Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints

The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter values. Recent research has suggested that the consumption of stockholders is more strongly correlated with the performance of the stock market than the consumption of non-stockholders. We model two types of agents, non-stockholders with standard preferences and stock holders with preferences that incorporate elements of the prospect theory developed by Kahneman and Tversky (1979). In addition to consumption, stockholders consider fluctuations in their financial wealth explicitly when making decisions. Data from the Panel Study of Income Dynamics are used to calibrate the labor income processes of the two types of agents. Each agent faces idiosyncratic shocks to his labor income as well as aggregate shocks to the per-share dividend but markets are incomplete and agents cannot hedge consumption risks completely. In addition, consumers face both borrowing and short-sale constraints. Our results show that in equilibrium, agents hold different portfolios. Our model is able to generate a time-varying risk premium of about 5.5% while maintaining a low risk free rate, thus suggesting a plausible explanation for the equity premium puzzle reported by Mehra and Prescott (1985).

Financial performance drivers and strategic control: The case of cancer treatment centers

Strategic control is defined as the use of qualitative and quantitative tools for the evaluation of strategic organizational performance. Most research in strategic planning has focused on strategy formulation and implementation, but little work has been done on strategic performance evaluation particularly in the area of cancer research. The objective of this study was to identify strategic control approaches and financial performance metrics used by major cancer centers in the country as an initial step in expanding the theory and practice behind strategic organizational performance. Focusing on hospitals which share similar mandate and resource constraints was expected to improve measurement precision. The results indicate that most cancer centers use a wide selection of evaluation tools, but sophisticated analytical approaches were less common. In addition, there was evidence that high-performing centers tend to invest a larger degree of resources in the area of strategic performance analysis than centers showing lower financial results. The conclusions point to the need for incorporating higher degree of analytical power in order to improve the tracking of strategic performance. This study is one of the first to concentrate in the area of strategic control.^

Escape performance of temperate king scallop, Pecten maximus under ocean warming and acidification

Among bivalves, scallops are exceptional due to their capacity to escape from predators by swimming which is provided by rapid and strong claps that are produced by the phasic muscle interspersed with tonic muscle contractions. Based on the concept of oxygen and capacity-limited thermal tolerance, the following hypothesis was tested: ocean warming and acidification (OWA) would induce disturbances in aerobic metabolic scope and extracellular acid-case status and impair swimming performance in temperate scallops. Following long-term incubation under near-future OWA scenarios [20 vs. 10 °C (control) and 0.112 kPa CO2 (hypercapnia) vs. 0.040 kPa CO2 (normocapnic control)], the clapping performance and metabolic rates (MR) were measured in resting (RMR) and fatigued (maximum MR) king scallops, Pecten maximus, from Roscoff, France. Exposure to OA, either alone or combined with warming, left MR and swimming parameters such as the total number of claps and clapping forces virtually unchanged. Only the duration of the escape response was affected by OA which caused earlier exhaustion in hyper- than in normocapnic scallops at 10 °C. While maximum MR was unaffected, warm exposure increased RMR in both normocapnic and hypercapnic P. maximus resulting in similar Q 10 values of ~2.2. The increased costs of maintenance and the observation of strongly reduced haemolymph PO2 levels indicate that at 20 °C scallops have reached the upper thermal pejus range with unbalanced capacities for aerobic energy metabolism. As a consequence, warming to 20 °C decreased mean phasic force during escape performance until fatigue. The observed prolonged recovery time in warm incubated scallops might be a consequence of elevated metabolic costs at reduced oxygen availability in the warmth.

