A numerical study on the evolution of portfolio rules

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of distribution of wealth in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever a logarithmic utility maximiser enters the market, CAPM traders vanish in the long run. Our analysis provides further insights and extends these results. We simulate a sequence of trades in a financial market and: first, we address the issue of how long is the long run in different parametric settings; second, we study the effect of heterogeneous savings behaviour on asymptotic wealth shares. We find that CAPM is particularly “unfit” for highly risky environments

Guidance for the model developer on representing human behavior in egress models

Structures are currently designed and typically constructed in accordance with prescriptive and performance-based methodologies to ensure a certain level of safety. The performance-based approach requires the quantification of both available safe egress time (ASET) and required safe egress time (RSET) to determine the degree of safety provided. This article focuses on the RSET side of the equation, for which an engineer would use some type of egress modelling approach to estimate evacuation performance. Often, simple engineering equations are applied to estimate the RSET value; however, over time, more sophisticated computational tools have appeared. Irrespective of the approach adopted, appropriate and accurate representation of human behavior in fire within these approaches is limited, mainly due to the lack of a comprehensive conceptual model of evacuee decision-making and behavior during fire emergencies. This article initially presents a set of behavioral statements that represent the primary elements of current understanding regarding evacuee behavior. Once presented, guidance is provided on how these behavioral statements might be incorporated by the model developer into an egress model. The intent here is to assist in the advancement of current egress models by outlining the model structures required to represent the current understanding of egress behavior

Diagnosing systematic errors in the eta model forecasts over South America

The Centro de previsão de tempo e Estudos Climáticos (CPTEC) has emplyed the Regional ETA Model to produce short-range forecasts on operacional basis since 1997. The model has become one of the most important tools for weather forecasts over South America. However, because of the short period of operation, it is necessary to identify the systematic biases and the various parameters suitable to the conditions of this continent to achieve improved forecasts.Pages: 422-42