A Rehabilitation of Stochastic Discount Factor Methodology

In a recent Journal of Finance article, Kan and Zhou (1999) find that the 'Stochastic discount factor' methodology using GMM is markedly inferior to traditional maximum likelihood even in a simple test of the static CAPM with i.i.d. normal returns. This result has gained wide attention. However, as Jagannathan and Wang (2001) point out, this result flows from a strange assumption: Kan and Zhou allow the ML estimate to know the mean market return ex-ante. I show how this information advantage explains Kan and Zhou's results. In fact, when treated symmetrically, the discount factor - GMM and traditional methodologies behave almost identically in linear i.i.d. environments.

Comment on "Direct Mapping of the Finite Temperature Phase Diagram of Strongly Correlated Quantum Models" by Q. Zhou, Y. Kato, N. Kawashima, and N. Trivedi, Phys. Rev. Lett. 103, 085701 (2009)

In their Letter, Zhou, Kato, Kawashima, and Trivedi claim that finite-temperature critical points of strongly correlated quantum models emulated by optical lattice experiments can generically be deduced from kinks in the derivative of the density profile of atoms in the trap with respect to the external potential, $\kappa = -dn(r)/dV(r)$. In this comment we demonstrate that the authors failed to achieve their goal: to show that under realistic experimental conditions critical densities $n_c(T,U)$ can be extracted from density profiles with controllable accuracy.Comment: 1 page, 1 figur

Nash equilibria of games with monotonic best replies

We introduce notions of increasingness for the best reply of a game that capture properly the intuitive idea of complementarity among players’ strategies. We show, by generalizing the fixpoint theorems of Veinott and Zhou, that the Nash sets of our games with increasing best replies are nonempty complete lattices. Hence we extend the class of games with strategic complementarities.Complementarity, supermodular games, fixpoint theorem, Nash equilibria

From sequence to structure, to function, and back again: Integrating knowledge-based approaches with physical intuitions for protein folding, binding, and design

poster abstractMost biological activities are directed and/or regulated by proteins made of a gene-specified sequence of 20 amino-acid residue types. As a result, function or malfunction of specific proteins is responsible for almost all diseases. Proteins perform their function through their unique, self-assembled (folded) three-dimensional structures and through their specific binding to small molecules, to DNA/RNA (e.g. transcription factors that regulate gene expressions), or to other proteins (e.g. molecular recognition in signal transduction). Thus, how to predict the structure of a protein from its amino-acid sequence, discover the function from its structure and, then, design the sequence from its function or structure are the most essential problems in structural biology. In this poster, we will illustrate how the coupling of physical intuitions with learning from structural databases can go a long way toward untangling the complex relation between sequence, structure and function of proteins

Senior year = 高三

Film Director: Zhou Hao (周浩) Film Release Year: 2005https://commons.ln.edu.hk/ccs_worksheet/1008/thumbnail.jp