Empirical validation of CAPM

This paper pretends to show empirical evidence of the CAPM model of Sharpe-Lintner (1964) for Colombia from 2003 to 2010, whose validation is carried out using the method of Black, Jensen and Scholes (1972) but introducing certain methodological econometric type changes associated to the requirements imposed by the used sample -- Specifically, we found no empirical evidence to reject the CAPM for the Colombian economyin the period under analysis

Economic well-being and poverty among the elderly: an analysis based on a collective consumption model

We apply the collective consumption model of Browning, Chiappori and Lewbel (2006) to analyse economic well-being and poverty among the elderly. The model focuses on individual preferences, a consumption technology that captures the economies of scale of living in a couple, and a sharing rule that governs the intra-household allocation of resources. The model is applied to a time series of Dutch consumption expenditure surveys. Our empirical results indicate substantial economies of scale and a wifeís share that is increasing in total expenditures. We further calculated poverty rates by means of the collective consumption model. Collective poverty rates of widows and widowers turn out to be slightly lower than traditional ones based on a standard equivalence scale. Poverty among women (men) in elderly couples, however, seems to be heavily underestimated (overestimated) by the traditional approach. Finally, we analysed the impact of becoming a widow(er). Based on cross-sectional evidence, we find that the drop (increase) in material well-being following the husbandís death is substantial for women in high (low) expenditure couples. For men, the picture is reversed.

An Afriat theorem for the collective model of household consumption

We provide a nonparametric 'revealed preference’ characterization of rational household behavior in terms of the collective consumption model, while accounting for general (possibly non-convex) individual preferences. We establish a Collective Axiom of Revealed Preference (CARP), which provides a necessary and sufficient condition for data consistency with collective rationality. Our main result takes the form of a ‘collective’ version of the Afriat Theorem for rational behavior in terms of the unitary model. This theorem has some interesting implications. With only a finite set of observations, the nature of consumption externalities (positive or negative) in the intra-household allocation process is non-testable. The same non-testability conclusion holds for privateness (with or without externalities) or publicness of consumption. By contrast, concavity of individual utility functions (representing convex preferences) turns out to be testable. In addition, monotonicity is testable for the model that assumes all household consumption is public.

Pillars and Elements to Develop an Open Business Model for Innovation Networks

Part 9: Innovation Networks

Curated Commons: The Maryland Model

The curated commons is a model in which a flexible library building shell and its infrastructure can respond to the specific time-sensitive needs of differing clients. It applies to faculty research, in particular small science activities (as opposed to big science activities that have major support which includes proprietary laboratories and facilities). It provides for sustained transformation of library facilities as well as its utilitarian and cyber-infrastructures to become a flexible reconfigurable space with cutting edge technology and sustained funding streams.

mRNA-Seq and microarray development for the Grooved carpet shell clam, Ruditapes decussatus: a functional approach to unravel host -parasite interaction

Background The Grooved Carpet shell clam Ruditapes decussatus is the autochthonous European clam and the most appreciated from a gastronomic and economic point of view. The production is in decline due to several factors such as Perkinsiosis and habitat invasion and competition by the introduced exotic species, the manila clam Ruditapes philippinarum. After we sequenced R. decussatus transcriptome we have designed an oligo microarray capable of contributing to provide some clues on molecular response of the clam to Perkinsiosis. Results A database consisting of 41,119 unique transcripts was constructed, of which 12,479 (30.3%) were annotated by similarity. An oligo-DNA microarray platform was then designed and applied to profile gene expression in R. decussatus heavily infected by Perkinsus olseni. Functional annotation of differentially expressed genes between those two conditionswas performed by gene set enrichment analysis. As expected, microarrays unveil genes related with stress/infectious agents such as hydrolases, proteases and others. The extensive role of innate immune system was also analyzed and effect of parasitosis upon expression of important molecules such as lectins reviewed. Conclusions This study represents a first attempt to characterize Ruditapes decussatus transcriptome, an important marine resource for the European aquaculture. The trancriptome sequencing and consequent annotation will increase the available tools and resources for this specie, introducing the possibility of high throughput experiments such as microarrays analysis. In this specific case microarray approach was used to unveil some important aspects of host-parasite interaction between the Carpet shell clam and Perkinsus, two non-model species, highlighting some genes associated with this interaction. Ample information was obtained to identify biological processes significantly enriched among differentially expressed genes in Perkinsus infected versus non-infected gills. An overview on the genes related with the immune system on R. decussatus transcriptome is also reported.

Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

Interest rate sensitivity assessment framework based on fixed income yield indexes is developed and applied to two types of emerging market corporate debt: investment grade and high yield exposures. Our research advances beyond the correlation analyses focused on co- movements in yields and/or spreads of risky and risk-free assets. We show that correlation- based analyses of interest rate sensitivity could appear rather inconclusive and, hence, we investigate the bottom line profit and loss of a hypothetical model portfolio of corporates. We consider historical data covering the period 2002 – 2015, which enable us to assess interest rate sensitivity of assets during the development, the apogee, and the aftermath of the global financial crisis. Based on empirical evidence, both for investment and speculative grades securities, we find that the emerging market corporates exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles. This research sheds light on how financial institutions may approach interest rate risk management, evidencing that even plain vanilla portfolios of emerging market corporates, which on average could appear rather insensitive to the interest rate risk in fact present a binary behavior of their interest rate sensitivities. Our findings allow banks and financial institutions for optimizing economic capital under Basel III regulatory capital rules.

