A New Example of a Closed Form Mean-Variance Representation

In most finance papers and textbooks mean-variance preferences are usually introduced and motivated as a special case of expected utility theory. In general, the two sufficient conditions to allow this are either quadratic preferences with an arbitrary distribution of stochastic assets, or arbitrary preferences with Normally distributed assets. In the first case, the specific functional form of mean-variance preferences follows naturally. In the second case, the only specific functional form usually provided is the case of negative exponential preferences. In this note, the specific functional form for mean-variance preferences is derived for the much more realistic example of lognormally distributed assets, and constant relative risk aversion (CRRA) preferences.Mean-variance preferences; expected utility; lognormal assets; risk aversion

The Econometric Specification of Input Demand Systems Implied by Cost Function Representations

In the case of input demand systems based on specification of technology by a Translog cost function, it is common to estimate either a system of share equations alone, or to supplement them by the cost function. By adding up, one of the share equations is excluded. In this paper it is argued that a system of n-1 share equations is essentially incomplete, whereas if the n-1 share equations are supplemented by the cost function the implied error structure is inadmissible. Similarly, if the technology is specified by a normalized quadratic cost function, it is common to estimate either a system of n-1 demand equations alone, or to supplement them by the cost function. In both cases, the implied error structure is again inadmissible.Cost Function; Input demands; Share equations; Translog; Normalized Quadratic; Error specification.

Regular and Estimable Inverse Demand Systems: A Distance Function Approach

To be useful for realistic policy simulation in an environment of rapid structural change, inverse demand systems must remain regular over substantial variations in quantities. The distance function is a convenient vehicle for generating such systems. While it directly yields Hicksian inverse demand functions, those functions will not usually have an explicit representation in terms of the observable variables. Note however that this problem need not hinder estimation and could be solved by using the numerical inversion estimation approach. This paper develops the formal theory for using distance functions in this context, and demonstrates the operational feasibility of the method.Inverse Demands; Distance Functions; Numerical Inversion Estimation Method; Separability.

The Benefit Function Approach to Modeling Price-Dependent Demand Systems: An Application of Duality Theory

In this article we advocate more extensive use of the benefit function in specifying price-dependent or inverse demand models. In particular, we demonstrate how duality theory may be used to establish the inter-relationships between the Marshallian (or Hicksian) inverse demands and Luenberger's adjusted price functions, allowing estimable inverse demands to be derived directly from a benefit function. We also make use of a numerical inversion estimation method to rectify the "unobservability of utility problem" encountered in the empirical analysis of these inverse demands. To illustrate the usefulness of the proposed methods, we estimate two systems of inverse demands for Japanese quarterly fish consumption. Results generally indicate that the proposed methods are promising and operationally feasible so that we have opened up a wider range of empirical inverse demand specifications that can be subjected to tight theoretical restrictions.Benefit Functions; Duality Theory; Numerical Inversion Estimation Method

Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence

Empirical tests of option pricing models are joint tests of the 'correctness' of the model, the efficiency of the market and the simultaneity of price observations. Some degree of nonsimultaeity can be expected in all but the most liquid markets and is therefore evident in many non-US markets. Simulation results indicate that nonsimultaneity is potentially a significant problem in empirical tests of futures option pricing models. Empirical results using Australian data show that a five-minute window for matching transactions does not remove the nonsimultaneity bias for near-the-money and out-of-the money options. A more accurate matching may therefore be required. The nonsimultaneity bias is effectively removed if a five-minute window is employed for in-the-money options.Nonsimultaneity; Futures option; Mispricing

Cobb-Douglas Utility - Eventually!

Consider the following two opinions, both of which can be found in the literature of consumer demand systems: (a) As the real income of a consumer becomes indefinitely large, re-mixing the consumption bundle becomes irrelevant: having chosen the ultimately satisfying budget shares at any given set of relative prices, the superlatively wealthy continue to allocate additional income in the same proportions. With very large and increasing per capita income, ultimately the utility function becomes indistinguishable from Cobb-Douglas. (b) Consumer demand systems in which the income elasticities monotonically approach one (from above, in the case of luxuries; from below, in the case of necessities) are unsatisfactory both theoretically and empirically. For instance, a necessity with a low (consumer demand system; applied general equilibrium; separability; implicitly directly additive preferences; effectively global regularity; Cobb-Douglas, calibration; AIDADS.

