Solving non-linear stochastic models by parameterizing expectations: An application to asset pricing with production

A new algorithm called the parameterized expectations approach(PEA) for solving dynamic stochastic models under rational expectationsis developed and its advantages and disadvantages are discussed. Thisalgorithm can, in principle, approximate the true equilibrium arbitrarilywell. Also, this algorithm works from the Euler equations, so that theequilibrium does not have to be cast in the form of a planner's problem.Monte--Carlo integration and the absence of grids on the state variables,cause the computation costs not to go up exponentially when the numberof state variables or the exogenous shocks in the economy increase. \\As an application we analyze an asset pricing model with endogenousproduction. We analyze its implications for time dependence of volatilityof stock returns and the term structure of interest rates. We argue thatthis model can generate hump--shaped term structures.

A unifying approach to the empirical evaluation of asset pricing models

Two main approaches are commonly used to empirically evaluate linear factor pricingmodels: regression and SDF methods, with centred and uncentred versions of the latter.We show that unlike standard two-step or iterated GMM procedures, single-step estimatorssuch as continuously updated GMM yield numerically identical values for prices of risk,pricing errors, Jensen s alphas and overidentifying restrictions tests irrespective of the modelvalidity. Therefore, there is arguably a single approach regardless of the factors being tradedor not, or the use of excess or gross returns. We illustrate our results by revisiting Lustigand Verdelhan s (2007) empirical analysis of currency returns.

Replicative phenotyping adds value to genotypic resistance testing in heavily pre-treated HIV-infected individuals--the Swiss HIV Cohort Study.

BACKGROUND: Replicative phenotypic HIV resistance testing (rPRT) uses recombinant infectious virus to measure viral replication in the presence of antiretroviral drugs. Due to its high sensitivity of detection of viral minorities and its dissecting power for complex viral resistance patterns and mixed virus populations rPRT might help to improve HIV resistance diagnostics, particularly for patients with multiple drug failures. The aim was to investigate whether the addition of rPRT to genotypic resistance testing (GRT) compared to GRT alone is beneficial for obtaining a virological response in heavily pre-treated HIV-infected patients. METHODS: Patients with resistance tests between 2002 and 2006 were followed within the Swiss HIV Cohort Study (SHCS). We assessed patients' virological success after their antiretroviral therapy was switched following resistance testing. Multilevel logistic regression models with SHCS centre as a random effect were used to investigate the association between the type of resistance test and virological response (HIV-1 RNA <50 copies/mL or ≥1.5 log reduction). RESULTS: Of 1158 individuals with resistance tests 221 with GRT+rPRT and 937 with GRT were eligible for analysis. Overall virological response rates were 85.1% for GRT+rPRT and 81.4% for GRT. In the subgroup of patients with >2 previous failures, the odds ratio (OR) for virological response of GRT+rPRT compared to GRT was 1.45 (95% CI 1.00-2.09). Multivariate analyses indicate a significant improvement with GRT+rPRT compared to GRT alone (OR 1.68, 95% CI 1.31-2.15). CONCLUSIONS: In heavily pre-treated patients rPRT-based resistance information adds benefit, contributing to a higher rate of treatment success.

Simple models for multi-attribute choice with many alternatives: When it does and does not pay to face tradeoffs with binary attributes

Working Paper no longer available. Please contact the author.

Preparation with fasting and acipimox increases myocardial glucose uptake in mice during cardiac 18F-FDG microPET

Purpose: Cardiac 18F-FDG PET is considered as the gold standard to assess myocardial metabolism and infarct size. The myocardial demand for glucose can be influenced by fasting and/or following pharmacological preparation. In the rat, it has been previously shown that fasting combined with preconditioning with acipimox, a nicotinic acid derivate and lipidlowering agent, increased dramatically 18F-FDG uptake in the myocardium. Strategies aimed at reducing infarct scar are evaluated in a variety of mouse models. PET would particularly useful for assessing cardiac viability in the mouse. However, prior knowledge of the best preparation protocol is a prerequisite for accurate measurement of glucose uptake in mice. Therefore, we studied the effect of different protocols on 18F-FDG uptake in the mouse heart.Methods: Mice (n = 15) were separated into three treatment groups according to preconditioning and underwent a 18FDG PET scan. Group 1: No preconditioning (n = 3); Group 2: Overnight fasting (n = 8); and Group 3: Overnight fasting and acipimox (25mg/kg SC) (n = 4). MicroPET images were processed with PMOD to determine 18F-FDG mean standard uptake value (SUV) at 30 min for the whole left ventricle (LV) and for each region of the 17-segments AHA model. For comparisons, we used Mann-Whitney test and multilevel mixed-effects linear regression (Stata 11.0).Results: In total, 27 microPET were performed successfully in 15 animals. Overnight fasting led to a dramatic increase in LV-SUV compared to mice without preconditioning (8.6±0.7g/mL vs. 3.7±1.1g/mL, P<0.001). In addition, LV-SUV was slightly but not significantly higher in animals treated with acipimox compared to animals with overnight fasting alone (10.2±0.5 g/mL, P = 0.06). Fastening increased segmental SUV by 5.1±0.5g/mL as compared to free-feeding mice (from 3.7±0.8g/mL to 8.8±0.4g/mL, P<0.001); segmental-SUV also significantly increased after administration of acipimox (from 8.8±0.4g/mL to 10.1±0.4g/mL, P<0.001).Conclusion: Overnight fasting led to myocardial glucose deprivation and increases 18F-FDG myocardial uptake. Additional administration of acipimox enhances myocardial 18F-FDG uptake, at least at the segmental level. Thus, preconditioning with acipimox may provide better image quality that may help for assessing segmental myocardial metabolism.

Adaptive learning in models with lagged variables

In this work I study the stability of the dynamics generated by adaptivelearning processes in intertemporal economies with lagged variables. Iprove that determinacy of the steady state is a necessary condition for the convergence of the learning dynamics and I show that the reciprocal is not true characterizing the economies where convergence holds. In the case of existence of cycles I show that there is not, in general, a relationship between determinacy and convergence of the learning process to the cycle. I also analyze the expectational stability of these equilibria.

In vitro and in vivo tumor models for studies of distribution of radiolabelled monoclonal antibodies and fragments.

Colon carcinoma multicellular spheroids were incubated in vitro with radiolabelled MAbs. The more rapid penetration of fragments as compared to intact MAbs was clearly demonstrated. For the study of antibody localization in tumors in vivo, the model of nude mice with ligated kidneys was used. Although very artificial, this model allowed to demonstrate that, without urinary excretion, Fab fragments accumulated more rapidly into the tumor than intact MAbs and disappeared faster from the blood. This difference was less striking for F(ab')2 fragments. In the liver a decreased accumulation of both types of fragments as compared to intact MAbs was observed. Concerning radioimmunotherapy we think that Fab fragments are not useful because of their too short half-life in the circulation and in tumor and because they will probably be too toxic for the kidneys. Intact MAbs and F(ab')2 fragments have each their advantages. Intact MAbs show highest tumor accumulation in mice without ligated kidney, however, they remain mostly on the periphery of tumor nodules, as shown by autoradiography. F(ab')2 fragments have been found to penetrate deeper into the tumor and to accumulate less in the liver. It might be therefore an advantage to combine intact MAbs with F(ab')2 fragments, so that in the tumor two different regions could be attacked whereas in normal tissues toxicity could be distributed to different organs such as to the liver with intact MAbs and to the kidney with F(ab')2 fragments.