A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers?

The 2007-2008 financial crises has made it painfully obvious that markets may quickly turn illiquid. Moreover, recent experience has taught us that distress and lack of active trading can jump "around" between seemingly unconnected parts of the financial system contributing to transforming isolated shocks into systemic panic attacks. We develop a simple two-period model populated by both standard expected utility maximizers and by ambiguity-averse investors that trade in the market for a risky asset. We show that, provided there is a sufficient amount of ambiguity, market break-downs where large portions of traders withdraw from trading are endogenous and may be triggered by modest re-assessments of the range of possible scenarios on the performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse to ambiguity. When we analyze the effect of policy actions, we find that when a market has fallen into a state of impaired liquidity, bringing the market back to orderly functioning through a reduction in the amount of perceived ambiguity may cause further reductions in equilibrium prices. Finally, our model provides stark indications against the idea that policy makers may be able to "inflate" their way out of a financial crisis.Risk ; Capital assets pricing model ; Financial crises ; Federal Reserve System

Ambiguity in asset pricing and portfolio choice: a review of the literature

A growing body of empirical evidence suggests that investors’ behavior is not well described by the traditional paradigm of (subjective) expected utility maximization under rational expectations. A literature has arisen that models agents whose choices are consistent with models that are less restrictive than the standard subjective expected utility framework. In this paper we conduct a survey of the existing literature that has explored the implications of decision-making under ambiguity for financial market outcomes, such as portfolio choice and equilibrium asset prices. We conclude that the ambiguity literature has led to a number of significant advances in our ability to rationalize empirical features of asset returns and portfolio decisions, such as the empirical failure of the two-fund separation theorem in portfolio decisions, the modest exposure to risky securities observed for a majority of investors, the home equity preference in international portfolio diversification, the excess volatility of asset returns, the equity premium and the risk-free rate puzzles, and the occurrence of trading break-downs.Capital assets pricing model ; Investments

La mobilitazione sul tema dell'immigrazione in Italia e nel Regno Unito (2006-2011)

Nel momento in cui l'immigrazione si è trasformata da soggiorno temporaneo legato a questioni lavorative a residenza permanente nello Stato ospite, gli stranieri hanno iniziato a mettere in luce legittimi bisogni e richieste, dando avvio a processi di partecipazione all'interno della società civile. Le modalità di interazione tra istituzioni, stranieri e cittadini, così come le forme di partecipazione degli immigrati all'interno della società ospite, sembrano differire molto da paese a paese. Il presente lavoro mira ad analizzare come la struttura delle opportunità politiche, l'insieme degli elementi che caratterizzano un sistema politico-istituzionale, influenza la mobilitazione dei migranti e sul tema dell'immigrazione, ossia il processo di elaborazione, organizzazione e comunicazione delle domande politiche che parte dalle esigenze dei cittadini, e dei non-cittadini, e viene indirizzato ai decision makers e alla società civile nel suo complesso. La mobilitazione verrà studiata attraverso l'analisi della protesta, intesa come strumento di partecipazione non convenzionale che rappresenta una risorsa cruciale per gli attori marginali, ossia coloro ai quali vengono precluse risorse e canali di accesso diretti al sistema. Infatti, i meccanismi rappresentativi istituzionali, ossia quelli regolarmente stabiliti e formalmente canalizzati, non esauriscono la totalità delle dinamiche partecipative della società e producono, quindi, equilibri di tipo sub-ottimale. Accanto a questi meccanismi esistono altre forme, definite spesso non convenzionali o eterodosse, di partecipazione; tra queste, la protesta è una delle più rilevanti. Il nostro interesse è quello di mettere in luce come gli immigrati si muovono in due contesti-paese, Italia e Regno Unito, molto diversi per storia, cultura e ordinamento politico-istituzionale, tentando di rispondere a domande come: che tipo di richieste hanno fatto gli immigrati alla società ospite? Come si sono mobilitati gli immigrati per far valere queste richieste nei confronti dei decisori politici? Come si relazionano le comunità migranti con la comunità nazionale? Gli immigrati hanno trovato un significativo ed effettivo modo di partecipare alla vita politica del paese ospite? La comparazione tra Italia e Gran Bretagna metterà in evidenza come il contesto nazionale, con tutte le sue caratteristiche politiche sociali e culturali, influenza la mobilitazione e come concorre a creare modelli partecipativi più o meno inclusivi