(Table 1) Reproductive performance of brown skua pairs with and without feeding territories at Potter Peninsula/King George Island from 1998/1999 to 2000/2001

In the maritime Antarctic, brown skuas (Catharacta antarctica lonnbergi) show two foraging strategies: some pairs occupy feeding territories in penguin colonies, while others can only feed in unoccupied areas of a penguin colony without defending a feeding territory. One-third of the studied breeding skua population in the South Shetlands occupied territories of varying size (48 to >3,000 penguin nests) and monopolised 93% of all penguin nests in sub-colonies. Skuas without feeding territories foraged in only 7% of penguin sub-colonies and in part of the main colony. Females owning feeding territories were larger in body size than females without feeding territories; no differences in size were found in males. Territory holders permanently controlled their resources but defence power diminished towards the end of the reproductive season. Territory ownership guaranteed sufficient food supply and led to a 5.5 days earlier egg-laying and chick-hatching. Short distances between nest and foraging site allowed territorial pairs a higher nest-attendance rate such that their chicks survived better (71%) than chicks from skua pairs without feeding territories (45%). Due to lower hatching success in territorial pairs, no difference in breeding success of pairs with and without feeding territories was found in 3 years. We conclude that skuas owning feeding territories in penguin colonies benefit from the predictable and stable food resource by an earlier termination of the annual breeding cycle and higher offspring survivorship.

Probabilistic models for the prediction of a ship performance in dynamic ice

We introduce two probabilistic, data-driven models that predict a ship's speed and the situations where a ship is probable to get stuck in ice based on the joint effect of ice features such as the thickness and concentration of level ice, ice ridges, rafted ice, moreover ice compression is considered. To develop the models to datasets were utilized. First, the data from the Automatic Identification System about the performance of a selected ship was used. Second, a numerical ice model HELMI, developed in the Finnish Meteorological Institute, provided information about the ice field. The relations between the ice conditions and ship movements were established using Bayesian learning algorithms. The case study presented in this paper considers a single and unassisted trip of an ice-strengthened bulk carrier between two Finnish ports in the presence of challenging ice conditions, which varied in time and space. The obtained results show good prediction power of the models. This means, on average 80% for predicting the ship's speed within specified bins, and above 90% for predicting cases where a ship may get stuck in ice. We expect this new approach to facilitate the safe and effective route selection problem for ice-covered waters where the ship performance is reflected in the objective function.

Light-modulated responses of growth and photosynthetic performance to ocean acidification in the model diatom Phaeodactylum tricornutum

Ocean acidification (OA) due to atmospheric CO2 rise is expected to influence marine primary productivity. In order to investigate the interactive effects of OA and light changes on diatoms, we grew Phaeodactylum tricornutum, under ambient (390 ppmv; LC) and elevated CO2 (1000 ppmv; HC) conditions for 80 generations, and measured its physiological performance under different light levels (60 µmol/m**2/s, LL; 200 µmol/m**2/s, ML; 460 µmol/m**2/s, HL) for another 25 generations. The specific growth rate of the HC-grown cells was higher (about 12-18%) than that of the LC-grown ones, with the highest under the ML level. With increasing light levels, the effective photochemical yield of PSII (Fv'/Fm') decreased, but was enhanced by the elevated CO2, especially under the HL level. The cells acclimated to the HC condition showed a higher recovery rate of their photochemical yield of PSII compared to the LC-grown cells. For the HC-grown cells, dissolved inorganic carbon or CO2 levels for half saturation of photosynthesis (K1/2 DIC or K1/2 CO2) increased by 11, 55 and 32%, under the LL, ML and HL levels, reflecting a light dependent down-regulation of carbon concentrating mechanisms (CCMs). The linkage between higher level of the CCMs down-regulation and higher growth rate at ML under OA supports the theory that the saved energy from CCMs down-regulation adds on to enhance the growth of the diatom.

Seawater carbonate chemistry and aerobic performance of coral reef fishes during experiments, 2009

