Asset Returns and State-Dependent Risk Preferences

We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the functional form linking risk aversion with state variables. Our estimates are based on Markov chain Monte Carlo estimation of exact discrete-time parameterizations for linear diffusion processes. Since consumption risk is not forced to account for the entire risk premium, our results contrast sharply with estimates from models in which risk aversion is state-independent. We find that relaxing fixed risk preferences yields estimates for relative risk aversion that are (i) reasonable by usual standards, (ii) correlated with both consumption and returns and (iii) indicative of an additional preference risk of holding the assets. Nous suggérons un modèle d'équilibre de prix des actifs où les préférences de l'agent représentatif sont caractérisées par une aversion contingente au risque. Nous obtenons une équation de valorisation où la prime de risque dépend du risque de préférences en plus du risque de consommation habituel. Nous développons une application empirique qui ne nécessite pas une forme fonctionnelle reliant l'aversion non-observable à des variables économiques observables. Nos estimations sont basées sur une estimation en chaîne markovienne de Monte-Carlo pour des vraisemblances exactes de processus linéaires de diffusion appliquées aux données en temps discret. Puisque le risque de consommation n'a plus à justifier seul la forte prime de risque observée sur les fonds propres, nos estimations contrastent fortement avec celles obtenues dans le cas standard où l'aversion au risque est constante. En particulier, nous trouvons des estimés de l'aversion au risque qui sont (i) de niveau raisonnable, (ii) corrélés avec la consommation et les rendements et (iii) cohérents avec un risque additionnel de détention d'actifs.Asset Pricing Models, Bayesian Analysis, Continuous-time Econometric Models, Data Augmentation, Equity Premium Puzzle, Markov Chain Monte Carlo, Risk Aversion, State-Dependent Preferences, Wealth, Modèles de prix des actifs, analyse bayesienne, modèles économétriques en temps continu, augmentation de données, énigme de la prime de risque, chaîne markovienne de Monte Carlo, aversion au risque, préférences contingentes, richesse

Asset Returns and State-Dependent Risk Preferences

We propose a consumption-based capital asset pricing model in which the representative agent's preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess on equity includes both consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the functional form linking risk aversion with state variables. Our estimates are based on Markov chain Monte Carlo estimation of exact discrete-time parameterizations for linear diffusion processes. Since consumption risk is not forced to account for the entire risk premium, our results contrast sharply with estimates from models in which risk aversion is state-independent. We find that relaxing fixed risk preferences yields estimates for relative risk aversion that are (i) reasonable by usual standards, (ii) correlated with both consumption and returns and (iii) indicative of an additional preference risk of holding the asests.Asset pricing models, Bayesian analysis, continuous-time econometric models, data augmentation, equity premium puzzle, Markov chain Monte Carlo, risk aversion, state-dependent preferences, wealth

Change of basis for m-primary ideals in one and two variables

Following recent work by van der Hoeven and Lecerf (ISSAC 2017), we discuss the complexity of linear mappings, called untangling and tangling by those authors, that arise in the context of computations with univariate polynomials. We give a slightly faster tangling algorithm and discuss new applications of these techniques. We show how to extend these ideas to bivariate settings, and use them to give bounds on the arithmetic complexity of certain algebras.Comment: In Proceedings ISSAC'19, ACM, New York, USA. See proceedings version for final formattin

Inactivation of Mandelate Racemase by 3-Hydroxypyruvate Reveals a Potential Mechanistic Link between Enzyme Superfamilies

Mandelate racemase (MR), a member of the enolase superfamily, catalyzes the Mg2+-dependent interconversion of the enantiomers of mandelate. Several α-keto acids are modest competitive inhibitors of MR [e.g., mesoxalate (Ki = 1.8 ± 0.3 mM) and 3-fluoropyruvate (Ki = 1.3 ± 0.1 mM)], but, surprisingly, 3-hydroxypyruvate (3-HP) is an irreversible, time-dependent inhibitor (kinact/KI = 83 ± 8 M–1 s–1). Protection from inactivation by the competitive inhibitor benzohydroxamate, trypsinolysis and electrospray ionization tandem mass spectrometry analyses, and X-ray crystallographic studies reveal that 3-HP undergoes Schiff-base formation with Lys 166 at the active site, followed by formation of an aldehyde/enol(ate) adduct. Such a reaction is unprecedented in the enolase superfamily and may be a relic of an activity possessed by a promiscuous progenitor enzyme. The ability of MR to form and deprotonate a Schiff-base intermediate furnishes a previously unrecognized mechanistic link to other α/β-barrel enzymes utilizing Schiff-base chemistry and is in accord with the sequence- and structure-based hypothesis that members of the metal-dependent enolase superfamily and the Schiff-base-forming N-acetylneuraminate lyase superfamily and aldolases share a common ancestor

The Measure of a University: Rankings and Enrollment for 2015-16

In the 2016 U.S. News Best College’s rankings, Andrews University was again the only Adventist university ranked as a national university, coming in as #175 out of 276... Forbes publishes an annual Top Colleges list, which ranks Andrews University as #597 out of 650 top universities and colleges overall... Best Nationwide Colleges (BNC) ranking looked at 1,393 colleges overall, and placed Andrews University as #513 on that list... In addition to these overall rankings, Andrews is pleased to be recognized on other specialized lists. This article details each ranking and additional rankings

