This paper proposes a computationally efficient algorithm for quantifying the impact of interest-rate risk and longevity risk on the distribution of annuity values in the distant future. The algorithm simulates the state variables out to the end of the horizon period and then uses a Taylor series approximation to compute approximate annuity values at the end of that period, thereby avoiding a c...

Abstract Portfolio performance measures using holdings data are panel regressions. The returns of a fund’s stocks regressed on its lagged portfolio weights. Stock fixed effects isolate average from time-series predictive ability. Control variables condition for fund the characteristics held. long-term drives some classical measures, while ability others. A “buy-and-hold drift,” where weights in...

Using a unique database that includes publicly disclosed fund holdings at the end of quarter as well in all non-publicly months, we found some funds could alter their portfolios months to artificially increase Active Share scores and consequently appear more active take advantage positive relationship between money flows. We show how, consistent with non-informed trades, these erode future perf...

We use unique institutional securities holdings data to examine the trading behaviour of delegated capital and its impact on bond risk premia. show that fund managers trade strongly procyclically: they actively move into higher yielding, longer duration lower rated as yields fall spreads compress, vice versa. Funds more exposed negative increase their risk-taking strongly, this effect is partic...

We propose a tractable model of asset management in which benchmarking arises endogenously, and analyze its welfare consequences. Fund managers' portfolios are not contractible they incur private costs running them. Incentive contracts for fund managers create pecuniary externality through their effect on prices. Benchmarking inflates prices creates crowded trades. The crowding reduces the effe...

Performance of the "quasi-REML" method for estimating correlations between a continuous trait and a categorical trait, and between two categorical traits, was studied with Monte Carlo simulations. Three continuous, correlated traits were simulated for identical populations and three scenarios with either no selection, selection for one moderately heritable trait (Trait 1, h2 = .25), and selecti...

A 3-week coliphage survey was conducted in stool samples from 140 Bangladeshi children hospitalized with severe diarrhea. On the Escherichia coli indicator strain K803, all but one phage isolate had 170-kb genomes and the morphology of T4 phage. In spot tests, the individual T4-like phages infected up to 27 out of 40 diarrhea-associated E. coli, representing 22 O serotypes and various virulence...

The lateral mobility of the vesicular stomatitis virus spike glycoprotein (G protein) and various mutant G proteins produced by site-directed mutagenesis of the G cDNA has been measured. Fluorescence recovery after photobleaching results for the wild type G protein in transfected COS-1 cells yielded a mean diffusion coefficient (D) of 8.5 (+/- 1.3) X 10(-11) cm2/s and a mean mobile fraction of ...

Abstract. The article examines integration of cryptocurrencies as electronic payment systems in e-commerce enterprises. Practical usage Ethereum and Bitcoin systems, well factors that may affect their functionality are studied. Coinbase Commerce Bitpay, market leaders cryptocurrency providers, were analyzed to compare issues commission analysis with traditional LiqPay, PayPal. It is determined ...