Solving OLG Models with Many Cohorts, Asset Choice and Large Shocks

The paper presents a computationally efficient method to solve overlapping generations models with asset choice. The method is used to study an OLG economy with many cohorts, up to 3 different assets, stochastic volatility, short-sale constraints, and subject to rather large technology shocks. On the methodological side, the main findings are that global projection methods with polynomial approximations of degree 3 are sufficient to provide a very precise solution, even in the case of large shocks. Globally linear approximations, in contrast to local linear approximations, are sufficient to capture the most important financial statistics, including not only the average risk premium, but also the variation of the risk premium over the cycle. However, global linear approximations are not sufficient to reliably pin down asset choices. With a risk aversion parameter of only 4, the model generates a price of risk, measured as the Sharpe ratio, that is almost half of what it is for US stocks. However, the asset price fluctuations and the equity premium are much smaller than in US data

Management goals for type 1 Gaucher disease: An expert consensus document from the European working group on Gaucher disease

AbstractGaucher Disease type 1 (GD1) is a lysosomal disorder that affects many systems. Therapy improves the principal manifestations of the condition and, as a consequence, many patients show a modified phenotype which reflects manifestations of their disease that are refractory to treatment. More generally, it is increasingly recognised that information as to how a patient feels and functions [obtained by patient- reported outcome measurements (PROMs)] is critical to any comprehensive evaluation of treatment. A new set of management goals for GD1 in which both trends are reflected is needed. To this end, a modified Delphi procedure among 25 experts was performed. Based on a literature review and with input from patients, 65 potential goals were formulated as statements. Consensus was considered to be reached when ≥75% of the participants agreed to include that specific statement in the management goals. There was agreement on 42 statements. In addition to the traditional goals concerning haematological, visceral and bone manifestations, improvement in quality of life, fatigue and social participation, as well as early detection of long-term complications or associated diseases were included. When applying this set of goals in medical practice, the clinical status of the individual patient should be taken into account

Capturing hedge fund risk factor exposures: Hedge fund return replication with ETFs

We develop a new factor selection methodology of spanning the space of hedge fund risk factors with all available exchange traded funds (ETFs). We demonstrate the efficacy of the methodology with out-of-sample individual hedge fund return replication by ETF clone portfolios. This is consistent with our interpretation of ETF returns as proxies to risk factors driving hedge fund returns. We further consider portfolios of “cloneable” and “noncloneable” hedge funds, defined as top and bottom in-sample R2 matches, and demonstrate that our ETF clone portfolios slightly outperform cloneable hedge funds out of sample