Portfolio Constraints and Contagion in Emerging Markets

The objective of this paper is twofold: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a "volatility shock" in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and portfolio restrictions; and (2) to analyze how the composition of the investor base determines the sensitivity of equilibrium asset prices to a shock originating in one of the fundamentally unrelated asset markets. The analysis confirms that certain combinations of portfolio constraints (notably short-sale constraints and benchmark-based performance criteria) can create an additional transmission mechanism for propagating shocks across fundamentally unrelated asset markets. The paper also discusses potential implications of recent and ongoing changes in the investor base for asset price volatility in emerging markets. Copyright 2006, International Monetary Fund

Ідея квазі-трансцендентального у філософії деконструкції

Paper deals with investigation of deconstructive concept of quasi-transcendental in the context of general thematization of transcendental philosophy framework of which deconstruction is thought as a representational version. It was established that quasi-transcendental thinking amounts to such a re-interpretation of theoretical foundation of transcendental discourse in the frame of which moments of critique and hyperbolizing are united.Author brings to light and explores main topics of transcendental thought primarily and foremost subjected to the quasi-transcendental reflection: namely, the problem of relationship between transcendental and empirical and the problem of conditions of possibility. In the first case, an ambivalence of “transcendental-empirical” relation, inherent to transcendental discourse turns out to be sharpened. This relation combines in itself characteristics of opposition and juxtaposition, up to reciprocal conditioning. Transcendental becomes such only with regard to empirical and vise versa. In the second case, questioning on conditions of possibility is reshaped in discourse on conditions of impossibility, which proves to be both critical restriction and hyperbolic extension of the former. Paper shows that development of idea of quasi-transcendental in deconstructive philosophy is an outcome of mutual work of Derrida himself and his eminent commentators. The function and basic senses of concept “quasi”, which it obtains within the scope of deconstructive version of transcendentalism, are determined. In particular, an affinity of Derridian “quasi” with Kantian als ob is ascertained, as well as its connection with both critical attitude and discursive realm of fiction. A peculiarity of concept of ultra-transcendental as variation of notion “quasi-transcendental” is found out.Author explores the relation of quasi-transcendental discourse to empirism and gives reasons for priority of transcendental realm over empirical in Derridian thought. Paper lays bare the relationship of quasi-transcendental thinking with discourse of other, as a fundamental theme of deconstructive philosophy.In sum author claims that (1) importance of the theme of (quasi)transcendental in deconstructive discourse and (2) personal Derrida’s self-identification as quasi-transcendental philosopher serve as crucial reasons for investigation of deconstructive philosophy as a prominent version of transcendental thinking.Статья посвящена исследованию деконструктивного понятия квази-трансцендентального в контексте общей тематизации основ трансцендентальной философии, репрезентативной версией которой полагается философия деконструкции. Установлено, что квази-трансцендентальное мышление представляет собой ре-интерпретацию теоретического фундамента трансцендентального дискурса, в рамках которой объединяются моменты критики и гиперболизации.