Estimation of leaf area in grapevine cv. Syrah using empirical models

Aiming to obtain empirical models for the estimation of Syrah leaf area a set of 210 fruiting shoots was randomly collected during the 2013 growing season in an adult experimental vineyard, located in Lisbon, Portugal. Samples of 30 fruiting shoots were taken periodically from the stage of inflorescences visible to veraison (7 sampling dates). At the lab, from each shoot, primary and lateral leaves were separated and numbered according to node insertion. For each leaf, the length of the central and lateral veins was recorded and then the leaf area was measured by a leaf area meter. For single leaf area estimation the best statistical models uses as explanatory variable the sum of the lengths of the two lateral leaf veins. For the estimation of leaf area per shoot it was followed the approach of Lopes & Pinto (2005), based on 3 explanatory variables: number of primary leaves and area of the largest and smallest leaves. The best statistical model for estimation of primary leaf area per shoot uses a calculated variable obtained from the average of the largest and smallest primary leaf area multiplied by the number of primary leaves. For lateral leaf area estimation another model using the same type of calculated variable is also presented. All models explain a very high proportion of variability in leaf area. Our results confirm the already reported strong importance of the three measured variables (number of leaves and area of the largest and smallest leaf) as predictors of the shoot leaf area. The proposed models can be used to accurately predict Syrah primary and secondary leaf area per shoot in any phase of the growing cycle. They are inexpensive, practical, non-destructive methods which do not require specialized staff or expensive equipment.

Non-parametrized functionals with empirical dispersion corrections: A happy match?

The performances of two parametrized functionals (namely B3LYP and B2PYLP) have been compared with those of two non-parametrized functionals (PBE0 and PBE0-DH) on a relatively large benchmark set when three different types of dispersion corrections are applied [namely the D2, D3 and D3(BJ) models]. Globally, the MAD computed using non-parametrized functionals decreases when adding dispersion terms although the accuracy not necessarily increases with the complexity of the model of dispersion correction used. In particular, the D2 correction is found to improve the performances of both PBE0 and PBE0-DH, while no systematic improvement is observed going from D2 to D3 or D3(BJ) corrections. Indeed when including dispersion, the number of sets for which PBE0-DH is the best performing functional decreases at the benefit of B2PLYP. Overall, our results clearly show that inclusion of dispersion corrections is more beneficial to parametrized double-hybrid functionals than to non-parametrized ones. The same conclusions globally hold for the corresponding global hybrids, showing that the marriage between non-parametrized functionals and empirical corrections may be a difficult deal.

A NATURALISTIC COMPUTATIONAL MODEL OF HUMAN BEHAVIOR IN NAVIGATION AND SEARCH TASKS

Planning, navigation, and search are fundamental human cognitive abilities central to spatial problem solving in search and rescue, law enforcement, and military operations. Despite a wealth of literature concerning naturalistic spatial problem solving in animals, literature on naturalistic spatial problem solving in humans is comparatively lacking and generally conducted by separate camps among which there is little crosstalk. Addressing this deficiency will allow us to predict spatial decision making in operational environments, and understand the factors leading to those decisions. The present dissertation is comprised of two related efforts, (1) a set of empirical research studies intended to identify characteristics of planning, execution, and memory in naturalistic spatial problem solving tasks, and (2) a computational modeling effort to develop a model of naturalistic spatial problem solving. The results of the behavioral studies indicate that problem space hierarchical representations are linear in shape, and that human solutions are produced according to multiple optimization criteria. The Mixed Criteria Model presented in this dissertation accounts for global and local human performance in a traditional and naturalistic Traveling Salesman Problem. The results of the empirical and modeling efforts hold implications for basic and applied science in domains such as problem solving, operations research, human-computer interaction, and artificial intelligence.

Globalization and the Public Provision of Higher Education: Empirical Evidence from Selected Countries

This research study was designed to examine the relationship between globalization as measured by the KOF index, its related forces (economic, political, cultural and technological) and the public provision of higher education. This study is important since globalization is increasingly being associated with changes in critical aspects of higher education. The public provision of education was measured by government expenditure and educational outcomes; that is participation, gender equity and attainment. The study utilized a non-experimental quantitative research design. Data collected from secondary sources for 139 selected countries was analyzed. The countries were geographically distributed and included both developed and developing countries. The choice of countries for inclusion in the study was based on data availability. The data, which was sourced from international organizations such as the United Nations and the World Bank, were examined for different time periods using five year averages. The period covered was 1970 to 2009. The relationship between globalization and the higher education variables was examined using cross sectional regression analysis while controlling for economic, political and demographic factors. The major findings of the study are as follows. For the two spending models, only one revealed a significant relationship between globalization and education with the R2 s ranging from .222 to .448 over the period. This relationship was however negative indicating that as globalization increased, spending on higher education declined. However, for the education outcomes models, this relationship was not significant. For the sub-indices of globalization, only the political dimension showed significance as shown in the spending model. Political globalization was significant for six periods with R2 s ranging from .31 to .52. The study concluded that the results are mixed for both the spending and outcome models. It also found no robust effects of globalization on government education provision. This finding is not surprising given the existing literature which sees mixed results on the social impact of globalization.

