Testing Portfolio Efficiency with Conditioning Information

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our tests refine previous tests of portfolio efficiency, using the conditioning information optimally. We reject the efficiency of all static or time-varying combinations of the three Fama-French (1996) factors with respect to the conditioning information and also the conditional efficiency of time-varying combinations of the factors, given standard lagged instruments.

Mimicking Portfolios with Conditioning Information

Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of predetermined state variables, or conditioning information. The results generalize and integrate multifactor minimum variance efficiency (Fama, 1996) with conditional and unconditional mean variance efficiency (Hansen and Richard (1987), Ferson and Siegel, 2001). Empirical examples illustrate the potential importance of time-varying mimicking portfolio weights and highlight challenges in their application.

A comparison of populations vaccinated in a public service and in a private hospital setting in the same area

<p>Abstract</p> <p>Background</p> <p>Improving immunisation rates in risk groups is one of the main objectives in vaccination strategies. However, achieving high vaccination rates in children with chronic conditions is difficult. Different types of vaccine providers may differently attract high risk children.</p> <p>Aim</p> <p>To describe the characteristics of two populations of children who attended a private and a public immunisation provider in the same area. Secondarily, to determine if prevalence of patients with underlying diseases by type of provider differs and to study if the choice of different providers influences timeliness in immunisation.</p> <p>Methods</p> <p>We performed a cross-sectional study on parents of children 2 – 36 months of age who attended a private hospital immunisation service or a public immunisation office serving the same metropolitan area of Rome, Italy. Data on personal characteristics and immunisation history were collected through a face to face interview with parents of vaccinees, and compared by type of provider. Prevalence of underlying conditions was compared in the two populations. Timeliness in immunisation and its determinants were analysed through a logistic regression model.</p> <p>Results</p> <p>A total of 202 parents of children 2–36 months of age were interviewed; 104 were in the public office, and 98 in the hospital practice. Children immunised in the hospital were more frequently firstborn female children, breast fed for a longer period, with a lower birthweight, and more frequently with a previous hospitalisation. The prevalence of high risk children immunised in the hospital was 9.2 vs 0% in the public service (P = 0.001). Immunisation delay for due vaccines was higher in the hospital practice than in the public service (DTP, polio, HBV, and Hib: 39.8% vs 22.1%; P = 0.005). Anyway multivariate analyses did not reveal differences in timeliness between the public and private hospital settings.</p> <p>Conclusion</p> <p>Children with underlying diseases or a low birthweight were more frequently immunised in the hospital. This finding suggests that offering immunisations in a hospital setting may facilitate vaccination uptake in high risk groups. An integration between public and hospital practices and an effort to improve communication on vaccines to parents, may significantly increase immunisation rates in high risk groups and in the general population, and prevent immunisation delays.</p

Option Pricing Kernels and the ICAPM

We estimate the parameters of pricing kernels that depend on both aggregate wealth and state variables that describe the investment opportunity set, using FTSE 100 and S&P 500 index option returns as the returns to be priced. The coefficients of the state variables are highly significant and remarkably consistent across specifications of the pricing kernel, and across the two markets. The results provide further evidence that, consistent with Merton's (1973) Intertemporal Capital Asset Pricing Model, state variables in addition to market risk are priced