Asset pricing with idiosyncratic risk and overlapping generations

A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to first-best. Equilibrium asset prices in these models have been difficult to distinguish from those associated with a complete markets model, the counterfactual features of which have been widely documented. This paper asks if life cycle considerations, in conjunction with persistent idiosyncratic shocks which become more volatile during aggregate downturns, can reconcile the quantitative properties of the competitive asset pricing framework with those of observed asset returns. We begin by arguing that data from the Panel Study on Income Dynamics support the plausibility of such a shock process. Our estimates suggest a high degree of persistence as well as a substantial increase in idiosyncratic conditional volatility coincident with periods of low growth in U.S. GNP. When these factors are incorporated in a stationary overlapping generations framework, the implications for the returns on risky assets are substantial. Plausible parameterizations of our economy are able to generate Sharpe ratios which match those observed in U.S. data. Our economy cannot, however, account for the level of variability of stock returns, owing in large part to the specification of its production technology.

Cumulative frequency-dependent selective episodes allow for rapid morph cycles and rock-paper-scissors dynamics in species with overlapping generations.

Rock-paper-scissors (RPS) dynamics, which maintain genetic polymorphisms over time through negative frequency-dependent (FD) selection, can evolve in short-lived species with no generational overlap, where they produce rapid morph frequency cycles. However, most species have overlapping generations and thus, rapid RPS dynamics are thought to require stronger FD selection, the existence of which yet needs to be proved. Here, we experimentally demonstrate that two cumulative selective episodes, FD sexual selection reinforced by FD selection on offspring survival, generate sufficiently strong selection to generate rapid morph frequency cycles in the European common lizard Zootoca vivipara, a multi-annual species with major generational overlap. These findings show that the conditions required for the evolution of RPS games are fulfilled by almost all species exhibiting genetic polymorphisms and suggest that RPS games may be responsible for the maintenance of genetic diversity in a wide range of species.

Immunotherapy with Bet v 1 derived contiguous overlapping peptides leads to long-term immunoregulatory responses

Background: Allergen-specific immunotherapy with whole pollen extract may induce anaphylaxis, is poorly standardized and of long duration.We thus designed a randomized, placebo-controlled phase I/II clinical trial in volunteers with birch pollen allergic rhinitis and asthma to evaluate the safety and immunogenicity of a novel immunotherapy based on contiguous overlapping peptides (COPs) derived from Bet v 1, the major birch pollen allergen. Methods: A mixture of three COPs (AllerT™, Anergis SA, Switzerland) spanning the whole Bet v 1 molecule was selected for its inability to bind IgE. Prior to the pollen season, AllerT (in Alum) was injected subcutaneously to 15 adult volunteers at D0 (57 g), D7, D14, D21 and D51 (95 g each). Control volunteers (n = 5) only received the adjuvant. Results: Overall AllerT was safe. No serious adverse events and no immediate allergic reactions were reported. AllerT induced a vigorous early Bet v 1 specific immune response marked by vaccine associated INF- and IL- 10 secretion. This contributed to a strong anti-Bet v 1-specific IgG4 enhancement. Moreover, 2 months after the second season post treatment (July 2010), serum Bet v 1 specific IgG4 response was still markedly increased as compared to pre-treatment values and to placebo whereas post seasonal Bet v 1 specific IgE titers were similar to baseline values. Conclusion: Our data indicate that immunotherapy with a mixture of three COPs derived from Bet v 1 (AllerT) was safe and immunogenic, and led to long-term immunological memory.

Optimal fiscal policy in overlapping generations models

[eng] This paper provides, from a theoretical and quantitative point of view, an explanation of why taxes on capital returns are high (around 35%) by analyzing the optimal fiscal policy in an economy with intergenerational redistribution. For this purpose, the government is modeled explicitly and can choose (and commit to) an optimal tax policy in order to maximize society's welfare. In an infinitely lived economy with heterogeneous agents, the long run optimal capital tax is zero. If heterogeneity is due to the existence of overlapping generations, this result in general is no longer true. I provide sufficient conditions for zero capital and labor taxes, and show that a general class of preferences, commonly used on the macro and public finance literature, violate these conditions. For a version of the model, calibrated to the US economy, the main results are: first, if the government is restricted to a set of instruments, the observed fiscal policy cannot be disregarded as sub optimal and capital taxes are positive and quantitatively relevant. Second, if the government can use age specific taxes for each generation, then the age profile capital tax pattern implies subsidizing asset returns of the younger generations and taxing at higher rates the asset returns of the older ones.

