A Case Where Barro Expectations Are Not Rational

This note generalizes Feldstein’s (1976) criticism of Barro’s(1974) analysis for the case that the interest rate exceeds the growth rate. This is done by considering an economy in steady state where all agents hold “Barro expectations”: they believe that government debt must necessarily be repaid and therefore leave the present value of their income streams unchanged. In this scenario, a change in the mode of taxation affects the present value of disposable income in the private sector. This violates their Barro expectations

A stochastic programming model for dynamic portfolio management with financial derivatives

Stochastic optimization models have been extensively applied to financial portfolios and have proven their effectiveness in asset and asset-liability management. Occasionally, however, they have been applied to dynamic portfolio problems including not only assets traded in secondary markets but also derivative contracts such as options or futures with their dedicated payoff functions. Such extension allows the construction of asymmetric payoffs for hedging or speculative purposes but also leads to several mathematical issues. Derivatives-based nonlinear portfolios in a discrete multistage stochastic programming (MSP) framework can be potentially very beneficial to shape dynamically a portfolio return distribution and attain superior performance. In this article we present a portfolio model with equity options, which extends significantly previous efforts in this area, and analyse the potential of such extension from a modeling and methodological viewpoints. We consider an asset universe and model portfolio set-up including equity, bonds, money market, a volatility-based exchange-traded-fund (ETF) and over-the-counter (OTC) option contracts on the equity. Relying on this market structure we formulate and analyse, to the best of our knowledge, for the first time, a comprehensive set of optimal option strategies in a discrete framework, including canonical protective puts, covered calls and straddles, as well as more advanced combined strategies based on equity options and the volatility index. The problem formulation relies on a data-driven scenario generation method for asset returns and option prices consistent with arbitrage-free conditions and incomplete market assumptions. The joint inclusion of option contracts and the VIX as asset class in a dynamic portfolio problem extends previous efforts in the domain of volatility-driven optimal policies. By introducing an optimal trade-off problem based on expected wealth and Conditional Value-at-Risk (CVaR), we formulate the problem as a stochastic linear program and present an extended set of numerical results across different market phases, to discuss the interplay among asset classes and options, relevant to financial engineers and fund managers. We find that options’ portfolios and trading in options strengthen an effective tail risk control, and help shaping portfolios returns’ distributions, consistently with an investor's risk attitude. Furthermore the introduction of a volatility index in the asset universe, jointly with equity options, leads to superior risk-adjusted returns, both in- and out-of-sample, as shown in the final case-study

Characterization of Changes in Gluten Proteins in Low-Gliadin Transgenic Wheat Lines in Response to Application of Different Nitrogen Regimes

Gluten proteins are major determinants of the bread making quality of wheat but also of important gluten-related disorders. The gluten protein accumulation during grain filling is strongly influenced by nitrogen fertilization. We have characterized the gluten proteins in low-gliadin wheat lines as influenced by nitrogen treatments in two experiments. These transgenic lines, D783, D793, C655, D577, and E82 were obtained by using two different RNAi silencing fragments and two endosperm-specific promoters to drive the silencing fragments (d-hordein and γ-gliadin). In Experiment 1, we used three nitrogen fertilizer rates (120, 360, and 1080 mg N) added at sowing stage and combined with two sulfur rates (8 and 30 mg S); Experiment 2 included two nitrogen levels (120 and 1080 mg N), which were added according to the greatest demand per plant using split applications. The protein quantification was accomplished by Reverse-Phase High-Performance Liquid Chromatography and gluten content (ppm) determined using monoclonal antibody R5 (Competitive R5 ELISA). The results showed differences in protein accumulation between the two transgenic lines with the same silencing fragment but different promoter. Lines D793 and E82 showed low gliadin and an increment in glutenin content with increasing nitrogen. Competitive ELISA R5 showed a significant decrease in gluten content using split applications of nitrogen (Experiment 2) with 120 mg N compared to Experiment 1. In addition, line E82 ensures that variations in N fertilization will not result in increased gluten content.The Spanish Ministry of Economy and Competitiveness (Projects AGL2013-48946-C3-1-R and AGL2016-80566-P), the European Regional Development Fund (FEDER) and Junta de Andalucía (Project P11-AGR-7920) supported this work.Peer Reviewe

Spatially resolved kinematics in the central 1 kpc of a compact star-forming galaxy at z=2.3 from ALMA CO observations