Автором выявлены и рассмотрены основные сюжеты трансцендентальной мысли, которые в первую очередь подлежат квази-трансцендентальной рефлексии. Таковыми являются проблема отношения между трансцендентальным и эмпирическим и проблема условий возможности. В первом случае оказывается заостренной в целом свойственная трансцендентальному дискурсу амбивалентность отношения «трансцендентальное-эмпирическое», сочетающего в себе характеристики противопоставления и пересечения – вплоть до взаимообусловленности. Трансцендентальное оказывается таковым только по отношению к эмпирическому и наоборот. Во втором – вопрошание про условия возможности приобретает форму дискурса про условия невозможности, который оказывается одновременно и критическим ограничением первого, и его гиперболическим расширением. Показано, что становление идеи квази-трансцендентального в деконструктивной философии является результатом взаимных усилий Деррида и его выдающихся интерпретаторов. Определены функция и базовые смыслы концепта «квази», приобретаемые им в рамках деконструктивной версии трансцендентализма. В частности, установлена родственность дерридианского «квази» Кантовому понятию als ob; выявлена его связь как с критической установкой, так и с дискурсивной сферой fiction. Прояснена специфика понятия ультра-трансцендентального как вариации концепта «квази-трансцендентальное». Исследовано отношение квази-трансцендентального дискурса к эмпиризму. Обоснована приоритетность трансцендентальной сферы над эмпирической в рамках дерридианской мысли. Выявлена связь квази-трансцендентального мышления с дискурсом другого, который является фундаментальной темой философии деконструкции.Подытожено, что (1) значимость темы (квази)трансцендентального в деконструктивном дискурсе и (2) собственное самоопределение Деррида как квази-трансцендентального философа выступают существенными аспектами обоснования и легитимации исследования деконструктивной философии как версии трансцендентального мышления.Статтю присвячено дослідженню деконструкційного поняття квазі-трансцендентального в контексті загальної тематизації засад трансцендентальної філософії, репрезентативною версією якої покладається філософія деконструкції. Встановлено, що квазі-трансцендентальне мислення являє собою ре-інтерпретацію теоретичного фундаменту трансцендентального дискурсу, в межах якої поєднуються моменти критики й гіперболізації. Авторкою виявлено і розглянуто основні сюжети трансцендентальної думки, які в першу чергу підлягають квазі-трансцендентальній рефлексії: ними є проблема стосунку між трансцендентальним та емпіричним і проблема умов можливості. У першому випадку виявляється загостреною загалом властива трансцендентальному дискурсу амбівалентність відношення «трансцендентальне-емпіричне», що сполучає характеристики протиставлення і перекривання – аж до взаємозумовлення. Трансцендентальне постає таким тільки щодо емпіричного і навпаки. У другому – запитування про умови можливості набуває форми дискурсу про умови неможливості, який виявляється водночас і критичним обмеженням першого, і його гіперболічним розширенням. Показано, що становлення ідеї квазі-трансцендентального в деконструкційній філософії є результатом обопільної праці Дерида і його видатних інтерпретаторів. Визначено функцію і базові сенси концепту «квазі», яких він набуває в межах деконструкційної версії трансценденталізму. Зокрема, встановлено спорідненість деридианського «квазі» з Кантовим поняттям als ob; виявлено його зв’язок як з критичною настановою, так і з дискурсивною цариною fiction. З’ясовано специфіку поняття ультра-трансцендентального як варіації концепту «квазі-трансцендентальне». Досліджено стосунок квазі-трансцендентального дискурсу до емпіризму. Вмотивовано пріоритетність трансцендентальної царини над емпіричною в межах деридианської думки. Оприявнено зв’язок квазі-трансцендентального мислення з дискурсом іншого, що є фундаментальною темою деконструкційної філософії. Підсумовано, що (1) значущість теми (квазі)трансцендентального в деконструкційному дискурсі і (2) власне самовизначення Дерида як квазі-трансцендентального філософа постають вагомими аспектами обґрунтування і легітимації дослідження деконструкційної філософії як версії трансцендентального мислення