Optimal fiscal policy in overlapping generations models

[eng] This paper provides, from a theoretical and quantitative point of view, an explanation of why taxes on capital returns are high (around 35%) by analyzing the optimal fiscal policy in an economy with intergenerational redistribution. For this purpose, the government is modeled explicitly and can choose (and commit to) an optimal tax policy in order to maximize society's welfare. In an infinitely lived economy with heterogeneous agents, the long run optimal capital tax is zero. If heterogeneity is due to the existence of overlapping generations, this result in general is no longer true. I provide sufficient conditions for zero capital and labor taxes, and show that a general class of preferences, commonly used on the macro and public finance literature, violate these conditions. For a version of the model, calibrated to the US economy, the main results are: first, if the government is restricted to a set of instruments, the observed fiscal policy cannot be disregarded as sub optimal and capital taxes are positive and quantitatively relevant. Second, if the government can use age specific taxes for each generation, then the age profile capital tax pattern implies subsidizing asset returns of the younger generations and taxing at higher rates the asset returns of the older ones.

An overlapping generations approach to price policies in privatehealthcare insurance. The Catalan case

We analyze premium policies and price dispersion among private healthcare insurance firms from an overlapping-generations model. The model shows that firms that apply equal premium to all policyholders and firms that set premiums according to the risk of insured can coexist in the short run, whereas coexistence is unlikely in the long run because it requires the coincidence of economic growth and interest rates. We find support for the model’s results in the Catalan health insurance industry. Keywords: Economic theory, price policies, health insurance, health economics, overlapping-generations. JEL Classifications: I11 / L11 / L23

Overlapping pathways to transplant glomerulopathy: chronic humoral rejection, hepatitis C infection, and thrombotic microangiopathy.

Transplant glomerulopathy (TG) has received much attention in recent years as a symptom of chronic humoral rejection; however, many cases lack C4d deposition and/or circulating donor-specific antibodies (DSAs). To determine the contribution of other causes, we studied 209 consecutive renal allograft indication biopsies for chronic allograft dysfunction, of which 25 met the pathological criteria of TG. Three partially overlapping etiologies accounted for 21 (84%) cases: C4d-positive (48%), hepatitis C-positive (36%), and thrombotic microangiopathy (TMA)-positive (32%) TG. The majority of patients with confirmed TMA were also hepatitis C positive, and the majority of hepatitis C-positive patients had TMA. DSAs were significantly associated with C4d-positive but not with hepatitis C-positive TG. The prevalence of hepatitis C was significantly higher in the TG group than in 29 control patients. Within the TG cohort, those who were hepatitis C-positive developed allograft failure significantly earlier than hepatitis C-negative patients. Thus, TG is not a specific diagnosis but a pattern of pathological injury involving three major overlapping pathways. It is important to distinguish these mechanisms, as they may have different prognostic and therapeutic implications.

The homologous regulators ANR of Pseudomonas aeruginosa and FNR of Escherichia coli have overlapping but distinct specificities for anaerobically inducible promoters.

The anaerobic transcriptional regulator ANR induces the arginine deiminase and denitrification pathways in Pseudomonas aeruginosa during oxygen limitation. The homologous activator FNR of Escherichia coli, when introduced into an anr mutant of P. aeruginosa, could functionally replace ANR for anaerobic growth on nitrate but not for anaerobic induction of arginine deiminase. In an FNR-positive E. coli strain, the ANR-dependent promoter of the arcDABC operon, which encodes the enzymes of the arginine deiminase pathway, was not expressed. To analyse systematically these distinct induction patterns, a lacZ promoter-probe, broad-host-range plasmid containing various -40 regions (the ANR/FNR recognition sequences) and -10 promoter sequences was constructed. These constructs were tested in P. aeruginosa and in E. coli expressing either ANR or FNR. In conjunction with the consensus -10 hexamer of E. coli sigma 70 RNA polymerase (TATAAT), the consensus FNR site (TTGAT ..... ATCAA) was recognized efficiently by ANR and FNR in both hosts. By contrast, when promoters contained the Arc box (TTGAC .... ATCAG), which is found in the arcDABC promoter, or a symmetrical mutant FNR site (CTGAT .... ATCAG), ANR was a more effective activator than was FNR. Conversely, an extended 22 bp, fully symmetrical FNR site allowed better activation with FNR than with ANR. Combination of the arc promoter -10 sequence (CCTAAT) with the Arc box or the consensus FNR site resulted in good ANR-dependent expression in P. aeruginosa but gave practically no expression in E. coli, suggesting that RNA polymerase of P. aeruginosa differs from the E. coli enzyme in -10 recognition specificity. In conclusion, ANR and FNR are able to activate the RNA polymerases of P. aeruginosa and E. coli when the -40 and -10 promoter elements ae identical or close to the E. coli consensus sequences.