We present high spatial resolution (FWHM$\sim$0.14'') observations of the CO($8-7$) line in GDS-14876, a compact star-forming galaxy at $z=2.3$ with total stellar mass of $\log(M_{\star}/M_{\odot})=10.9$. The spatially resolved velocity map of the inner $r\lesssim1$~kpc reveals a continous velocity gradient consistent with the kinematics of a rotating disk with $v_{\rm rot}(r=1\rm kpc)=163\pm5$ km s$^{-1}$ and $v_{\rm rot}/\sigma\sim2.5$. The gas-to-stellar ratios estimated from CO($8-7$) and the dust continuum emission span a broad range, $f^{\rm CO}_{\rm gas}=M_{\rm gas}/M_{\star}=13-45\%$ and $f^{\rm cont}_{\rm gas}=50-67\%$, but are nonetheless consistent given the uncertainties in the conversion factors. The dynamical modeling yields a dynamical mass of$\log(M_{\rm dyn}/M_{\odot})=10.58^{+0.5}_{-0.2}$ which is lower, but still consistent with the baryonic mass, $\log$(M$_{\rm bar}$= M$_{\star}$ + M$^{\rm CO}_{\rm gas}$/M$_{\odot}$)$=11.0$, if the smallest CO-based gas fraction is assumed. Despite a low, overall gas fraction, the small physical extent of the dense, star-forming gas probed by CO($8-7$), $\sim3\times$ smaller than the stellar size, implies a strong concentration that increases the gas fraction up to $f^{\rm CO, 1\rm kpc}_{\rm gas}\sim 85\%$ in the central 1 kpc. Such a gas-rich center, coupled with a high star-formation rate, SFR$\sim$ 500 M$_{\odot}$ yr$^{-1}$, suggests that GDS-14876 is quickly assembling a dense stellar component (bulge) in a strong nuclear starburst. Assuming its gas reservoir is depleted without replenishment, GDS-14876 will quickly ($t_{\rm depl}\sim27$ Myr) become a compact quiescent galaxy that could retain some fraction of the observed rotational support.Comment: Accepted for Publication in ApJL. Kinematic maps are shown in Figures 2 and

Investigating evidence for different black hole accretion modes since redshift z~1

Chandra data in the COSMOS, AEGIS-XD and 4Ms CDFS are combined with optical/near-IR photometry to determine the rest-frame U-V vs V-J colours of X-ray AGN hosts at mean redshifts 0.40 and 0.85. This combination of colours (UVJ) provides an efficient means of separating quiescent from star-forming, including dust reddened, galaxies. Morphological information emphasises differences between AGN split by their UVJ colours. AGN in quiescent galaxies are dominated by spheroids, while star-forming hosts are split between bulges and disks. The UVJ diagram of AGN hosts is then used to set limits on the accretion density associated with evolved and star-forming systems. Most of the black hole growth since z~1 is associated with star-forming hosts. Nevertheless, ~15-20% of the X-ray luminosity density since z~1, is taking place in the quiescent region of the UVJ diagram. For the z~0.40 subsample, there is tentative evidence (2sigma significance), that AGN split by their UVJ colours differ in Eddington ratio. AGN in star-forming hosts dominate at high Eddington ratios, while AGN in quiescent hosts become increasingly important as a fraction of the total population toward low Eddington ratios. At higher redshift, z~0.8, such differences are significant at the 2sigma level only at Eddington ratios >1e-3. These findings are consistent with scenarios in which diverse accretion modes are responsible for the build-up of SMBHs at the centres of galaxies. We compare our results with the GALFORM semi-analytic model, which postulates two black hole fuelling modes, the first linked to star-formation and the second occuring in passive galaxies. GALFORM predicts a larger fraction of black hole growth in quiescent galaxies at z<1, compared to the data. Relaxing the strong assumption of the model that passive AGN hosts have zero star-formation rate could reconcile this disagreement.Comment: MNRAS accepte

The impact of health on professionally active people's incomes in Poland. Microeconometric analysis

The outcome of the research confirms the occurrence of positive interaction between professionally active people's incomes and the self-assessed state of health. People declaring a bad state of health have incomes by 20% on average lower than people who enjoy good health (assuming that the remaining characteristics of the surveyed person are the same). In case of men, the impact of health state on incomes is slightly greater than in case of women.Wyniki badań potwierdzają istnienie pozytywnej zależności dochodów osób aktywnych zawodowo od stanu zdrowia mierzonego jego samooceną. Osoby deklarujące zły stan zdrowia osiągają dochody przeciętnie o 20% niższe niż osoby, które cieszą się dobrym stanem zdrowia (przy założeniu, że pozostałe charakterystyki badanej osoby są takie same). W przypadku mężczyzn zależność dochodów od stanu zdrowia jest nieznacznie silniejsza niż w przypadku kobiet

Validation of Cod maturity ogive in NAFO 3M. Effect of the reproductive ccycle moment on ogive estimation.

The Flemish Cap (FC) survey is the source of the Atlantic cod maturity data for SSB estimation. FC survey takes place when females are resting and discrimination between spawning active and inactive females is still possible testing the presence of postovulatory follicles, that remains several months after spawning. However, the best moment for discriminate active spawning females is during the spawning season. For 2012 and 2014, the maturity ogives calculated during the spawning season and when females are resting were compared. Assuming a seasonal growth for cod in 3M, the moment in which maturity is estimated, had no effect on the ogives estimation. Thus, it is recommended to continue employing in the 3M cod assessment the maturity ogives produced with the FC survey information

Military spending and economic growth in China: a regime-switching analysis

This article has been made available through the Brunel Open Access Publishing Fund.This article investigates the impact of military spending changes on economic growth in China over the period 1953 to 2010. Using two-state Markov-switching specifications, the results suggest that the relationship between military spending changes and economic growth is state dependent. Specifically, the results show that military spending changes affect the economic growth negatively during a slower growth-higher variance state, while positively within a faster growth-lower variance one. It is also demonstrated that military spending changes contain information about the growth transition probabilities. As a policy tool, the results indicate that increases in military spending can be detrimental to growth during slower growth-higher growth volatility periods. © 2014 © 2014 The Author(s). Published by Taylor & Francis