Measuring time-varying economic fears with consumption-based stochastic discount factors

This paper analyzes empirically the volatility of consumption-based stochastic discount factors as a measure of implicit economic fears by studying its relationship with future economic and stock market cycles. Time-varying economic fears seem to be well captured by the volatility of stochastic discount factors. In particular, the volatility of recursive utility-based stochastic discount factor with contemporaneous growth explains between 9 and 34 percent of future changes in industrial production at short and long horizons respectively. They also explain ex-ante uncertainty and risk aversion. However, future stock market cycles are better explained by a similar stochastic discount factor with long-run consumption growth. This specification of the stochastic discount factor presents higher volatility and lower pricing errors than the specification with contemporaneous consumption growth.

Technical inefficiency and public capital in US States: A stochastic frontier approach

This paper estimates a translog stochastic frontier production function in the analysis of all 48 contiguous U.S. states in the period 1970-1983, to attempt to measure and explain changes in technical efficiency. The model allows technical inefficiency to vary over time, and inefficiency effects to be a function of a set of explanatory variables in which the level and composition of public capital plays an important role. Results indicated that U.S. state inefficiency levels were significantly and positively correlated with the ratio of public capital to private capital. The proportion of public capital devoted to highways is negatively correlated with technical inefficiency, suggesting that not only the level but also the composition of public capital influenced state efficiency.

Stochastic uncoupled dynamics and Nash equilibrium

In this paper we consider dynamic processes, in repeated games, that are subject to the natural informational restriction of uncoupledness. We study the almost sure convergence to Nash equilibria, and present a number of possibility and impossibility results. Basically, we show that if in addition to random moves some recall is introduced, then successful search procedures that are uncoupled can be devised. In particular, to get almost sure convergence to pure Nash equilibria when these exist, it su±ces to recall the last two periods of play.

L'apport du patient simulé dans l'apprentissage de la relation médecin-malade: résultats d'une évaluation préliminaire

Contexte : Les étudiants de 4° année des études de médecine à la faculté de biologie et de médecine de Lausanne bénéficient d'un enseignement des habiletés à la communication médecin-malade, ayant recours à un patient simulé joué par un comédien. But : Évaluer la pertinence de cette méthode active dans l'optique de renforcer cet enseignement dans le curriculum. Méthodes : Un questionnaire demande aux étudiants d'apprécier leurs apprentissages, ainsi que le dispositif d'enseignement. Un autre questionnaire évalue les compétences de l'étudiant qui mène l'entretien par l'étudiant lui-même (étudiant actif), par les étudiants observateurs, par l'enseignant et par le patient simulé. Résultats : Ce dispositif d'enseignement est apprécié des étudiants et permet aux étudiants qui ont mené l'entretien et aux étudiants observateurs d'en tirer un bénéfice. Les étudiants actifs ont tendance à évaluer leurs compétences d'entretien plus négativement que ne le font l'enseignant, le comédien et les étudiants observateurs .Conclusion : Ce dispositif d'enseignement est perçu comme pertinent par l'ensemble des participants, mais devrait être renforcé pour donner à chaque étudiant l'occasion de participer activement à l'entrevue simulée. -- Context: 4th year medicine students at the Faculty of Biology and Medicine of Lausanne were taught to develop patient-doctor communication skills, using a simulated patient played by an actor. Objective: To assess the relevance of this active method in the perspective of reinforcing this teaching approach in the curriculum. Method: This new form of teaching was assessed by questionnaires filled by all participants, i.e. students involved in the communication (active student), students who were bystanders (observer students), the tutor, as well as the actor. Results: This teaching approach was appreciated from all students, active and observer, allowing them to gain benefit from the interview on communication skills acquirement. The active students assessed their communication skills more negatively than did the teacher, the actor and the observer students. Conclusion: This teaching method seems to be relevant for all participants and should be reinforced to give the opportunity for each student to participate as an active student.

Notes on stochastic choice

A general formalism on stochastic choice is presented. Tje Rationalizability and Recoverability (Identification) problems are discussed. For the identification issue parametric examples are analyzed by means of techniques of mathematical tomography (Random transforms).