Effective global regularity and empirical modeling of direct, inverse and mixed demand systems

In this paper, we utilize the notion of "effective global regularity" and the intuition stemming from Cooper and McLaren (1996)'s General Exponential Form to develop a family of "composite" (product and ratio) direct, inverse and mixed demand systems. Apart from having larger regularity regions, the resulting specifications are also of potentially arbitrary rank, which can better approximate non-linear Engel curves. We also make extensive use of duality theory and a numerical inversion estimation method to rectify the endogeneity problem encountered in the estimation of the mixed demand systems. We illustrate the techniques by estimating different types of demand systems for Japanese quarterly meat and fish consumption. Results generally indicate that the proposed methods are promising, and may prove beneficial for modeling systems of direct, inverse and mixed demand functions in the future

A double-blind, randomized, placebo-controlled trial of prostaglandin E 1 in liver transplantation

A double-blind placebo-controlled trial of intravenous prostaglandin PGE 1 (40 Μg/h) was conducted in adult orthotopic liver transplant recipients. Infusion was started intraoperatively and continued for up to 21 days. Patients were followed up for 180 days postoperatively. Among 172 patients eligible for treatment in the study, 160 could be evaluated (78 PGE 1 ; 82 placebo). Patient and graft survival were similar (PGE 1 : 16 deaths, 9 retransplantations [7 survivors]; controls: 15 deaths, 6 retransplantations [3 survivors]). In patients with surviving grafts, however, PGE 1 administration resulted in a 23% shorter mean duration of hospitalization following transplantation (PGE 1 : 24.4 days; controls: 31.8 days; P = .02) and 40% shorter length of time postoperatively in the intensive care unit (PGE 1 : 8.2 days; controls 13.7 days; P = .05). Reduced needs for renal support ( P = .03) or surgical intervention other than retransplantation ( P = .02) were also noted with PGE 1 use. Further, PGE 1 administration resulted in a trend toward improved survival rates in patients with mild renal impairment (preoperative serum creatinine 1.5 mg percent or greater; P = .08). Neither the incidence of acute cellular rejection nor of primary nonfunction was significantly different in the two groups. Phlebitis was the only complication that was more common during PGE 1 administration, (PGE 1 : 9; controls: 4). These results suggest that PGE 1 use in hepatic allograft recipients reduces morbidity and may result in sizable cost reductions. (H EPATOLOGY 1995;21:366–372.)Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/38409/1/1840210216_ftp.pd

Clash of Geofutures and the Remaking of Planetary Order: Faultlines underlying Conflicts over Geoengineering Governance

Climate engineering (geoengineering) is rising up the global policy agenda, partly because international divisions pose deep challenges to collective climate mitigation. However, geoengineering is similarly subject to clashing interests, knowledge‐traditions and geopolitics. Modelling and technical assessments of geoengineering are facilitated by assumptions of a single global planner (or some as yet unspecified rational governance), but the practicality of international governance remains mostly speculative. Using evidence gathered from state delegates, climate activists and modellers, we reveal three underlying and clashing ‘geofutures’: an idealised understanding of governable geoengineering that abstracts from technical and political realities; a situated understanding of geoengineering emphasising power hierarchies in world order; and a pragmatist precautionary understanding emerging in spaces of negotiation such as UN Environment Assembly (UNEA). Set in the wider historical context of climate politics, the failure to agree even to a study of geoengineering at UNEA indicates underlying obstacles to global rules and institutions for geoengineering posed by divergent interests and underlying epistemic and political differences. Technology assessments should recognise that geoengineering will not be exempt from international fractures; that deployment of geoengineering through imposition is a serious risk; and that contestations over geofutures pertain, not only to climate policy, but also the future of planetary order