Managerial incentives and financial contagion

This paper proposes a framework to examine the comovements of asset prices with seemingly unrelated fundamentals, as an outcome of the optimal portfolio strategies of large institutional fund managers. In emerging markets, the dominant presence of dedicated fund managers whose compensation is linked to the outperformance of their portfolio relative to a benchmark index, and of global fund managers whose compensation is linked to the absolute returns of their portfolios, leads to portfolio decisions that result in systematic interactions between asset prices even in the absence of asymmetric information. The model endogenously determines the optimal amount of cash holdings or leverage, the incidence of relative value versus macro hedge fund strategies, and how prices can systematically deviate from the long-term fundamental value for long periods of time, with limits to the arbitrage of this differential. Managerial compensation contracts, while optimal at a firm level, may lead to inefficiencies at the macroeconomic level. We identify conditions when a negative shock to one emerging market affects another market negatively.Financial crises ; Mutual funds

Combinatorial optimization under ellipsoidal uncertainty

We study combinatorial problems with ellipsoidal uncertainty in the objective function concerning their theoretical and practical solvability. Ellipsoidal uncertainty is a natural model when the coefficients are normally distributed random variables. Robust versions of typical combinatorial problems can be very hard to solve compared to their linear versions. Complexity and approaches differ fundamentally depending on whether uncorrelated or correlated uncertainty occurs. We distinguish between these two cases and consider first the unconstrained binary optimization under uncorrelated ellipsoidal uncertainty. For this we develop an algorithm which computes an optimal solution by merely sorting the variables and, correspondingly, has a running time of O(n log n). The algorithm is based on the diminishing returns-property, which is characteristic for submodular functions. We introduce a new and a more general p-norm-uncertainty and show that with only slight modifications the sorting algorithm can be easily applied. We also extend the algorithm to general integer variables, which in this case only leads to a pseudo-polynomial time. The next step to the general case is investigation of problems with arbitrary combinatorial sets X ⊆ {0, 1}n under uncorrelated ellipsoidal uncertainty. For this case we embed the O(n log n)-algorithm for the unconstrained binary problems into a Lagrangean decomposition approach. The approach separates the objective function from the combinatorial structure applying Lagrangean relaxation to some artificial connecting constraints. This creates two subproblems, one of which is the linear version of the combinatorial problem and the other one is just the unconstrained binary uncorrelated problem, which can be solved using the O(n log n)-algorithm. The solutions of the subproblems are used to obtain primal and dual bounds which are used in a branch and bound-approach. The approach shows an excellent performance in practice. In the correlated case already the unconstrained binary problem turns out to be strongly NP-hard. Here we also define a branch and bound-approach, now with lower bounds determined by underestimation of the given ellipsoid with certainly defined axis-parallel ellipsoids. We use this idea to extend the decomposition approach to general combinatorial problems under correlated uncertainty. In contrast to the uncorrelated case the uncertain subproblem of the decomposition is here strongly NP-hard in itself. We solve it approximately using the developed underestimators which are determined in a preprocessing step. The approach offers room for improvement concerning in the primal extent a faster computation of the underestimators, which is done by solving semidefinite programs

Study of potential utility of new radiopharmaceuticals based on technetium-99m labeled derivative of glucose

Purpose: to study the potential utility of 1-thio-D-glucose labeled with {99m}Tc for cancer imaging in laboratory animals. Materials and method: the study was carried out in cell cultures of normal CHO (Chinese hamster ovary cells CHO) and malignant tissues MCF-7 (human breast adenocarcinoma MCF-7). To evaluate the uptake of {99m}Tc-1-thio-D-glucose in normal and tumor tissue cells, 25 MBq of 1-thio-D-glucose labeled with {99m}Tc was added to the vials with 3 million cells and incubated for 30 min at room temperature. After centrifugation of the vials with cells, the supernatant was removed. The radioactivity in vials with normal and tumor cells was then measured. In addition, the study included 40 mice of C57B1/6j lines with tumor lesion of the right femur. For neoplastic lesions, Lewis lung carcinoma model was used. Following anesthesia, mice were injected intravenously with 25 MBq of {99m}Tc-1-thio-D-glucose. Planar scintigraphy was performed 15 minutes later in a matrix of 512x512 pixels for 5 min. Results: when measuring the radioactivity of normal and malignant cells after incubation with {99m}Tc-1-thio-D-glucose, it was found that the radioactivity of malignant cells was higher than that of normal cells. The mean values of radioactivity levels in normal and malignant cells were 0.3±0.15 MBq and 1.07±0.6 MBq, respectively. All examined animals had increased accumulation of {99m}Tc-1-thio-D-glucose at the tumor site. The accumulation of {99m}Tc-1-thio-D-glucose in the tumor was on average twice as high as compared to the symmetric region. Conclusion: The present study demonstrated that {99m}Tc-1-thio-D-glucose is a prospective radiopharmaceutical for cancer visualization. In addition, high accumulation of {99m}Tc-1-thio-D-glucose in the culture of cancer cells and in tumor tissue of animals demonstrates tumor tropism of the radiopharmaceutical

Factors affecting eluation characteristics of sorption generators of technetium-99m

The influence of the adsorbed mass of molybdenum on the width of eluation profiles of generators and the patterns of molybdenum distribution in the amount of chromatographic columns by scanning them on the germanium-gallium detector using collimating device are studied. The boundary conditions under which the maximum value of {99m}Tc yield from generators Y[e]=1 are defined. After scanning the columns, it was found out that the degree of filling the columns with molybdenum Q and the value of its maximum adsorption depend naturally on the total weight of the adsorbed mass. In order to achieve the condition Y[e]=1 the value of Q should be at least 85%

Experimental study of radiopharmaceuticals based on technetium-99m labeled derivative of glucose for tumor diagnosis

