Facelifting in Utility Maximization

We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly, a facelift turns out to exist in utility-maximization despite strict convexity in the objective function. In addition to discussing our results in their natural, Markovian environment, we also use them to show that the dual optimizer cannot be found in the set of countably-additive (martingale) measures in a wide variety of situations

ALEA III: 19th International Composition Competition for Young Composers

This is the concert program of the 19th International Composition Competition for Young Composers performance on Saturday, September 29, 2001 at 7:00 p.m., at the Tsai Performance Center, 685 Commonwealth Avenue, Boston, Massachusetts. Works performed were Croatoan III by Moritz Eggert, Triptique by Athanasia Tzanou, Portrait of George Dyer Riding a Bicyle by Tonino Tesei, Reflection by Sabang Cho, and Three Episodes by Lior Navok. Digitization for Boston University Concert Programs was supported by the Boston University Humanities Library Endowed Fund

The Transformation of Macroeconomic Policy and Research

Nobel Prize Lecture December 8, 2004Business Cycles; Time Consistency

spotlight europe #2013/04, May 2013: The Changing Face of North Africa. An Opportunity for and with Europe.

North Africa is changing fast, and its youthful societies look back with pride at their recent uprisings. However, they are also getting frustrated by the fact that the economic outlook is not improving. Europe’s role in the strategically important southern Mediterranean area needs to be realigned in order to promote the development of democracy, employment opportunities, and security. There is a great deal of potential for cooperation with Morocco, Algeria, Tunisia, Libya and Egypt

Equity Prices Under Bayesian Doubt About Macroeconomic Fundamentals

I present a consumption-based explanation of a number of phenomena in the aggregate equity market. The model invokes the recursive utility function of Epstein and Zin (1989), configured with the plausible parameters of the average coefficient of the aversion to late resolution of uncertainty of about 22, and the elasticity of intertemporal substitution of 1.5. Statistically hard to discriminate in less than 80 years of data from the ubiquitous model of real consumption growth, the endowment process is specified as being subject to sporadic large shocks and incessant small shocks. The large infrequent shocks, modelled by means of a four-state hidden Markov chain, display interesting macroeconomic regularities, occuring at both the business-cycle, and a lower, frequencies. Despite the fact that the levels of endowments are observable, the source of their variation cannot be detected perfectly, facing investors with a complex signal-extraction problem. The associated posterior probabilities provide a natural link between the observed asset value fluctuations and the economic uncertainty within the rational Bayesian learning framework. Although computationally arduous, having to be solved on a high-performance computing machine in a low-level language, the model is able to account for (i) the observed magnitude of the equity premium, (ii) the low and stable risk-free rate, (iii) the magnitude and the countercyclicality of risk prices, (iv) the average levels and the procyclicality of price-dividend and wealth-consumption ratios, (v) the long-horizon predictability of risk premia, and (vi) the overreaction of price-dividend ratio to bad news in good times, all within the conceptually simple representative-agent framework.

Gulf Cooperation Council monarchies and the protests in Bahrein

El presente trabajo aborda el impacto de la primavera árabe en Bahrein, un país en cierta medida desatendido al momento de estudiar las repercusiones de este fenómeno en Medio Oriente, prestando particular atención al rol que asumieron las monarquías del Golfo frente al devenir de los acontecimientos al interior del Reino. En efecto, si bien podría aludirse a múltiples factores tanto internos como externos que en su conjunto ayudan a comprender el porqué del fracaso de la “primavera árabe” en Bahrein, en este caso se busca estudiar cómo ha afectado el accionar externo de sus socios en el marco del CCG el devenir de la situación en Manama y cuáles han sido las motivaciones de estos países para involucrarse en el desarrollo que ha tenido lugar al interior del reino.This paper addresses the impact of arab spring in Bahrein, an unattended country when studying the consequences of this phenomenon in Middle East, paying particular attention to the role the GCC monarchies assumed in relation to the developments that took place inside the Kingdom. In fact, despite the fact that it can be said that multiple internal and external factors contribute to understand why “arab spring” failed in Manama, in this case the objective is to study how the external action of GCC partners has affected the developments in Manama and which were the motivations of this countries to get involved in such situation.Fil: Fabani, Ornela. Universidad Nacional de Rosario. Facultad de Ciencia Política y Relaciones Internacionales. Escuela de Ciencia Política; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentin

Sparse Allreduce: Efficient Scalable Communication for Power-Law Data

Many large datasets exhibit power-law statistics: The web graph, social networks, text data, click through data etc. Their adjacency graphs are termed natural graphs, and are known to be difficult to partition. As a consequence most distributed algorithms on these graphs are communication intensive. Many algorithms on natural graphs involve an Allreduce: a sum or average of partitioned data which is then shared back to the cluster nodes. Examples include PageRank, spectral partitioning, and many machine learning algorithms including regression, factor (topic) models, and clustering. In this paper we describe an efficient and scalable Allreduce primitive for power-law data. We point out scaling problems with existing butterfly and round-robin networks for Sparse Allreduce, and show that a hybrid approach improves on both. Furthermore, we show that Sparse Allreduce stages should be nested instead of cascaded (as in the dense case). And that the optimum throughput Allreduce network should be a butterfly of heterogeneous degree where degree decreases with depth into the network. Finally, a simple replication scheme is introduced to deal with node failures. We present experiments showing significant improvements over existing systems such as PowerGraph and Hadoop

Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate

Most dynamic equilibrium models of exchange rate are not able to generate monthly time series with the typical properties of actual exchange rate. If the exogenous endowments in an equilibrium exchange rate model contain seasonal variations, then the exchange rate will as well. In this paper, we show how in this framework, seasonal preferences can help to remove seasonality of the exchange rate simulated time series.Exchange rate, Equilibrium model, Seasonality.