Optimal regulation of a fully insured deposit banking system

We analyze risk sensitive incentive compatible deposit insurancein the presence of private information when the market value of depositinsurance can be determined using Merton's (1997) formula. We show that,under the assumption that transferring funds from taxpayers to financialinstitutions has a social cost, the optimal regulation combines differentlevels of capital requirements combined with decreasing premia on depositinsurance. On the other hand, it is never efficient to require the banksto hold riskless assets, so that narrow banking is not efficient. Finally,chartering banks is necessary in order to decrease the cost of asymmetricinformation.

Asymptotic behaviour of the density in a parabolic SPDE

Consider the density of the solution $X(t,x)$ of a stochastic heat equation with small noise at a fixed $t\in [0,T]$, $x \in [0,1]$.In the paper we study the asymptotics of this density as the noise is vanishing. A kind of Taylor expansion in powers of the noiseparameter is obtained. The coefficients and the residue of the expansion are explicitly calculated.In order to obtain this result some type of exponential estimates of tail probabilities of the difference between the approximatingprocess and the limit one is proved. Also a suitable local integration by parts formula is developped.

Honey, I shrunk the sample covariance matrix

The central message of this paper is that nobody should be using the samplecovariance matrix for the purpose of portfolio optimization. It containsestimation error of the kind most likely to perturb a mean-varianceoptimizer. In its place, we suggest using the matrix obtained from thesample covariance matrix through a transformation called shrinkage. Thistends to pull the most extreme coefficients towards more central values,thereby systematically reducing estimation error where it matters most.Statistically, the challenge is to know the optimal shrinkage intensity,and we give the formula for that. Without changing any other step in theportfolio optimization process, we show on actual stock market data thatshrinkage reduces tracking error relative to a benchmark index, andsubstantially increases the realized information ratio of the activeportfolio manager.

Metabolic effects of fructose and the worldwide increase in obesity.

While virtually absent in our diet a few hundred years ago, fructose has now become a major constituent of our modern diet. Our main sources of fructose are sucrose from beet or cane, high fructose corn syrup, fruits, and honey. Fructose has the same chemical formula as glucose (C(6)H(12)O(6)), but its metabolism differs markedly from that of glucose due to its almost complete hepatic extraction and rapid hepatic conversion into glucose, glycogen, lactate, and fat. Fructose was initially thought to be advisable for patients with diabetes due to its low glycemic index. However, chronically high consumption of fructose in rodents leads to hepatic and extrahepatic insulin resistance, obesity, type 2 diabetes mellitus, and high blood pressure. The evidence is less compelling in humans, but high fructose intake has indeed been shown to cause dyslipidemia and to impair hepatic insulin sensitivity. Hepatic de novo lipogenesis and lipotoxicity, oxidative stress, and hyperuricemia have all been proposed as mechanisms responsible for these adverse metabolic effects of fructose. Although there is compelling evidence that very high fructose intake can have deleterious metabolic effects in humans as in rodents, the role of fructose in the development of the current epidemic of metabolic disorders remains controversial. Epidemiological studies show growing evidence that consumption of sweetened beverages (containing either sucrose or a mixture of glucose and fructose) is associated with a high energy intake, increased body weight, and the occurrence of metabolic and cardiovascular disorders. There is, however, no unequivocal evidence that fructose intake at moderate doses is directly related with adverse metabolic effects. There has also been much concern that consumption of free fructose, as provided in high fructose corn syrup, may cause more adverse effects than consumption of fructose consumed with sucrose. There is, however, no direct evidence for more serious metabolic consequences of high fructose corn syrup versus sucrose consumption.

A scaled difference chi-square test statistic for moment structure analysis

A family of scaling corrections aimed to improve the chi-square approximation of goodness-of-fit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, Satorra-Bentler's (SB) scaling corrections are available in standard computer software. Often, however, the interest is not on the overall fit of a model, but on a test of the restrictions that a null model say ${\cal M}_0$ implies on a less restricted one ${\cal M}_1$. If $T_0$ and $T_1$ denote the goodness-of-fit test statistics associated to ${\cal M}_0$ and ${\cal M}_1$, respectively, then typically the difference $T_d = T_0 - T_1$ is used as a chi-square test statistic with degrees of freedom equal to the difference on the number of independent parameters estimated under the models ${\cal M}_0$ and ${\cal M}_1$. As in the case of the goodness-of-fit test, it is of interest to scale the statistic $T_d$ in order to improve its chi-square approximation in realistic, i.e., nonasymptotic and nonnormal, applications. In a recent paper, Satorra (1999) shows that the difference between two Satorra-Bentler scaled test statistics for overall model fit does not yield the correct SB scaled difference test statistic. Satorra developed an expression that permits scaling the difference test statistic, but his formula has some practical limitations, since it requires heavy computations that are notavailable in standard computer software. The purpose of the present paper is to provide an easy way to compute the scaled difference chi-square statistic from the scaled goodness-of-fit test statistics of models ${\cal M}_0$ and ${\cal M}_1$. A Monte Carlo study is provided to illustrate the performance of the competing statistics.

