the number sum measurement resulting in projection to certain Bell state may be done conditionally with linear optical elements, i.e., beam splitters, phase shifters and zero-one-photon detectors. Squeezed vacuum states are used as primary entanglement resource, while single-photon sources are not required.Comment: 9 pages, 4 figures, Misprints are corrected. 3 figures for number sum measurement are added. Discussion on manipulations are expanded. Calculations for success probabilities are added. Fig.4 is adde

Generalized software requirements to access thesauri and classification schemes for user-based image collections

This paper describes proposed schemes for describing and indexing two image collections and equirements for the software that would give the end-user access to thesaurus terms and a graphical display of the faceted classification structures of indexing records. Editorial cartoons comprise one collection, dance videos the other

Tailoring teleportation to the quantum alphabet

We introduce a refinement of the standard continuous variable teleportation measurement and displacement strategies. This refinement makes use of prior knowledge about the target state and the partial information carried by the classical channel when entanglement is non-maximal. This gives an improvement in the output quality of the protocol. The strategies we introduce could be used in current continuous variable teleportation experiments.Comment: 16 pages, 6 figures, RevTeX, made changes as recommended by referee, other minor textual corrections, resubmitted to Phys. Rev.

The Performance of Private Equity Funds: Does Diversification Matter?

This paper is the first systematic analysis of the impact of diversification on the performance of private equity funds. A unique data set allows the exact evaluation of diversification across the dimensions financing stages, industries, and countries. Very different levels of diversification can be observed across sample funds. While some funds are highly specialized others are highly diversified. The empirical results show that the rate of return of private equity funds declines with diversification across financing stages, but increases with diversification across industries. Accordingly, the fraction of portfolio companies which have a negative return or return nothing at all, increase with diversification across financing stages. Diversification across countries has no systematic effect on the performance of private equity funds

Understanding the scale and nature of outcome change in area-regeneration programmes: evidence from the New Deal for Communities Programme in England

The New Deal for Communities (NDC) Programme is one of the most intensive area-based initiatives (ABIs) launched in England. Between 1998 and 2010, 39 NDC Partnerships were charged with improving conditions in relation to six outcomes within deprived neighbourhoods, each accommodating around 9,800 people. Data point to only modest change, much of which reflected improving attitudes towards the area and the environment. There are problems in identifying positive people-based outcomes because relatively few individuals benefit from relevant initiatives. Few positive benefits leak out of NDC areas. Transformational change was always unlikely bearing in mind the limited nature of additional resources, and because only a minority of individuals directly engage with NDC projects. This evidence supports perspectives of ABIs rooted in 'local-managerialism'

Systematic review of the methods used in economic evaluations of targeted physical activity and sedentary behaviour interventions

The burden of noncommunicable diseases (NCD) on health systems worldwide is substantial. Physical inactivity and sedentary behaviour are major risk factors for NCD. Previous attempts to understand the value for money of preventative interventions targeting physically inactive individuals have proved to be challenging due to key methodological challenges associated with the conduct of economic evaluations in public health. A systematic review was carried out across six databases (Medline, SPORTSDiscus, EconLit, PsychINFO, NHS EED, HTA) along with supplementary searches. The review examines how economic evaluations published between 2009-March 2017 have addressed methodological challenges with the aim of bringing to light examples of good practice for future studies. Fifteen economic evaluations from four high-income countries were retrieved; there is a dearth of studies targeting sedentary behaviour as an independent risk factor from physical activity. Comparability of studies from the healthcare and societal perspectives were limited due to analysts’ choice in cost categories, valuation technique and time horizon differing substantially. The scarcity of and inconsistencies across economic evaluations for these two behaviours have exposed a mismatch between calls for more preventative action to tackle NCD and the lack of information available on how resources may be optimally allocated in practice. Consequently, this paper offers a table of recommendations on how future studies can be improved

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound