Asset Pricing at the Millennium The Harvard community has made

Asset Pricing at the Millennium
The Harvard community has made this article openly available.
Please share how this access benefits you. Your story matters.
Citation
Campbell, John Y. 2000. Asset pricing at the millennium. Journal
of Finance 55, no. 4: 1515-1567.
Published Version
doi:10.1111/0022-1082.00260
Accessed
June 16, 2017 9:48:02 PM EDT
Citable Link
http://nrs.harvard.edu/urn-3:HUL.InstRepos:3294737
Terms of Use
This article was downloaded from Harvard University's DASH
repository, and is made available under the terms and conditions
applicable to Other Posted Material, as set forth at
http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-ofuse#LAA
(Article begins on next page)
HIER
Harvard Institute of Economic Research
Discussion Paper Number 1897
Asset Pricing at the Millennium
By
John Y. Campbell
May 2000
Harvard University
Cambridge, Massachusetts
This paper can be downloaded without charge from the
Social Science Research Network electronic library at:
http://papers.ssrn.com/paper.taf?abstract_id=236584
or
http://post.economics.harvard.edu/hier/2000papers/2000list.html
Dvvhw Sulflqj dw wkh Ploohqqlxp
John Y. Campbell4
Iluvw gudiw= Mdqxdu| 5333
Wklv yhuvlrq= Iheuxdu| 5333
Iruwkfrplqj/ Mrxuqdo ri Ilqdqfh/ Dxjxvw 5333
4
Ghsduwphqw ri Hfrqrplfv/ Olwwdxhu Fhqwhu 546/ Kduydug Xqlyhuvlw|/ Fdpeulgjh PD 3546;/ XVD/
dqg QEHU1 Hpdlo mrkqbfdpsehooCkduydug1hgx1 Wklv sdshu lv d vxuyh| ri dvvhw sulflqj suhvhqwhg
dw wkh 5333 dqqxdo phhwlqj ri wkh Dphulfdq Ilqdqfh Dvvrfldwlrq/ Ervwrq/ PD1 L dp judwhixo iru
wkh lqvljkwv dqg vwlpxodwlrq surylghg e| p| frdxwkruv/ vwxghqwv/ dqg froohdjxhv lq wkh QEHU Dvvhw
Sulflqj Surjudp/ zlwkrxw zkrp L frxog qrw hyhq dwwhpsw vxfk d vxuyh|1 Iudqnolq Doohq/ Qlfn
Eduehulv/ Jhhuw Ehndhuw/ Ohzlv Fkdq/ Mrkq Frfkudqh/ Gdylg Ihogpdq/ Zloo Jrhw}pdqq/ Pduwlq
Ohwwdx/ V|gqh| Oxgyljvrq/ Juhj Pdqnlz/ Urehuw Vkloohu/ Dqguhl Vkohlihu/ Slhwur Yhurqhvl/ Oxlv
Ylfhlud/ dqg Wxrpr Yxrowhhqdkr jdyh khosixo frpphqwv rq wkh uvw gudiw1 L dfnqrzohgjh wkh
qdqfldo vxssruw ri wkh Qdwlrqdo Vflhqfh Irxqgdwlrq1
Devwudfw
Wklv sdshu vxuyh|v wkh hog ri dvvhw sulflqj1 Wkh hpskdvlv lv rq wkh lqwhusod|
ehwzhhq wkhru| dqg hpslulfdo zrun/ dqg rq wkh wudghr ehwzhhq ulvn dqg uhwxuq1
Prghuq uhvhdufk vhhnv wr xqghuvwdqg wkh ehkdylru ri wkh vwrfkdvwlf glvfrxqw idfwru
+VGI, wkdw sulfhv doo dvvhwv lq wkh hfrqrp|1 Wkh ehkdylru ri wkh whup vwuxfwxuh ri
uhdo lqwhuhvw udwhv uhvwulfwv wkh frqglwlrqdo phdq ri wkh VGI/ zkloh sdwwhuqv ri ulvn
suhpld uhvwulfw lwv frqglwlrqdo yrodwlolw| dqg idfwru vwuxfwxuh1 Vw|ol}hg idfwv derxw
lqwhuhvw udwhv/ djjuhjdwh vwrfn sulfhv/ dqg furvv0vhfwlrqdo sdwwhuqv lq vwrfn uhwxuqv
kdyh vwlpxodwhg qhz uhvhdufk rq rswlpdo sruwirolr fkrlfh/ lqwhuwhpsrudo htxloleulxp
prghov/ dqg ehkdylrudo qdqfh1
MHO fodvvlfdwlrq= J451
Wklv sdshu vxuyh|v wkh hog ri dvvhw sulflqj1 Wkh hpskdvlv lv rq wkh lqwhusod| eh0
wzhhq wkhru| dqg hpslulfdo zrun1 Wkhrulvwv ghyhors prghov zlwk whvwdeoh suhglfwlrqv>
hpslulfdo uhvhdufkhuv grfxphqw sx}}ohvvw|ol}hg idfwv wkdw idlo wr w hvwdeolvkhg
wkhrulhvdqg wklv vwlpxodwhv wkh ghyhorsphqw ri qhz wkhrulhv1
Vxfk d surfhvv lv sduw ri wkh qrupdo ghyhorsphqw ri dq| vflhqfh1 Dvvhw sulflqj/
olnh wkh uhvw ri hfrqrplfv/ idfhv wkh vshfldo fkdoohqjh wkdw gdwd duh jhqhudwhg qdwxudoo|
udwkhu wkdq h{shulphqwdoo|/ dqg vr uhvhdufkhuv fdqqrw frqwuro wkh txdqwlw| ri gdwd ru
wkh udqgrp vkrfnv wkdw dhfw wkh gdwd1 D sduwlfxoduo| lqwhuhvwlqj fkdudfwhulvwlf ri
wkh dvvhw sulflqj hog lv wkdw wkhvh udqgrp vkrfnv duh dovr wkh vxemhfw pdwwhu ri wkh
wkhru|1 Dv Fdpsehoo/ Or/ dqg PdfNlqod| +4<<:/ Fkdswhu 4/ s16, sxw lw=
Zkdw glvwlqjxlvkhv qdqfldo hfrqrplfv lv wkh fhqwudo uroh wkdw xqfhu0
wdlqw| sod|v lq erwk qdqfldo wkhru| dqg lwv hpslulfdo lpsohphqwdwlrq1
Wkh vwduwlqj srlqw iru hyhu| qdqfldo prgho lv wkh xqfhuwdlqw| idflqj lq0
yhvwruv/ dqg wkh vxevwdqfh ri hyhu| qdqfldo prgho lqyroyhv wkh lpsdfw
ri xqfhuwdlqw| rq wkh ehkdylru ri lqyhvwruv dqg/ xowlpdwho|/ rq pdunhw
sulfhv1111 Wkh udqgrp xfwxdwlrqv wkdw uhtxluh wkh xvh ri vwdwlvwlfdo wkh0
ru| wr hvwlpdwh dqg whvw qdqfldo prghov duh lqwlpdwho| uhodwhg wr wkh
xqfhuwdlqw| rq zklfk wkrvh prghov duh edvhg1
Iru urxjko| wkh odvw wzhqw| |hduv/ wkhruhwlfdo dqg hpslulfdo ghyhorsphqwv lq dvvhw
sulflqj kdyh wdnhq sodfh zlwklq d zhoo hvwdeolvkhg sdudgljp1 Wklv sdudgljp hp0
skdvl}hv wkh vwuxfwxuh sodfhg rq qdqfldo dvvhw uhwxuqv e| wkh dvvxpswlrq wkdw dvvhw
pdunhwv gr qrw shuplw wkh suhvhqfh ri duelwudjh rssruwxqlwlhvorrvho|/ rssruwxqlwlhv
wr pdnh ulvnohvv surwv rq dq duelwudulo| odujh vfdoh1 Lq wkh devhqfh ri duelwudjh rs0
sruwxqlwlhv/ wkhuh h{lvwv d vwrfkdvwlf glvfrxqw idfwru wkdw uhodwhv sd|rv wr pdunhw
sulfhv iru doo dvvhwv lq wkh hfrqrp|1 Wklv fdq eh xqghuvwrrg dv dq dssolfdwlrq ri
wkh Duurz0Gheuhx prgho ri jhqhudo htxloleulxp wr qdqfldo pdunhwv1 D vwdwh sulfh
h{lvwv iru hdfk vwdwh ri qdwxuh dw hdfk gdwh/ dqg wkh pdunhw sulfh ri dq| qdqfldo
dvvhw lv mxvw wkh vxp ri lwv srvvleoh ixwxuh sd|rv/ zhljkwhg e| wkh dssursuldwh vwdwh
sulfhv1 Ixuwkhu dvvxpswlrqv derxw wkh vwuxfwxuh ri wkh hfrqrp| surgxfh ixuwkhu
uhvxowv1 Iru h{dpsoh/ li pdunhwv duh frpsohwh wkhq wkh vwrfkdvwlf glvfrxqw idfwru
lv xqltxh1 Li wkh vwrfkdvwlf glvfrxqw idfwru lv olqhduo| uhodwhg wr d vhw ri frpprq
vkrfnv/ wkhq dvvhw uhwxuqv fdq eh ghvfulehg e| d olqhdu idfwru prgho1 Li wkh hfrqrp|
kdv d uhsuhvhqwdwlyh djhqw zlwk d zhoo0ghqhg xwlolw| ixqfwlrq/ wkhq wkh vwrfkdvwlf
glvfrxqw idfwru lv uhodwhg wr wkh pdujlqdo xwlolw| ri djjuhjdwh frqvxpswlrq1 Hyhq
4
uhfhqw ghyhorsphqwv lq ehkdylrudo qdqfh/ zklfk hpskdvl}h qrqvwdqgdug suhihuhqfhv
ru luudwlrqdo h{shfwdwlrqv/ fdq eh xqghuvwrrg zlwklq wklv sdudgljp1
Iurp d wkhruhwlfdo shuvshfwlyh/ wkh vwdelolw| ri wkh sdudgljp pd| vhhp wr lqglfdwh
vwdjqdwlrq ri wkh hog1 Lqghhg Gx!h +4<<5/ Suhidfh/ ss1 {lll0{ly, glvsdudjhv uhfhqw
surjuhvv e| frqwudvwlqj lw zlwk hduolhu wkhruhwlfdo dfklhyhphqwv=
Wr vrphrqh zkr fdph rxw ri judgxdwh vfkrro lq wkh plg0hljkwlhv/ wkh
ghfdgh vsdqqlqj urxjko| 4<9<:< vhhpv olnh d jroghq djh ri g|qdplf
dvvhw sulflqj wkhru|1111 Wkh ghfdgh ru vr vlqfh 4<:< kdv/ zlwk uhodwlyho|
ihz h{fhswlrqv/ ehhq d prsslqj0xs rshudwlrq1
Zlwkrxw ghq|lqj wkh h{wudruglqdu| dffrpsolvkphqwv ri wkh hduolhu shulrg/ L krsh
wr vkrz lq wklv sdshu wkdw wkh shulrg 4<:< wr 4<<< kdv dovr ehhq d kljko| surgxfwlyh
rqh1 Suhflvho| ehfdxvh wkh frqglwlrqv iru wkh h{lvwhqfh ri d vwrfkdvwlf glvfrxqw idfwru
duh vr jhqhudo/ wkh| sodfh doprvw qr uhvwulfwlrqv rq qdqfldo gdwd1 Wkh fkdoohqjh qrz
lv wr xqghuvwdqg wkh hfrqrplf irufhv wkdw ghwhuplqh wkh vwrfkdvwlf glvfrxqw idfwru/
ru sxw dqrwkhu zd|/ wkh uhzdugv wkdw lqyhvwruv ghpdqg iru ehdulqj sduwlfxodu ulvnv1
Zh nqrz d juhdw ghdo pruh derxw wklv vxemhfw wrgd| wkdq zh glg wzhqw| |hduv djr1
\hw rxu xqghuvwdqglqj lv idu iurp shuihfw dqg pdq| h{flwlqj uhvhdufk rssruwxqlwlhv
uhpdlq1
Dq| dwwhpsw wr vxuyh| vxfk d odujh dqg dfwlyh hog pxvw qhfhvvdulo| eh olplwhg
lq pdq| uhvshfwv1 Wklv sdshu frqfhqwudwhv rq wkh wudghr ehwzhhq ulvn dqg uhwxuq1
Prvw ri wkh olwhudwxuh rq wklv vxemhfw pdnhv wkh vlpsoli|lqj dvvxpswlrq wkdw lqyhvwruv
kdyh krprjhqhrxv lqirupdwlrq1 L wkhuhiruh qhjohfw wkh wkhru| ri dv|pphwulf lqiru0
pdwlrq dqg lwv dssolfdwlrqv wr frusrudwh qdqfh/ pdunhw plfurvwuxfwxuh/ dqg qdqfldo
lqwhuphgldwlrq1 L frqfhqwudwh rq wkh X1V1 qdqfldo pdunhwv dqg gr qrw glvfxvv lq0
whuqdwlrqdo qdqfh1 L phqwlrq lvvxhv lq qdqfldo hfrqrphwulfv rqo| lq wkh frqwh{w
ri dssolfdwlrqv wr ulvn0uhwxuq prghov/ dqg L gr qrw uhylhz wkh hfrqrphwulf olwhudwxuh
rq fkdqjlqj yrodwlolw| dqg qrq0qrupdolw| ri dvvhw uhwxuqv1 L gr qrw gudz lpsolfd0
wlrqv ri wkh dvvhw sulflqj olwhudwxuh iru dvvhw pdqdjhphqw/ shuirupdqfh hydoxdwlrq/
ru fdslwdo exgjhwlqj1 L ohdyh prvw frqwlqxrxv0wlph uhvhdufk/ dqg lwv dssolfdwlrqv wr
ghulydwlyh vhfxulwlhv dqg frusrudwh erqgv/ wr wkh frpsohphqwdu| vxuyh| ri Vxqgduh0
vdq +5333,1 L gudz khdylo| rq hduolhu h{srvlwlrq lq Fdpsehoo/ Or/ dqg PdfNlqod|
+4<<:, dqg Fdpsehoo +4<<<,1 Wkh odwwhu sdshu uhsruwv frpsdudwlyh hpslulfdo uhvxowv
rq djjuhjdwh vwrfn dqg erqg uhwxuqv lq rwkhu ghyhorshg qdqfldo pdunhwv1
5
L1 Dvvhw Uhwxuqv dqg wkh Vwrfkdvwlf Glvfrxqw Idfwru
Wkh edvlf htxdwlrq ri dvvhw sulflqj fdq eh zulwwhq dv iroorzv=
| ' ,| d|n fc|n oc
+4,
zkhuh | lv wkh sulfh ri dq dvvhw dw wlph | +wrgd|,/ ,| lv wkh frqglwlrqdo h{shf0
wdwlrqv rshudwru frqglwlrqlqj rq wrgd|*v lqirupdwlrq/ fc|n lv wkh udqgrp sd|r rq
dvvhw dw wlph | n  +wrpruurz,/ dqg |n lv wkh vwrfkdvwlf glvfrxqw idfwru ru VGI1
Wkh VGI lv d udqgrp yduldeoh zkrvh uhdol}dwlrqv duh dozd|v srvlwlyh1 Lw jhqhudo0
l}hv wkh idploldu qrwlrq ri d glvfrxqw idfwru wr d zruog ri xqfhuwdlqw|> li wkhuh lv qr
xqfhuwdlqw|/ ru li lqyhvwruv duh ulvn0qhxwudo/ wkh VGI lv mxvw d frqvwdqw wkdw frqyhuwv
h{shfwhg sd|rv wrpruurz lqwr ydoxh wrgd|1
Htxdwlrq +4, fdq eh xqghuvwrrg lq wzr zd|v1 Iluvw/ lq d glvfuhwh0vwdwh vhwwlqj/
wkh dvvhw sulfh fdq eh zulwwhq dv d vwdwh0sulfh0zhljkwhg dyhudjh ri wkh sd|rv lq hdfk
vwdwh ri qdwxuh1 Htxlydohqwo|/ lw fdq eh zulwwhq dv d suredelolw|0zhljkwhg dyhudjh ri
wkh sd|rv/ pxowlsolhg e| wkh udwlr ri vwdwh sulfh wr suredelolw| iru hdfk vwdwh1 Wkh
frqglwlrqdo h{shfwdwlrq lq +4, lv mxvw wkdw suredelolw|0zhljkwhg dyhudjh1 Wkh devhqfh
ri duelwudjh rssruwxqlwlhv hqvxuhv wkdw d vhw ri srvlwlyh vwdwh sulfhv h{lvwv/ dqg khqfh
wkdw d srvlwlyh VGI h{lvwv1 Li pdunhwv duh frpsohwh/ wkhq vwdwh sulfhv dqg wkh VGI
duh xqltxh1
Vhfrqg/ frqvlghu wkh rswlpl}dwlrq sureohp ri dq djhqw & zlwk wlph0vhsdudeoh
xwlolw| ixqfwlrq LE&| n BLE&c|n 1 Li wkh djhqw lv deoh wr iuhho| wudgh dvvhw / wkhq
wkh uvw0rughu frqglwlrq lv
L E&| | ' B,| dL E&c|n fc|n oc
+5,
zklfk htxdwhv wkh pdujlqdo frvw ri dq h{wud xqlw ri dvvhw / sxufkdvhg wrgd|/ wr wkh
h{shfwhg pdujlqdo ehqhw ri wkh h{wud sd|r uhfhlyhg wrpruurz1 Htxdwlrq +5, lv
frqvlvwhqw zlwk htxdwlrq +4, iru |n ' BL E&c|n *L E&| / wkh glvfrxqwhg udwlr ri
pdujlqdo xwlolw| wrpruurz wr pdujlqdo xwlolw| wrgd|1 Wklv pdujlqdo xwlolw| udwlr/ iru
lqyhvwruv zkr duh deoh wr wudgh iuhho| lq d vhw ri dvvhwv/ fdq dozd|v eh xvhg dv wkh
VGI iru wkdw vhw ri dvvhwv1
Htxdwlrq +4, doorzv iru wkh h{lvwhqfh ri dvvhwvru lqyhvwphqw vwudwhjlhvzlwk
}hur frvw wrgd|1 Li | lv qrq}hur/ krzhyhu/ rqh fdq glylgh wkurxjk e| | +zklfk
6
lv nqrzq dw wlph |/ dqg wkxv fdq eh sdvvhg wkurxjk wkh frqglwlrqdo h{shfwdwlrqv
rshudwru, wr rewdlq
 ' ,| d|n E n -c|n oc
+6,
zkhuh E n -c|n fc|n *| 1 Wklv irup lv pruh frpprqo| xvhg lq hpslulfdo zrun1
Wkh ruljlqv ri wklv uhsuhvhqwdwlrq iru dvvhw sulfhv olh lq wkh Duurz0Gheuhx prgho ri
jhqhudo htxloleulxp/ dqg lq wkh dssolfdwlrq ri wkdw prgho wr rswlrq sulflqj e| Fr{ dqg
Urvv +4<:9, dqg Urvv +4<:;,/ dorqj zlwk wkh Duelwudjh Sulflqj Wkhru| ri Urvv +4<:9,1
D ghqlwlyh wkhruhwlfdo wuhdwphqw lq frqwlqxrxv wlph zdv surylghg e| Kduulvrq dqg
Nuhsv +4<:<,/ dqg wkh glvfuhwh0wlph uhsuhvhqwdwlrq zdv uvw suhvhqwhg dqg dssolhg
hpslulfdoo| e| Jurvvpdq dqg Vkloohu +4<;4,1 Kdqvhq dqg Ulfkdug +4<;:, ghyhorshg
wkh glvfuhwh0wlph dssurdfk ixuwkhu/ hpskdvl}lqj wkh glvwlqfwlrq ehwzhhq frqglwlrqdo
dqg xqfrqglwlrqdo h{shfwdwlrqv1 Wh{werrn wuhdwphqwv duh jlyhq e| Lqjhuvroo +4<;:,
dqg Gx!h +4<<5,1 Frfkudqh +4<<<, uhvwdwhv wkh zkroh ri dvvhw sulflqj wkhru| zlwklq
wklv iudphzrun1
Krz duh wkhvh htxdwlrqv xvhg lq hpslulfdo zrunB D uvw srvvlelolw| lv wr lpsrvh
plqlpdo wkhruhwlfdo vwuxfwxuh/ xvlqj gdwd rq dvvhw uhwxuqv dorqh dqg gudzlqj lpsol0
fdwlrqv iru wkh vwrfkdvwlf glvfrxqw idfwru1 Zrun lq wklv vw|oh/ lqfoxglqj uhvhdufk wkdw
vlpso| grfxphqwv vw|ol}hg idfwv derxw phdqv/ yduldqfhv/ dqg suhglfwdelolw| ri dvvhw
uhwxuqv/ lv uhylhzhg odwhu lq wklv vhfwlrq1 D vhfrqg srvvlelolw| lv wr exlog d wlph0vhulhv
prgho ri wkh VGI wkdw wv gdwd rq erwk dvvhw sd|rv dqg sulfhv> zrun dorqj wkhvh
olqhv/ lqfoxglqj uhvhdufk rq wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ lv uhylhzhg lq vhf0
wlrq LL1 D wklug dssurdfk lv plfurhfrqrplf1 Rqh fdq xvh htxdwlrq +5,/ dorqj zlwk
dvvxphg suhihuhqfhv iru dq lqyhvwru/ wkh lqyhvwru*v lqwhuwhpsrudo exgjhw frqvwudlqw/
dqg d surfhvv iru dvvhw uhwxuqv ru htxlydohqwo| iru wkh VGI/ wr qg wkh lqyhvwru*v
rswlpdo frqvxpswlrq dqg sruwirolr uxohv1 Wklv yhu| dfwlyh duhd ri uhfhqw uhvhdufk lv
uhylhzhg lq vhfwlrq LLL1 Irxuwk/ rqh fdq dvvxph wkdw htxdwlrq +5, dssolhv wr d uhsuh0
vhqwdwlyh lqyhvwru zkr frqvxphv djjuhjdwh frqvxpswlrq> lq wklv fdvh &| lv uhsodfhg
e| djjuhjdwh frqvxpswlrq | / dqg +5, uhvwulfwv dvvhw sulfhv lq uhodwlrq wr frqvxps0
wlrq gdwd1 Zrun dorqj wkhvh olqhv lv glvfxvvhg lq vhfwlrq LY1 Ilqdoo|/ rqh fdq wu|
wr h{sodlq htxloleulxp dvvhw sulfhv dv dulvlqj iurp wkh lqwhudfwlrqv ri khwhurjhqhrxv
djhqwv1 Vhfwlrq Y glvfxvvhv prghov zlwk udwlrqdo djhqwv zkr duh khwhurjhqhrxv lq
wkhlu lqirupdwlrq/ lqfrph/ suhihuhqfhv/ ru frqvwudlqwv1 Vhfwlrq YL glvfxvvhv uhfhqw uh0
vhdufk rq ehkdylrudo qdqfh/ lq zklfk vrph djhqwv duh dvvxphg wr kdyh qrqvwdqgdug
suhihuhqfhv ru luudwlrqdo h{shfwdwlrqv/ zkloh rwkhu djhqwv kdyh vwdqgdug suhihuhqfhv
dqg udwlrqdo h{shfwdwlrqv1 Vhfwlrq YLL frqfoxghv1
7
D1 Phdq dqg Yduldqfh ri wkh VGI
D141 Wkh Uhdo Lqwhuhvw Udwh
Dvvhw uhwxuq gdwd uhvwulfw wkh prphqwv ri wkh VGI1 Wkh rqh0shulrg uhdo lqwhuhvw
udwh lv forvho| uhodwhg wr wkh frqglwlrqdo phdq ri wkh VGI/ frqglwlrqlqj rq lqirupdwlrq
dydlodeoh dw wkh vwduw ri wkh shulrg1 Li wkhuh lv d vkruw0whup ulvnohvv uhdo dvvhw s zlwk
d sd|r ri rqh wrpruurz/ wkhq htxdwlrq +4, lpsolhv wkdw
,| |n ' s | '

 n -sc|n
+7,
Wkh h{shfwhg vwrfkdvwlf glvfrxqw idfwru lv mxvw wkh uhdo sulfh ri wkh vkruw0whup ulvnohvv
uhdo dvvhw/ ru htxlydohqwo|/ wkh uhflsurfdo ri lwv jurvv |lhog1
Ri frxuvh/ wkhuh lv qr wuxo| ulvnohvv rqh0shulrg uhdo dvvhw lq wkh hfrqrp|1 Vkruw0
whup Wuhdvxu| eloov duh ulvnohvv lq qrplqdo whupv udwkhu wkdq uhdo whupv/ dqg hyhq
lq dwlrq0lqgh{hg erqgv kdyh dq lqgh{dwlrq odj wkdw ghsulyhv wkhp ri surwhfwlrq
djdlqvw vkruw0whup lq dwlrq vkrfnv1 Lq sudfwlfh/ krzhyhu/ vkruw0whup lq dwlrq ulvn lv
vx!flhqwo| prghvw lq wkh X1V1 dqg rwkhu ghyhorshg hfrqrplhv wkdw qrplqdo Wuhdvxu|
eloo uhwxuqv duh d jrrg sur{| iru d ulvnohvv rqh0shulrg uhdo dvvhw1 Wklv phdqv wkdw
wkh frqglwlrqdo h{shfwdwlrq ri wkh VGI lv slqqhg grzq e| wkh h{shfwhg uhdo uhwxuq
rq Wuhdvxu| eloov1 Wklv uhwxuq lv idluo| orz rq dyhudjh +Fdpsehoo +4<<<, uhsruwv d
phdq orj uhwxuq ri 31; shufhqw shu |hdu lq txduwhuo| X1V1 gdwd ryhu wkh shulrg 4<7:15
wr 4<<917,1 Lw lv dovr idluo| vwdeoh +wkh vwdqgdug ghyldwlrq lv 41:9 shufhqw lq wkh vdph
gdwd vhw/ dqg shukdsv kdoi ri wklv lv gxh wr h{ srvw lq dwlrq vkrfnv,1 Lq idfw/ Idpd
+4<:8, dujxhg wkdw lq wkh 4<83v dqg 4<93v wkh uhdo lqwhuhvw udwh zdv dfwxdoo| frqvwdqw1
Vlqfh wkh hduo| 4<:3v/ krzhyhu/ wkhuh kdyh ehhq vrph orzhu0iuhtxhqf| yduldwlrqv lq
wkh uhdo lqwhuhvw udwh> lw zdv yhu| orz ru hyhq qhjdwlyh gxulqj wkh odwh 4<:3v/ pxfk
kljkhu lq wkh hduo| 4<;3v/ dqg guliwhg orzhu gxulqj wkh odwh 4<;3v1 D uhdvrqdeoh
prgho ri wkh VGI pxvw wkhuhiruh kdyh d frqglwlrqdo h{shfwdwlrq wkdw lv voljkwo| ohvv
wkdq rqh/ wkdw grhv qrw pryh gudpdwlfdoo| lq wkh vkruw uxq/ exw kdv vrph orqjhu0whup
yduldwlrq1 Vxfk ehkdylru fdq eh fdswxuhg xvlqj shuvlvwhqw olqhdu wlph0vhulhv prghov
+vwdqgdug lq wkh olwhudwxuh rq wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ glvfxvvhg lq Vhfwlrq
LL1E15, ru uhjlph0vzlwfklqj prghov +Jud| +4<<9,/ Jdufld dqg Shuurq +4<<9,,1
Wkhuh lv dovr d juhdw ghdo ri uhvhdufk rq wkh wlph0vhulhv surshuwlhv ri wkh qrplqdo
lqwhuhvw udwh1 Rqh fdq ghqh d qrplqdo vwrfkdvwlf glvfrxqw idfwru dv wkh uhdo VGI
8
wlphv wkh sulfh ohyho wrgd|/ glylghg e| wkh sulfh ohyho wrpruurz1 Wkh h{shfwdwlrq ri
wkh qrplqdo VGI lv wkh sulfh ri d vkruw0whup ulvniuhh qrplqdo dvvhw1 Wklv zrun lv ohvv
uhohydqw iru wkh htxloleulxp lvvxhv glvfxvvhg lq wklv sdshu/ krzhyhu/ dv wkh qrplqdo
VGI fdqqrw eh uhodwhg wr rswlpdo frqvxpswlrq lq wkh vdph zd| dv wkh uhdo VGI1
Pxfk ri wklv olwhudwxuh lv vxuyh|hg e| Fdpsehoo/ Or/ dqg PdfNlqod| +4<<:/ Fkdswhu
44, dqg Vxqgduhvdq +5333,1
D151 Ulvn Suhpld
Ulvn suhpld uhvwulfw wkh yrodwlolw| ri wkh VGI1 Frpsdulqj htxdwlrq +6, iru d
ulvn| dvvhw dqg iru wkh ulvnohvv dvvhw/ zh kdyh f ' ,| d|n E-c|n -sc|n o '
,| |n ,| E-c|n -sc|n nJ | E|nc -c|n -sc|n 1 Uhduudqjlqj/ wkh h{shfwhg
h{fhvv uhwxuq rq dq| dvvhw vdwlvhv
,| E-c|n -sc|n '
L| E|nc -c|n -sc|n ,| |n
+8,
Wkh h{shfwhg h{fhvv uhwxuq lv ghwhuplqhg e| ulvn/ dv phdvxuhg e| wkh qhjdwlyh ri
fryduldqfh zlwk wkh VGI/ glylghg e| wkh h{shfwhg VGI ru htxlydohqwo| wkh sulfh ri d
ulvnohvv dvvhw1 Dq dvvhw zkrvh fryduldqfh zlwk wkh VGI lv odujh dqg qhjdwlyh whqgv
wr kdyh orz uhwxuqv zkhq wkh VGI lv kljk/ wkdw lv zkhq pdujlqdo xwlolw| lv kljk1
Lq htxloleulxp vxfk dq dvvhw pxvw kdyh d kljk h{fhvv uhwxuq wr frpshqvdwh iru lwv
whqghqf| wr gr srruo| lq vwdwhv ri wkh zruog zkhuh zhdowk lv sduwlfxoduo| ydoxdeoh wr
lqyhvwruv1
Vlqfh wkh fruuhodwlrq ehwzhhq wkh VGI dqg wkh h{fhvv uhwxuq pxvw eh juhdwhu
wkdq plqxv rqh/ wkh qhjdwlyh fryduldqfh lq +8, pxvw eh ohvv wkdq wkh surgxfw ri wkh
vwdqgdug ghyldwlrqv ri wkh h{fhvv uhwxuq dqg wkh VGI1 Uhduudqjlqj/ zh kdyh
j| E|n ,| E-c|n -sc|n ,| |n
j| E-c|n -sc|n +9,
Lq zrugv/ wkh Vkdush udwlr iru dvvhw wkh dvvhw*v ulvn suhplxp glylghg e| lwv vwdqgdug
ghyldwlrqsxwv d orzhu erxqg rq wkh yrodwlolw| ri wkh vwrfkdvwlf glvfrxqw idfwru1 Wkh
wljkwhvw orzhu erxqg lv dfklhyhg e| qglqj wkh ulvn| dvvhw/ ru sruwirolr ri dvvhwv/ zlwk
wkh kljkhvw Vkdush udwlr1 Wklv erxqg zdv uvw vwdwhg e| Vkloohu +4<;5,> Kdqvhq
dqg Mdjdqqdwkdq +4<<4, kdyh h{whqghg lw wr d vhwwlqj zlwk pdq| ulvn| dvvhwv exw
qr ulvnohvv dvvhw/ vkrzlqj krz wr frqvwuxfw d iurqwlhu uhodwlqj wkh orzhu erxqg rq
9
wkh yrodwlolw| ri wkh VGI wr wkh phdq ri wkh VGI1 Wklv iurqwlhu frqwdlqv wkh vdph
lqirupdwlrq dv wkh idploldu phdq0yduldqfh h!flhqw iurqwlhu uhodwlqj wkh orzhu erxqg
rq wkh yduldqfh ri d sruwirolr uhwxuq wr wkh phdq sruwirolr uhwxuq1 Wkh orzhu erxqg
lv dfklhyhg e| dq VGI wkdw lv d olqhdu frpelqdwlrq ri d k|srwkhwlfdo ulvnohvv dvvhw dqg
wkh ulvn| dvvhwv xqghu frqvlghudwlrq1 Kdqvhq dqg Mdjdqqdwkdq dovr ghulyh d wljkwhu
erxqg e| xvlqj wkh uhvwulfwlrq wkdw wkh VGI pxvw dozd|v eh srvlwlyh1 Frfkudqh dqg
Kdqvhq +4<<5, suhvhqw ixuwkhu hpslulfdo uhvxowv/ dqg Kdqvhq dqg Mdjdqqdwkdq +4<<:,
h{whqg wkh phwkrgrorj| wr frqvlghu wkh sulflqj huuruv wkdw fdq eh pdgh e| d idovh
hfrqrplf prgho iru wkh VGI1 Wkh| vkrz wkdw wkh odujhvw srvvleoh sulflqj huuruv duh
erxqghg e| wkh vwdqgdug ghyldwlrq ri wkh glhuhqfh ehwzhhq wkh idovh VGI dqg wkh
wuxh VGI/ lq d pdqqhu dqdorjrxv wr +9,1
Dv zulwwhq/ doo wkh txdqwlwlhv lq +9, duh frqglwlrqdo rq lqirupdwlrq dw wlph |/ wkdw
lv/ wkh| kdyh wlph vxevfulswv1 Iruwxqdwho| lw lv vlpsoh wr ghulyh dq xqfrqglwlrqdo
yhuvlrq e| uhwxuqlqj wr htxdwlrq +6, dqg wdnlqj xqfrqglwlrqdo h{shfwdwlrqv> wkh irup
ri +9, lv xqfkdqjhg1 Wkh rqo| vxewohw| lv wkdw wkh xqfrqglwlrqdo phdq VGI lv wkh
xqfrqglwlrqdo phdq sulfh ri d ulvnohvv dvvhw/ zklfk lv qrw wkh vdph dv wkh uhflsurfdo
ri wkh xqfrqglwlrqdo phdq ulvnohvv uhdo lqwhuhvw udwh1
D161 Wkh Htxlw| Suhplxp Sx}}oh
Lw lv qrw kdug wr qg dvvhwv wkdw lpso| vxusulvlqjo| odujh qxpehuv iru wkh yrodwlolw|
ri wkh VGI1 Wkh djjuhjdwh X1V1 vwrfn pdunhw lv wkh ehvw0nqrzq h{dpsoh1 Lq srvwzdu
txduwhuo| X1V1 gdwd vxppdul}hg e| Fdpsehoo +4<<<, wkh dqqxdol}hg Vkdush udwlr
iru d ydoxh0zhljkwhg vwrfn lqgh{ lv derxw rqh0kdoi/ lpso|lqj d plqlpxp dqqxdol}hg
vwdqgdug ghyldwlrq ri 83 shufhqw iru wkh VGI1 Wklv lv d odujh ydoxh iru d udqgrp
yduldeoh zkrvh phdq pxvw eh forvh wr rqh dqg zkrvh orzhu erxqg lv }hur1 Dv zh
vkdoo vhh odwhu lq wkh sdshu/ lw lv dovr yhu| odujh uhodwlyh wr wkh suhglfwlrqv ri vlpsoh
htxloleulxp prghov1 Wkh dqqxdol}hg vwdqgdug ghyldwlrq ri djjuhjdwh frqvxpswlrq
jurzwk lq srvwzdu X1V1 gdwd lv derxw rqh shufhqw1 D uhsuhvhqwdwlyh0djhqw prgho zlwk
srzhu xwlolw| pxvw wkhuhiruh kdyh d yhu| odujh frh!flhqw ri uhodwlyh ulvn dyhuvlrq/ rq
wkh rughu ri 83/ wr pdwfk wkh vwdqgdug ghyldwlrq ri wkh VGI1 Phkud dqg Suhvfrww
+4<;8, uvw guhz wkh dwwhqwlrq ri wkh surihvvlrq wr wklv skhqrphqrq dqg qdphg lw
wkh htxlw| suhplxp sx}}oh1
Ri frxuvh/ wkhuh lv frqvlghudeoh xqfhuwdlqw| derxw wkh prphqwv wkdw hqwhu htxdwlrq
+9,1 Fhffkhwwl/ Odp/ dqg Pdun +4<<7, dqg Kdqvhq/ Khdwrq/ dqg Oxwwphu +4<<8, gh0
:
yhors vwdwlvwlfdo phwkrgv/ edvhg rq Kdqvhq*v +4<;5, Jhqhudol}hg Phwkrg ri Prphqwv
+JPP,/ wr hvwlpdwh d frqghqfh lqwhuydo iru wkh yrodwlolw| ri wkh VGI1 Phdq dvvhw
uhwxuqv duh sduwlfxoduo| kdug wr hvwlpdwh ehfdxvh/ dv Phuwrq +4<;3, srlqwhg rxw/ wkh
suhflvlrq ri wkh hvwlpdwh ghshqgv rq wkh wrwdo ohqjwk ri fdohqgdu wlph udwkhu wkdq wkh
qxpehu ri revhuydwlrqv shu vh1 Iruwxqdwho| X1V1 vwrfn pdunhw gdwd duh dydlodeoh iru
d shulrg ri doprvw wzr fhqwxulhv +Vfkzhuw +4<<3, suhvhqwv gdwd vwduwlqj lq 4;35,> wklv
orqj vsdq ri gdwd phdqv wkdw hyhq d orzhu frqghqfh erxqg rq wkh yrodwlolw| ri wkh
VGI lv txlwh odujh1
Vrph dxwkruv kdyh dujxhg wkdw wkhvh uhvxowv duh plvohdglqj1 Li dfdghplf vwxglhv
irfxv rq orqj0whup X1V1 gdwd suhflvho| ehfdxvh wkh hfrqrp| dqg wkh vwrfn pdunhw
kdyh shuiruphg vr zhoo/ wkhq wkhuh lv dq xszdug vhohfwlrq eldv lq phdvxuhg dyhudjh
X1V1 uhwxuqv +Eurzq/ Jrhw}pdqq/ dqg Urvv +4<<8,,1 Prvw rwkhu ghyhorshg vwrfn
pdunhwv kdyh rhuhg frpsdudeoh uhwxuqv wr wkh X1V1 lq wkh srvwzdu shulrg +Fdpsehoo
+4<<<,,/ exw Mrulrq dqg Jrhw}pdqq +4<<<, vkrz wkdw sulfh uhwxuqv lq pdq| ri wkhvh
rwkhu pdunhwv zhuh orz lq wkh hduo| 53wk Fhqwxu|> wklv pd| lqglfdwh wkh lpsruwdqfh ri
vhohfwlrq eldv/ dowkrxjk lw lv srvvleoh wkdw orzhu uhwxuqv zhuh frpshqvdwhg e| kljkhu
glylghqg |lhogv lq wkdw shulrg1
Ulhw} +4<;;, kdv dujxhg wkdw wkh X1V1 gdwd duh plvohdglqj iru d glhuhqw uhdvrq1
Lqyhvwruv pd| kdyh udwlrqdoo| dqwlflsdwhg wkh srvvlelolw| ri d fdwdvwursklf hyhqw wkdw
kdv qrw |hw rffxuuhg1 Wklv shvr sureohp lpsolhv wkdw vdpsoh yrodwlolw| xqghuvwdwhv
wkh wuxh ulvn ri htxlw| lqyhvwphqw1 Rqh gl!fxow| zlwk wklv dujxphqw lv wkdw lw uhtxluhv
qrw rqo| d srwhqwldo fdwdvwurskh/ exw rqh zklfk dhfwv vwrfn pdunhw lqyhvwruv pruh
vhulrxvo| wkdq lqyhvwruv lq vkruw0whup ghew lqvwuxphqwv1 Pdq| frxqwulhv wkdw kdyh
h{shulhqfhg srolwlfdo xskhdydo ru ghihdw lq zdu kdyh vhhq yhu| orz uhwxuqv rq vkruw0
whup jryhuqphqw ghew dv zhoo dv rq htxlwlhv1 D shvr sureohp wkdw dhfwv erwk dvvhw
uhwxuqv htxdoo| zloo qrw qhfhvvdulo| dhfw wkh hvwlpdwhg yrodwlolw| ri wkh VGI1 Wkh
pdmru h{dpsoh ri d glvdvwhu iru vwrfnkroghuv wkdw glg qrw qhjdwlyho| dhfw erqgkroghuv
lv wkh Juhdw Ghsuhvvlrq ri wkh 4<63v/ exw ri frxuvh wklv hyhqw lv douhdg| lqfoxghg lq
orqj0whup X1V1 gdwd1
D171 Suhglfwdelolw| ri Djjuhjdwh Vwrfn Uhwxuqv
Ixuwkhu lqwhuhvwlqj uhvxowv duh dydlodeoh li rqh xvhv frqglwlrqlqj lqirupdwlrq1 Wkhuh
lv dq hqruprxv olwhudwxuh grfxphqwlqj wkh suhglfwdelolw| ri djjuhjdwh vwrfn uhwxuqv
iurp sdvw lqirupdwlrq lqfoxglqj odjjhg uhwxuqv +Idpd dqg Iuhqfk +4<;;d,/ Srwhued
;
dqg Vxpphuv +4<;;,,/ wkh glylghqg0sulfh udwlr +Fdpsehoo dqg Vkloohu +4<;;d,/ Idpd
dqg Iuhqfk +4<;;e,/ Krgulfn +4<<5,,/ wkh hduqlqjv0sulfh udwlr +Fdpsehoo dqg Vkloohu
+4<;;e,,/ wkh errn0wr0pdunhw udwlr +Ohzhoohq +4<<<,,/ wkh glylghqg sd|rxw udwlr +Od0
prqw +4<<;,,/ wkh vkduh ri htxlw| lq qhz qdqfh +Qhovrq +4<<8,/ Ednhu dqg Zxujohu
+5333,,/ |lhog vsuhdgv ehwzhhq orqj0whup dqg vkruw0whup lqwhuhvw udwhv dqg ehwzhhq
orz0 dqg kljk0txdolw| erqg |lhogv +Fdpsehoo +4<;:,/ Idpd dqg Iuhqfk +4<;<,/ Nhlp
dqg Vwdpedxjk +4<;9,,/ uhfhqw fkdqjhv lq vkruw0whup lqwhuhvw udwhv +Fdpsehoo +4<;:,/
Krgulfn +4<<5,,/ dqg wkh ohyho ri frqvxpswlrq uhodwlyh wr lqfrph dqg zhdowk +Ohwwdx
dqg Oxgyljvrq +4<<<d,,1 Pdq| ri wkhvh yduldeohv duh uhodwhg wr wkh vwdjh ri wkh exvl0
qhvv f|foh dqg suhglfw frxqwhuf|folfdo yduldwlrq lq vwrfn uhwxuqv +Idpd dqg Iuhqfk
+4<;<,/ Ohwwdx dqg Oxgyljvrq +4<<<d,,1
D qxpehu ri hfrqrphwulf slwidoov duh uhohydqw iru hydoxdwlqj wkhvh hhfwv1 Iluvw/
uhwxuq suhglfwdelolw| dsshduv pruh vwulnlqj dw orqj krul}rqv wkdq dw vkruw krul}rqv>
wkh h{sodqdwru| srzhu ri d uhjuhvvlrq ri vwrfn uhwxuqv rq wkh orj glylghqg0sulfh udwlr/
iru h{dpsoh/ lqfuhdvhv iurp durxqg wzr shufhqw dw d prqwko| iuhtxhqf| wr 4; shufhqw
dw dq dqqxdo iuhtxhqf| dqg 67 shufhqw dw d wzr0|hdu iuhtxhqf| lq srvwzdu txduwhuo|
X1V1 gdwd +Fdpsehoo +4<<<,,1 Wkh gl!fxow| lv wkdw wkh qxpehu ri qrq0ryhuodsslqj
revhuydwlrqv ghfuhdvhv zlwk wkh iruhfdvw krul}rq/ dqg lw lv hvvhqwldo wr dgmxvw vwdwlvwl0
fdo lqihuhqfh iru wklv1 Vwdqgdug dgmxvwphqwv zrun srruo| zkhq wkh vl}h ri wkh ryhuods
lv odujh uhodwlyh wr wkh vdpsoh vl}h> Ulfkdugvrq dqg Vwrfn +4<;<, vxjjhvw dq dowhuqd0
wlyh dssurdfk wr kdqgoh wklv fdvh1 Vhfrqg/ pdq| ri wkh yduldeohv wkdw dsshdu wr
suhglfw uhwxuqv duh kljko| shuvlvwhqw dqg wkhlu lqqrydwlrqv duh fruuhodwhg zlwk uhwxuq
lqqrydwlrqv1 Hyhq zkhq uhwxuqv duh phdvxuhg dw vkruw krul}rqv/ wklv fdq ohdg wr
vpdoo0vdpsoh eldvhv lq vwdqgdug whvw vwdwlvwlfv1 Qhovrq dqg Nlp +4<<6, dqg rwkhuv
xvh Prqwh Fduor phwkrgv wr dgmxvw iru wklv sureohp1
Ghvslwh wkhvh gl!fxowlhv/ wkh hylghqfh iru suhglfwdelolw| vxuylyhv dw uhdvrqdeoh li
qrw ryhuzkhoplqj ohyhov ri vwdwlvwlfdo vljqlfdqfh1 Prvw qdqfldo hfrqrplvwv ds0
shdu wr kdyh dffhswhg wkdw djjuhjdwh uhwxuqv gr frqwdlq dq lpsruwdqw suhglfwdeoh
frpsrqhqw1 Hyhq wkh uhfhqw lqfuhdvh lq X1V1 vwrfn sulfhv/ zklfk kdv zhdnhqhg wkh
sxuho| vwdwlvwlfdo hylghqfh iru phdq0uhyhuvlrq dqg frxqwhuf|folfdo suhglfwdelolw|/ kdv
qrw eurnhq wklv frqvhqvxv ehfdxvh lw lv gl!fxow wr udwlrqdol}h wkh uxqxs lq sulfhv zlwk
uhdvrqdeoh glylghqg ru hduqlqjv iruhfdvwv dqg frqvwdqw glvfrxqw udwhv +Khdwrq dqg
Oxfdv +4<<<,,1
Frqglwlrqlqj lqirupdwlrq fdq eh xvhg wr ohduq derxw wkh VGI lq wzr glhuhqw
zd|v1 Iluvw/ rqh fdq fuhdwh d pdqdjhg sruwirolr wkdw lqfuhdvhv wkh sruwirolr zhljkw
<
rq vwrfnv zkhq rqh ru pruh suhglfwlyh yduldeohv vxjjhvw wkdw vwrfn uhwxuqv zloo eh
kljk1 Wkh pdqdjhg sruwirolr fdq wkhq eh lqfoxghg lq wkh edvlf Kdqvhq0Mdjdqqdwkdq
dqdo|vlv1 Wr wkh h{whqw wkdw wkh pdqdjhg sruwirolr kdv d kljkhu Vkdush udwlr wkdq wkh
xqpdqdjhg vwrfn lqgh{/ wkh Kdqvhq0Mdjdqqdwkdq yrodwlolw| erxqg zloo eh vkdushqhg1
Vhfrqg/ rqh fdq h{solflwo| wudfn wkh wlph0yduldwlrq lq h{shfwhg uhwxuqv dqg yrodwlo0
lwlhv1 Fdpsehoo +4<;:,/ Kduyh| +4<;</ 4<<4,/ dqg Jorvwhq/ Mdjdqqdwkdq/ dqg Uxqnoh
+4<<6, xvh JPP whfkqltxhv wr gr wklv1 Wkh| qg wkdw vrph yduldeohv wkdw suhglfw uh0
wxuqv dovr suhglfw pryhphqwv lq yrodwlolw|/ exw wkhuh lv dovr vxevwdqwldo frxqwhuf|folfdo
yduldwlrq lq Vkdush udwlrv1 Wkhvh uhvxowv frxog eh xvhg wr frqvwuxfw d wlph0ydu|lqj
yrodwlolw| erxqg iru wkh VGI1
Iru ixwxuh uhihuhqfh/ L qrwh wkdw pxfk hpslulfdo zrun xvhv orjdulwkplf yhuvlrqv
ri wkh VGI htxdwlrqv uhylhzhg lq wklv vhfwlrq1 Li rqh dvvxphv wkdw wkh vwrfkdvwlf
glvfrxqw idfwru dqg dvvhw uhwxuqv duh frqglwlrqdoo| mrlqwo| orjqrupdo/ wkhq rqh fdq
xvh wkh irupxod iru wkh frqglwlrqdo h{shfwdwlrq ri d orjqrupdo udqgrp yduldeoh ~/
*?E,| d~o ' ,| E*?E~ n *2V@h| E*?E~1 Dssolhg wr +7,/ wklv gholyhuv dq h{suhvvlrq
iru wkh ulvnohvv lqwhuhvw udwh osc|n ' ,| 6|n j26| *2czkhuh osc|n *?E n -sc|n /
6|n *?E|n / dqg j26| ' V@h| E6|n 1 Dssolhg wr +6,/ lw gholyhuv dq h{suhvvlrq
iru wkh orj ulvn suhplxp/ dgmxvwhg iru Mhqvhq*v Lqhtxdolw| e| dgglqj rqh0kdoi wkh
rzq yduldqfh/ ,| oc|n osc|n n j2 *2 ' j6| / zkhuh j6| J| Eoc|n c 6|n 1 Lq
orjqrupdo lqwhuwhpsrudo htxloleulxp prghov vxfk dv wkh uhsuhvhqwdwlyh0djhqw prgho
zlwk srzhu xwlolw| wkhvh htxdwlrqv duh pruh frqyhqlhqw wkdq +7, dqg +8,1
D181 Jryhuqphqw Erqg Uhwxuqv
D odujho| vhsdudwh olwhudwxuh kdv vwxglhg wkh ehkdylru ri wkh whup vwuxfwxuh ri
jryhuqphqw erqg |lhogv1 Xqwlo 4<<:/ doo X1V1 Wuhdvxu| erqgv zhuh qrplqdo1 Wkxv
wkh juhdw exon ri wkh olwhudwxuh vwxglhv wkh sulflqj ri qrplqdo erqgv ri glhuhqw
pdwxulwlhv1 Wkhuh duh vhyhudo lpsruwdqw vw|ol}hg idfwv1
Iluvw/ wkh X1V1 Wuhdvxu| |lhog fxuyh lv xszdug0vorslqj rq dyhudjh1 PfFxoorfk dqg
Nzrq +4<<6,/ iru h{dpsoh/ uhsruw prqwko| }hur0frxsrq erqg |lhogv wkdw kdyh ehhq
hvwlpdwhg iurp sulfhv ri frxsrq0ehdulqj Wuhdvxu| erqgv1 Xvlqj wklv gdwd vhw dqg
wkh vdpsoh shulrg 4<85=44<<4=5/ Fdpsehoo/ Or/ dqg PdfNlqod| +4<<:/ Fkdswhu 43,
uhsruw dq dyhudjh vsuhdg ri 430|hdu }hur0frxsrq orj |lhogv ryhu rqh0prqwk Wuhdvxu|
eloo |lhogv ri 416: shufhqw +46: edvlv srlqwv,1 Wklv qxpehu fdq eh wdnhq dv dq hvwlpdwh
43
ri wkh h{shfwhg h{fhvv uhwxuq rq 430|hdu erqgv li wkhuh lv qr h{shfwhg xszdug ru
grzqzdug guliw lq qrplqdo lqwhuhvw udwhv15
Vhfrqg/ wkh X1V1 Wuhdvxu| |lhog fxuyh lv kljko| frqyh{ rq dyhudjh1 Wkdw lv/ lwv
dyhudjh vorsh ghfolqhv udslgo| zlwk pdwxulw|1 Wkh dyhudjh |lhog vsuhdg ryhu wkh rqh0
prqwk eloo |lhog lv 66 edvlv srlqwv dw wkuhh prqwkv/ :: edvlv srlqwv dw rqh |hdu/ dqg
<9 edvlv srlqwv dw wzr |hduv1 Wkhuh lv yhu| olwwoh ixuwkhu fkdqjh lq dyhudjh |lhogv
iurp wzr wr 43 |hduv1
Kdqvhq dqg Mdjdqqdwkdq +4<<4, srlqw rxw wkdw wkh vwhhs vorsh ri wkh vkruw0whup
Wuhdvxu| |lhog fxuyh lpsolhv kljk yrodwlolw| ri wkh VGI1 Wkh ulvn suhpld rq orqjhu0
whup Wuhdvxu| eloov ryhu rqh0 ru wkuhh0prqwk Wuhdvxu| eloov duh vpdoo> exw wkh yrodwlolw|
ri h{fhvv uhwxuqv lq wkh Wuhdvxu| eloo pdunhw lv dovr vpdoo/ vr Vkdush udwlrv duh txlwh
kljk1 Kljk Vkdush udwlrv ri wklv vruw/ uhvxowlqj iurp vpdoo h{fhvv uhwxuqv glylghg e|
vpdoo vwdqgdug ghyldwlrqv/ duh ri frxuvh kljko| vhqvlwlyh wr wudqvdfwlrqv frvwv ru olt0
xlglw| vhuylfhv surylghg e| Wuhdvxu| eloov1 Kh dqg Prghvw +4<<8, dqg Oxwwphu +4<<9,
vkrz krz wr prgli| wkh edvlf Kdqvhq0Mdjdqqdwkdq phwkrgrorj| wr kdqgoh wudqvdf0
wlrqv frvwv dqg sruwirolr frqvwudlqwv/ zkloh Edqvdo dqg Frohpdq +4<<9, dqg Khdwrq
dqg Oxfdv +4<<9, kdyh hpskdvl}hg wkdw oltxlglw| vhuylfhv pd| ghsuhvv Wuhdvxu| eloo
uhwxuqv uhodwlyh wr wkh uhwxuqv rq rwkhu dvvhwv1
D wklug vw|ol}hg idfw lv wkdw yduldwlrqv lq X1V1 Wuhdvxu| |lhog vsuhdgv ryhu wlph
iruhfdvw ixwxuh h{fhvv erqg uhwxuqv1 Wklv lv wuxh erwk dw wkh vkruw hqg ri wkh whup
vwuxfwxuh dqg dw wkh orqj hqg/ dqg lw lv wuxh zkhwkhu rqh phdvxuhv d vlpsoh |lhog
vsuhdg ru wkh glhuhqfh ehwzhhq d iruzdug udwh dqg d fxuuhqw vsrw udwh +Vkloohu/
Fdpsehoo/ dqg Vfkrhqkrow} +4<;6,/ Idpd dqg Eolvv +4<;:,/ Fdpsehoo dqg Vkloohu
+4<<4,,1 Wkh suhglfwdelolw| ri h{fhvv erqg uhwxuqv frqwudglfwv wkh h{shfwdwlrqv k|0
srwkhvlv ri wkh whup vwuxfwxuh/ dffruglqj wr zklfk h{shfwhg h{fhvv erqg uhwxuqv duh
frqvwdqw ryhu wlph1
Mxvw dv lq wkh olwhudwxuh rq suhglfwdelolw| ri h{fhvv vwrfn uhwxuqv/ lw lv lpsruwdqw
wr nhhs lq plqg wkdw wkh vwdqgdug whvwv iru xqsuhglfwdelolw| ri uhwxuqv pd| eh vxemhfw
wr vpdoo0vdpsoh eldvhv dqg shvr sureohpv1 Vpdoo0vdpsoh eldvhv dulvh ehfdxvh |lhog
vsuhdgv duh shuvlvwhqw dqg wkhlu lqqrydwlrqv duh fruuhodwhg zlwk erqg uhwxuqv/ zkloh
5
Dq dowhuqdwlyh phdvxuh ri wkh h{shfwhg h{fhvv uhwxuq lv wkh uhdol}hg dyhudjh h{fhvv uhwxuq ryhu
wkh vdpsoh shulrg1 Lq 4<85 wr 4<<4/ wklv qxpehu lv dfwxdoo| qhjdwlyh ehfdxvh qrplqdo lqwhuhvw udwhv
guliwhg xszdugv ryhu wklv shulrg1 Vlqfh wkhuh fdqqrw eh dq xszdug guliw lq lqwhuhvw udwhv lq wkh yhu|
orqj uxq/ wklv vxjjhvwv wkdw wkh uhdol}hg dyhudjh h{fhvv uhwxuq ryhu 4<85 wr 4<<4 lv d grzqzdug0eldvhg
hvwlpdwh ri wkh whup suhplxp1
44
shvr sureohpv dulvh li lqyhvwruv dqwlflsdwh wkh srvvlelolw| ri d uhjlph vzlwfk lq lqwhuhvw
udwhv wkdw lv qrw revhuyhg lq wkh gdwd vdpsoh1 Ehndhuw/ Krgulfn/ dqg Pduvkdoo +4<<;,
frqvlghu erwk lvvxhv exw frqfoxgh wkdw wkhuh lv lqghhg vrph jhqxlqh suhglfwdelolw| ri
X1V1 Wuhdvxu| erqg uhwxuqv1
Wklv hylghqfh kdv lpsolfdwlrqv iru wkh uhodwlrq ehwzhhq |lhog vsuhdgv dqg ixwxuh
pryhphqwv lq lqwhuhvw udwhv1 Li whup suhpld duh frqvwdqw ryhu wlph/ wkhq |lhog vsuhdgv
duh rswlpdo suhglfwruv ri ixwxuh pryhphqwv lq lqwhuhvw udwhv1 Pruh jhqhudoo|/ |lhog
vsuhdgv frqwdlq suhglfwlrqv ri erwk lqwhuhvw udwhv dqg whup suhpld1 Lq srvwzdu X1V1
gdwd/ vkruw0whup udwhv whqg wr lqfuhdvh zkhq |lhog vsuhdgv duh kljk/ frqvlvwhqw zlwk
wkh h{shfwdwlrqv k|srwkhvlv/ exw orqj udwhv whqg wr idoo/ frxqwhu wr wkdw k|srwkhvlv
+Fdpsehoo dqg Vkloohu +4<<4,,1 Orrnlqj dfurvv gdwd vhwv gudzq iurp glhuhqw frxq0
wulhv dqg wlph shulrgv/ |lhog vsuhdgv suhglfw lqwhuhvw udwh pryhphqwv pruh vxffhvvixoo|
zkhq wkh lqwhuhvw udwh kdv juhdwhu vhdvrqdo ru f|folfdo yduldwlrq dqg ohvv vxffhvvixoo|
zkhq wkh prqhwdu| dxwkrulw| kdv vprrwkhg wkh lqwhuhvw udwh vr wkdw lw iroorzv dq
dssur{lpdwh udqgrp zdon +Kdugrxyholv +4<<7,/ Pdqnlz dqg Plurq +4<;9,,1
E1 Idfwru vwuxfwxuh ri wkh VGI
Wkh vwrfkdvwlf glvfrxqw idfwru fdq dovr eh xvhg wr xqghuvwdqg wkh hqruprxv olw0
hudwxuh rq pxowlidfwru prghov1 Klvwrulfdoo|/ wklv olwhudwxuh ehjdq zlwk wkh lqvljkw ri
Vkdush +4<97, dqg Olqwqhu +4<98,/ vkdushqhg e| Uroo +4<::,/ wkdw li doo lqyhvwruv duh
vlqjoh0shulrg phdq0yduldqfh rswlpl}huv/ wkhq wkh pdunhw sruwirolr lv phdq0yduldqfh
h!flhqw/ zklfk lpsolhv d ehwd sulflqj uhodwlrq ehwzhhq doo dvvhwv dqg wkh pdunhw
sruwirolr1 Urvv +4<:9, srlqwhg rxw wkdw wklv frqfoxvlrq fdq dovr eh uhdfkhg xvlqj dq
dv|pswrwlf qr0duelwudjh dujxphqw dqg wkh dvvxpswlrq wkdw wkh pdunhw sruwirolr lv
wkh rqo| vrxufh ri frpprq/ xqglyhuvldeoh ulvn1 Pruh jhqhudoo|/ li wkhuh duh vhyhudo
frpprq idfwruv wkdw jhqhudwh xqglyhuvldeoh ulvn/ wkhq d pxowlidfwru prgho krogv1
Zlwklq wkh VGI iudphzrun/ wkhvh frqfoxvlrqv fdq eh uhdfkhg gluhfwo| iurp wkh
dvvxpswlrq wkdw wkh VGI lv d olqhdu frpelqdwlrq ri g frpprq idfwruv s&c|n / & '
g1 Iru h{srvlwlrqdo vlpsolflw| L dvvxph wkdw wkh idfwruv kdyh frqglwlrqdo phdq
}hur dqg duh ruwkrjrqdo wr rqh dqrwkhu1 Li
|n ' @| g
[
&'
45
K&| s&c|n c
+:,
wkhq wkh qhjdwlyh ri wkh fryduldqfh ri dq| h{fhvv uhwxuq zlwk wkh VGI fdq eh zulwwhq
dv
[
g
g
g
[
[
j&|
2
'
K&| j&| '
EK&| j&| b&| q &| +;,
L| E|nc -c|n -sc|n '
2
j
&|
&'
&'
&'
Khuh j&| lv wkh frqglwlrqdo fryduldqfh ri dvvhw uhwxuq zlwk wkh &*wk idfwru/ j2&| lv wkh
frqglwlrqdo yduldqfh ri wkh &*wk idfwru/ b&| K&| j2&| lv wkh sulfh ri ulvn ri wkh &*wk
idfwru/ dqg q &| j&| *j 2&| lv wkh ehwd ru uhjuhvvlrq frh!flhqw ri dvvhw uhwxuq rq
wkdw idfwru1 Wklv htxdwlrq/ wrjhwkhu zlwk +8,/ lpsolhv wkdw wkh ulvn suhplxp rq dq|
dvvhw fdq eh zulwwhq dv d vxp ri wkh dvvhw*v ehwdv zlwk frpprq idfwruv wlphv wkh ulvn
sulfhv ri wkrvh idfwruv1
Wklv zd| ri ghulylqj d pxowlidfwru prgho lv frqvlvwhqw zlwk wkh hduolhu lqvljkwv1 Lq
d vlqjoh0shulrg prgho zlwk txdgudwlf xwlolw|/ iru h{dpsoh/ frqvxpswlrq htxdov zhdowk
dqg wkh pdujlqdo xwlolw| ri frqvxpswlrq lv olqhdu1 Lq wklv fdvh wkh VGI pxvw eh
olqhdu lq ixwxuh zhdowk/ ru htxlydohqwo| olqhdu lq wkh pdunhw sruwirolr uhwxuq1 Lq d
vlqjoh0shulrg prgho zlwk g frpprq vkrfnv dqg frpsohwho| glyhuvldeoh lglrv|qfudwlf
ulvn/ wkh VGI fdq ghshqg rqo| rq wkh frpprq vkrfnv1
Lw lv lpsruwdqw wr qrwh wkh frqglwlrqlqj lqirupdwlrq lq htxdwlrq +;,1 Erwk wkh eh0
wdv dqg wkh sulfhv ri ulvn duh frqglwlrqdo rq lqirupdwlrq dw wlph |1 Xqiruwxqdwho|/ wklv
frqglwlrqdo pxowlidfwru prgho grhv qrw jhqhudoo| lpso| dq xqfrqglwlrqdo pxowlidfwru
prgho ri wkh vdph irup1 Wkh uhohydqw fryduldqfh iru dq xqfrqglwlrqdo
Sg prgho lv wkh xq0
frqglwlrqdo fryduldqfh LE|nc -c|n -sc|n ' LE@| &' K&| s&c|nc -c|n -sc|n / dqg wklv lqyroyhv fryduldqfhv ri wkh frh!flhqwv @| dqg K| zlwk uhwxuqv dv zhoo
dv fryduldqfhv ri wkh idfwruv s&c|n zlwk uhwxuqv1 Rqh zd| wr kdqgoh wklv sureohp
lv wr prgho wkh frh!flhqwv wkhpvhoyhv dv olqhdu ixqfwlrqv ri revhuydeoh lqvwuxphqwv=
@| ' @ 5| dqg K| ' K 5| / zkhuh 5| lv d yhfwru ri lqvwuxphqwv lqfoxglqj d frqvwdqw1 Lq wklv
fdvh rqh rewdlqv dq xqfrqglwlrqdo pxowlidfwru prgho lq zklfk wkh idfwruv lqfoxgh wkh
ruljlqdo s&c|n / wkh lqvwuxphqwv 5| / dqg doo furvv0surgxfwv ri s&c|n dqg 5| 1 Frfkudqh
+4<<9, dqg Ohwwdx dqg Oxgyljvrq +4<<<e, lpsohphqw wklv dssurdfk hpslulfdoo|/ dqg
Frfkudqh +4<<</ Fkdswhu :, surylghv d sduwlfxoduo| fohdu h{sodqdwlrq1 Mdjdqqdwkdq
dqg Zdqj +4<<9, ghyhors d uhodwhg dssurdfk lqfoxglqj lqvwuxphqwv dv idfwruv/ exw
h{foxglqj furvv0surgxfw whupv1
46
E141 Wkh furvv0vhfwlrqdo vwuxfwxuh ri vwrfn uhwxuqv
Hduo| zrun rq wkh Vkdush0Olqwqhu Fdslwdo Dvvhw Sulflqj Prgho +FDSP, whqghg wr
eh eurdgo| vxssruwlyh1 Wkh fodvvlf vwxglhv ri Eodfn/ Mhqvhq/ dqg Vfkrohv +4<:5, dqg
Idpd dqg PdfEhwk +4<:6,/ iru h{dpsoh/ irxqg wkdw kljk0ehwd vwrfnv whqghg wr kdyh
kljkhu dyhudjh uhwxuqv wkdq orz0ehwd vwrfnv dqg wkdw wkh uhodwlrq zdv urxjko| olqhdu1
Dowkrxjk wkh vorsh ri wkh uhodwlrq zdv wrr dw wr eh frqvlvwhqw zlwk wkh Vkdush0
Olqwqhu yhuvlrq ri wkh FDSP/ wklv frxog eh h{sodlqhg e| eruurzlqj frqvwudlqwv ri
wkh vruw prghoohg e| Eodfn +4<:5,1
Gxulqj wkh 4<;3v dqg 4<<3v/ uhvhdufkhuv ehjdq wr orrn dw rwkhu fkdudfwhulvwlfv
ri vwrfnv ehvlghv wkhlu ehwdv1 Vhyhudo ghyldwlrqv iurp wkh FDSP/ ru dqrpdolhv/
zhuh glvfryhuhg1 Iluvw/ Edq} +4<;4, uhsruwhg wkh vl}h hhfw wkdw vpdoo +orz pdunhw0
ydoxh, vwrfnv kdyh kljkhu dyhudjh h{fhvv uhwxuqv wkdq fdq eh h{sodlqhg e| wkh FDSP1
Vpdoo vwrfnv gr kdyh kljkhu ehwdv dqg kljkhu dyhudjh uhwxuqv wkdq odujh vwrfnv/ exw
wkh uhodwlrq ehwzhhq dyhudjh uhwxuq dqg ehwd iru vl}h0vruwhg sruwirolrv lv vwhhshu wkdq
wkh FDSP vhfxulw| pdunhw olqh1 Idpd dqg Iuhqfk +4<<5, guhz ixuwkhu dwwhqwlrq wr
wkh vl}h hhfw e| vruwlqj vwrfnv e| erwk vl}h dqg ehwd/ dqg vkrzlqj wkdw kljk0ehwd
vwrfnv kdyh qr kljkhu uhwxuqv wkdq orz0ehwd vwrfnv ri wkh vdph vl}h1 Vhfrqg/ vhyhudo
dxwkruv irxqg d ydoxh hhfw wkdw uhwxuqv duh suhglfwhg e| udwlrv ri pdunhw ydoxh
wr dffrxqwlqj phdvxuhv vxfk dv hduqlqjv ru wkh errn ydoxh ri htxlw| +Edvx +4<;6,/
Urvhqehuj/ Uhlg/ dqg Odqvwhlq +4<;8,/ Idpd dqg Iuhqfk +4<<5,,1 Wklv lv uhodwhg wr
wkh qglqj ri GhErqgw dqg Wkdohu +4<;8, wkdw vwrfnv zlwk orz uhwxuqv ryhu wkh sdvw
wkuhh wr yh |hduv rxwshuirup lq wkh ixwxuh1 Wklug/ Mhjdghhvk dqg Wlwpdq +4<<6,
grfxphqwhg d prphqwxp hhfw wkdw vwrfnv zlwk kljk uhwxuqv ryhu wkh sdvw wkuhh wr
wzhoyh prqwkv whqg wr rxwshuirup lq wkh ixwxuh1
Hpslulfdoo|/ wkhvh dqrpdolhv fdq eh ghvfulehg sduvlprqlrxvo| xvlqj pxowlidfwru
prghov lq zklfk wkh idfwruv duh fkrvhq dwkhruhwlfdoo| wr w wkh hpslulfdo hylghqfh1
Idpd dqg Iuhqfk +4<<6, lqwurgxfhg d wkuhh0idfwru prgho lq zklfk wkh idfwruv lqfoxgh
wkh uhwxuq rq d eurdg vwrfn lqgh{/ wkh h{fhvv uhwxuq rq d sruwirolr ri vpdoo vwrfnv ryhu
d sruwirolr ri odujh vwrfnv/ dqg wkh h{fhvv uhwxuq rq d sruwirolr ri kljk errn0wr0pdunhw
vwrfnv ryhu d sruwirolr ri orz errn0wr0pdunhw vwrfnv1 Fdukduw +4<<:, dxjphqwhg wkh
prgho wr lqfoxgh d sruwirolr ri vwrfnv zlwk kljk uhwxuqv ryhu wkh sdvw ihz prqwkv1
Wkhvh prghov eurdgo| fdswxuh wkh shuirupdqfh ri vwrfn sruwirolrv jurxshg rq wkhvh
fkdudfwhulvwlfv/ zlwk wkh sduwldo h{fhswlrq ri wkh vpdoohvw ydoxh vwrfnv1
Wkhuh lv frqvlghudeoh ghedwh derxw wkh lqwhusuhwdwlrq ri wkhvh uhvxowv1 Wkh uvw
47
dqg prvw frqvhuydwlyh lqwhusuhwdwlrq lv wkdw wkh| duh hqwluho| vsxulrxv/ wkh uhvxow
ri gdwd0vqrrslqj wkdw kdv irxqg dfflghqwdo sdwwhuqv lq klvwrulfdo gdwd +Or dqg
PdfNlqod| +4<<3,/ Zklwh +4<<<,,1 Vrph vxssruw iru wklv ylhz/ lq wkh fdvh ri wkh vl}h
hhfw/ lv surylghg e| wkh xqghushuirupdqfh ri vpdoo vwrfnv lq wkh iwhhq |hduv vlqfh
wkh hhfw zdv uvw zlgho| sxeolfl}hg1
D vhfrqg ylhz lv wkdw wkh dqrpdolhv uhvxow iurp wkh lqdelolw| ri d eurdg vwrfn lqgh{
wr sur{| iru wkh pdunhw sruwirolr uhwxuq1 Uroo +4<::, wrrn wkh h{wuhph srvlwlrq wkdw
wkh FDSP lv dfwxdoo| xqwhvwdeoh/ ehfdxvh dq| qhjdwlyh uhvxowv pljkw eh gxh wr huuruv
lq wkh sur{| xvhg iru wkh pdunhw1 Lq uhvsrqvh wr wklv/ Vwdpedxjk +4<;5, vkrzhg wkdw
whvwv ri wkh FDSP duh lqvhqvlwlyh wr wkh dgglwlrq ri rwkhu wudghg dvvhwv wr wkh pdunhw
sur{|/ zkloh Vkdqnhq +4<;:, vkrzhg wkdw hpslulfdo uhvxowv fdq rqo| eh uhfrqflohg zlwk
wkh FDSP li wkh fruuhodwlrq ri wkh sur{| zlwk wkh wuxh pdunhw lv txlwh orz1
Uhfhqw uhvhdufk lq wklv duhd kdv frqfhqwudwhg rq kxpdq fdslwdo/ wkh suhvhqw ydoxh
ri fodlpv wr ixwxuh oderu lqfrph1 Vlqfh oderu lqfrph lv derxw wzr wklugv ri X1V1
JGS dqg fdslwdo lqfrph lv rqo| rqh wklug ri JGS/ lw lv fohduo| lpsruwdqw wr prgho
kxpdq fdslwdo dv d frpsrqhqw ri zhdowk1 Mdjdqqdwkdq dqg Zdqj +4<<9, dujxh wkdw
oderu lqfrph jurzwk lv d jrrg sur{| iru wkh uhwxuq wr kxpdq fdslwdo dqg qg wkdw
wkh lqfoxvlrq ri wklv yduldeoh dv d idfwru uhgxfhv hylghqfh djdlqvw wkh FDSP1 Lq d
vlplodu vslulw/ Olhz dqg Ydvvdorx +4<<<, vkrz wkdw h{fhvv uhwxuqv wr ydoxh vwrfnv khos
wr iruhfdvw JGS jurzwk/ dqg Ydvvdorx +4<<<, lqwurgxfhv JGS iruhfdvw uhylvlrqv dv
dq dgglwlrqdo ulvn idfwru lq d furvv0vhfwlrqdo prgho1
D wklug ylhz lv wkdw wkh dqrpdolhv surylgh jhqxlqh hylghqfh djdlqvw wkh FDSP/
exw qrw djdlqvw d eurdghu udwlrqdo prgho lq zklfk wkhuh duh pxowlsoh ulvn idfwruv1
Idpd dqg Iuhqfk +4<<6/ 4<<9, kdyh lqwhusuhwhg wkhlu wkuhh0idfwru prgho dv hylghqfh
iru d glvwuhvv suhplxp> vpdoo vwrfnv zlwk kljk errn0wr0pdunhw udwlrv duh upv
wkdw kdyh shuiruphg srruo| dqg duh yxoqhudeoh wr qdqfldo glvwuhvv +Fkdq dqg Fkhq
+4<<4,,/ dqg wkh| frppdqg d ulvn suhplxp iru wklv uhdvrq1
Idpd dqg Iuhqfk gr qrw h{sodlq zk| glvwuhvv ulvn lv sulfhg/ wkdw lv/ zk| wkh VGI
frqwdlqv d glvwuhvv idfwru1 Jlyhq wkh kljk sulfh ri glvwuhvv ulvn uhodwlyh wr pdunhw
ulvn/ wklv txhvwlrq fdqqrw eh ljqruhg> lq idfw PdfNlqod| +4<<8, h{suhvvhv vnhswlflvp
wkdw dq| udwlrqdo prgho zlwk rplwwhg ulvn idfwruv fdq jhqhudwh vx!flhqwo| kljk sulfhv
iru wkrvh idfwruv wr h{sodlq wkh furvv0vhfwlrqdo sdwwhuq ri vwrfn uhwxuqv1
Rqh srvvlelolw| lv wkdw wkh glvwuhvv idfwru uh hfwv wkh glvwlqfwlrq ehwzhhq d frq0
glwlrqdo dqg xqfrqglwlrqdo dvvhw sulflqj prgho1 Wkh FDSP pd| krog frqglwlrqdoo|
48
exw idlo xqfrqglwlrqdoo|1 Li wkh ulvn suhplxp rq wkh pdunhw sruwirolr pryhv ryhu wlph/
dqg li wkh pdunhw ehwdv ri glvwuhvvhg vwrfnv duh sduwlfxoduo| kljk zkhq wkh pdunhw ulvn
suhplxp lv kljk/ wkhq glvwuhvvhg vwrfnv zloo kdyh dqrpdorxvo| kljk dyhudjh uhwxuqv
uhodwlyh wr dq xqfrqglwlrqdo FDSP hyhq li wkh| reh| d frqglwlrqdo FDSP h{dfwo|1
Mdjdqqdwkdq dqg Zdqj +4<<9, wu| wr fdswxuh wklv e| xvlqj d |lhog vsuhdg ehwzhhq
