World Income Components: Measuring and Exploiting International Risk Sharing Opportunities

We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate the most important risk-sharing opportunities, and, therefore, the most important missing international risk markets to establish. One method uses a total variance reduction criterion, and identifies risk-sharing opportunities in terms of eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a mean-variance utility-maximizing criterion and identifies risk-sharing opportunities in terms of eigenvectors of a variance matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are applied using Summers-Heston (1991) data on national incomes for large countries 1950-1990, each using two different methods of estimating variances. While these data are not sufficient to provide accurate estimates of the requisite variance matrices of (transformed) national incomes, the results are suggestive of important new markets that could actually be created, and show that there may be large welfare gains to creating some of these markets.

World Income Components: Measuring and Exploiting International Risk Sharing Opportunities

We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate the most important risk-sharing opportunities, and, therefore, the most important missing international risk markets to establish. One method uses a total variance reduction criterion, and identified risk-sharing opportunities in terms of eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a mean-variance utility-maximizing criterion and identifies risk-sharing opportunities in terms of eigenvectors of a variance matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are applied using Summers-Heston [1991] data on national incomes for large countries 1950-1990, each using two different methods of estimating variances. While these data are not sufficient to provide accurate estimates of the requisite variance matrices of (transformed) national incomes, the results are suggestive of important new markets that could actually be created, and show that there may be large welfare gains to creating some of these markets.

Macro markets and financial security

Uncertainty about national income growth poses significant macroeconomic risk to households all over the world. To help reduce investors' exposure, researchers have proposed a controversial new set of security markets called macro markets. These international markets would trade long-term claims on the income of an entire country or region. For example, in a macro market for the United States, an investor could buy a claim on the U.S. national income and then receive dividends equal to a fraction of national income for as long as the claim is held. Although many barriers stand in the way of the markets' development - including investors' focus on short-term portfolio performance, sizable startup costs, and contract enforcement difficulties - the potential benefits of these markets are great.Income ; Securities ; Investments

The Significance of the Market Portfolio

The market portfolio (world portfolio) is in one sense a least important portfolio to provide to investors; there is always a better portfolio for social planners to make available to them. In a J-agent one-period stochastic endowment economy, where preferences are quadratic, the market portfolio is never spanned by the optimal markets a social planner would create. With identical preferences, the market portfolio is orthogonal to all J - 1 portfolios which achieve a first best solution. These conclusions rely on the assumption that the social planner has perfect information about agents' utilities. We also show that as the contract designer's information about agents' utilities becomes more imperfect, the optimal contracts approach contracts that weight individual endowments in proportion to elements of eigenvectors of the variance matrix of endowments. If there is a substantial market component to endowments than a social planner, for reasons of robustness and simplicity, may conclude that creating a contract to allow trading the market portfolio would be a significant innovation.

Growth Uncertainty and Risksharing

How large are potential benefits from global risksharing? In order to answer this question we propose a new methodology that is closely connected with the empirical growth literature. We obtain estimates of residual risk (growth uncertainty) at various horizons from regressions of country-specific growth in deviation from, world growth on a wide set of variables in the information set. Since this residual risk can be entirely hedged through risksharing, we use it to obtain a measure of the potential welfare gain\u27for\u27 a representative country. We find that nations can reap very large benefits from, engaging in such risksharing arrangements

HISTORICAL TRACES' INTERPRETATION AND VIRTUAL RECONSTRUCTION - THE CASE OF ACROCORINTH CASTLE

[EN] When archival information misses or is insufficient, the structure itself becomes the most valuable archive unfolding stories of monument's life. The current essay examines how the building traces can be used as tools of historical interpretation and how important is digital survey in this respect through the presentation 3d virtual documentation of the castle of Acrocorinth. The overall venture was initiated by the 25th Ephorate of Byzantine Antiquities under the supervision of the Ephorate dr archaeologist Demetrios Athanasoulis on the occasion of developing the web-platform ecastles.culture.gr for the Digital Enhancement of the Castles of Peloponnese (Athanasoulis et al. 2015).Athanasoulis, D.; Simou, X.; Zirogianni, T. (2016). HISTORICAL TRACES' INTERPRETATION AND VIRTUAL RECONSTRUCTION - THE CASE OF ACROCORINTH CASTLE. En 8th International congress on archaeology, computer graphics, cultural heritage and innovation. Editorial Universitat Politècnica de València. 288-290. https://doi.org/10.4995/arqueologica8.2015.3437OCS28829