Information, Multifaceted Forest Ownership and Timber Supply

Existing decision support systems (DSS) do not account for forest owner heterogeneity, nor do they explicitly model the reaction of forest owners to policy. Hence, current DSS are suitable for response analysis, but much less useful for policy impact assessment or forecasting. The current study presents a theoretical model of harvesting behavior which provides the basis for a simulation model, Expected Value Asymmetries (EVA), useful for analyzing how timber supply and forest characteristics are affected when forest owners differ as to responsiveness to information, risk aversion, and patience as regards postponement of harvesting revenues. The simulation results clearly indicate that the model is well adapted for considering forest owner heterogeneity when assessing the impact of policy on the inter-temporal development of forest resources and timber market conditions. Finally, it is outlined how EVA could integrate forest owner specific harvesting behavior in an augmented Decision Support System (DSS), thus addressing the inability of DSS operational at pan-European level to model the interaction between policy and forest management decisions.JRC.H.3-Forest Resources and Climat

Strategie di Costruzione di Vettori Erpetici Oncolitici per la Cura del Tumore Epatico

Background: Several studies show that Hepatocellular carcinoma (HCC) represents the 80% of primary hepatic tumours and it is one of the most common malignancies in the world. Because of the large numbers of cases and the lack of effective therapy, new therapeutic procedures are urgently needed. In this contest oncolytic viruses are emerging as a safe and effective promising therapeutic approach for cancer therapy in association with traditional therapies. Aims: In the contest of an European project (THOVLEN), our research group is involved in the development and construction of Herpes Simplex (HSV-1) based oncolytic vectors against HCC. To this purpose, the main goal is to construct replication-competent HSV-1 vectors strictly targeted to hepatocellular carcinomas (HCC), such that they will infect, replicate and spread efficiently only in the tumour mass, while displaying no virulence or toxicity in normal tissues, by means of receptorial and transcriptional targeting Methods: Design and construction of fusion molecules using cloning and PCR techniques, construction and purification of recombinant viruses using standard methods of: marker transfer/marker rescue, limiting dilution and Southern Blot; analysis in vitro and in vivo of growth and oncolytic ability of oncolytic viruses. Results: To target viral replication to hepatocytes and/or tumor cell lines, the first step was the construction of recombinant viruses H6HRE-gD e H6Ealb-gD in which expression of glycoprotein D, essential for HSV-1 replication, is under the transcriptional control of a hypoxia-induced tumour specific promoter, (HRE) or a tissue-specific promoter of albumin (EalbP), protein over expressed in liver. Successively, either an EGFP or a lucyferase expression cassette has been inserted in an intergenic HSV-1 region, not encoding viral genes, in order to facilitate the screening of recombinant viruses in vitro and to allow the in vivo tracking of such viruses in the murine model. In order to modify the reptional targeting, we used as a starting point recombinant virus previously constructed in our laboratory in which glycoproteins B and C, responsible of viral attachment and entry after interaction with Heparansulfate cellular receptor, have been engineered with insertion of a fusion molecule between gC and PreSap (gCPreSap), an active peptide of HBV involved in the attachment process of the virus to Hepatocytes. This recombinant virus shown a preferential binding to hepatocytes, giving a productive infection, will be further modified in order to delete the gD binding domain to its cellular receptor HVEM. To this purpose the binding domain of gD have been deleted and substitute by PreSap, creating a gD-PreSap fusion molecule. This elimination will eliminate viral wild type tropism to obtain a recombinant virus selective for hepatocytes. Conclusions: the growth ability of recombinant viruses has been evaluated in several cells lines and the in vivo viral biodistribution and oncolytic activity are ongoing. If the results will be promising, we plain to incorporate all the modifications into a single herpetic oncolytic vector in order to obtain a viral recombinant strictly targeted to hepatocellular carcinomas

The Global Forest Trade Model - GFTM

A meaningful assessment of policy options within the forest-based bioeconomy presupposes the capability to model market implications. To this end, an economic forest-based sector model, the Global Forest Trade Model (GFTM), is being developed at the Forest Resources and Climate unit of the Institute for Environment and Sustainability (IES). The GFTM is an equilibrium trade-based model for the forest sector with the aim of providing projections of production and trade of wood-based products and pellets for 48 countries/sub-regions of the world, with a focus on EU. This technical report describes the set-up of the model.The study outlines the theoretical framework, the programming of the model in MatLab, data collection, parameters used, and the calibration of the model. Presented test runs with GFTM indicates that the model behaves in a logically consistent way, all in all well in line what can be expected from economic theory. The next steps in the development process entail trying out linkages with a forest resource model and a dedicated energy model.JRC.H.3-Forest Resources and Climat