orz0 dqg kljk0txdolw| erqgv dv dq dgglwlrqdo ulvn idfwru sur{|lqj iru wkh pdunhw ulvn
suhplxp1 Frfkudqh +4<<9, dqg Ohwwdx dqg Oxgyljvrq +4<<<e, lqwurgxfh dgglwlrqdo
ulvn idfwruv e| lqwhudfwlqj wkh pdunhw uhwxuq zlwk wkh glylghqg0sulfh udwlr dqg orqj0
vkruw |lhog vsuhdg/ dqg d frqvxpswlrq0zhdowk0lqfrph udwlr1 Wkhvh dssurdfkhv uhgxfh
ghyldwlrqv iurp wkh prgho/ dqg Ohwwdx dqg Oxgyljvrq duh sduwlfxoduo| vxffhvvixo lq
fdswxulqj wkh ydoxh hhfw1 Fdpsehoo dqg Frfkudqh +5333, wdnh d pruh wkhruhwlfdo ds0
surdfk/ vkrzlqj wkdw d prgho zlwk kdelw0irupdwlrq lq xwlolw|/ ri wkh vruw ghvfulehg lq
vhfwlrq LY ehorz/ lpsolhv ghyldwlrqv iurp dq xqfrqglwlrqdo FDSP ri wkh pdjqlwxgh
irxqg lq wkh gdwd hyhq wkrxjk wkh FDSP krogv frqglwlrqdoo|1
Dowhuqdwlyho|/ wkh FDSP pd| idlo hyhq dv d frqglwlrqdo prgho/ exw wkh gdwd pd|
eh ghvfulehg e| dq lqwhuwhpsrudo FDSP ri wkh vruw sursrvhg e| Phuwrq +4<:6,1 Lq
wklv fdvh dgglwlrqdo ulvn idfwruv pd| eh qhhghg wr fdswxuh wlph0yduldwlrq lq lqyhvwphqw
rssruwxqlwlhv wkdw duh ri frqfhuq wr orqj0whup lqyhvwruv1 Wklv srvvlelolw| lv glvfxvvhg
ixuwkhu lq vhfwlrq LY1
D irxuwk ylhz lv wkdw wkh dqrpdolhv gr qrw uh hfw dq| w|sh ri ulvn exw duh plv0
wdnhv wkdw glvdsshdu rqfh pdunhw sduwlflsdqwv ehfrph dzduh ri wkhp1 Nhlp +4<;6,
srlqwhg rxw wkdw wkh vpdoo0up hhfw zdv hqwluho| dwwulexwdeoh wr h{fhvv uhwxuqv rq
vpdoo upv lq wkh prqwk ri Mdqxdu|1 D vhdvrqdo h{fhvv uhwxuq ri wklv vruw lv yhu|
kdug wr uhodwh wr ulvn/ dqg li lw lv qrw sxuho| wkh uhvxow ri gdwd0vqrrslqj vkrxog eh
h{shfwhg wr glvdsshdu rqfh lw ehfrphv zhoo0nqrzq wr lqyhvwruv1 Lqghhg wkh Mdqxdu|
hhfw grhv vhhp wr kdyh glplqlvkhg lq uhfhqw |hduv1
Wkh prvw udglfdo ylhz lv wkdw wkh dqrpdolhv uh hfw hqgxulqj sv|fkrorjlfdo eldvhv
wkdw ohdg lqyhvwruv wr pdnh luudwlrqdo iruhfdvwv1 Odnrqlvkrn/ Vkohlihu/ dqg Ylvkq|
+4<<7, dujxh wkdw lqyhvwruv luudwlrqdoo| h{wudsrodwh sdvw hduqlqjv jurzwk dqg wkxv
ryhuydoxh frpsdqlhv wkdw kdyh shuiruphg zhoo lq wkh sdvw1 Wkhvh frpsdqlhv kdyh
orz errn0wr0pdunhw udwlrv dqg vxevhtxhqwo| xqghushuirup rqfh wkhlu hduqlqjv jurzwk
glvdssrlqwv lqyhvwruv1 Vxssruwlqj hylghqfh lv surylghg e| Od Sruwd +4<<9,/ zkr
vkrzv wkdw hduqlqjv iruhfdvwv ri vwrfn pdunhw dqdo|vwv w wklv sdwwhuq/ dqg e| Od
Sruwd hw do1 +4<<:,/ zkr vkrz wkdw wkh xqghushuirupdqfh ri vwrfnv zlwk orz errn0wr0
pdunhw udwlrv lv frqfhqwudwhg rq hduqlqjv dqqrxqfhphqw gdwhv1 Wklv ylhz kdv pxfk
49
lq frpprq zlwk wkh suhylrxv rqh/ dqg glhuv rqo| lq suhglfwlqj wkdw dqrpdolhv zloo
uhpdlq vwdeoh hyhq zkhq wkh| kdyh ehhq zlgho| sxeolfl}hg1
Doo wkhvh ylhzv kdyh gl!fxowlhv h{sodlqlqj wkh prphqwxp hhfw1 Doprvw dq|
prgho lq zklfk glvfrxqw udwhv ydu| fdq jhqhudwh d ydoxh hhfw= vwrfnv zkrvh glvfrxqw
udwhv duh kljk/ zkhwkhu iru udwlrqdo ru luudwlrqdo uhdvrqv/ kdyh orz sulfhv/ kljk errn0
wr0pdunhw udwlrv/ dqg kljk vxevhtxhqw uhwxuqv1 Lw lv pxfk kdughu wr jhqhudwh d
prphqwxp hhfw lq wklv zd|/ dqg Idpd dqg Iuhqfk +4<<9, gr qrw dwwhpsw wr jlyh
d udwlrqdo ulvn0edvhg h{sodqdwlrq iru wkh prphqwxp hhfw1 Lqvwhdg wkh| dujxh wkdw
lw pd| eh wkh uhvxow ri gdwd0vqrrslqj ru vxuylyruvkls eldv +Nrwkdul/ Vkdqnhq/ dqg
Vordq +4<<8,,1 Sv|fkrorjlfdo prghov dovr kdyh gl!fxowlhv lq wkdw prphqwxp dulvhv
li lqyhvwruv xqghuuhdfw wr qhzv1 Vxfk xqghuuhdfwlrq lv frqvlvwhqw zlwk hylghqfh iru
frqwlqxhg kljk uhwxuqv diwhu srvlwlyh hduqlqjv dqqrxqfhphqwv +Ehuqdug +4<<5,,/ exw
lw lv kdug wr uhfrqfloh zlwk wkh ryhuuhdfwlrq lpsolhg e| wkh ydoxh hhfw1 Vhyhudo uhfhqw
dwwhpswv wr vroyh wklv sx}}oh duh glvfxvvhg lq vhfwlrq YL1
4:
LL1 Sulfhv/ Uhwxuqv/ dqg Fdvk Iorzv
D1 Vroylqj wkh Suhvhqw Ydoxh Uhodwlrq
Wkh hpslulfdo zrun ghvfulehg lq vhfwlrq L wdnhv wkh vwrfkdvwlf surshuwlhv ri dvvhw
uhwxuqv dv jlyhq/ dqg phuho| dvnv krz wkh uvw prphqwv ri uhwxuqv duh ghwhuplqhg
iurp wkhlu vhfrqg prphqwv1 Zkloh wklv dssurdfk fdq eh lqirupdwlyh/ xowlpdwho| lw
lv xqvdwlvidfwru| ehfdxvh wkh vhfrqg prphqwv ri dvvhw uhwxuqv duh mxvw dv hqgrjhqrxv
dv wkh uvw prphqwv1 Wkh hog ri dvvhw sulflqj vkrxog eh deoh wr ghvfuleh krz wkh
fkdudfwhulvwlfv ri sd|rv ghwhuplqh dvvhw sulfhv/ dqg wkxv wkh vwrfkdvwlf surshuwlhv ri
uhwxuqv1
Zkhq dq dvvhw odvwv iru rqo| rqh shulrg/ lwv sulfh fdq eh ghwhuplqhg vwudljkwiru0
zdugo| iurp htxdwlrq +4,1 Wkh gl!fxow| dulvhv zkhq dq dvvhw odvwv iru pdq| shulrgv/
dqg sduwlfxoduo| zkhq lw pdnhv sd|rv dw pruh wkdq rqh gdwh1 Wkhuh duh vhyhudo
zd|v wr wdfnoh wklv sureohp1
D141 Frqvwdqw Glvfrxqw Udwhv
Iluvw/ li dq dvvhw kdv d frqvwdqw h{shfwhg uhwxuq/ wkhq lwv sulfh lv d olqhdu ixqfwlrq ri
lwv h{shfwhg ixwxuh sd|rv1 Iurp wkh ghqlwlrq ri uhwxuq/ n-|n ' E|n n(|n *| /
li wkh h{shfwhg uhwxuq lv d frqvwdqw -/ wkhq
| '
,| E|n n (|n n-
+<,
Wklv prgho lv vrphwlphv fdoohg wkh pduwlqjdoh prgho ru udqgrp zdon prgho ri vwrfn
sulfhv ehfdxvh/ hyhq wkrxjk wkh vwrfn sulfh lwvhoi lv qrw d pduwlqjdoh lq +<,/ wkh glv0
frxqwhg ydoxh ri d sruwirolr zlwk uhlqyhvwhg glylghqgv lv d pduwlqjdoh +Vdpxhovrq
+4<98,,1 Wkh h{shfwdwlrqdo glhuhqfh htxdwlrq +<, fdq eh vroyhg iruzdug1 Li rqh dv0
vxphv wkdw wkh h{shfwhg glvfrxqwhg ixwxuh sulfh kdv d olplw ri }hur/ *4g<" ,| |ng *En
-g ' f/ wkhq rqh rewdlqv
| ' ,|
"
[
'
4;
(|n
E n -
+43,
Wkh uljkw kdqg vlgh ri +43, lv vrphwlphv fdoohg wkh ixqgdphqwdo ydoxh ri dq dvvhw
sulfh/ dowkrxjk lw lv lpsruwdqw wr nhhs lq plqg wkdw wklv h{suhvvlrq krogv rqo| xqghu
wkh yhu| vshfldo frqglwlrq ri d frqvwdqw glvfrxqw udwh1
Prghov ri udwlrqdo exeeohv +Eodqfkdug dqg Zdwvrq +4<;5,/ Iurrw dqg Revwihog
+4<<4,, fkdoohqjh wkh dvvxpswlrq mxvw pdgh wkdw wkh h{shfwhg ixwxuh glvfrxqwhg sulfh
kdv d olplw ri }hur1 Vxfk prghov hqwhuwdlq wkh srvvlelolw| wkdw ixwxuh sulfhv duh
h{shfwhg wr jurz iruhyhu dw wkh udwh ri lqwhuhvw/ lq zklfk fdvh d exeeoh whup | wkdw
vdwlvhv | ' ,| |n *E n - fdq eh dgghg wr wkh uljkw kdqg vlgh ri +43,1 Wkh
wkhruhwlfdo frqglwlrqv wkdw doorz exeeohv wr h{lvw duh h{wuhpho| uhvwulfwlyh/ krzhyhu1
Qhjdwlyh exeeohv duh uxohg rxw e| olplwhg oldelolw| zklfk sxwv d rru ri }hur rq wkh
sulfh ri dq dvvhw> wklv lpsolhv wkdw d exeeoh fdq qhyhu vwduw rqfh dq dvvhw lv wudglqj/
vlqfh | ' f wrgd| lpsolhv | ' f wrpruurz zlwk suredelolw| rqh +Gled dqg Jurvvpdq
+4<;;,,1 Jhqhudo htxloleulxp frqvlghudwlrqv dovr vhyhuho| olplw wkh flufxpvwdqfhv lq
zklfk exeeohv fdq dulvh +Vdqwrv dqg Zrrgirug +4<<:,,1
Dq lpsruwdqw vshfldo fdvh dulvhv zkhq wkh h{shfwhg udwh ri glylghqg jurzwk lv d
frqvwdqw/ ,| E(|n *(| ' E n C1 Lq wklv fdvh +43, vlpsolhv wr wkh Jrugrq +4<95,
jurzwk prgho/ | ' ,| (|n *E- C1 Wklv irupxod uhodwhv sulfhv wr survshfwlyh
glylghqgv/ wkh glvfrxqw udwh/ dqg wkh h{shfwhg glylghqg jurzwk udwh> lw lv zlgho| xvhg
e| erwk srsxodu zulwhuv +Jodvvpdq dqg Kdvvhww +4<<<,, dqg dfdghplf zulwhuv +Khdwrq
dqg Oxfdv +4<<<,, wr lqwhusuhw yduldwlrqv lq sulfhv uhodwlyh wr glylghqgv/ vxfk dv wkh
vshfwdfxodu uxqxs lq djjuhjdwh vwrfn sulfhv dw wkh hqg ri wkh 4<<3v1 D gl!fxow|
zlwk vxfk dssolfdwlrqv lv wkdw wkh| dvvxph fkdqjhv lq - dqg C wkdw duh uxohg rxw
e| dvvxpswlrq lq wkh Jrugrq prgho1 Wkxv wkh Jrugrq irupxod fdq rqo| surylgh d
urxjk jxlgh wr wkh sulfh yduldwlrqv wkdw rffxu lq d wuxo| g|qdplf prgho1
Dw wkh hqg ri wkh 4<:3v prvw qdqfh hfrqrplvwv eholhyhg wkdw +43, zdv d jrrg ds0
sur{lpdwh ghvfulswlrq ri vwrfn sulfh ghwhuplqdwlrq iru dw ohdvw wkh djjuhjdwh pdunhw1
OhUr| dqg Sruwhu +4<;4, dqg Vkloohu +4<;4, fkdoohqjhg wklv ruwkrgr{| e| srlqwlqj
rxw wkdw djjuhjdwh vwrfn sulfhv vhhp wr eh idu pruh yrodwloh wkdq sodxvleoh phd0
vxuhv ri h{shfwhg ixwxuh glylghqgv1 Wkhlu zrun dvvxphg wkdw erwk vwrfn sulfhv dqg
glylghqgv duh vwdwlrqdu| durxqg d vwrfkdvwlf wuhqg> Nohlgrq +4<;9, dqg Pduvk dqg
Phuwrq +4<;9, uhvsrqghg wkdw vwrfn sulfhv iroorz xqlw0urrw surfhvvhv/ exw Fdpsehoo
dqg Vkloohu +4<;;d/ 4<;;e, dqg Zhvw +4<;;, irxqg hylghqfh iru h{fhvv yrodwlolw| hyhq
doorzlqj iru xqlw urrwv1
4<
D151 D Orjolqhdu Dssur{lpdwh Iudphzrun
Fdpsehoo dqg Vkloohu +4<;;d, dovr h{whqghg wkh olqhdu suhvhqw0ydoxh prgho wr doorz
iru orjolqhdu glylghqg surfhvvhv dqg wlph0ydu|lqj glvfrxqw udwhv1 Wkh| glg wklv e|
dssur{lpdwlqj wkh ghqlwlrq ri orj uhwxuq/ o|n ' *L}E|n n (|n *L}E| / durxqg
wkh phdq orj glylghqg0sulfh udwlr/ E_| R| / xvlqj d uvw0rughu Wd|oru h{sdqvlrq1
Wkh uhvxowlqj dssur{lpdwlrq lv o|n & n 4R
|n n E 4_|n R| czkhuh 4 dqg & duh
sdudphwhuv ri olqhdul}dwlrq ghqhg e| 4   n i TE_| R| dqg & *L}E4 E 4 *L}E*4 1 Zkhq wkh glylghqg0sulfh udwlr lv frqvwdqw/ wkhq 4 ' *E n (/
wkh udwlr ri wkh h{0glylghqg wr wkh fxp0glylghqg vwrfn sulfh1 Lq wkh srvwzdu txduwhuo|
X1V1 gdwd ri Fdpsehoo +4<<<,/ wkh dyhudjh sulfh0glylghqg udwlr kdv ehhq 5917 rq dq
dqqxdo edvlv/ lpso|lqj wkdw 4 vkrxog eh derxw 31<97 lq dqqxdo gdwd1
Vroylqj iruzdug/ lpsrvlqj wkh qr0exeeohv whuplqdo frqglwlrq wkdw *4<" 4 E_|n R|n ' f/ wdnlqj h{shfwdwlrqv/ dqg vxewudfwlqj wkh fxuuhqw glylghqg/ rqh jhwv
R| _| '
"
[
&
n ,|
4 d{_|nn o|nn o 4
'f
+44,
Wklv htxdwlrq vd|v wkdw wkh orj sulfh0glylghqg udwlr lv kljk zkhq glylghqgv duh h{0
shfwhg wr jurz udslgo|/ ru zkhq vwrfn uhwxuqv duh h{shfwhg wr eh orz1 Wkh htxdwlrq
vkrxog eh wkrxjkw ri dv dq dffrxqwlqj lghqwlw| udwkhu wkdq d ehkdylrudo prgho> lw kdv
ehhq rewdlqhg phuho| e| dssur{lpdwlqj dq lghqwlw|/ vroylqj iruzdug vxemhfw wr d whu0
plqdo frqglwlrq/ dqg wdnlqj h{shfwdwlrqv1 Lqwxlwlyho|/ li wkh vwrfn sulfh lv kljk wrgd|/
wkhq iurp wkh ghqlwlrq ri wkh uhwxuq dqg wkh whuplqdo frqglwlrq wkdw wkh glylghqg0
sulfh udwlr lv qrq0h{sorvlyh/ wkhuh pxvw hlwkhu eh kljk glylghqgv ru orz vwrfn uhwxuqv
lq wkh ixwxuh1 Lqyhvwruv pxvw wkhq h{shfw vrph frpelqdwlrq ri kljk glylghqgv dqg
orz vwrfn uhwxuqv li wkhlu h{shfwdwlrqv duh wr eh frqvlvwhqw zlwk wkh revhuyhg sulfh1
Fdpsehoo +4<<4, h{whqghg wklv dssurdfk wr rewdlq d ghfrpsrvlwlrq ri uhwxuqv1
Vxevwlwxwlqj +44, lqwr wkh dssur{lpdwh uhwxuq htxdwlrq jlyhv
o|n ,| o|n ' E,|n ,| "
[
4 {_|nn E,|n ,| 'f
"
[
4 o|nn +45,
'
Wklv htxdwlrq vd|v wkdw xqh{shfwhg vwrfn uhwxuqv pxvw eh dvvrfldwhg zlwk fkdqjhv
lq h{shfwdwlrqv ri ixwxuh glylghqgv ru uhdo uhwxuqv1 Dq lqfuhdvh lq h{shfwhg ixwxuh
glylghqgv lv dvvrfldwhg zlwk d fdslwdo jdlq wrgd|/ zkloh dq lqfuhdvh lq h{shfwhg ixwxuh
53
uhwxuqv lv dvvrfldwhg zlwk d fdslwdo orvv wrgd|1 Wkh uhdvrq lv wkdw zlwk d jlyhq glylghqg
vwuhdp/ kljkhu ixwxuh uhwxuqv fdq rqo| eh jhqhudwhg e| ixwxuh sulfh dssuhfldwlrq iurp
d orzhu fxuuhqw sulfh1
Htxdwlrq +45, fdq eh xvhg wr xqghuvwdqg wkh uhodwlrq ehwzhhq wkh suhglfwdelo0
lw| ri h{fhvv uhwxuqv/ ghvfulehg lq vhfwlrq L1D17/ dqg wkh h{fhvv yrodwlolw| ri sulfhv