Estimating parliamentary composition through electoral polls

Any electoral system has an electoral formula that converts voteproportions into parliamentary seats. Pre-electoral polls usually focuson estimating vote proportions and then applying the electoral formulato give a forecast of the parliament's composition. We here describe theproblems arising from this approach: there is always a bias in theforecast. We study the origin of the bias and some methods to evaluateand to reduce it. We propose some rules to compute the sample sizerequired for a given forecast accuracy. We show by Monte Carlo simulationthe performance of the proposed methods using data from Spanish electionsin last years. We also propose graphical methods to visualize how electoralformulae and parliamentary forecasts work (or fail).

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Location models for airline hubs behaving as M/D/c queues

Models are presented for the optimal location of hubs in airline networks, that take into consideration the congestion effects. Hubs, which are the most congested airports, are modeled as M/D/c queuing systems, that is, Poisson arrivals, deterministic service time, and {\em c} servers. A formula is derived for the probability of a number of customers in the system, which is later used to propose a probabilistic constraint. This constraint limits the probability of {\em b} airplanes in queue, to be lesser than a value $\alpha$. Due to the computational complexity of the formulation. The model is solved using a meta-heuristic based on tabu search. Computational experience is presented.

Hybrid risk adjustment for pharmaceutical benefits

This paper analyses the application of hybrid risk adjustment versus either prospective orconcurrent risk adjustment formulae in the context of funding pharmaceutical benefits for thepopulation of an integrated healthcare delivery organization in Catalonia during years 2002 and2003. We apply a mixed formula and find that a hybrid risk adjustment model increasesincentives for efficiency in the provision of low risk individuals at health organizations not only asa whole but also at each internal department compared to only prospective models by reducingwithin-group variation of drug expenditures.

Características biológicas del Krill (Euphasis Superba) durante el crucero BIC Humbodt 9801. Perú Antar IX

Durante el crucero 9801 a bordo del BIC Humboldt, se realizaron, entre 12 y 24 de enero de 1998, 29 lances de pesca en el área comprendida entre el Estrecho de Bransfield e Isla Elefante, capturándose un total de 11.629 kg, correspondiendo 9.522 kg a krill y 2.107 kg a otros organismos. La fauna acompañante estuvo representada por 15 especies de peces, 4 celentéreos, 2 crustáceos y un tunicado. Es los aspectos biométricos de krill se encontraron tres grupos modales correspondiendo cada uno de estos a diversas zonas geográficas, distribuidos en modas de 34 mm, 38 mm y 42 mm siendo la moda promedio total de 36 mm. Los datos fueron obtenidos de un total de 12.822 ejemplares muestreados. Para la relación longitud-peso se encontró por regresión potencial la formula: peso = 0,003851 * long.3.38.

Aportació al coneixement de la dinàmica fluvial en la conca del riu Onyar (Girona)

Two decay rates are distinguished in the discharge hydrograph of the Onyar River, using Maillet's formula. In this way, we can know which Kina of influence is made by geomorphology and rainfall distribution on fluvial processes

Hochkalorische Ernährung bei chronischer obstruktiver Lungenkrankheit [High-caloric nutrition in chronic obstructive lung disease]

A body weight lower than 90% of the optional value has an unfavorable influence on the prognosis of chronic obstructive pulmonary disease (COPD). Short term studies of up to three months duration have shown improved function of respiratory muscle exercise tolerance and immunologic parameters by an increased caloric intake of 45 kcal/kg body weight. In a randomized trial of twelve months 14 of 30 patients with an average FEV1 of 0.8 l were instructed to take a high calorie diet. For simplicity a part of the calories were administered as Fresubin, a fluid nutrient formula. Although a weight gain of 7 kg (p = 0.003) was obtained the difference to the control group was statistically not significant (p = 0.08). The same was true for skin fold thickness (12.4 vs 5.7 mm), change of ventilatory parameters and the 6 minute walking distance (-33 vs -86 m). Subjective improvement was, however, impressive in all patients with dietary intervention, explainable probably by increased attention. Dietary counselling for increased intake of calories, vitamins and also calcium is thus very important in the treatment of patients with COPD.

