Are Asset Demand Functions Determined by CAPM?

The Capital Asset Pricing Model (CAPH) says that the responsiveness of asset-demands to expected returns depends (inversely) on the variance-covariance matrix of returns, rather than being an arbitrary set of parameters.Previous tests of CAPM have usually computed covariances of returns around sample means, and then checked whether the riskier assets are those with the higher mean returns. We offer a new technique for testing CAPM. The technique requires the use of time series data on actual asset-holdings, and non-linear maximum likelihood estimation. We claim superiority to earlier tests on three grounds. (1) We allow expected returns to vary freely overtime.(2) The alternative hypothesis is well-specified: asset-demands are linear functions of expected returns that do not depend on the variance-covariance matrix.(3) The test-statistic has a known distribution; it is simply a likelihood ratio test. We try the technique on yearly data, 1954-1980, for household holdings of a portfolio of six assets: short-term bills and deposits, tangible assets, federal debt, state and local debt, corporate debt, and equities. Our test rejects the CAPM hypothesis.

Political vs. Currency Premia in International Real Interest Differentials: A Study of Forward Rates for 24 Countries

Different approaches to quantifying the degree of capital mobility for a cross-section of currencies -- particularly saving-investment correlations and tests of real interest parity - have appeared to show a surprisingly low degree of financial market integration. We use a new data set, forward rate data for 24 countries, including many small industrialized countries and seven LDCs, to decompose the real interest differential into two parts: the covered interest differential, or political premium, and the real forward discount, or currency premium. The latter in turn can be decomposed into the exchange risk premium and expected real depreciation. We find a high degree of capital mobility across political boundaries for most of the 011 countries, plus Hong Kong and Singapore, for our sample period of 1982 to 1987. Even for most of the other LDCs and smaller industrialized countries, for which covered interest parity clearly fails, the political premium is not as big a component of the real interest differential as the currency premium. France would appear to have higher capital mobility than most by the criterion of real interest differentials, but is seen in fact to have low capital mobility by the criterion of covered interest differentials, a clear example of the superiority of the latter criterion.

Supporting Special-Purpose Health Care Models via Web Interfaces

The potential of the Web, via both the Internet and intranets, to facilitate development of clinical information systems has been evident for some time. Most Web-based clinical workstations interfaces, however, provide merely a loose collection of access channels. There are numerous examples of systems for access to either patient data or clinical guidelines, but only isolated cases where clinical decision support is presented integrally with the process of patient care, in particular, in the form of active alerts and reminders based on patient data. Moreover, pressures in the health industry are increasing the need for doctors to practice in accordance with ¿best practice¿ guidelines and often to operate under novel health-care arrangements. We present the Care Plan On-Line (CPOL) system, which provides intranet-based support for the SA HealthPlus Coordinated Care model for chronic disease management. We describe the interface design rationale of CPOL and its implementation framework, which is flexible and broadly applicable to support new health care models over intranets or the Internet

Seidel elements and mirror transformations

The goal of this article is to give a precise relation between the mirror symmetry transformation of Givental and the Seidel elements for a smooth projective toric variety $X$ with $-K_X$ nef. We show that the Seidel elements entirely determine the mirror transformation and mirror coordinates.Comment: 36 pages. We corrected several issues as pointed out by the refere

A Dependence of Hadron Production in Inelastic Muon Scattering and Dimuon Production by Protons

The A dependence of the production of hadrons in inelastic muon scattering and of the production of dimuons in high $Q^2$ proton interactions are simply related. Feynman x distributions and z scaling distributions in nuclei are compared with energy loss models. Suggestions for new data analyses are presented.Comment: 14pp +13 figures, UPR report 607T (available from ftp://dept.physics.upenn.edu/muhad

Large eddy simulations and direct numerical simulations of high speed turbulent reacting flows

The main objective is to extend the boundaries within which large eddy simulations (LES) and direct numerical simulations (DNS) can be applied in computational analyses of high speed reacting flows. In the efforts related to LES, we were concerned with developing reliable subgrid closures for modeling of the fluctuation correlations of scalar quantities in reacting turbulent flows. In the work on DNS, we focused our attention to further investigation of the effects of exothermicity in compressible turbulent flows. In our previous work, in the first year of this research, we have considered only 'simple' flows. Currently, we are in the process of extending our analyses for the purpose of modeling more practical flows of current interest at LaRC. A summary of our accomplishments during the third six months of the research is presented

Aluminum Alloy Corrosion Inhibition by Vanadates

The inhibition of Al alloy corrosion by vanadates was studied in this work. Vanadium speciation is very complicated and vital to the inhibition efficacy. Critical conditions for decavanadate polymerization from clear metavanadate solutions were investigated. Decavanadate only formed when metavanadate was added to solutions of pH 3 or less. It was not possible to change the pH of a metavanadate solution without forming decavanadates, creating an orange-colored solution. According to ^51 V nuclear magnetic resonance, monovanadates were present only in clear metavanadate solutions; orange solutions always contained decavanadates and never contained monovanadates. Orange decavanadate solutions containing 0.5 M NaCl at pH 8.71 exhibited no significant inhibition of the oxygen reduction reaction and increasing decavanadate concentration was detrimental. In contrast, clear metavanadate solutions containing monovanadate exhibited strong inhibition of the oxygen reduction reaction, to a level similar to chromate. At a fixed pH, increased NaVO3 concentration in clear metavanadate solutions increased inhibition efficiency.This work was partially funded by AFOSR under award F 49620-02-0321, Major J. Gresham, Ph.D., contract monitor