dqg uhwxuqv glvfxvvhg lq vhfwlrq LL1D151 Wkh htxdwlrq lpsolhv wkdw wkh yduldqfh ri
xqh{shfwhg uhwxuqv lv wkh yduldqfh ri glylghqg qhzv +wkh uvw whup rq wkh uljkw
kdqg vlgh,/ soxv wkh yduldqfh ri h{shfwhg uhwxuq qhzv +wkh vhfrqg whup rq wkh
uljkw kdqg vlgh,/ soxv wzlfh wkh fryduldqfh ehwzhhq wkh wzr w|shv ri qhzv1 Uhylvlrqv
lq h{shfwhg ixwxuh uhwxuqv pryh sulfhv wrgd| dqg jhqhudwh yrodwlolw| lq xqh{shfwhg
uhwxuqv1 Wkh glvfrxqwhg vxpv rq wkh uljkw kdqg vlgh ri +45, lpso| wkdw wklv hhfw lv
juhdwhu/ wkh pruh shuvlvwhqw wkh uhylvlrqv lq h{shfwhg ixwxuh uhwxuqv> wkxv frqvlghu0
deoh h{wud yrodwlolw| lv fuhdwhg e| suhglfwdelolw| ri uhwxuqv iurp vorz0prylqj yduldeohv
vxfk dv glylghqg0sulfh ru pdunhw0errn udwlrv16
D161 Dowhuqdwlyhv wr wkh Xvh ri Glylghqgv
Erwk wkh olqhdu suhvhqw ydoxh prgho zlwk frqvwdqw glvfrxqw udwhv dqg wkh orjolq0
hdu dssur{lpdwh prgho uhodwh dvvhw sulfhv wr h{shfwhg ixwxuh glylghqgv1 Wkh xvh
ri glylghqgv lv qrw duelwudu|/ exw uhvxowv iurp wkh dffrxqwlqj lghqwlw| wkdw olqnv uh0
wxuqv/ sulfhv/ dqg glylghqgv1 Qrqhwkhohvv wkh suhvhqfh ri glylghqgv fuhdwhv vhyhudo
gl!fxowlhv iru hpslulfdo zrun1
Iluvw/ pdq| frpsdqlhv sd| fdvk wr vkduhkroghuv sduwo| e| uhsxufkdvlqj vkduhv
rq wkh rshq pdunhw1 Wklv vwudwhj| lv wd{0dgydqwdjhg dqg kdv ehfrph lqfuhdvlqjo|
srsxodu lq uhfhqw |hduv1 Vkduh uhsxufkdvhv gr qrw lqydolgdwh dq| ri wkh irupxodv
jlyhq deryh/ exw wkh| gr pdnh lw hvvhqwldo wr dsso| wkhvh irupxodv fruuhfwo|1 Rqh
fdq zrun rq d shu0vkduh edvlv/ phdvxulqj sulfh shu vkduh dqg wudglwlrqdo glylghqgv
shu vkduh> lq wklv fdvh uhsxufkdvhv duh qrw frxqwhg dv glylghqgv/ exw wkh| gr dhfw
ixwxuh glylghqgv shu vkduh e| uhgxflqj wkh qxpehu ri vkduhv1 Dowhuqdwlyho|/ rqh
fdq zrun rq d wrwdo0ydoxh edvlv/ phdvxulqj wkh pdunhw ydoxh ri wkh frpsdq| dqg wkh
vxp ri lwv fdvk sd|phqwv wr vkduhkroghuv lqfoxglqj erwk wudglwlrqdo glylghqgv dqg
uhsxufkdvhv1 Oldqj dqg Vkdush +4<<<, hpskdvl}h wkdw wkh h{huflvh ri h{hfxwlyh vwrfn
rswlrqv ohdgv wr vkduh lvvxhv wkdw pxvw eh vhw djdlqvw uhsxufkdvhv1 Wkh| hvwlpdwh
6
Rqh fdq xqghuvwdqg d udwlrqdo exeeoh dv wkh olplwlqj fdvh zkhuh wkh sulfh pryhphqw lv vr
shuvlvwhqw +lq idfw/ h{sorvlyh, wkdw lw kdv qr hhfw rq wkh h{shfwhg uhwxuq dw doo1
54
wkdw wkh glylghqg |lhog rq wkh V)S 833 lqgh{ lq wkh odwh 4<<3v ulvhv e| derxw rqh
shufhqw zkhq qhw uhsxufkdvhv duh dgghg wr wudglwlrqdo glylghqgv17
Vhfrqg/ pdq| frpsdqlhv vhhp wr eh srvwsrqlqj wkh sd|phqw ri glylghqgv xqwlo
pxfk odwhu lq wkhlu olih f|foh1 Wklv phdqv wkdw fxuuhqw glylghqgv duh revhuyhg iru ihzhu
frpsdqlhv1 Idpd dqg Iuhqfk +4<<<, uhsruw wkdw lq 4<<6 wr 4<<:/ qrq0glylghqg0sd|huv
dffrxqwhg iru doprvw rqh txduwhu ri wkh ydoxh ri wkh djjuhjdwh vwrfn pdunhw/ d whq0
irog lqfuhdvh lq wkhlu ydoxh vkduh vlqfh wkh plg04<93v1 Wkhvh upv pxvw hyhqwxdoo|
sd| fdvk wr vkduhkroghuv lq vrph zd|/ exw lw lv fohduo| qrw iuxlwixo wr prgho wkhlu
glylghqgv dv iroorzlqj d vwdeoh vwrfkdvwlf surfhvv1
Lq uhvsrqvh wr wkhvh gl!fxowlhv/ wkhuh lv lqfuhdvlqj lqwhuhvw lq suhvhqw0ydoxh prg0
hov lq zklfk hduqlqjv/ udwkhu wkdq glylghqgv/ duh wkh gulylqj yduldeoh1 Rkovrq +4<<3/
4<<8, dvvxphv d frqvwdqw glvfrxqw udwh dqg vkrzv wkdw xqghu fohdq0vxusoxv dffrxqw0
lqj/ wkh pdunhw ydoxh ri d up fdq eh zulwwhq dv wkh errn ydoxh ri lwv htxlw|/ soxv wkh
glvfrxqwhg suhvhqw ydoxh ri ixwxuh vxusoxv hduqlqjv +hduqlqjv lq h{fhvv ri wkh glvfrxqw
udwh wlphv errn ydoxh,1 Yxrowhhqdkr +4<<<, frpelqhv wklv dssurdfk zlwk wkh orjolq0
hdu dssur{lpdwh iudphzrun/ doorzlqj iru wlph0ydu|lqj glvfrxqw udwhv1 Kh vkrzv wkdw
fdvk rz qhzv dffrxqwv iru d juhdwhu iudfwlrq ri uhwxuq yrodwlolw| iru d w|slfdo vwrfn
wkdq iru wkh pdunhw dv d zkroh/ ehfdxvh fdvk rz qhzv lv odujho| lglrv|qfudwlf1 Dqj
dqg Olx +4<<;, frpelqh wkh Rkovrq prgho zlwk dq h{solflw prgho ri wkh vwrfkdvwlf
glvfrxqw idfwru1
D171 H{dfw Vroxwlrq Phwkrgv
Dowkrxjk wkh orjolqhdu iudphzrun ri vhfwlrq LL1D15 gholyhuv xvhixo lqvljkwv/ lw grhv
uho| rq dq dssur{lpdwlrq ri uhwxuq1 Wzr rwkhu dssurdfkhv duh dydlodeoh wr jhw
pruh dffxudwh uhvxowv1 Iluvw/ rqh fdq zrun zlwk d glvfuhwh0vwdwh prgho lq zklfk
glylghqg jurzwk dqg uhwxuqv/ ru wkh h{shfwdwlrqv ri wkhvh yduldeohv/ iroorz d Pdunry
fkdlq1
Xqghu wklv dvvxpswlrq rqh fdq vroyh iru sulfhv lq hdfk glvfuhwh vwdwh e|
vroylqj d v|vwhp ri olqhdu htxdwlrqv1 Wklv dssurdfk kdv ehhq xvhg e| Phkud dqg
Suhvfrww +4<;8,/ Ndqgho dqg Vwdpedxjk +4<<4,/ dqg rwkhuv1 Wkh glvfuhwh0vwdwh
prgho fdq eh vshflhg d sulrul/ ru fdq eh fkrvhq xvlqj Jdxvvldq txdgudwxuh phwkrgv
wr dssur{lpdwh dq hvwlpdwhg frqwlqxrxv0vwdwh prgho1
7
Fdvk sdlg e| dftxlulqj upv wr vkduhkroghuv ri dftxluhg upv lv dqrwkhu irup ri lqgluhfw sd|rxw1
Wkh txdqwlwdwlyh lpsruwdqfh ri wklv lv kdug wr mxgjh1
55
D vhfrqg h{dfw dssurdfk wuhdwv dq dvvhw sd|lqj glylghqgv dw pdq| ixwxuh gdwhv dv
wkh vxp ri pdq| dvvhwv/ hdfk ri zklfk sd|v d glylghqg dw d vlqjoh ixwxuh gdwh1 Wkhvh
vlqjoh0sd|phqw ru }hur0frxsrq dvvhwv duh riwhq hdvlhu wr prgho1 Wklv dssurdfk
lv prvw qdwxudo/ dqg kdv ehhq ghyhorshg ixuwkhvw/ lq wkh olwhudwxuh rq {hg0lqfrph
vhfxulwlhv zklfk L qrz ghvfuleh1
E1 D!qh0\lhog Prghov
E141 Wkhruhwlfdo Vwuxfwxuh
Frqvlghu d uhdo }hur0frxsrq erqg wkdw pdnhv d vlqjoh sd|phqw ri rqh xqlw ri
frqvxpswlrq dw wlph | n ?1 Wkh erqg sulfh dw wlph |/ ?| / pxvw vdwlvi| wkh jhqhudo
VGI uhodwlrq +4,/ zklfk lq wklv vshfldo fdvh ehfrphv
?| ' ,| d|n ?3c|n o
+46,
Wklv htxdwlrq fdq eh vroyhg iruzdug wr rewdlq
?| ' ,| d|n |n2 |n? o
+47,
Mxvw dv wkh sulfh ri d vlqjoh0shulrg uhdo erqg lv wkh h{shfwdwlrq ri wkh vlqjoh0shulrg
VGI lq +7,/ vr wkh sulfh ri dq ?0shulrg uhdo erqg lv wkh h{shfwdwlrq ri wkh ?0shulrg
VGI +wkh surgxfw ri ? vxffhvvlyh vlqjoh0shulrg VGI*v,1 Wklv lv qdwxudo vlqfh dq
?0shulrg uhdo erqg lv wkh ulvnohvv uhdo dvvhw iru dq lqyhvwru zlwk d krul}rq ri ? shulrgv
+Prgljoldql dqg Vxwfk 4<99,1 Htxdwlrq +47, pdnhv lw fohdu wkdw d prgho ri erqg
sulfhv lv htxlydohqw wr d wlph0vhulhv prgho ri wkh VGI1
Wkh |lhog rq dq ?0shulrg erqg/ t?| / lv ghqhg wr eh wkh glvfrxqw udwh wkdw htxdwhv
wkh erqg*v sulfh wr wkh suhvhqw ydoxh ri lwv ixwxuh sd|phqw= ?| ' *E n t?| ? 1
Wdnlqj orjv/ +?| ' E*?R?| / vr wkh orj erqg |lhog lv mxvw d olqhdu wudqvirupdwlrq
ri wkh orj erqg sulfh1 D!qh0|lhog prghov kdyh wkh surshuw| wkdw doo orj erqg |lhogv
duh olqhdu +d!qh, lq d vhw ri vwdwh yduldeohv ghvfulelqj wkh pryhphqwv ri wkh VGI1
Wklv surshuw| krogv rqo| xqghu uhvwulfwlyh frqglwlrqv rq wkh VGI1 Fodvvlf sdshuv e|
Ydvlfhn +4<::, dqg Fr{/ Lqjhuvroo/ dqg Urvv +4<;8, suhvhqwhg vlpsoh h{dpsohv> uhfhqw
zrun kdv vrxjkw wr fkdudfwhul}h pruh jhqhudoo| wkh frqglwlrqv rq wkh VGI uhtxluhg iru
dq d!qh0|lhog vwuxfwxuh1 Prvw ri wklv zrun lv vhw lq frqwlqxrxv wlph dqg lv vxuyh|hg
e| Vxqgduhvdq +5333,1 Lq wkh glvfuhwh0wlph iudphzrun xvhg khuh/ li zh ghqh d
56
yhfwru 5| frqwdlqlqj wkh orj VGI 6| dqg doo vwdwh yduldeohv uhohydqw iru suhglfwlqj lwv
ixwxuh ydoxhv 6|n / wkhq dq d!qh0|lhog prgho uhtxluhv wkdw erwk wkh frqglwlrqdo phdq
dqg wkh frqglwlrqdo yduldqfh0fryduldqfh pdwul{ ri 5|n vkrxog eh olqhdu lq 5| 1 Wkh
prgho dovr uhtxluhv vrph uhvwulfwlrqv rq wkh frqglwlrqdo glvwulexwlrq ri 5|n > d qrupdo
glvwulexwlrq lv vx!flhqw exw qrw qhfhvvdu| +Edfnxv/ Iruhvl/ dqg Whophu +4<<;,,1 Wkh
vlpsohvw h{dpsoh lv d xqlyduldwh krprvnhgdvwlf qrupdo DU+4, surfhvv iru 6|n / zklfk
jlyhv d glvfuhwh0wlph yhuvlrq ri wkh Ydvlfhn +4<::, prgho ri wkh whup vwuxfwxuh1 D
qrupdo DU+4, surfhvv iru 6|n zlwk d yduldqfh sursruwlrqdo wr wkh ohyho ri 6|n jlyhv
d glvfuhwh0wlph yhuvlrq ri wkh Fr{/ Lqjhuvroo/ dqg Urvv +4<;8, prgho1 Lq frqwlqxrxv
wlph wkh d!qh0|lhog uhvwulfwlrqv duh vlplodu1 Lw lv srvvleoh wr doorz iru mxpsv lq wkh
vwdwh yhfwru surylghg wkdw wkh mxps lqwhqvlw| lv lwvhoi olqhdu lq wkh vwdwh yduldeohv1
Gdl dqg Vlqjohwrq +5333, suhvhqw d fduhixo dqdo|vlv ri wkh vxevwdqwlyh uhvwulfwlrqv
lpsrvhg e| wkh d!qh0|lhog vwuxfwxuh1 Wkhuh duh wzr edvlf lvvxhv1 Iluvw/ wkh d!qh0
|lhog prgho olplwv wkh zd| lq zklfk yrodwlolw| +gulyhq hlwkhu e| d glxvlrq whup ru
e| mxps lqwhqvlw| lq frqwlqxrxv wlph, fdq ydu| zlwk vwdwh yduldeohv1 Yduldqfhv fdq
eh frqvwdqw ru/ pruh jhqhudoo|/ olqhdu lq vwdwh yduldeohv/ exw fdqqrw ydu| qrqolqhduo|1
Vhfrqg/ wkh lpsolhg yduldqfh0fryduldqfh pdwul{ ri wkh vwdwh yhfwru pxvw eh srvlwlyh
ghqlwh1 Wklv sodfhv ihz uhvwulfwlrqv rq wkh fruuhodwlrqv ri vwdwh yduldeohv zkhq
yrodwlolw| lv frqvwdqw/ exw lv pxfk kdughu wr hqvxuh zkhq yrodwlolw| lv wlph0ydu|lqj1
Wkh d!qh0|lhog vwuxfwxuh pdnhv lw srvvleoh wr vroyh uhfxuvlyho| iru wkh xqnqrzq
frh!flhqwv uhodwlqj orj erqg |lhogv wr vwdwh yduldeohv1 Vwduwlqj iurp wkh whuplqdo
frqglwlrq wkdw wkh erqg sulfh dw pdwxulw| lv rqh +vr wkh orj erqg sulfh lv }hur,/ rqh
fdq zrun rxw wkh whup vwuxfwxuh ri lqwhuhvw udwhv wr sulfh erqgv ri duelwudu| pdwxulw|1
Frxsrq erqgv fdq wkhq eh sulfhg/ li ghvluhg/ dv sdfndjhv ri }hur0frxsrq erqgv/ rqh
iru hdfk gdwh dw zklfk d frxsrq sd|phqw lv pdgh1
Wkh d!qh0|lhog vwuxfwxuh fdq dovr eh h{whqghg wr vwxg| dvvhwv zlwk xqfhuwdlq
ixwxuh sd|rv1 Wkhuh duh wkuhh zd|v wr gr wklv1 Iluvw/ rqh fdq dvvxph wkdw wkh
h{shfwhg dvvhw uhwxuqv duh xqdhfwhg e| sd|r xqfhuwdlqw|/ zklfk zloo eh wkh fdvh
li wkh sd|r xqfhuwdlqw| lv xqfruuhodwhg zlwk wkh VGI1 Jleerqv dqg Udpdvzdp|
+4<<6,/ iru h{dpsoh/ dvvxph wkdw lq dwlrq xqfhuwdlqw| lv xqfruuhodwhg zlwk wkh VGI/
vr lq dwlrq ulvn lv xqsulfhg/ dqg vwxg| wkh uhdo uhwxuqv rq qrplqdo erqgv1 Vhfrqg/
rqh fdq fkdqjh wkh qxphudluh wr xqlwv lq zklfk ixwxuh sd|rv duh nqrzq1 Qrplqdo
Wuhdvxu| erqgv/ iru h{dpsoh/ kdyh xqfhuwdlq uhdo sd|rv exw fhuwdlq qrplqdo sd|rv1
Rqh fdq ghqh d qrplqdo VGI/ wkh uhdo VGI wlphv wkh udwlr ri wkh sulfh ohyho wrgd|
wr wkh sulfh ohyho wrpruurz/ dqg wkhq xvh dq d!qh prgho ri wkh qrplqdo VGI1 Wkh
57
dgydqwdjh ri wklv dssurdfk lv lwv vlpsolflw|> wkh glvdgydqwdjh lv wkdw lw lv kdug wr uhodwh
wkh qrplqdo VGI wr wkh uhdo ulvnv wkdw dhfw lqyhvwruv1 Wklug/ rqh fdq h{solflwo|
prgho wkh wlph0vhulhv surfhvv iru wkh sd|rv lq uhodwlrq wr wkh VGI1 Li wkh vwdwh yhfwru
lqfoxghv wkrvh yduldeohv wkdw ghwhuplqh wkh sd|rv/ dqg li wkh suhylrxv dvvxpswlrqv rq
wkh vwdwh yhfwru frqwlqxh wr krog/ wkhq wkh orj dvvhw sulfh frqwlqxhv wr eh olqhdu lq wkh
orj vwdwh yhfwru dqg wkh dgydqwdjhv ri wkh d!qh iudphzrun duh suhvhuyhg1 Fdpsehoo
dqg Ylfhlud +5333, dsso| wklv dssurdfk wr qrplqdo erqgv> Ednvkl dqg Fkhq +4<<:,/
Dqj dqg Olx +4<<;,/ dqg Ehndhuw dqg Juhqdglhu +4<<<, dsso| lw wr vwrfnv1