World Income Components: Measuring and Exploiting International Risk Sharing Opportunities

We provide a method for decomposing the variance of world national income (present values) into components in such a way as to indicate the most important risk-sharing opportunities among nations of the world. We identify risk-sharing opportunities in terms of eigenvectors of a variance matrix of deviations of the present value of country incomes from their respective shares (adjusted for population and risk aversion) of world income. The method is applied to data on national incomes of six large countries 1870-1992 (Maddison [1995]): Canada, France, Germany, Italy, United Kingdom and United States. The method reveals that, assuming symmetric risk aversions, the most important risk sharing contract to devise for these countries would be essentially a national income swap between the United States, and together on the other side, France, Germany and Italy, i.e., approximately a US-Europe national income swap. A contract that is essentially a France-Germany swap is the second most important risk-sharing contract

The Significance of the Market Portfolio

The market portfolio, the portfolio of all endowments in the world, has great significance in the capital asset pricing model (CAPM) in finance. The Sharpe-Lintner CAPM characterization of optimal risk sharing implies that in equilibrium no one will be subject to a random shock that is not shared by everyone else. ^ Thus, the CAPM gives us the mutual fund theorem, which asserts that only one risky portfolio need be available to individual investors, the mutual fund that holds the market portfolio. In this paper we seek further clarification of the significance of the market portfolio beyond the bounds of the restrictive assumptions of the CAPM

Huellas históricas y representación virtual en el castillo bizantino medio de Acrocorinto

[EN] Fortified architecture of medieval times in Greece is a research field with several challenges for the scholars such as the absent of plans and written sources. The current study investigates how digital documentation methods can contribute to the extraction of archaeological information from the actual material sources -the various building traces. This relation between survey and interpretation will be presented through the case of Acrocorinth Castle. The survey of a smaller area of the fortification between the 2nd and 3rd defence line of Acrocorinth was executed in order to create a three dimensional (3D) representation for the Middle-Byzantine Phase of the castle. The project was implicated in the frame of the creation of the web-platform ecastles.culture.gr for the promotion of fortified architecture in Peloponnese under the Hellenic Ministry of Culture (25th Ephorate of Byzantine Antiquities, Argolid Ephorate of Antiquities). In the present study the surveying method and the step by step graphic reconstruction will be initially presented. Subsequently, it will be analysed how the digital survey led to the gradual modulation of the castle's historic form and how the scenarios of building phases' evolution were made.[ES] La investigación de la arquitectura medieval en Greciaesun área que presentavariosretos para los investigadores, yaque no existenmapasniinformaciónescrita. Elestudio actual investigacómo los métodos de documentación digital puedencontribuir a la extracción de la informaciónarqueológica apartir de las fuentes materiales existentes –las variastrazas de construcción. Estarelación entre documentacióne interpretaciónse presentamedianteel casodel Castillo de Acrocorinto. Ladocumentaciónde unapequeña área de la fortificación entre la 2ay 3alínea de defensa de Acrocorintose ejecutópara crearunarepresentación tridimensional (3D)de la fase bizantina media del castillo. Elprojectose desarrollóen el marco de la creación de la plataforma web ecastles.culture.grcon el objeto depromocionar la arquitecturafortificada en el Peloponesobajo el Ministerio de CulturaHelénico(25thEphorate of Byzantine Antiquities, ArgolidEphorate of Antiquities). En el presentestudio,se presentael método de documentacióny los pasos para la reconstruccióngrafica. Adicionalmente, se analizarácómo ladocumentacióndigital condujoa la modulación gradual de la forma historica del castillo y cómolasdiferentesfases de construcciónfueronevolucionando.This project was a part of a wider collective attempt for the digital enhancement project of castles of Arcadia, Argolid and Corinthia co-funded by NSRF and Greek Ministry of Culture.Athanasoulis, D.; Simou, X.; Zirogianni, T. (2017). Historical imprints and virtual representation issues in Mid-Byzantine Acrocorinth Castle. Virtual Archaeology Review. 8(17):10-19. doi:10.4995/var.2017.5959SWORD101981