A general decomposition formula for derivative prices in stochastic volatility models

We see that the price of an european call option in a stochastic volatilityframework can be decomposed in the sum of four terms, which identifythe main features of the market that affect to option prices: the expectedfuture volatility, the correlation between the volatility and the noisedriving the stock prices, the market price of volatility risk and thedifference of the expected future volatility at different times. We alsostudy some applications of this decomposition.

Free entry does not imply zero profits

Traditional economic wisdom says that free entry in a market will drive profits down to zero. This conclusion is usually drawn under the assumption of perfect information. We assumethat a priori there exists imperfect information about theprofitability of the market, but that potential entrants maylearn the demand curve perfectly at negligible cost byengaging in market research. Even if in equilibrium firmslearn the demand perfectly, profits may be strictly positivebecause of insufficient entry. The mere fact that it will notbecome common knowledge that every entrant has perfectinformation about demand causes this surprising result. Belief means doubt. Knowing means certainty. Introduction to the Kabalah.

Solving higher-dimensional continuous time stochastic control problems by value function regression

The paper develops a method to solve higher-dimensional stochasticcontrol problems in continuous time. A finite difference typeapproximation scheme is used on a coarse grid of low discrepancypoints, while the value function at intermediate points is obtainedby regression. The stability properties of the method are discussed,and applications are given to test problems of up to 10 dimensions.Accurate solutions to these problems can be obtained on a personalcomputer.

Cost efficiency in primary care contracting: A stochastic frontier cost function approach

The principal aim of this paper is to estimate a stochastic frontier costfunction and an inefficiency effects model in the analysis of the primaryhealth care services purchased by the public authority and supplied by 180providers in 1996 in Catalonia. The evidence from our sample does not supportthe premise that contracting out has helped improve purchasing costefficiency in primary care. Inefficient purchasing cost was observed in thecomponent of this purchasing cost explicitly included in the contract betweenpurchaser and provider. There are no observable incentives for thecontracted-out primary health care teams to minimise prescription costs, whichare not explicitly included in the present contracting system.

Inventory-routing model, for a multi-period problem with stochastic and deterministic demand

The need for integration in the supply chain management leads us to considerthe coordination of two logistic planning functions: transportation andinventory. The coordination of these activities can be an extremely importantsource of competitive advantage in the supply chain management. The battle forcost reduction can pass through the equilibrium of transportation versusinventory managing costs. In this work, we study the specific case of aninventory-routing problem for a week planning period with different types ofdemand. A heuristic methodology, based on the Iterated Local Search, isproposed to solve the Multi-Period Inventory Routing Problem with stochasticand deterministic demand.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

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.

Stochastic evolution of rules for playing normal form games

The evolution of boundedly rational rules for playing normal form games is studied within stationary environments ofstochastically changing games. Rules are viewed as algorithms prescribing strategies for the different normal formgames that arise. It is shown that many of the folk results of evolutionary game theory typically obtained witha fixed game and fixed strategies carry over to the present case. The results are also related to recent experimentson rules and games.

L'Exercici de la docència de la psicologia i el Burnout

En l’actualitat el burnout o síndrome de cremar-se per la feina és considerat un risc emergent als països occidentals essent el col·lectiu docent un dels més afectats. L’espai europeu d’educació superior proposa un nou rol pel professor que haurà de ser compaginat amb la gestió, la recerca i la transferència de coneixement. En la present recerca s’analitza el nivell de burnout en una mostra formada per 42 docents (mitjana d’edat: 37,21 anys; D.T.: 8,98; 70,8% dones) del departament de Psicologia de la Universitat de Girona. El burnout s’ha avaluat amb el Maslach Burnout Inventory (MBI) així com amb un qüestionari d’elaboració pròpia que recull variables sociodemogràfiques, característiques del tipus de treball i de l’ús del temps lliure, el locus de control i el burnout percebut. Els resultats obtinguts indiquen valors mitjans en les puntuacions de les dimensions Cansament Emocional i Despersonalització, i valors elevats en Realització Personal. El 20,5% dels docents es percep cremat per la feina