E151 Hpslulfdo Dssolfdwlrqv wr X1V1 Wuhdvxu| Erqgv
Vhfwlrq L1D18 uhsruwhg vhyhudo vw|ol}hg idfwv derxw X1V1 Wuhdvxu| erqg |lhogv1
Erwk wkh vkdsh ri wkh dyhudjh |lhog fxuyh dqg wkh wlph0yduldwlrq ri whup suhpld
duh lqfrqvlvwhqw zlwk vlqjoh0idfwru d!qh0|lhog prghov ri wkh qrplqdo whup vwuxfwxuh1
Lq vlqjoh0idfwru prghov/ wkh frqyh{lw| ri wkh dyhudjh |lhog fxuyh lv uhodwhg wr wkh
udwh dw zklfk vkrfnv wr wkh vkruw0whup lqwhuhvw udwh glh rxw> exw wlph0vhulhv hylghqfh
lpsolhv wkdw lqwhuhvw0udwh vkrfnv glh rxw pxfk pruh vorzo| wkdq zrxog eh lpsolhg
e| wkh udslgo| ghfolqlqj vorsh ri wkh dyhudjh |lhog fxuyh +Jleerqv dqg Udpdvzdp|
+4<<6,,1 Dv iru whup suhpld/ wkh| duh frxqwhuidfwxdoo| frqvwdqw lq d vlqjoh0idfwru
Ydvlfhn +4<::, prgho zlwk frqvwdqw yrodwlolw|1 D vlqjoh0idfwru Fr{/ Lqjhuvroo/ dqg
Urvv +4<;8, prgho zlwk yrodwlolw| olqhdu lq wkh ohyho ri wkh vkruw0whup lqwhuhvw udwh fdq
jhqhudwh wlph0yduldwlrq lq whup suhpld/ exw lq wklv prgho wkh |lhog vsuhdg lv lqyhuvho|
uhodwhg wr yrodwlolw|1 Li whup suhpld duh srvlwlyh rq dyhudjh/ wkh| pryh srvlwlyho|
zlwk yrodwlolw| vr wkh| pryh lqyhuvho| zlwk wkh |lhog vsuhdg/ frqwudu| wr wkh hpslulfdo
hylghqfh +Edfnxv hw do1 +4<<;,,1
Wkhvh sureohpv kdyh ohg wr dq h{sorvlrq ri uhvhdufk rq pruh frpsoh{ prghov ri wkh
qrplqdo whup vwuxfwxuh1 Wkhvh lqfoxgh pxowlidfwru d!qh prghov wkdw lqfoxgh erwk
shuvlvwhqw vwdwh yduldeohv wr w wkh vorzo| ghfd|lqj dxwrfruuhodwlrqv ri lqwhuhvw udwhv/
dqg wudqvlwru| vwdwh yduldeohv wr w wkh udslgo| ghfolqlqj vorsh ri wkh dyhudjh |lhog
fxuyh> qrq0d!qh prghov wkdw doorz iru d qrqolqhdu hhfw ri wkh ohyho ri wkh lqwhuhvw
udwh rq lwv yrodwlolw| dqg guliw> dqg uhjlph0vzlwfklqj prghov wkdw doorz iru rffdvlrqdo
glvfuhwh fkdqjhv lq lqwhuhvw0udwh ehkdylru1 Sudfwlwlrqhuv kdyh jrqh lq d vrphzkdw
glhuhqw gluhfwlrq/ lqwurgxflqj wlph0ghshqghqw sdudphwhuv lqwr vlpsoh d!qh prghov/
exw wklv grhv qrw exlog wkh xqghuvwdqglqj ri wkh xqghuo|lqj hfrqrplf vwuxfwxuh wkdw
lv wkh xowlpdwh jrdo ri dfdghplf uhvhdufk1 Prvw ri wklv zrun lv vhw lq frqwlqxrxv wlph
dqg lv uhylhzhg e| Vxqgduhvdq +5333,1
58
Vhyhudo lvvxhv uhpdlq xquhvroyhg e| wklv uhvhdufk1 Iluvw/ uhdo0lqwhuhvw0udwh ulvn dqg
lq dwlrq ulvn duh frqfhswxdoo| glvwlqfw dqg pd| kdyh yhu| glhuhqw ulvn sulfhv1 Wklv
glvwlqfwlrq lv eoxuuhg zkhq whup0vwuxfwxuh prghov duh w gluhfwo| wr qrplqdo lqwhuhvw
udwhv1 Lw fdq eh dgguhvvhg hlwkhu e| orrnlqj dw lq dwlrq gdwd mrlqwo| zlwk qrplqdo
lqwhuhvw udwhv +Jleerqv dqg Udpdvzdp| +4<<6,/ Fdpsehoo dqg Ylfhlud +5333,,/ ru
e| vwxg|lqj lq dwlrq0lqgh{hg erqgv/ zklfk kdyh ehhq dfwlyho| wudghg lq wkh XN iru
48 |hduv +Eurzq dqg Vfkdhihu +4<<7,, dqg kdyh ehhq lvvxhg lq wkh X1V1 vlqfh 4<<:1
Wkhuh lv vrph hylghqfh wkdw erwk lq dwlrq ulvn dqg uhdo0lqwhuhvw0udwh ulvn duh sulfhg/
vr wkdw wkh uhdo whup vwuxfwxuh lv xszdug vorslqj exw dwwhu wkdq wkh qrplqdo whup
vwuxfwxuh> krzhyhu pruh zrun lv qhhghg rq wklv vxemhfw1
Vhfrqg/ lw lv lpsruwdqw wr uhfrqfloh wkh fkdudfwhul}dwlrq ri wkh VGI surylghg
e| erqg0pdunhw gdwd zlwk wkh hylghqfh iurp vwrfn0pdunhw gdwd1 Whup0vwuxfwxuh
prghov ri wkh VGI duh xowlpdwho| xqvdwlvidfwru| xqohvv wkh| fdq eh uhodwhg wr wkh
ghhshu jhqhudo0htxloleulxp vwuxfwxuh ri wkh hfrqrp|1 Uhvhdufkhuv riwhq fdoleudwh
htxloleulxp prghov wr w vwrfn pdunhw gdwd dorqh/ exw wklv lv d plvwdnh ehfdxvh
erqgv fduu| htxdoo| xvhixo lqirupdwlrq derxw wkh VGI1 Wkh vkruw0whup uhdo lqwhuhvw
udwh lv forvho| uhodwhg wr wkh frqglwlrqdo h{shfwhg VGI/ dqg wkxv wr wkh h{shfwhg
jurzwk udwh ri pdujlqdo xwlolw|> lq d uhsuhvhqwdwlyh0djhqw prgho zlwk srzhu xwlolw|
ri frqvxpswlrq/ wklv olqnv wkh uhdo lqwhuhvw udwh wr h{shfwhg frqvxpswlrq jurzwk dv
glvfxvvhg lq Vhfwlrq LY1D1 Wkh ulvn suhplxp rq erqgv lv dovr lqirupdwlyh> lw lv vpdoo
uhodwlyh wr wkh htxlw| suhplxp/ dqg wklv uhpdlqv wuxh hyhq li rqh glylghv e| wkh
vwdqgdug ghyldwlrq ri uhwxuq wr fdofxodwh d Vkdush udwlr1 Wklv idfw lv frqvlvwhqw zlwk
ulvn0edvhg prghov ri wkh htxlw| suhplxp lq zklfk wkh VGI lv pruh kljko| fruuhodwhg
zlwk vwrfnv wkdq zlwk erqgv/ exw lw uxqv frxqwhu wr prghov wkdw h{sodlq wkh htxlw|
suhplxp dv wkh uhvxow ri oltxlglw| vhuylfhv iurp vkruw0whup Wuhdvxu| ghew zklfk gulyh
grzq wkh htxloleulxp vkruw0whup lqwhuhvw udwh +Edqvdo dqg Frohpdq +4<<9,,1 Xqohvv
orqj0whup Wuhdvxu| erqgv dovr surylgh oltxlglw| vhuylfhv/ wkh oltxlglw|0edvhg prgho
vkrxog lpso| d odujh |lhog vsuhdg ri orqj0whup ryhu vkruw0whup Wuhdvxu| ghew1
Wklug/ wkh vkruw0whup qrplqdo lqwhuhvw udwh lv dq lpsruwdqw gulylqj yduldeoh lq
dq| qrplqdo whup0vwuxfwxuh prgho1 Rqh fdqqrw ljqruh wkh idfw wkdw wkh vkruw udwh
lv gluhfwo| frqwuroohg e| wkh prqhwdu| dxwkrulw|/ zklfk uhvsrqgv wr pdfurhfrqrplf
frqglwlrqv e| fkdqjlqj wkh udwh lq glvfuhwh mxpsv1 Edogx}}l/ Ehuwrod/ dqg Iruhvl
+4<<:, dqg Sld}}hvl +4<<<, dgguhvv wklv lvvxh1
59
LLL1 Frqvxpswlrq dqg Sruwirolr Fkrlfh iru Orqj0Whup Lqyhvwruv
Wkh jhqhudo wkhru| rxwolqhg lq vhfwlrq L fdq dovr eh xvhg wr xqghuvwdqg wkh pl0
furhfrqrplf wkhru| ri sruwirolr fkrlfh1 Lq d rqh0shulrg prgho/ wkh frqqhfwlrq lv
sduwlfxoduo| fohdu1 Li dq lqyhvwru & olyhv r qdqfldo zhdowk dqg frqvxphv doo zhdowk
W
wrpruurz/ wkhq wkh lqyhvwru*v frqvxpswlrq wrpruurz/ &c|n / lv mxvw wkh sd|r f&c|n
W
rq wkh rswlpdo sruwirolr= &c|n ' f&c|n 1 Xvlqj wkh uhodwlrq ehwzhhq wkh VGI dqg
W
/
wkh jurzwk udwh ri wkh pdujlqdo xwlolw| ri frqvxpswlrq/ zh kdyh |n ' w| L& Ef&c|n
zkhuh w| nqrzq dw wlph | fdswxuhv wlph glvfrxqwlqj dqg pdujlqdo xwlolw| ri frqvxps0
wlrq dw wlph |1 Lqyhuwlqj wklv uhodwlrq/
!Q
W
f&c|n
' L& E|n *w| +48,
Jlyhq dq h{rjhqrxv VGI wkdw vxppdul}hv wkh dydlodeoh dvvhw uhwxuqv/ wklv htxd0
wlrq ghwhuplqhv wkh sd|rv rq wkh rswlpdo sruwirolr iru dq lqyhvwru zlwk xwlolw| ixqf0
wlrq L& 1 Lq wkh fodvvlf fdvh zkhuh L& lv txdgudwlf/ L& lv olqhdu dqg wkh rswlpdo
sruwirolr fdq eh irxqg xvlqj wkh phdq0yduldqfh dqdo|vlv ri Pdunrzlw} +4<85,1 Lq d
FDSP htxloleulxp zkhuh |n lv olqhdu lq wkh uhwxuq rq wkh pdunhw sruwirolr/ dq
lqyhvwru zlwk olqhdu L& krogv d pl{ ri d ulvnohvv dvvhw dqg wkh pdunhw1 Li |n lv
kljko| yrodwloh/ wkhq wkh rswlpdo sruwirolr sd|r dqg frqvxpswlrq duh dovr kljko|
yrodwloh xqohvv wkh lqyhvwru lv kljko| ulvn dyhuvh +L& lv udslgo| ghfolqlqj,1
Wkh gl!fxow wdvn idfhg e| prghuq sruwirolr wkhru| lv wr h{whqg wkhvh lqvljkwv wr
d pxowl0shulrg vhwwlqj lq zklfk lqyhvwruv vhhn wr qdqfh d vwuhdp ri frqvxpswlrq
ryhu d orqj olihwlph1 Ilqdqfldo hfrqrplvwv kdyh xqghuvwrrg iru dw ohdvw 63 |hduv
wkdw wkh vroxwlrq wr d pxowl0shulrg sruwirolr fkrlfh sureohp fdq eh yhu| glhuhqw
iurp wkh vroxwlrq wr d vwdwlf sruwirolr fkrlfh sureohp1 Vdpxhovrq +4<9<, ghulyhg
uhvwulfwlyh frqglwlrqv xqghu zklfk wkhvh wzr vroxwlrqv duh wkh vdph +sruwirolr fkrlfh
lv p|rslf,1 Iru dq lqyhvwru zlwk qr oderu lqfrph zkr pd{lpl}hv wkh h{shfwhg ydoxh
ri d wlph0vhsdudeoh yrq Qhxpdqq0Prujhqvwhuq xwlolw| ixqfwlrq/ vx!flhqw frqglwlrqv
iru p|rslf sruwirolr fkrlfh duh hlwkhu orj xwlolw| +zlwk frqvwdqw uhodwlyh ulvn dyhuvlrq
htxdo wr rqh,/ ru erwk srzhu xwlolw| +frqvwdqw uhodwlyh ulvn dyhuvlrq, dqg uhwxuqv wkdw
duh lqghshqghqwo| dqg lghqwlfdoo| glvwulexwhg +LLG, ryhu wlph1
Phuwrq +4<9</ 4<:4/ 4<:6, vkrzhg wkdw li lqyhvwphqw rssruwxqlwlhv duh ydu|0
lqj ryhu wlph/ wkhq orqj0whup lqyhvwruv jhqhudoo| fduh derxw vkrfnv wr lqyhvwphqw
rssruwxqlwlhvwkh surgxfwlylw| ri zhdowkdv zhoo dv vkrfnv wr zhdowk lwvhoi1 Wkh|
pd| vhhn wr khgjh wkhlu h{srvxuhv wr zhdowk surgxfwlylw| vkrfnv/ dqg wklv jlyhv ulvh wr
5:
lqwhuwhpsrudo khgjlqj ghpdqgv iru qdqfldo dvvhwv1 Euhqqdq/ Vfkzduw}/ dqg Odjqdgr
+4<<:, kdyh frlqhg wkh skudvh vwudwhjlf dvvhw doorfdwlrq wr ghvfuleh wklv idu0vljkwhg
uhvsrqvh wr wlph0ydu|lqj lqyhvwphqw rssruwxqlwlhv1
Xqiruwxqdwho| wkh lqwhuwhpsrudo frqvxpswlrq dqg sruwirolr fkrlfh sureohp lv kdug
wr vroyh lq forvhg irup1 Fr{ dqg Kxdqj +4<;<, pdgh frqfhswxdo surjuhvv e| vkrzlqj
wkdw d yhuvlrq ri +48, pxvw krog iru hdfk ixwxuh gdwh lq d pxowl0shulrg prgho/ exw
wklv grhv qrw jhqhudoo| ohdg wr d forvhg0irup vroxwlrq1 Ihz vroxwlrqv kdyh ehhq dydlo0
deoh rxwvlgh wkrvh wulyldo fdvhv zkhuh wkh Phuwrq prgho uhgxfhv wr wkh vwdwlf prgho/
vhyhuho| olplwlqj wkh hpslulfdo dssolfdelolw| ri wkh Phuwrq prgho dqg lwv lq xhqfh rq
dvvhw pdqdjhphqw sudfwlfhv1 Yhu| uhfhqwo| wklv vlwxdwlrq kdv ehjxq wr fkdqjh dv d uh0
vxow ri vhyhudo uhodwhg ghyhorsphqwv1 Iluvw/ frpsxwlqj srzhu dqg qxphulfdo phwkrgv
kdyh dgydqfhg wr wkh srlqw dw zklfk uhdolvwlf pxowl0shulrg sruwirolr fkrlfh sureohpv
fdq eh vroyhg qxphulfdoo| xvlqj glvfuhwh0vwdwh dssur{lpdwlrqv1 Vhfrqg/ qdqfldo wkh0
rulvwv kdyh glvfryhuhg vrph qhz forvhg0irup vroxwlrqv wr wkh Phuwrq prgho1 Wklug/
dssur{lpdwh dqdo|wlfdo vroxwlrqv kdyh ehhq ghyhorshg1 Wkhvh vroxwlrqv duh edvhg rq
shuwxuedwlrqv ri nqrzq h{dfw vroxwlrqv1 Wkh| rhu dqdo|wlfdo lqvljkwv lqwr lqyhvwru
ehkdylru lq prghov wkdw idoo rxwvlgh wkh vwloo olplwhg fodvv wkdw fdq eh vroyhg h{dfwo|1
D1 Vshflfdwlrq ri Xwlolw|
D uvw lpsruwdqw lvvxh lv wkh vshflfdwlrq ri xwlolw|1 Urvv +4<<;, srlqwv rxw wkdw
wkh lqyhvwphqw krul}rq fdq dhfw sruwirolr fkrlfh/ hyhq zlwk LLG uhwxuqv/ rqfh zh
uhod{ wkh dvvxpswlrq ri srzhu xwlolw|1 Krzhyhu rqo| d ihz xwlolw| vshflfdwlrqv duh
frqvlvwhqw zlwk wkh revhuydwlrq wkdw lqwhuhvw udwhv dqg ulvn suhpld kdyh uhpdlqhg
vwdwlrqdu| ryhu pruh wkdq d fhqwxu| ri X1V1 hfrqrplf jurzwk1 Prvw prghov ri xwlolw|
lpso| wkdw wuhqgv lq shu fdslwd frqvxpswlrq dqg zhdowk zrxog jhqhudwh frxqwhuidfwxdo
wuhqgv lq qdqfldo yduldeohv1 Iru wklv uhdvrq prvw uhvhdufk zrunv hlwkhu zlwk srzhu
xwlolw|/ ru zlwk jhqhudol}dwlrqv wkdw uhwdlq wkh vfdoh0lqghshqghqfh ri srzhu xwlolw|18
Rqh dsshdolqj jhqhudol}dwlrq ri srzhu xwlolw| kdv ehhq sursrvhg e| Hsvwhlq dqg
]lq +4<;</ 4<<4, dqg Zhlo +4<;<,/ exloglqj rq wkh zrun ri Nuhsv dqg Sruwhxv +4<:;,1
Wklv prgho pryhv rxwvlgh wkh yrq Qhxpdqq0Prujhqvwhuq iudphzrun ri h{shfwhg
8
Prghov ri lqfrph ulvn ru qrlvh wudglqj/ krzhyhu/ vrphwlphv dvvxph frqvwdqw devroxwh ulvn dyhu0
vlrq iru wudfwdelolw|1 Wr suhyhqw wuhqglqj ulvn suhpld/ vxfk prghov fdq dvvxph d wuhqg lq wkh
qxpehu ri ulvn0dyhuvh lqyhvwruv +htxlydohqwo| d wuhqg lq wkh ulvn0ehdulqj fdsdflw| ri wkh hfrqrp|, wr
frxqwhudfw wkh wuhqg lq wkh vfdoh ri wkh hfrqrp|1 Fdpsehoo dqg N|oh +4<<6, lv dq h{dpsoh1
5;
xwlolw| lq rughu wr vhsdudwh wkh frh!flhqw ri uhodwlyh ulvn dyhuvlrq iurp wkh hodvwlflw|
ri lqwhuwhpsrudo vxevwlwxwlrq lq frqvxpswlrq1 Wkh Hsvwhlq0]lq remhfwlyh ixqfwlrq
fdq eh zulwwhq dv
w
k
Q!
