Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term

Optimal portfolios differ according to the length of time they are held without being rebalanced. For the case in which asset returns are identically and independently distributed, it has been shown that optimal portfolios become less diversified as the holding period lengthens.We show that the anti-diversification result does not obtain when asset returns are serially correlated, and examine properties of asymptotic portfolios for the case where the short term interest rate, although known at each moment of time, may change unpredictably over time. The theoretical results provide no presumption about the effects of the length of the holding period on the optimal portfolio. Using estimated processes for stock and bill returns, we show that calculated optimal portfolios are virtually invariant to the length of the holding period. The estimated processes for asset returns also imply very little difference between portfolios calculated ignoring changes in the investment opportunity set and those obtained when the investment opportunity set changes over time.

Probing the transport barrier of the nuclear pore complex

The nuclear pore complex (NPC) is the selective gateway through which macromolecules must pass when entering or exiting the nucleus. It is a cog in the gene expression pathway, an entrance to the nucleus exploited by viruses, and a highly-tuned nanoscale filter. The NPC is a large proteinaceous assembly with a central channel occluded by natively disordered proteins, known as FG-nucleoporins (or FG-nups). These FG-nups, along with a family of soluble proteins (known as nuclear transport receptors, or NTRs), form the selective transport barrier. Although much is known about the transport cycle and the necessity of NTRs for chaperoning cargo molecules through the NPC, the mechanism by which NTRs and NTR•cargo complexes translocate the selective transport barrier is not well understood. How can intrinsically disordered FG-nups and soluble NTRs form a transport barrier that is selective, ATP-free, and fast? In this thesis, high-resolution atomic force microscopy (AFM) and a new, fast force-spectroscopy technique (PeakForce QNM) are used to provide a structural and nanomechanical analysis of individual NPCs. This data highlights the structural diversity and complexity at the nuclear envelope, showing the interplay between the lamina network, actin filaments, and the NPCs. It reveals the dynamic behaviour of NPC scaffolds and displays pores of varying sizes. Of functional importance, the NPC central channel shows large structural diversity (in both its mechanical properties and topography), supporting the notion that FG-nup cohesiveness is in a range that facilitates collective rearrangements at little energetic cost. Furthermore, various NTRs are shown to interact in qualitatively different ways with the FG-nups, with particularly strong binding of importin-β. Next, a method for analysing the dynamics of reconstituted FG-nups inside mimetic NPCs is presented – with the results highlighting the surprisingly slow time-scale for collective rearrangement of FG-nup morphologies in the pore geometry. When this analysis is applied to the real NPC, however, no dynamic movement of FG-nups is detected. Finally, preliminary results from AFM imaging experiments of large cargoes (in this case, the hepatitis B virus capsid) translocating the NPC, are presented. This thesis supports the notion that FG-nup cohesiveness is tuned such that the energetics of stable FG-nup morphologies lie near transition states, thereby allowing the collective rearrangement of FG-nups at little energetic cost. Furthermore, it suggests that NTRs with several FG-nup binding sites (such as importin-β) are an intrinsic component of the transport barrier

Social Welfare and Coercion in Public Finance

This paper develops an expanded framework for social planning in which the existence of coercion is explicitly acknowledged. Key issues concern the precise definition of coercion for individuals and in the aggregate, its difference from redistribution, and its incorporation into normative analysis. We explore modifications to traditional rules for optimal fiscal policy in the presence of coercion constraints and determine the degree of coercion implied by traditional social planning. The paper maps the trade-off between social welfare and aggregate coercion and explores its implications for normative policy and the comparative evaluation of institutions, including competitive democracy.coercion, redistribution, social planning, optimal fiscal policy, marginal cost of funds, public goods, collective choice

The identification and classification of variability in stellar sources observed with SuperWasp

The purpose of this thesis was to create an automated classifier for periodic stellar objects in the Wide- Angle Search for Planets Survey (SuperW ASP) and to use the classified stars to investigate three phenomena: differentiation of Beta Lyrae and W UMa eclipsing binary stars using eclipse-depth ratio; identification of RR Lyrae stars exhibiting the Blazhko effect; and, the presence of the Oosterhoff dichotomy in the Milky Way. During this work, period/amplitude ranges and distribution maps were created for the classified stars in stellar classes Algol, Beta Lyrae, W UMa, Delta Scuti and RR Lyrae (RRAB) and comparison made with published equivalents. SuperW ASP objects known in the General Catalogue of Variable Stars (GCVS) were also assessed to identify differences. The automated system contained three neural networks (NNs) that processed parameters defining the' shape of the phase-folded light-curve and they were trained with representative sets of eclipsing binary, pulsating and sinusoidal-like stars. The system, installed at Leicester University processed 4.3 million object/periods from the SuperWASP database, of which 1.1 million were given prospective classifications. From these, approximately 64 thousand objects consisting of eclipsing binary and pulsating stars were assessed manually to confirm the given period/classifications and roughly half were classified correctly. The reasons for the misclassifications were identified and recommendations made on improving the results. The manually confirmed objects consisted of 12,882 Algols, 5,226 Beta Lyrae, 2,875 W UMa, 1,979 Delta Scutis and 8,322 RR Lyraes (RRAB), where significant numbers of each were unknowrr in SIMBAD or the GCVS. Many objects had periods and/or amplitudes outside published ranges with the surprising result that the majority of Beta Lyraes had periods shorter than published. A separation range for eclipse-depth ratio was identified but a cross-over point existed where differentiation was not possible. A number of new RRAB Blazhko stars were identified and the amplitude range between peaks calculated. The presence of the Oosterhoff dichotomy in the Milky Way galaxy was supported, but the causative factors could not be confirmed. Comparison of the SuperW ASP periods with the GCVS resulted in 649 variable stars being added to the GCVS catalogue where the period was unknown in the GCVS and also revision of the variability period of 194 GCVS variable stars was suggested. For comparison of classification, sub-classes were suggested for 333 unconfirmed objects in the GCVS (e.g. CEP:, EA:, RR etc.) and re-classification was suggested for 197 GCVS objects with suspected incorrect classes