Stress-testing centralised model stores

One of the current challenges in model-driven engineering is enabling effective collaborative modelling. Two common approaches are either storing the models in a central repository, or keeping them under a traditional file-based version control system and build a centralized index for model-wide queries. Either way, special attention must be paid to the nature of these repositories and indexes as networked services: they should remain responsive even with an increasing number of concurrent clients. This paper presents an empirical study on the impact of certain key decisions on the scalability of concurrent model queries, using an Eclipse Connected Data Objects model repository and a Hawk model index. The study evaluates the impact of the network protocol, the API design and the internal caching mechanisms and analyzes the reasons for their varying performance.

A novel latent factor model for recommender system

Matrix factorization (MF) has evolved as one of the better practice to handle sparse data in field of recommender systems. Funk singular value decomposition (SVD) is a variant of MF that exists as state-of-the-art method that enabled winning the Netflix prize competition. The method is widely used with modifications in present day research in field of recommender systems. With the potential of data points to grow at very high velocity, it is prudent to devise newer methods that can handle such data accurately as well as efficiently than Funk-SVD in the context of recommender system. In view of the growing data points, I propose a latent factor model that caters to both accuracy and efficiency by reducing the number of latent features of either users or items making it less complex than Funk-SVD, where latent features of both users and items are equal and often larger. A comprehensive empirical evaluation of accuracy on two publicly available, amazon and ml-100 k datasets reveals the comparable accuracy and lesser complexity of proposed methods than Funk-SVD.

Fluorescence of nitrobenzoxadiazole (NBD)-labeled lipids in model membranes is connected not to lipid mobility but to probe location

Nitrobenzoxadiazole (NBD)-labeled lipids are popular fluorescent membrane probes. However, the understanding of important aspects of the photophysics of NBD remains incomplete, including the observed shift in the emission spectrum of NBD-lipids to longer wavelengths following excitation at the red edge of the absorption spectrum (red-edge excitation shift or REES). REES of NBD-lipids in membrane environments has been previously interpreted as reflecting restricted mobility of solvent surrounding the fluorophore. However, this requires a large change in the dipole moment (Dm) of NBD upon excitation. Previous calculations of the value of Dm of NBD in the literature have been carried out using outdated semi-empirical methods, leading to conflicting values. Using up-to-date density functional theory methods, we recalculated the value of Dm and verified that it is rather small (B2 D). Fluorescence measurements confirmed that the value of REES is B16 nm for 1,2-dioleoyl-sn-glycero-3- phospho-L-serine-N-(NBD) (NBD-PS) in dioleoylphosphatidylcholine vesicles. However, the observed shift is independent of both the temperature and the presence of cholesterol and is therefore insensitive to the mobility and hydration of the membrane. Moreover, red-edge excitation leads to an increased contribution of the decay component with a shorter lifetime, whereas time-resolved emission spectra of NBD-PS displayed an atypical blue shift following excitation. This excludes restrictions to solvent relaxation as the cause of the measured REES and TRES of NBD, pointing instead to the heterogeneous transverse location of probes as the origin of these effects. The latter hypothesis was confirmed by molecular dynamics simulations, from which the calculated heterogeneity of the hydration and location of NBD correlated with the measured fluorescence lifetimes/REES. Globally, our combination of theoretical and experiment-based techniques has led to a considerably improved understanding of the photophysics of NBD and a reinterpretation of its REES in particular.

“A long-term mortality analysis of subsidized firms in rural areas: an empirical study in the Portuguese Alentejo region”

Studies have demonstrated that public policies to support private firms’ investment have the ability to promote entrepreneurship, but the sustainability of subsidized firms has not often been analysed. This paper aims to examine this dimension specifically through evaluating the mortality of subsidized firms in the long-term. The analysis focuses on a case study of the LEADER+ Programme in the Alentejo region of Portugal. With this purpose, the paper examines the activity status (active or not active) of 154 private, rural, for-profit firms in Alentejo that had received a subsidy to support investment between 2002 and 2008 under the LEADER+ Programme. The methodology is based on binary choice models in order to study the probability of these firms still being active. The explanatory variables used are the following: (1) the characteristics of entrepreneurs and managers’ strategic decisions, (2) firm profile and characteristics, (3) regional economic environment. Data assessment showed that the cumulative mortality rate of firms on 31st December 2013 is over 20 %. Interpretation of the regression model revealed that he probability of firms’ survival increases with higher investment, firm age and regional business concentration, whereas the number of applications made by firms has a negative impact on their survival. So it seems that for subsidized firms the amount of investment is as important as its frequency.