Overlapping Pathways to Transplant Glomerulopathy: Chronic Humoral Rejection, Hepatitis C Infection and Thrombotic Microangiopathy

Background:Transplant glomerulopathy (TG) has received much attention in recent years as a manifestation of chronic humoral rejection (CHR). However, many cases lack C4d deposition and/or circulating donor-specifi c antibodies, and the contribution of other potential causes has not been fully addressed.Methods: Of 209 consecutive renal allograft indication biopsies performed for chronic allograft dysfunction, 25 that met pathologic criteria of TG (>10% duplication of the GBM without immune complex deposition) were examined for various etiologies, including hepatitis C infection (HCV), thrombotic microangiopathy (TMA), and CHR. 29 cases of biopsy-proven isolated chronic calcineurin inhibitor toxicity from the same time period were used as controls for comparing the prevalence of HCV.Results: Three partially overlapping categories accounted for 84% of the cases: C4d+TG (48%), HCV+TG (36%) and TMA+TG (32%). The majority of TMA+ cases were HCV+ (63%) and the majority of HCV+ cases had TMA (56%). Donor specifi c antibodies were associated with C4d+TG (7/8 vs. 1/4 C4d-TG; P<0.02), but not with HCV+TG. The prevalence of HCV was higher in the TG group than in 29 control patients without TG (36% vs. 7%, P<0.01). HCV+TG patients developed allograft failure earlier than HCV-TG patients (67.2 ± 60.2 mo versus 153.4 ± 126.2 mo, P=0.02). On a multivariate analysis, out of HCV, TG and C4d, only HCV was found to be a signifi cant risk factor for a more rapid allograft loss.Conclusion: We conclude that TG is not a specifi c diagnosis, but a pattern of pathologic injury with 3 major overlapping pathways involving CHR, HCV infection and TMA. It is important to distinguish these mechanisms, as they may have differentprognostic and therapeutic implications.

Longer and less overlapping food webs in anthropogenically disturbed marine ecosystems: confirmations from the past

The human exploitation of marine resources is characterised by the preferential removal of the largest species. Although this is expected to modify the structure of food webs, we have a relatively poor understanding of the potential consequences of such alteration. Here, we take advantage of a collection of ancient consumer tissues, using stable isotope analysis and SIBER to assess changes in the structure of coastal marine food webs in the South-western Atlantic through the second half of the Holocene as a result of the sequential exploitation of marine resources by hunter-gatherers, western sealers and modern fishermen. Samples were collected from shell middens and museums. Shells of both modern and archaeological intertidal herbivorous molluscs were used to reconstruct changes in the stable isotopic baseline, while modern and archaeological bones of the South American sea lion Otaria flavescens, South American fur seal Arctocephalus australis and Magellanic penguin Spheniscus magellanicus were used to analyse changes in the structure of the community of top predators. We found that ancient food webs were shorter, more redundant and more overlapping than current ones, both in northern-central Patagonia and southern Patagonia. These surprising results may be best explained by the huge impact of western sealing on pinnipeds during the fur trade period, rather than the impact of fishing on fish populations. As a consequence, the populations of pinnipeds at the end of the sealing period were likely well below the ecosystem's carrying capacity, which resulted in a release of intraspecific competition and a shift towards larger and higher trophic level prey. This in turn led to longer and less overlapping food webs.

Segmentation of overlapping convex objects

This thesis presents a framework for segmentation of clustered overlapping convex objects. The proposed approach is based on a three-step framework in which the tasks of seed point extraction, contour evidence extraction, and contour estimation are addressed. The state-of-art techniques for each step were studied and evaluated using synthetic and real microscopic image data. According to obtained evaluation results, a method combining the best performers in each step was presented. In the proposed method, Fast Radial Symmetry transform, edge-to-marker association algorithm and ellipse fitting are employed for seed point extraction, contour evidence extraction and contour estimation respectively. Using synthetic and real image data, the proposed method was evaluated and compared with two competing methods and the results showed a promising improvement over the competing methods, with high segmentation and size distribution estimation accuracy.

