Some Tests of APT Mispricing Using Mimicking Portfolios

Cross-sectional and time-series tests using mimicking portfolios are used to assess the exactness of the APT with(out) a residual market factor. The first factor seems to be sufficient to span the efficient set, whether the model is estimated using (un)conditional variance-covariance matrices that are (un)adjusted for nonsynchronous trading. Although the conditional standard deviations of the mimicking portfolios significantly explain the time-variability of security volatilities, the residuals of the mean equation still exhibit heteroskedasticity. Similar results are obtained for portfolios of CAPM-betaranked securities, and for randomly selected individual securities.     

Position limits for cash‐settled derivative contracts

Cash settlement of derivative contracts makes them susceptible to manipulation by traders who expect to close large positions upon final settlement. Cash settlement also increases underlying volatility when hedgers unwind their hedges if they have no incentives to control their trading costs. Limits on the positions that traders can carry into final settlement can be used to mitigate associated economic inefficiencies when surveillance is insufficient. This article develops a model that regulators can use to set these limits that is based upon microstructure theory. The empirical findings indicate that existing position limits are largely inconsistent with those suggested by the model. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:945–965, 2005     

Developing a tutoring module for presentation of computerized patient management problems

The simulation problem is one of the most commonly used formats in computer-assisted instruction (CAI). In medical education, a patient simulation problem is known as a patient management problem (PMP). A number of computerized PMP systems are currently available. However, to date, there is no record of PMP systems having been developed using artificial intelligence. This is noteworthy since artificial intelligence techniques could help in the generation of more effective and intelligent instructional systems.

This paper analyzes and evaluates existing instructional simulation software in clinical medicine in terms of effective educational design attributes. Components of effective PMP systems thus identified are incorporated into a computerized instructional system which uses artificial intelligence techniques for teaching problem-solving and diagnostic skills to undergraduate medical students.     

Informal group influence among situationally/dispositionally-oriented consumers

Consumer susceptibility to reference group influence has been demonstrated for certain products and buying situations. This article reports a study designed to determine if reference group influence varies between consumers classified as situationally-oriented and dispositionally-oriented. Results indicate a considerable difference between the two groups. Independence Health Plan     

A new approach to optimal selection of services in health care organizations.

A new reimbursement policy adopted by Medicare in 1983 caused financial difficulties for many hospitals and health care organizations. Several organizations responded to these difficulties by developing systems to carefully measure their costs of providing services. The purpose of such systems was to provide relevant information about the profitability of hospital services. This paper presents a new method of making hospital service selection decisions: it is based on an optimization model that avoids arbitrary cost allocations as a basis for computing the costs of offering a given service. The new method provides more reliable information about which services are profitable or unprofitable, and it provides an accurate measure of the degree to which a service is profitable or unprofitable. The new method also provides useful information about the sensitivity of the optimal decision to changes in costs and revenues. Specialized algorithms for the optimization model lead to very efficient implementation of the method, even for the largest health care organizations.     

The Band Pass Filter*

We develop optimal finite‐sample approximations for the band pass filter. These approximations include one‐sided filters that can be used in real time. Optimal approximations depend upon the details of the time series representation that generates the data. Fortunately, for U.S. macroeconomic data, getting the details exactly right is not crucial. A simple approach, based on the generally false assumption that the data are generated by a random walk, is nearly optimal. We use the tools discussed here to document a new fact: There has been a significant shift in the money–inflation relationship before and after 1960.