Concerns about the impacts of ocean acidification on marine life have mostly focused on how reduced carbonate saturation affects calcifying organisms. Here, we show that levels of CO2-induced acidification that may be attained by 2100 could also have significant effects on marine organisms by reducing their aerobic capacity. The effects of temperature and acidification on oxygen consumption were tested in 2 species of coral reef fishes, Ostorhinchus doederleini and O. cyanosoma, from the Great Barrier Reef, Australia. The capacity for aerobic activity (aerobic scope) declined at temperatures above the summer average (29°C) and in CO2-acidified water (pH 7.8 and ~1000 ppm CO2) compared to control water (pH 8.15). Aerobic scope declined by 36 and 32% for O. doederleini and O. cyanosoma at temperatures between 29 to 32°C, whereas it declined by 33 and 47% for O. doederleini and O. cyanosoma in acidified water compared to control water. Thus, the declines in aerobic scope in acidified water were similar to those caused by a 3°C increase in water temperature. Minimum aerobic scope values of ~200 mg O2 kg-1 h-1 were attained for both species in acidified water at 32°C, compared with over 600 mg O2 kg-1 h-1 in control water at 29°C. Mortality rate increased sharply at 33°C, indicating that this temperature is close to the lethal thermal limit for both species. Acidification further increased the mortality rate of O. doederleini, but not of O. cyanosoma. These results show that coral reef fishes are sensitive to both higher temperatures and increased levels of dissolved CO2, and that the aerobic performance of some reef fishes could be significantly reduced if climate change continues unabated.

Nitrate limitation and ocean acidification interact with UV-B to reduce photosynthetic performance in the diatom

It has been proposed that ocean acidification (OA) will interact with other environmental factors to influence the overall impact of global change on biological systems. Accordingly we investigated the influence of nitrogen limitation and OA on the physiology of diatoms by growing the diatom Phaeodactylum tricornutum Bohlin under elevated (1000 µatm; high CO2- HC) or ambient (390 µatm; low CO2-LC) levels of CO2 with replete (110 µmol/L; high nitrate-HN) or reduced (10 ?mol/L; low nitrate-LN) levels of NO3- and subjecting the cells to solar radiation with or without UV irradiance to determine their susceptibility to UV radiation (UVR, 280-400 nm). Our results indicate that OA and UVB induced significantly higher inhibition of both the photosynthetic rate and quantum yield under LN than under HN conditions. UVA or/and UVB increased the cells' non-photochemical quenching (NPQ) regardless of the CO2 levels. Under LN and OA conditions, activity of superoxide dismutase and catalase activities were enhanced, along with the highest sensitivity to UVB and the lowest ratio of repair to damage of PSII. HC-grown cells showed a faster recovery rate of yield under HN but not under LN conditions. We conclude therefore that nutrient limitation makes cells more prone to the deleterious effects of UV radiation and that HC conditions (ocean acidification) exacerbate this effect. The finding that nitrate limitation and ocean acidification interact with UV-B to reduce photosynthetic performance of the diatom P. tricornutum implies that ocean primary production and the marine biological C pump will be affected by OA under multiple stressors.

CO2 and inorganic nutrient enrichment affect the performance of a calcifying green alga and its noncalcifying epiphyte

Ocean acidification studies in the past decade have greatly improved our knowledge of how calcifying organisms respond to increased surface ocean CO2 levels. It has become evident that, for many organisms, nutrient availability is an important factor that influences their physiological responses and competitive interactions with other species. Therefore, we tested how simulated ocean acidification and eutrophication (nitrate and phosphate enrichment) interact to affect the physiology and ecology of a calcifying chlorophyte macroalga (Halimeda opuntia (L.) J.V. Lamouroux) and its common noncalcifying epiphyte (Dictyota sp.) in a 4-week fully crossed multifactorial experiment. Inorganic nutrient enrichment (+NP) had a strong influence on all responses measured with the exception of net calcification. Elevated CO2 alone significantly decreased electron transport rates of the photosynthetic apparatus and resulted in phosphorus limitation in both species, but had no effect on oxygen production or respiration. The combination of CO2 and +NP significantly increased electron transport rates in both species. While +NP alone stimulated H. opuntia growth rates, Dictyota growth was significantly stimulated by nutrient enrichment only at elevated CO2, which led to the highest biomass ratios of Dictyota to Halimeda. Our results suggest that inorganic nutrient enrichment alone stimulates several aspects of H. opuntia physiology, but nutrient enrichment at a CO2 concentration predicted for the end of the century benefits Dictyota sp. and hinders its calcifying basibiont H. opuntia.