Uncertainty in Second Moments: Implications for Portfolio Allocation

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value weighted monthly returns from 1926 to 2001, this paper shows that the variance is less accurately estimated than the expected return. In addition, a mean variance investor will incur significant certainty equivalent loss due to the uncertainty in second moments. Applying the Fama French 3 factor model to 25 size, BE/ME sorted portfolios from 1963 to 2001, the loss due to the variance estimation can be shown to be as large as the loss due to the expected return estimation. Moreover, as the number of assets in the portfolio increases, the loss due to the variance uncertainty becomes larger. This provides a possible explanation to the home bias puzzle.estimation risk, time varying volatility, bayesian analysis, kurtosis

How Did the Great Recession Affect Different Types of Workers? Evidence from 17 Middle-Income Countries

This paper examines how different types of workers in 17 middle-income countries were affected by labor market retrenchment during the great recession. Impacts on different types of workers varied by country and were only weakly related to the severity of the shock. Among active workers, youth experienced by far the largest adverse impacts on employment, unemployment, and wage employment, particularly relative to older adults. The percentage employment reductions, for example, were greatest for youth in each sector of the economy, as firms reacted to the shock by substituting away from inexperienced workers. Employment rates, as a share of the population, also plummeted for men. Larger drops in male employment were primarily attributable to men's higher initial rate of employment, although men's concentration in the hard-hit industrial sector also played an important role. Within each sector, percentage employment declines were similar for men and women. Added worker effects among women were mild, even among less-educated workers. Differences in labor market outcomes across education groups and urban or rural residence tended to be smaller. These findings bolster the case for targeted support to displaced youth and wage employees. Programs targeted to female and unskilled workers should be undertaken with appropriate caution or empirical support from timely data, as they may not benefit the majority of affected workers.labor markets, emerging economies, economic shocks

Two-Way Interference Channel Capacity: How to Have the Cake and Eat it Too

Two-way communication is prevalent and its fundamental limits are first studied in the point-to-point setting by Shannon [1]. One natural extension is a two-way interference channel (IC) with four independent messages: two associated with each direction of communication. In this work, we explore a deterministic two-way IC which captures key properties of the wireless Gaussian channel. Our main contribution lies in the complete capacity region characterization of the two-way IC (w.r.t. the forward and backward sum-rate pair) via a new achievable scheme and a new converse. One surprising consequence of this result is that not only we can get an interaction gain over the one-way non-feedback capacities, we can sometimes get all the way to perfect feedback capacities in both directions simultaneously. In addition, our novel outer bound characterizes channel regimes in which interaction has no bearing on capacity.Comment: Presented in part in the IEEE International Symposium on Information Theory 201

Differential expression of conserved germ line markers and delayed segregation of male and female primordial germ cells in a hermaphrodite, the leech helobdella.

In sexually reproducing animals, primordial germ cells (PGCs) are often set aside early in embryogenesis, a strategy that minimizes the risk of genomic damage associated with replication and mitosis during the cell cycle. Here, we have used germ line markers (piwi, vasa, and nanos) and microinjected cell lineage tracers to show that PGC specification in the leech genus Helobdella follows a different scenario: in this hermaphrodite, the male and female PGCs segregate from somatic lineages only after more than 20 rounds of zygotic mitosis; the male and female PGCs share the same (mesodermal) cell lineage for 19 rounds of zygotic mitosis. Moreover, while all three markers are expressed in both male and female reproductive tissues of the adult, they are expressed differentially between the male and female PGCs of the developing embryo: piwi and vasa are expressed preferentially in female PGCs at a time when nanos is expressed preferentially in male PGCs. A priori, the delayed segregation of male and female PGCs from somatic tissues and from one another increases the probability of mutations affecting both male and female PGCs of a given individual. We speculate that this suite of features, combined with a capacity for self-fertilization, may contribute to the dramatically rearranged genome of Helobdella robusta relative to other animals

Highly Variable Genomic Landscape of Endogenous Retroviruses in the C57BL/6J Inbred Strain, Depending on Individual Mouse, Gender, Organ Type, and Organ Location.

Transposable repetitive elements, named the "TREome," represent ~40% of the mouse genome. We postulate that the germ line genome undergoes temporal and spatial diversification into somatic genomes in conjunction with the TREome activity. C57BL/6J inbred mice were subjected to genomic landscape analyses using a TREome probe from murine leukemia virus-type endogenous retroviruses (MLV-ERVs). None shared the same MLV-ERV landscape within each comparison group: (1) sperm and 18 tissues from one mouse, (2) six brain compartments from two females, (3) spleen and thymus samples from four age groups, (4) three spatial tissue sets from two females, and (5) kidney and liver samples from three females and three males. Interestingly, males had more genomic MLV-ERV copies than females; moreover, only in the males, the kidneys had higher MLV-ERV copies than the livers. Perhaps, the mouse-, gender-, and tissue/cell-dependent MLV-ERV landscapes are linked to the individual-specific and dynamic phenotypes of the C57BL/6J inbred population

How did the great recession affect different types of workers ? evidence from 17 middle-income countries

This paper examines how different types of workers in 17 middle-income countries were affected by labor market retrenchment during the great recession. Impacts on different types of workers varied by country and were only weakly related to the severity of the shock. Among active workers, youth experienced by far the largest adverse impacts on employment, unemployment, and wage employment, particularly relative to older adults. The percentage employment reductions, for example, were greatest for youth in each sector of the economy, as firms reacted to the shock by substituting away from inexperienced workers. Employment rates, as a share of the population, also plummeted for men. Larger drops in male employment were primarily attributable to men's higher initial rate of employment, although men's concentration in the hard-hit industrial sector also played an important role. Within each sector, percentage employment declines were similar for men and women. Added worker effects among women were mild, even among less-educated workers. Differences in labor market outcomes across education groups and urban or rural residence tended to be smaller. These findings bolster the case for targeted support to displaced youth and wage employees. Programs targeted to female and unskilled workers should be undertaken with appropriate caution or empirical support from timely data, as they may not benefit the majority of affected workers.Labor Markets,Labor Policies,Labor Standards,Work&Working Conditions,Population Policies