Unequal Teeth Widths for Torque Ripple Reduction in Permanent Magnet Synchronous Machines With Fractional-Slot Non-Overlapping Windings

Permanent magnet synchronous machines with fractional-slot non-overlapping windings (FSPMSM), also known as tooth-coil winding permanent magnet synchronous machines (TCW PMSM), have been under intensive research during the latest decade. There are many optimization routines explained and implemented in the literature in order to improve the characteristics of this machine type. This paper introduces a new technique for torque ripple minimization in TCW PMSM. The source of torque harmonics is also described. The low order torque harmonics can be harmful for a variety of applications, such as direct drive wind generators, direct drive light vehicle electrical motors, and for some high precision servo applications. The reduction of the torque ripple harmonics with the lowest orders (6th and 12th) is realized by machine geometry optimization technique using finite element analysis (FEA). The presented optimization technique includes the stator geometry adjustment in TCW PMSMs with rotor surface permanent magnets and with rotor embedded permanent magnets. Influence of the permanent magnet skewing on the torque ripple reduction and cogging torque elimination was also investigated. It was implemented separately and together with the stator optimization technique. As a result, the reduction of some torque ripple harmonics was attained.

Agreements with overlapping coalitions

Dans certaines circonstances, des actions de groupes sont plus performantes que des actions individuelles. Dans ces situations, il est préférable de former des coalitions. Ces coalitions peuvent être disjointes ou imbriquées. La littérature économique met un fort accent sur la modélisation des accords où les coalitions d’agents économiques sont des ensembles disjoints. Cependant on observe dans la vie de tous les jours que les coalitions politiques, environnementales, de libre-échange et d’assurance informelles sont la plupart du temps imbriquées. Aussi, devient-il impératif de comprendre le fonctionnement économique des coalitions imbriquées. Ma thèse développe un cadre d’analyse qui permet de comprendre la formation et la performance des coalitions même si elles sont imbriquées. Dans le premier chapitre je développe un jeu de négociation qui permet la formation de coalitions imbriquées. Je montre que ce jeu admet un équilibre et je développe un algorithme pour calculer les allocations d’équilibre pour les jeux symétriques. Je montre que toute structure de réseau peut se décomposer de manière unique en une structure de coalitions imbriquées. Sous certaines conditions, je montre que cette structure correspond à une structure d’équilibre d’un jeu sous-jacent. Dans le deuxième chapitre j’introduis une nouvelle notion de noyau dans le cas où les coalitions imbriquées sont permises. Je montre que cette notion de noyau est une généralisation naturelle de la notion de noyau de structure de coalitions. Je vais plus loin en introduisant des agents plus raffinés. J’obtiens alors le noyau de structure de coalitions imbriquées que je montre être un affinement de la première notion. Dans la suite de la thèse, j’applique les théories développées dans les deux premiers chapitres à des cas concrets. Le troisième chapitre est une application de la relation biunivoque établie dans le premier chapitre entre la formation des coalitions et la formation de réseaux. Je propose une modélisation réaliste et effective des assurances informelles. J’introduis ainsi dans la littérature économique sur les assurances informelles, quatre innovations majeures : une fusion entre l’approche par les groupes et l’approche par les réseaux sociaux, la possibilité d’avoir des organisations imbriquées d’assurance informelle, un schéma de punition endogène et enfin les externalités. Je caractérise les accords d’assurances informelles stables et j’isole les conditions qui poussent les agents à dévier. Il est admis dans la littérature que seuls les individus ayant un revenu élevé peuvent se permettre de violer les accords d’assurances informelles. Je donne ici les conditions dans lesquelles cette hypothèse tient. Cependant, je montre aussi qu’il est possible de violer cette hypothèse sous d’autres conditions réalistes. Finalement je dérive des résultats de statiques comparées sous deux normes de partage différents. Dans le quatrième et dernier chapitre, je propose un modèle d’assurance informelle où les groupes homogènes sont construits sur la base de relations de confiance préexistantes. Ces groupes sont imbriqués et représentent des ensembles de partage de risque. Cette approche est plus générale que les approches traditionnelles de groupe ou de réseau. Je caractérise les accords stables sans faire d’hypothèses sur le taux d’escompte. J’identifie les caractéristiques des réseaux stables qui correspondent aux taux d’escomptes les plus faibles. Bien que l’objectif des assurances informelles soit de lisser la consommation, je montre que des effets externes liés notamment à la valorisation des liens interpersonnels renforcent la stabilité. Je développe un algorithme à pas finis qui égalise la consommation pour tous les individus liés. Le fait que le nombre de pas soit fini (contrairement aux algorithmes à pas infinis existants) fait que mon algorithme peut inspirer de manière réaliste des politiques économiques. Enfin, je donne des résultats de statique comparée pour certaines valeurs exogènes du modèle.