Improving college access and success for low-income students: Evidence from a large need-based grant program

Using comprehensive administrative data on France's single largest financialaid program, this paper provides new evidence on the impact of large-scaleneed-based grant programs on the college enrollment decisions, persistenceand graduation rates of low-income students. We exploit sharp discontinuitiesin the grant eligibility formula to identify the impact of aid on student outcomesat different levels of study. We find that eligibility for an annual cashallowance of 1,500 euros increases college enrollment rates by up to 5 percentagepoints. Moreover, we show that need-based grants have positive effectson student persistence and degree completion.

Effects of aerobic fitness on oxygen uptake kinetics in heavy intensity swimming.

This study aimed to characterise both the [Formula: see text] kinetics within constant heavy-intensity swimming exercise, and to assess the relationships between [Formula: see text] kinetics and other parameters of aerobic fitness, in well-trained swimmers. On separate days, 21 male swimmers completed: (1) an incremental swimming test to determine their maximal oxygen uptake [Formula: see text], first ventilatory threshold (VT), and the velocity associated with [Formula: see text] [Formula: see text] and (2) two square-wave transitions from rest to heavy-intensity exercise, to determine their [Formula: see text] kinetics. All the tests involved breath-by-breath analysis of freestyle swimming using a swimming snorkel. [Formula: see text] kinetics was modelled with two exponential functions. The mean values for the incremental test were 56.0 ± 6.0 ml min(-1) kg(-1), 1.45 ± 0.08 m s(-1); and 42.1 ± 5.7 ml min(-1) kg(-1) for [Formula: see text], [Formula: see text] and VT, respectively. For the square-wave transition, the time constant of the primary phase (τ(p)) averaged 17.3 ± 5.4 s and the relevant slow component (A'(sc)) averaged 4.8 ± 2.9 ml min(-1) kg(-1) [representing 8.9% of the end-exercise [Formula: see text] (%A'(sc))]. τ(p) was correlated with [Formula: see text] (r = -0.55, P = 0.01), but not with either [Formula: see text] (r = 0.05, ns) or VT (r = 0.14, ns). The %A'(sc) did not correlate with either [Formula: see text] (r = -0.14, ns) or [Formula: see text] (r = 0.06, ns), but was inversely related with VT (r = -0.61, P < 0.01). This study was the first to describe the [Formula: see text] kinetics in heavy-intensity swimming using specific swimming exercise and appropriate methods. As has been demonstrated in cycling, faster [Formula: see text] kinetics allow higher aerobic power outputs to be attained. The slow component seems to be reduced in swimmers with higher ventilatory thresholds.

Grado de impacto en el suelo y la vegetación en áreas de uso público del Parque Nacional de Tierra del Fuego (Argentina)

En los últimos años, el uso turístico de las áreas protegidas ha aumentado considerablemente, y con él, el grado de impacto. Es por este motivo que se requieren medidas de gestión adecuadas para identificar, conocer y evaluar estos impactos potenciales y así poder actuar ofreciendo un uso recreativo de estas áreas a la vez que se asegura su conservación. El objetivo del presente trabajo fue establecer el grado de impacto que sufre la vegetaciòn y el suelo del Parque Nacional de Tierra del Fuego en las zonas de acampada y compararlas con las áreas adyacentes, como controles. Asimismo, se buscó establecer cuales son los indicadores de impacto de mayor relevancia para poder ser usados como herramientas de gestión. La evaluación se efectuó mediante el muestreo de 40 parcelas, transectas y intertransectas en donde se analizaron variables vegetacionales (cobertura arbórea, arbustiva y herbácea, porcentaje de suelo desnudo, daño en árboles y arbustos, y presencia de raíces expuestas) y del suelo (pH, materia orgánica, densidad aparente y humedad). El grado de impacto se estableció numéricamente con una fórmula matemática en donde se seleccionaron los parámetros evaluados y se corrigieron con factores de correción, dando un impacto clasificado como “compatible” en el área de Río Pipo y “moderado” en el área de Laguna Verde. También se formularon propuestas de manejo para prevenir y/o minimizar los impactos producidos en las zonas de camping.