Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets

It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing models. This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive usefully tight bounds on asset prices in this situation. The bounds basically rule out high Sharpe ratios - `good deals' - as well as arbitrage opportunities. We present the method of calculation, we extend it to a multiperiod context by finding a recursive solution, and we apply it to option pricing examples including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree rate.

Real-Time Planning with Multi-Fidelity Models for Agile Flights in Unknown Environments

Autonomous navigation through unknown environments is a challenging task that entails real-time localization, perception, planning, and control. UAVs with this capability have begun to emerge in the literature with advances in lightweight sensing and computing. Although the planning methodologies vary from platform to platform, many algorithms adopt a hierarchical planning architecture where a slow, low-fidelity global planner guides a fast, high-fidelity local planner. However, in unknown environments, this approach can lead to erratic or unstable behavior due to the interaction between the global planner, whose solution is changing constantly, and the local planner; a consequence of not capturing higher-order dynamics in the global plan. This work proposes a planning framework in which multi-fidelity models are used to reduce the discrepancy between the local and global planner. Our approach uses high-, medium-, and low-fidelity models to compose a path that captures higher-order dynamics while remaining computationally tractable. In addition, we address the interaction between a fast planner and a slower mapper by considering the sensor data not yet fused into the map during the collision check. This novel mapping and planning framework for agile flights is validated in simulation and hardware experiments, showing replanning times of 5-40 ms in cluttered environments.Comment: ICRA 201

Seed beetles (Coleoptera: Bruchidae) associated with Acacia cornigera (L.) Willd., with description of a new species of Acanthoscelides Schilsky

Presented herein is a key to identify species of Bruchidae associated with Acacia cornigera (L.). For each species, host records, distributions and bionomics are given. A new species of Acanthoscelides Schilsky is described and figured; Acanthoscelides sauli Romero, Cruz, and Kingsolver

Modeling technological progress and investment in China: Some caveats

Since the early 1990s, the number of papers estimating econometric models and using other quantitative techniques to try to understand different aspects of the Chinese economy has mushroomed. A common feature of some of these studies is the use of neoclassical theory as the underpinning for the empirical implementations. It is often assumed that factor markets are competitive, that firms are profit maximizers, and that these firms respond to the same incentives that firms in market economies do. Many researchers find that the Chinese economy can be well explained using the tools of neoclassical theory. In this paper, we (1) review two examples of estimation of the rate of technical progress, and (2) discuss one attempt at modeling investment. We identify their shortcomings and the problems with the alleged policy implications derived. We show that econometric estimation of neoclassical models may result in apparently sensible results for misinformed reasons. We conclude that modeling the Chinese economy requires a deeper understanding of its inner workings as both a transitional and a developing economy

Why are Some Countries Richer than Others? A Reassessment of Mankiw-Romer-Weil's Test of the Neoclassical Growth Model

"This paper provides evidence of a problem with the influential testing and assessment of Solow's (1956) growth model proposed by Mankiw et al. (1992) and a series of subsequent papers evaluating the latter. First, the assumption of a common rate of technical progress maintained by Mankiw et al. (1992) is relaxed. Solow's model is extended to include the different levels and rates of technical progress of each country. This increases the explanatory power of the cross-country variation in income per capita of the OECD countries to over 80 percent. The estimates of the parameters are statistically significant and take the expected values and signs. Second, and more important, it is shown that the estimates merely reflect a statistical artifact. This has serious implications for the possibility of actually testing Solow's growth model.

The Aggregate Production Function and Solow\u27s Three Denials

This paper offers a retrospective view of the key pillar of Solow’s neoclassical growth model, namely the aggregate production function. We review how this tool came to life and how it has survived until today, despite three criticisms that undermined its raison d’être. They are the Cambridge Capital Theory Controversies, the Aggregation Problem, and the Accounting Identity. These criticisms were forgotten by the profession, not because they were wrong but because of the key role played by Robert Solow in the field. Today, these criticisms are not even mentioned when students are introduced to (neoclassical) growth theory, which is presented in most economics departments and macroeconomics textbooks as the only theory worth studying

Is anything left of the debate about the sources of growth in East Asia thirty years later?

The year 2023 commemorates the 30th anniversary of the publication of the influential, yet controversial, study The East Asian Miracle report by the World Bank (1993). An important part of the report’s analysis was concerned with the sources of growth in East Asia. This was based on the neoclassical decomposition of growth into productivity and factor accumulation. At about the same time, the publication of Alwyn Young’s (1992, 1995) and J-I Kim and Lawrence Lau’s (1994) studies, and Paul Krugman’s (1994) popularization of the “zero total factor productivity growth” thesis, led to a very important debate within the profession, on the sources of growth in East Asia. The emerging literature on China’s growth during the 1990s also used the neoclassical growth model to decompose overall growth into total factor productivity growth and factor accumulation. This survey reviews what the profession has learned during the last 30 years about East Asia’s growth using growth accounting exercises and estimations of production functions. It demystifies this literature by pointing out the significant methodological problems inherent in the neoclassical growth accounting approach. We conclude that the analysis of growth within the framework of the neoclassical model should be seriously questioned. Instead, we propose that researchers look at other approaches, for example, the balance-of-paymentsconstrained growth rate approach of Thirlwall (1979) or the product space of Hidalgo et al. (2007), together with the notion of complexity of Hidalgo and Hausmann (2009)

Shear Wave Birefringence In Reverse VSP: An Approach To 3-D Surface P To S Converted Waves

We present an original method to estimate local shear wave birefringence properties for 3-D surface P to S converted waves. To accomplish this we approach the problem in reverse VSP (RVSP), and we show that they are equivalent. The method works in the pre-stack domain and uses the converted P to S waves as hypothetical sources to study the problem under the propagator matrix method in transmission. The importance of this method is that no information is required about layering above the zone of interest to obtain an accurate estimation of the anisotropy parameters. The method involves solving a nonlinear problem in the frequency domain where a global minimization technique called Simulation Annealing is used. The procedure also allows us to estimate the axis of anisotropy independently of the offset angle in the range of angles considered in VSPs and in surface profiles. The proposed method is validated with synthetic RVSP data for two models with different densities of vertical fractures. Results show good accuracy in the estimation of the angle of the fractures for the whole range of offsets. Also, results show a dependence on the frequency and offset ranges considered in the analysis.Massachusetts Institute of Technology. Borehole Acoustics and Logging ConsortiumMassachusetts Institute of Technology. Earth Resources Laboratory. Reservoir Delineation Consortiu

An Examination of Ethnic Content in Nine Current Basal Series

The authors sought answers to the following questions regarding ethnic content by examining nine current basal reading series: 1. What amount of ethnic content is contained in nine of the major basal reading series; are there differences in the amount of ethnic content contained in these series? 2. Is there a particular basal reading series that emphasizes a greater number of stories about Blacks, Hispanics, or Native Americans than others; to what extent are these differences evident among the basal reading series? 3. In what ways can such information benefit individuals who are interested in purchasing a new basal series