Asset Prices with Contingent Preferences

This paper develops a consumption-based asset pricing model in which attitudes towards risk are contingent upon the state of the world. For low (high) level of consumption relative to a subjective metric, counter-cyclical (pro-cyclical) risk aversion implies that consumption shocks generate larger fluctuations in marginal utility, against which the agent will hedge in choosing his optimal portfolio. Asset prices are studied using two-state Markov preference regimes where bull and bear markets reflect alternating periods of low and high risk aversion. Joint estimation of bond and stock prices highlights moderate and infrequent movements in risk aversion, and a marked improvement on the model's ability to capture the cyclical nature of observed asset prices. We also study implications for returns under Itô preference states, and show why contingent risk preferences have the potential to resolve the empirical anomalies for asset returns. Exact likelihood estimation of joint diffusion processes using market excess returns data also point toward realistic and counter-cyclical estimates of risk aversion. Ce papier développe un modèle d'agent représentatif de valorisation des actifs dans lequel les préférences sont contingentes à l'état du monde. Lorsque la consommation est basse (élevée) par rapport à un niveau subjectif, une aversion contra- (pro-) cyclique implique que des chocs à la consommation se traduisent par des fluctuations accentuées de l'utilité marginale que l'agent désirera lisser lors de son choix du protefeuille optimal. Les prix des actifs sont étudiés dans le cadre d'un modèle markovien à deux états où les marchés haussiers ou baissiers reflètent des périodes alternatives de basse et de haute aversion pour le risque. L'estimation conjointe des prix des bons et des actions mettent en évidence des mouvements modérés et peu fréquents dans l'aversion au risque ainsi qu'une amélioration nette du modèle en ce qui a trait aux mouvements cycliques des prix. Nous étudions également les implications pour les rendements à l'aide d'états de préférence Itô et démontront pourquoi le modèle a le potentiel nécessaire pour résoudre les anomalies empiriques des rendements. L'estimation des processus conjoints de diffusion est basée sur les vraisemblances exactes et suggère la présence d'aversion au risque raisonnable et contra-cyclique.Asset pricing models, Bayesian analysis, excess volatility, exact likelihood estimation of diffusion processes, Markov chain, regime switching, risk aversion, state-dependent preferences

Structure of Mandelate Racemase with Bound Intermediate Analogues Benzohydroxamate and Cupferron

Mandelate racemase (MR, EC 5.1.2.2) from Pseudomonas putida catalyzes the Mg2+-dependent interconversion of the enantiomers of mandelate, stabilizing the altered substrate in the transition state by 26 kcal/mol relative to the substrate in the ground state. To understand the origins of this binding discrimination, we determined the X-ray crystal structures of wild-type MR complexed with two analogues of the putative aci-carboxylate intermediate, benzohydroxamate and Cupferron, to 2.2-Å resolution. Benzohydroxamate is shown to be a reasonable mimic of the transition state and/or intermediate because its binding affinity for 21 MR variants correlates well with changes in the free energy of transition state stabilization afforded by these variants. Both benzohydroxamate and Cupferron chelate the active site divalent metal ion and are bound in a conformation with the phenyl ring coplanar with the hydroxamate and diazeniumdiolate moieties, respectively. Structural overlays of MR complexed with benzohydroxamate, Cupferron, and the ground state analogue (S)-atrolactate reveal that the para carbon of the substrate phenyl ring moves by 0.8−1.2 Å between the ground state and intermediate state, consistent with the proposal that the phenyl ring moves during MR catalysis while the polar groups remain relatively fixed. Although the overall protein structure of MR with bound intermediate analogues is very similar to that of MR with bound (S)-atrolactate, the intermediate−Mg2+ distance becomes shorter, suggesting a tighter complex with the catalytic Mg2+. In addition, Tyr 54 moves closer to the phenyl ring of the bound intermediate analogues, contributing to an overall constriction of the active site cavity. However, site-directed mutagenesis experiments revealed that the role of Tyr 54 in MR catalysis is relatively minor, suggesting that alterations in enzyme structure that contribute to discrimination between the altered substrate in the transition state and the ground state by this proficient enzyme are extremely subtle

Integration of irradiation with cytoplasmic incompatibility to facilitate a lymphatic filariasis vector elimination approach

<p>Abstract</p> <p>Background</p> <p>Mass drug administration (MDA) is the emphasis of an ongoing global lymphatic filariasis (LF) elimination program by the World Health Organization, in which the entire 'at risk' human population is treated annually with anti-filarial drugs. However, there is evidence that the MDA strategy may not be equally appropriate in all areas of LF transmission, leading to calls for the augmentation of MDA with anti-vector interventions. One potential augmentative intervention is the elimination of vectors via repeated inundative releases of male mosquitoes made cytoplasmically incompatible via an infection with <it>Wolbachia </it>bacteria. However, with a reduction in the vector population size, there is the risk that an accidental female release would permit the establishment of the incompatible <it>Wolbachia </it>infection type, resulting in population replacement instead of population elimination. To avoid the release of fertile females, we propose the exposure of release individuals to low doses of radiation to sterilize any accidentally released females, reducing the risk of population replacement.</p> <p>Results</p> <p><it>Aedes polynesiensis </it>pupae of differing ages were irradiated to determine a radiation dose that results in sterility but that does not affect the survival and competitiveness of males. Laboratory assays demonstrate that males irradiated at a female sterilizing dosage of 40 Gy are equally competitive with un-irradiated males. No effect of irradiation on the ability of <it>Wolbachia </it>to affect egg hatch was observed.</p> <p>Conclusion</p> <p>An irradiation dose of 40 Gy is sufficient to cause female sterility, but has no observed negative effect on male fitness. The results support further development of this approach as a preventative measure against accidental population replacement.</p