A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information

A one-factor asset pricing model with an Ornstein–Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a liquid asset and exponential utility indifference pricing formulas for derivative securities written on an illiquid asset are presented. Moreover, a conditionally linear filtering result is introduced to compute the pricing/hedging formulas and the Bayesian estimators of the hidden variables.     

Public Pension Benefits Claiming Behaviour: new Evidence from the Japanese Study on Ageing and Retirement

The present study explores public pension claiming behaviour among the Japanese elderly. First, we perform financial simulations, estimate expected utility and depict the typical patterns of pension benefits over a lifecycle. We show that a beneficiary's optimal retirement age depends on that beneficiary's mortality risk, discount rate, initial wealth and risk attitude. Second, we use individual‐level data from the Japanese Study on Aging and Retirement (JSTAR) to empirically examine the determinants of claim timing. We find evidence that most of the factors examined in the simulation are, indeed, significantly associated with early claiming among wage earners of pension benefits.     

The associations of soil fertility and market access with household income: Evidence from rural Uganda

This study attempts to identify the major factors affecting farm and nonfarm income by using panel data of 894 rural households, interviewed in 2003 and 2005 in rural Uganda. We supplement the panel data with household-level soil fertility data and road distance data to the nearest urban center on three road types: tarmac, loose-surface, and dirt roads. The results suggest that soil fertility, measured by the soil organic matter (SOM) content, is positively associated with crop income but not with livestock and nonfarm income. We also find that the total road distance to the nearest urban center and the road quality have strong negative associations with the crop income.     

Core and competitive equilibria of a coalitional exchange economy with infinite time horizon

The core and competitive equilibria of a large exchange economy on the commodity space ?^∞${?}^{\infty }$ will be discussed. We define the economy as a measure on the space of consumers’ characteristics following Hart and Kohlberg (1974), and prove the existence of competitive equilibria and their equivalence with the core without assuming the convexity of preferences.     

CHILD LABOR AND SCHOOL ENROLLMENT IN RURAL INDIA: WHOSE EDUCATION MATTERS?

This paper empirically analyzes the determinants of child labor and school enrollment in rural Andhra Pradesh, India. A village fixed‐effect logit model for each child is estimated with the incidence of child labor or school enrollment as the dependent variable, in order to investigate individual and household characteristics associated with the incidence. Among the determinants, this paper focuses on whose education matters most in deciding the status of each child, an issue not previously investigated in the context of the joint family system. The regression results show that the education of the child's mother is more important in reducing child labor and in increasing school enrollment than that of the child's father, the household head, or the spouse of the head. The effect of the child's mother is similar on boys and girls while that of the child's father is more favorable on boys.     

Indivisible labor implies chaos

Summary. We study a simple infinite horizon model with indivisible labor. We characterize the optimal plans under the assumptions that and that , where R is the gross interest rate and is the discount factor. We show that under those assumptions, optimal plans are almost always asymptotically nonperiodic unless initial wealth is excessively small or large. Received: May 25, 1999; revised version: June 24, 1999     

An Interactive Independent Topic Analysis for a Mass Document Review Service

In this paper, we propose an interactive constrained independent topic analysis in text data mining. Independent topic analysis (ITA) is a method for extracting independent topics from document data using independent component analysis. In this independent topic analysis, the most independent topics between each topic are extracted. By extracting the independent topic, managing documents with a large number of text data is easy with document access support systems and document management systems. However, the topics extracted by ITA are often different from the topics a user requests. For the system to be of service to users, an interactive system that reflects the user’s requests is necessary. Thus, we propose an interactive ITA that works for the user. For example, if there are three topics, i.e., topic A, topic B, and topic C, and a user choose the content from topics A and B, a user can merge those topics into one topic D. In addition, if a user wants to analyze topic A in more detail, a user could separate topic A into topics E and topic F. To that end, we define Merge Link constraints and Separate Link constraints as user requests. The Merge Link constraint is a constraint that merges two topics into one topic. The Separate Link constraint is a constraint that separates two topics from one topic. In this paper, we propose a method for extracting a highly independent topic that meets these constraints. We conducted evaluation experiments on our proposed methods, and obtained results to show the effectiveness of our approach.