Purpose: to study the potential utility of 1-thio-D-glucose labeled with 99mTc for cancer imaging in laboratory animals. Materials and method: the study was carried out in cell cultures of normal CHO (Chinese hamster ovary cells CHO) and malignant tissues MCF-7 (human breast adenocarcinoma MCF-7). To evaluate the uptake of 99mTc-1-thio-D-glucose in normal and tumor tissue cells, 25 MBq of 1-thio-D-glucose labeled with 99mTc was added to the vials with 3 million cells and incubated for 30 minutes at room temperature. After centrifugation of the vials with cells, the supernatant was removed. Radioactivity in vials with normal and tumor cells was then measured. In addition, the study included 40 mice of C57B 1/6j lines with tumor lesion of the right femur. For neoplastic lesions, Lewis lung carcinoma model was used. Following anesthesia, mice were injected intravenously with 25MBq of 99mTc-1-thio-D-glucose. Planar scintigraphy was performed 15 minutes later in a matrix of 512x512 pixels for 5 minutes. Results: when measuring the radioactivity of normal and malignant cells after incubation with 99mTc-1-thio-D- glucose, it was found that the radioactivity of malignant cells was higher than that of normal cells. The mean values of radioactivity levels in normal and malignant cells were 0.3±0.15MBq and 1.07±0.6MBq, respectively. All examined animals had increased accumulation of 99mTc-1-thio- D-glucose at the tumor site. The accumulation of 99mTc-1-thio-D-glucose in the tumor was on average twice as high as compared to the symmetric region. Conclusion: The present study demonstrated that 99mTc-1-thio-D-glucose is a prospective radiopharmaceutical for cancer visualization. In addition, high accumulation of 99mTc-1-thio-D-glucose in the culture of cancer cells and in tumor tissue of animals demonstrates tumor tropism of the radiopharmaceutical

Immobilization of Aspergillus niger lipase on chitosan-coated magnetic nanoparticles using two covalent-binding methods

Aspergillus niger lipase immobilization by covalent binding on chitosan-coated magnetic nanoparticles (CMNP), obtained by one-step co-precipitation, was studied. Hydroxyl and amino groups of support were activated using glycidol and glutaraldehyde, respectively. Fourier transform infrared spectrometry, high-resolution transmission electron microscopy and thermogravimetric analysis confirmed reaction of these coupling agents with the enzyme and achievement of a successful immobilization. The derivatives showed activities of 309.5 ± 2.0 and 266.2 ± 2.8 U (g support)(-1) for the CMNP treated with glutaraldehyde and with glycidol, respectively. Immobilization enhanced the enzyme stability against changes of pH and temperature, compared to free lipase. Furthermore, the kinetic parameters K m and V max were determined for the free and immobilized enzyme. K m value quantified for enzyme immobilized by means of glutaraldehyde was 1.7 times lowers than for free lipase. High storage stability during 50 days was observed in the immobilized derivatives. Finally, immobilized derivatives retained above 80% of their initial activity after 15 hydrolytic cycles. The immobilized enzyme can be applied in various biotechnological processes involving magnetic separation.Fil: Osuna, Yolanda. Universidad Autónoma de Coahuila; MéxicoFil: Sandoval, José. Universidad Autónoma de Coahuila; MéxicoFil: Saade, Hened. Centro de Investigación en Química Aplicada; MéxicoFil: López, Raúl G.. Centro de Investigación en Química Aplicada; MéxicoFil: Martinez, José L.. Universidad Autónoma de Coahuila; MéxicoFil: Colunga, Edith M.. Universidad Autónoma de Coahuila; MéxicoFil: de la Cruz, Gabriela. Universidad Autónoma de Coahuila; MéxicoFil: Segura, Elda P.. Universidad Autónoma de Coahuila; MéxicoFil: Arevalo, Fernando Javier. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Química; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Zon, María Alicia. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Química; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Fernandez, Hector. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Química; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Ilyina, Anna. Universidad Autónoma de Coahuila; Méxic

A Strategy for Resolving Europe\u27s Problem Loans

This discussion note uses a new survey of European country authorities and banks to examine the structural obstacles that discourage banks from addressing their problem loans. A three pillared strategy is advocated to remedy the situation, comprising: (i) tightened supervisory policies, (ii) insolvency reforms, and (iii) the development of distressed debt market