Approximate CAPM When Preferences Are CRRA

In general equilibrium models of financial markets, the cpital asset pricing formula does not hold when agents have von Neumann-Morgenstern utility with constant relative risk aversion. In this paper we examine under which conditions on endownments and dividens the pricing formula provides a good benchmark for equilibrium returns. While it is easy to construct examples where equilibrium returns are arbitrarily far from those predicted by CAPM, we show that there is a large class of economies where CAPM provides a very good approximation. Although the pricing formula does not hold exactly for the chosen specification, it turns out that pricing-errors are extremely small.Economics ;

The Robustness of the CAPM-A Computational Approach

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically approximate equilibria for a variety of different specifications for preferences, endowments and dividends and compare the equilibrium prices and portfolio-holdings to the predictions of the CAPM. While the CAPM does not hold exactly for the chosen specification, it turns out that pricing-errors are extremely small. Furthermore, two-fund separation holds approximately.

d0 Perovskite-Semiconductor Electronic Structure

We address the low-energy effective Hamiltonian of electron doped d0 perovskite semiconductors in cubic and tetragonal phases using the k*p method. The Hamiltonian depends on the spin-orbit interaction strength, on the temperature-dependent tetragonal distortion, and on a set of effective-mass parameters whose number is determined by the symmetry of the crystal. We explain how these parameters can be extracted from angle resolved photo-emission, Raman spectroscopy, and magneto-transport measurements and estimate their values in SrTiO3

Magnetization Dissipation in Ferromagnets from Scattering Theory

The magnetization dynamics of ferromagnets are often formulated in terms of the Landau-Lifshitz-Gilbert (LLG) equation. The reactive part of this equation describes the response of the magnetization in terms of effective fields, whereas the dissipative part is parameterized by the Gilbert damping tensor. We formulate a scattering theory for the magnetization dynamics and map this description on the linearized LLG equation by attaching electric contacts to the ferromagnet. The reactive part can then be expressed in terms of the static scattering matrix. The dissipative contribution to the low-frequency magnetization dynamics can be described as an adiabatic energy pumping process to the electronic subsystem by the time-dependent magnetization. The Gilbert damping tensor depends on the time derivative of the scattering matrix as a function of the magnetization direction. By the fluctuation-dissipation theorem, the fluctuations of the effective fields can also be formulated in terms of the quasistatic scattering matrix. The theory is formulated for general magnetization textures and worked out for monodomain precessions and domain wall motions. We prove that the Gilbert damping from scattering theory is identical to the result obtained by the Kubo formalism.Comment: 15 pages, 1 figur

Dating of the oldest continental sediments from the Himalayan foreland basin

A detailed knowledge of Himalayan development is important for our wider understanding of several global processes, ranging from models of plateau uplift to changes in oceanic chemistry and climate(1-4). Continental sediments 55 Myr old found in a foreland basin in Pakistan(5) are, by more than 20 Myr, the oldest deposits thought to have been eroded from the Himalayan metamorphic mountain belt. This constraint on when erosion began has influenced models of the timing and diachrony of the India-Eurasia collision(6-8), timing and mechanisms of exhumation(9,10) and uplift(11), as well as our general understanding of foreland basin dynamics(12). But the depositional age of these basin sediments was based on biostratigraphy from four intercalated marl units(5). Here we present dates of 257 detrital grains of white mica from this succession, using the Ar-40-(39) Ar method, and find that the largest concentration of ages are at 36-40 Myr. These dates are incompatible with the biostratigraphy unless the mineral ages have been reset, a possibility that we reject on the basis of a number of lines of evidence. A more detailed mapping of this formation suggests that the marl units are structurally intercalated with the continental sediments and accordingly that biostratigraphy cannot be used to date the clastic succession. The oldest continental foreland basin sediments containing metamorphic detritus eroded from the Himalaya orogeny therefore seem to be at least 15-20 Myr younger than previously believed, and models based on the older age must be re-evaluated

BNCI systems as a potential assistive technology: ethical issues and participatory research in the BrainAble project

This paper highlights aspects related to current research and thinking about ethical issues in relation to Brain Computer Interface (BCI) and Brain-Neuronal Computer Interfaces (BNCI) research through the experience of one particular project, BrainAble, which is exploring and developing the potential of these technologies to enable people with complex disabilities to control computers. It describes how ethical practice has been developed both within the multidisciplinary research team and with participants. Results: The paper presents findings in which participants shared their views of the project prototypes, of the potential of BCI/BNCI systems as an assistive technology, and of their other possible applications. This draws attention to the importance of ethical practice in projects where high expectations of technologies, and representations of “ideal types” of disabled users may reinforce stereotypes or drown out participant “voices”. Conclusions: Ethical frameworks for research and development in emergent areas such as BCI/BNCI systems should be based on broad notions of a “duty of care” while being sufficiently flexible that researchers can adapt project procedures according to participant needs. They need to be frequently revisited, not only in the light of experience, but also to ensure they reflect new research findings and ever more complex and powerful technologies

Prediction of residual stress fields after shot-peening of TRIP780 steel with second-order and artificial neural network models based on multi-impact finite element simulations

Shot-peening is a mechanical surface treatment widely employed to enhance the fatigue life of metallic components by generating compressive residual stress fields below the surface. These fields are mainly impacted by the selection of the process parameters. The aim of this work is to propose a hybrid approach to conduct two predictive models: second-order model and feed-forward artificial neural network model. For this purpose, a 3D multiple-impact finite element model coupled to a central composite design of experiments was employed. A parametric analysis was also conducted to investigate the effect of the shot diameter, the shot velocity, the coverage, and the impact angle on the induced residual stress profile within a TRIP780 steel. It was found that both models predict with good agreement, the residual stress profile as a function of the process parameters and can be used in shot-peening optimization due to their responsiveness

Recovering from stillbirth: the effects of making and sharing memories on maternal mental health

Objective: This study examined whether the experience of creating and sharing memories of their babies is associated with mothers’ mental health after stillbirth, taking account of factors previously shown to be important. Background: Mothers of stillborn babies are usually offered the opportunity to spend time with and create memories of their babies. However, evidence on whether this leads to better mental health outcomes is equivocal. One possible explanation is that the impact of making memories is mediated by the extent to which women subsequently share these memories. Methods: Cross-sectional questionnaire study. Mothers (N = 162) of stillborn babies completed online questionnaires of how memories were made and shared, satisfaction with memory-making and sharing, professional and social support, and symptoms of depression, anxiety and PTSD. Results: The majority of mothers made and shared memories. The number of different memory-making activities was not associated with mental health outcomes. However, the degree to which mothers shared their memories was associated with fewer PTSD symptoms. Regression analyses showed that good mental health was most strongly associated with time since stillbirth, perceived professional support, sharing of memories and less wish to talk more about the baby. Conclusion: This study confirms research showing that time since stillbirth and perceived professional support is associated with better mental health following stillbirth and for the first time shows the importance of opportunities to share memories of the baby. Variation in sharing opportunities may contribute to inconsistencies in the association between making memories and mental health following stillbirth