3 Qw l Q!
L E| c H| EL|n ' E B | w n B H| L|n
c
+49,
zkhuh | lv frqvxpswlrq dw wlph |c : f lv wkh uhodwlyh ulvn dyhuvlrq frh!flhqw/
: f lv wkh hodvwlflw| ri lqwhuwhpsrudo vxevwlwxwlrq/ f B  lv wkh wlph glvfrxqw
idfwru/ w E *E *c dqg H| E lv wkh frqglwlrqdo h{shfwdwlrq rshudwru1 Iru
wlph0vhsdudeoh srzhu xwlolw|/ ' * dqg khqfh w ' 1 Lq wklv fdvh wkh qrqolqhdu
uhfxuvlyh htxdwlrq +49, ehfrphv d olqhdu htxdwlrq wkdw fdq eh vroyhg iruzdug wr gholyhu
wkh idploldu wlph0vhsdudeoh srzhu xwlolw| ixqfwlrq1
Hsvwhlq0]lq xwlolw| lv kdughu wr zrun zlwk wkdq wlph0vhsdudeoh srzhu xwlolw|/ exw
Hsvwhlq dqg ]lq kdyh xvhg wkh dvvxpswlrq wkdw wkh lqyhvwru kdv qr oderu lqfrph dqg
olyhv hqwluho| r qdqfldo zhdowk wr vkrz wkdw wkh lqwhuwhpsrudo pdujlqdo udwh ri vxe0
vwlwxwlrq wdnhv wkh irup BE|n *| 3w* E n -Rc|n w3 / zkhuh -Rc|n lv wkh lqyhvwru*v
sruwirolr uhwxuq1 Li frqvxpswlrq dqg uhwxuqv duh mrlqwo| orjqrupdo/ wklv lpsolhv wkdw
h{shfwhg frqvxpswlrq jurzwk lv olqhdu lq wkh h{shfwhg sruwirolr uhwxuq zlwk vorsh
frh!flhqw / dqg wkdw hdfk dvvhw*v ulvn suhplxp pxvw htxdo d zhljkwhg dyhudjh ri
wkh dvvhw*v fryduldqfh zlwk wkh rswlpdo sruwirolr uhwxuq +dv lq wkh vwdwlf FDSP, dqg
rswlpdo frqvxpswlrq jurzwk +dv lq wkh frqvxpswlrq FDSP,1
Jlrydqqlql dqg Zhlo +4<;<, kdyh vkrzq wkdw lq wklv prgho/ sruwirolr fkrlfh lv p|0
rslf zkhq '  iru dq| ydoxh ri 1 Wkxv Vdpxhovrq*v frqglwlrqv iru p|rslf sruwirolr
fkrlfh fdq eh uhod{hg voljkwo| lq wklv iudphzrun1 Zkhq ' / wkh frqvxpswlrq0
zhdowk udwlr lv frqvwdqw iru dq| ydoxh ri / exw sruwirolr fkrlfh lv dhfwhg e| lq0
whuwhpsrudo khgjlqj ghpdqg xqohvv ' 1 Fdpsehoo +4<<6/ 4<<9, dqg Fdpsehoo
dqg Ylfhlud +4<<</ 5333, kdyh xvhg wkh Hsvwhlq0]lq prgho zlwk '  dv d ehqfkpdun
fdvh dqg kdyh ghulyhg dssur{lpdwh vroxwlrqv wkdw duh dffxudwh li lv vx!flhqwo| forvh
wr rqh1 Qxphulfdo zrun vxjjhvwv wkdw dffxudf| lv dffhswdeoh iru ohvv wkdq derxw
wkuhh1
Dq dowhuqdwlyh udwlrqdoh iru wklv irup ri suhihuhqfhv lv surylghg e| Pdhqkrxw
+4<<<,1 Kh exlogv rq wkh zrun ri Dqghuvrq/ Kdqvhq/ dqg Vdujhqw +4<<<, wr vkrz
wkdw Hsvwhlq0]lq suhihuhqfhv pd| uhvxow iurp srzhu xwlolw|/ wrjhwkhu zlwk d suhihu0
hqfh iru urexvwqhvv +fkrlfhv wkdw gholyhu ghvludeoh rxwfrphv lq wkh idfh ri prgho
xqfhuwdlqw|/ hydoxdwhg xvlqj wkh zruvw sodxvleoh prgho,1 Htxlydohqw vwrfkdvwlf gli0
ihuhqwldo xwlolw| suhihuhqfhv kdyh ehhq irupxodwhg lq frqwlqxrxv wlph e| Gx!h dqg
5<
Hsvwhlq +4<<5,/ dqg kdyh ehhq xvhg wr vwxg| orqj0whup sruwirolr fkrlfh e| Vfkurghu
dqg Vnldgdv +4<<<,1
Lw lv srvvleoh wr frqvwuxfw rwkhu prghov ri xwlolw| wkdw suhvhuyh wkh ghvludeoh vfdoh0
lqghshqghqfh ri srzhu xwlolw|1 Rqh vwudwhj| lv wr zulwh xwlolw| dv d srzhu ixqfwlrq ri
vrph yduldeoh rwkhu wkdq frqvxpswlrq= iru h{dpsoh/ frqvxpswlrq uhodwlyh wr d kdelw
ru vxevlvwhqfh ohyho wkdw fdswxuhv wkh sdvw klvwru| ri frqvxpswlrq1 Wklv dssurdfk lv
glvfxvvhg lq Vhfwlrq LY1E1 Dqrwkhu vwudwhj| lv wr prgho d uhihuhqfh srlqw wkdw jurzv
zlwk frqvxpswlrq ru zhdowk/ dqg wr ghqh xwlolw| uhodwlyh wr wklv uhihuhqfh srlqw lq d
vfdoh0lqghshqghqw zd|1 Wklv dssurdfk lv glvfxvvhg lq Vhfwlrq YL1E141 Iru wkh uhvw
ri wklv vhfwlrq/ krzhyhu/ L zloo iroorz wkh exon ri wkh plfurhfrqrplf sruwirolr fkrlfh
olwhudwxuh dqg frqvlghu lqyhvwruv zkr kdyh srzhu ru Hsvwhlq0]lq xwlolw|1
E1 Wlph0Ydu|lqj Lqyhvwphqw Rssruwxqlwlhv
E141 Yduldwlrq lq Uhdo Lqwhuhvw Udwhv
Rqh ri wkh prvw reylrxv zd|v lq zklfk lqyhvwphqw rssruwxqlwlhv ydu| lv wkdw
uhdo lqwhuhvw udwhv fkdqjh ryhu wlph1 Uhdo d!qh0|lhog prghov vxuyh|hg lq vhfwlrq LL1E
fdswxuh wklv yduldwlrq dqg ghulyh lpsolfdwlrqv iru orqj0whup erqg |lhogv1 Li wkhuh zhuh
qr yduldwlrq lq uhdo lqwhuhvw udwhv/ lq dwlrq0lqgh{hg erqgv zrxog kdyh frqvwdqw sulfhv
dqg zrxog eh shuihfw vxevwlwxwhv iru fdvk> wkxv dq| frkhuhqw prgho ri wkh ghpdqg iru
orqj0whup uhdo erqgv pxvw eh dq lqwhuwhpsrudo udwkhu wkdq d vwdwlf prgho1 Qrplqdo
lqwhuhvw udwhv duh dovr lq xhqfhg e| lq dwlrq vkrfnv/ exw khuh wrr dq lqwhuwhpsrudo
prgho lv dssursuldwh wr fdswxuh wkh hhfwv ri fkdqjlqj uhdo lqwhuhvw udwhv1
Lqyhvwphqw dgylvhuv riwhq dujxh wkdw orqj0whup erqgv duh dssursuldwh iru frqvhuyd0
wlyh orqj0whup lqyhvwruv1 Lq idfw/ wkh uhfrpphqghg lqyhvwphqw doorfdwlrqv ri vhyhudo
qdqfldo froxpqlvwv dqg pxwxdo0ixqg frpsdqlhv vxppdul}hg e| Fdqqhu/ Pdqnlz/
dqg Zhlo +4<<:, v|vwhpdwlfdoo| lqfuhdvh wkh udwlr ri erqgv wr vwrfnv iru pruh frqvhu0
ydwlyh lqyhvwruv1 Erqg uhwxuqv duh ulvn| lq wkh vkruw whup/ krzhyhu/ vr wklv dgylfh
frqwudglfwv wkh pxwxdo0ixqg wkhruhp ri Wrelq +4<8;,/ dffruglqj wr zklfk doo lqyhvwruv
vkrxog krog wkh vdph sruwirolr ri ulvn| dvvhwv/ wkh wdqjhqf| sruwirolr ri phdq0yduldqfh
dqdo|vlv1 Frqvhuydwlyh lqyhvwruv vkrxog krog ohvv ri wklv sruwirolr dqg pruh ri d vkruw0
whup vdih dvvhw/ exw wkh uhodwlyh sursruwlrqv ri glhuhqw ulvn| dvvhwvlqfoxglqj vwrfnv
dqg erqgvvkrxog eh wkh vdph iru frqvhuydwlyh lqyhvwruv dv iru djjuhvvlyh lqyhvwruv1
Fdqqhu/ Pdqnlz/ dqg Zhlo fdoo wklv frqwudglfwlrq wkh dvvhw doorfdwlrq sx}}oh1
63
Wkh Wrelq pxwxdo0ixqg wkhruhp wdnhv d vkruw0whup shuvshfwlyh/ ghqlqj d vkruw0
whup vdih dvvhw dv ulvnohvv dqg orqj0whup erqgv dv ulvn|1 Vxfk d shuvshfwlyh lv
lqdssursuldwh iru d orqj0whup lqyhvwru zkr fduhv derxw wkh glvwulexwlrq ri zhdowk dw
d {hg gdwh lq wkh glvwdqw ixwxuh1 Vkruw0whup dvvhwv duh qrw vdih iru vxfk dq lqyhvwru/
ehfdxvh wkh| pxvw eh uroohg ryhu dw xqfhuwdlq ixwxuh lqwhuhvw udwhv1 Lqvwhdg/ d orqj0
whup }hur0frxsrq erqg wkdw pdwxuhv rq wkh whuplqdo gdwh lv wkh vdih dvvhw iru wklv
lqyhvwru +Prgljoldql dqg Vxwfk +4<99,,1
Wklv lqvljkw kdv uhfhqwo| ehhq h{whqghg wr wkh pruh uhdolvwlf fdvh lq zklfk wkh
lqyhvwru fduhv derxw wkh vwuhdp ri frqvxpswlrq wkdw fdq eh qdqfhg e| zhdowk/ udwkhu
wkdq wkh glvwulexwlrq ri zhdowk dw dq| sduwlfxodu gdwh1 Euhqqdq dqg [ld +4<<;,
frqvlghu d srzhu0xwlolw| lqyhvwru zlwk d qlwh krul}rq/ deoh wr ex| lq dwlrq0lqgh{hg
erqgv dw lqwhuhvw udwhv ghwhuplqhg e| wkh Ydvlfhn +4<::, prgho1 Wkh| vkrz wkdw
dv ulvn dyhuvlrq lqfuhdvhv/ wkh lqyhvwru*v sruwirolr frqyhujhv wr dq lq dwlrq0lqgh{hg
frxsrq erqg pdwxulqj dw wkh krul}rq1 Zdfkwhu +4<<;, suryhv d pruh jhqhudo yhuvlrq
ri wklv uhvxow1
Fdpsehoo dqg Ylfhlud +5333, w d wzr0idfwru krprvnhgdvwlf prgho ri wkh VGI
wr gdwd rq X1V1 qrplqdo lqwhuhvw udwhv/ vwrfn uhwxuqv/ dqg lq dwlrq1 Wkh| frqvlghu
dq lqqlwho|0olyhg lqyhvwru zlwk Hsvwhlq0]lq xwlolw|/ ghulyh d sruwirolr vroxwlrq wkdw lv
h{dfw zkhq '  dqg dssur{lpdwh rwkhuzlvh/ dqg vkrz wkdw wkh vkduh ri qrplqdo
erqgv uhodwlyh wr vwrfnv lqfuhdvhv zlwk ulvn dyhuvlrq zkhq erqgv duh lq dwlrq0lqgh{hg/
ru zkhq lq dwlrq ulvn lv prghudwh dv lw kdv ehhq lq wkh X1V1 lq wkh odvw 48 |hduv1 Lq
wklv zd| wkh| uhvroyh wkh dvvhw doorfdwlrq sx}}oh1
E151 Yduldwlrq lq Ulvn Suhpld
Lw lv riwhq dujxhg wkdw vwrfnv duh uhodwlyho| vdihu iru orqj0whup lqyhvwruv +Vlhjho
4<<<,1 Li dvvhw uhwxuqv duh LLG/ wklv fdqqrw eh wuxh ehfdxvh wkh phdqv dqg yduldqfhv
ri doo dvvhw uhwxuqv lqfuhdvh lq sursruwlrq zlwk wkh lqyhvwphqw krul}rq1 Wkxv dq|
fodlp ri wklv vruw pxvw eh edvhg rq suhglfwdelolw| ri vwrfn uhwxuqv1 Lq idfw/ wkh
hpslulfdo hylghqfh vxppdul}hg lq L1D17 grhv lpso| wkdw wkh yduldqfh ri vwrfn uhwxuqv
lqfuhdvhv pruh vorzo| wkdq sursruwlrqdoo| zlwk wkh lqyhvwphqw krul}rq1 Srwhued dqg
Vxpphuv +4<;;, suhvhqw gluhfw hylghqfh iru wklv hhfw edvhg rq wkh suhgrplqdqwo|
qhjdwlyh xqlyduldwh dxwrfruuhodwlrqv ri vwrfn uhwxuqv/ dqg Fdpsehoo +4<<4, uhsruwv
lqgluhfw hylghqfh edvhg rq wkh suhglfwdelolw| ri vwrfn uhwxuqv iurp wkh glylghqg0sulfh
udwlr dqg wkh qhjdwlyh fruuhodwlrq ehwzhhq lqqrydwlrqv wr wkh vwrfn uhwxuq dqg wkh
64
glylghqg0sulfh udwlr1 Suhglfwdelolw| ri wklv vruw/ wkdw uhgxfhv orqj0whup ulvn uhodwlyh
wr vkruw0whup ulvn/ lv riwhq fdoohg phdq uhyhuvlrq1
Li vwrfn uhwxuqv duh phdq0uhyhuwlqj/ wklv djdlq lpsolhv wkdw lqyhvwphqw rssruwx0
qlwlhv duh wlph0ydu|lqj1 Rqfh djdlq dq lqwhuwhpsrudo prgho lv qhhghg wr fdofxodwh
rswlpdo lqyhvwphqw doorfdwlrqv1 Nlp dqg Rpehuj +4<<9, vroyh wkh sruwirolr fkrlfh
sureohp ri d orqj0olyhg lqyhvwru/ zlwk srzhu xwlolw| ghqhg ryhu zhdowk dw d glvwdqw
ixwxuh gdwh/ zkr idfhv d frqvwdqw ulvnohvv lqwhuhvw udwh dqg d wlph0ydu|lqj htxlw|
suhplxp wkdw iroorzv d krprvnhgdvwlf DU+4, surfhvv1 Wkh| vkrz wkdw zkhq wkh
vwrfn uhwxuq lv qhjdwlyho| fruuhodwhg zlwk lqqrydwlrqv wr wkh htxlw| suhplxp/ wkhq
wkh lqyhvwru lqfuhdvhv wkh dyhudjh doorfdwlrq wr vwrfnv li ulvn dyhuvlrq lv juhdwhu wkdq
rqh1 Zdfkwhu +4<<<, ghulyhv d vlplodu uhvxow iru dq lqyhvwru zkr kdv srzhu xwlolw| gh0
qhg ryhu frqvxpswlrq/ lq wkh vshfldo fdvh zkhuh wkh lqqrydwlrqv wr wkh vwrfn uhwxuq
dqg wkh htxlw| suhplxp duh shuihfwo| fruuhodwhg1 Fdpsehoo dqg Ylfhlud +4<<<, frq0
vlghu dq lqqlwho|0olyhg lqyhvwru zlwk Hsvwhlq0]lq xwlolw| ghqhg ryhu frqvxpswlrq1
Wkhlu vroxwlrq lv h{dfw zkhq ' / dqg dssur{lpdwh rwkhuzlvh1 Wkh| hvwlpdwh wkh
sdudphwhuv ri wkh prgho iurp srvwzdu X1V1 gdwd/ dqg qg wkdw wkh hvwlpdwhg phdq uh0
yhuvlrq gudpdwlfdoo| lqfuhdvhv wkh dyhudjh rswlpdo htxlw| doorfdwlrq ri d frqvhuydwlyh
orqj0whup lqyhvwru1
Lq doo wkhvh prghov wkh lqyhvwru rswlpdoo| wlphv wkh pdunhw/ dowhulqj wkh doorfdwlrq
wr vwrfnv dv wkh htxlw| suhplxp fkdqjhv1 Wkxv wkh prghov gr qrw vxssruw wkh ex|0
dqg0krog srolf| uhfrpphqghg e| Vlhjho +4<<<, iru orqj0whup lqyhvwruv19 Wklv dovr
udlvhv wkh lvvxh ri frqvlvwhqf| zlwk jhqhudo htxloleulxp> zlwk d frqvwdqw vxsso| ri
vwrfnv qrw doo lqyhvwruv fdq ex| ru vhoo vwrfnv dw wkh vdph wlph/ vr wkhvh prghov fdqqrw
eh xvhg wr ghvfuleh wkh ehkdylru ri d uhsuhvhqwdwlyh djhqw lq jhqhudo htxloleulxp1
Prghov zlwk wlph0ydu|lqj ulvn dyhuvlrq/ ri wkh vruw ghvfulehg lq Vhfwlrq LY1E/ vroyh
wkh frpsohphqwdu| sureohp ri qglqj suhihuhqfhv wkdw pdnh d uhsuhvhqwdwlyh djhqw
frqwhqw wr ex| dqg krog wkh pdunhw lq wkh idfh ri d wlph0ydu|lqj htxlw| suhplxp1
Euhqqdq/ Vfkzduw}/ dqg Odjqdgr +4<<9,/ Fdpsehoo/ Fkdq/ dqg Ylfhlud +4<<<,/
dqg O|qfk +4<<<, frpelqh wlph0ydu|lqj uhdo lqwhuhvw udwhv zlwk wlph0ydu|lqj ulvn
suhpld1 Wkh| hvwlpdwh pruh frpsoh{ hpslulfdo prghov lq zklfk erwk erqgv dqg
vwrfnv fdq eh xvhg wr khgjh djdlqvw fkdqjhv lq lqyhvwphqw rssruwxqlwlhv1 Wkh hvwl0
pdwhg suhglfwdelolw| ri vwrfn uhwxuqv whqgv wr lpso| wkdw khgjlqj ghpdqg lv odujhvw
9
D ex|0dqg0krog srolf| pd| eh d frqvwudlqhg rswlpxp li lqyhvwruv duh xqdeoh wr ohyhudjh wkhlu
htxlw| kroglqjv1 Lq wklv fdvh/ krzhyhu/ wkh frqvwudlqhg sureohp pxvw eh vroyhg iurp uvw sulqflsohv
vlqfh wkh frqvwudlqw dhfwv wkh rswlpdo frqvxpswlrq srolf| dv zhoo dv wkh rswlpdo sruwirolr1
65
iru vwrfnv1 Eudqgw +4<<<, xvhv d qrqsdudphwulf dssurdfk/ dyrlglqj wkh vshflfdwlrq
ri d sdudphwulf prgho/ dqg rewdlqv jhqhudoo| vlplodu uhvxowv1 Edogx}}l dqg O|qfk
+4<<<, vkrz krz wudqvdfwlrqv frvwv fdq dhfw rswlpdo orqj0whup sruwirolrv1
Doo wkhvh prghov dvvxph wkdw lqyhvwruv nqrz wkh sdudphwhuv ri wkh prgho iru dvvhw
uhwxuqv1 Wklv lv fohduo| xquhdolvwlf jlyhq wkh vxevwdqwldo xqfhuwdlqw| dprqj qdqfldo
hfrqrplvwv derxw wkhvh sdudphwhuv1 Edzd/ Eurzq/ dqg Nohlq +4<:<, surylghg dq
hduo| wuhdwphqw ri sdudphwhu xqfhuwdlqw| lq d vkruw0krul}rq prgho zlwk LLG dvvhw
uhwxuqv/ dqg Ndqgho dqg Vwdpedxjk +4<<9, kdyh frqvlghuhg wkh hhfwv rq d vkruw0
krul}rq lqyhvwru ri xqfhuwdlqw| derxw uhwxuq suhglfwdelolw|1 Zlooldpv +4<::,/ Grwkdq
dqg Ihogpdq +4<;9,/ dqg Jhqqrwwh +4<;9, srlqwhg rxw wkdw lq d orqj0krul}rq vhwwlqj/
rswlpdo sruwirolrv duh dhfwhg e| wkh idfw wkdw lqyhvwruv fdq ohduq derxw sdudphwhuv
ryhu wlph1 Euhqqdq +4<<;, dqg Eduehulv +4<<<, h{soruh wklv lvvxh hpslulfdoo|1 Li
dq lqyhvwru ohduqv derxw wkh phdq vwrfn uhwxuq e| revhuylqj uhdol}hg uhwxuqv/ wkhq
d srvlwlyh vwrfn uhwxuq zloo ohdg wkh lqyhvwru wr uhylvh xszdugv klv hvwlpdwh ri wkh
phdq vwrfn uhwxuq1 Wklv pdnhv vwrfn uhwxuqv srvlwlyho| fruuhodwhg zlwk h{shfwhg
ixwxuh vwrfn uhwxuqv/ wkh rssrvlwh ri wkh phdq0uhyhuvlrq hhfw1 Khgjlqj ghpdqg lv
fruuhvsrqglqjo| uhyhuvhg/ dqg wkh vwrfn ghpdqg ri frqvhuydwlyh orqj0whup lqyhvwruv
lv uhgxfhg1 [ld +4<<<, frqvlghuv wkh srvvlelolw| ri ohduqlqj derxw wkh ghjuhh ri phdq0
uhyhuvlrq lwvhoi1 Ixwxuh uhvhdufk zloo xqgrxewhgo| sxvk ixuwkhu lq wkh gluhfwlrq ri
lqwhjudwlqj wkh hvwlpdwlrq dqg sruwirolr fkrlfh sureohpv> Eudqgw +4<<<, vkrzv rqh
zd| wr gr wklv e| gluhfwo| hvwlpdwlqj dq rswlpdo sruwirolr uxoh udwkhu wkdq d surfhvv
iru dvvhw uhwxuqv1
F1 Oderu Lqfrph dqg Sruwirolr Fkrlfh
Oderu lqfrph fdq dovr kdyh lpsruwdqw hhfwv rq sruwirolr fkrlfh iru orqj0whup
lqyhvwruv1 Dq lpsruwdqw sdshu rq wklv wrslf lv Erglh/ Phuwrq/ dqg Vdpxhovrq +khuh0
diwhu EPV 4<<4,1 Wkhvh dxwkruv vkrz wkdw h{rjhqrxv/ ulvnohvv oderu lqfrph lv
htxlydohqw wr dq lpsolflw kroglqj ri ulvnohvv dvvhwv1 Suhylrxv uhvxowv dsso| wr wrwdo
dvvhw kroglqjv/ vr ulvnohvv oderu lqfrph wlowv h{solflw dvvhw kroglqjv wrzdugv ulvn| dv0
vhwv1 H{rjhqrxv oderu lqfrph wkdw lv shuihfwo| fruuhodwhg zlwk ulvn| dvvhwv/ rq wkh
rwkhu kdqg/ lv htxlydohqw wr dq lpsolflw kroglqj ri ulvn| dvvhwv dqg wlowv wkh qdqfldo
sruwirolr wrzdugv vdih dvvhwv1 EPV dovr frqvlghu wkh srvvlelolw| wkdw lqyhvwruv fdq
ydu| wkhlu oderu vxsso| hqgrjhqrxvo|1 Wkh| qg wkdw wklv lqfuhdvhv wkh zloolqjqhvv wr
wdnh ulvnv ehfdxvh lqyhvwruv fdq devrue qdqfldo orvvhv erwk e| fxwwlqj frqvxpswlrq
dqg e| dgmxvwlqj oderu vxsso|1
66
EPV gr qrw frqvlghu lglrv|qfudwlf ulvn lq oderu lqfrph wkdw fdqqrw eh khgjhg
xvlqj qdqfldo dvvhwv1 Uhfhqw wkhruhwlfdo zrun vkrzv wkdw vxfk edfnjurxqg ulvn fdq
kdyh lpsruwdqw hhfwv rq frqvxpswlrq dqg sruwirolr ghflvlrqv> Jroolhu +5333, surylghv
d wh{werrn wuhdwphqw1 Khuh wrr lw lv h{wuhpho| fkdoohqjlqj wr h{whqg wzr0shulrg
uhvxowv wr d pruh uhdolvwlf pxowl0shulrg vhwwlqj1 Ylfhlud +4<<<, vkrzv wkdw orjqrupdoo|
glvwulexwhg oderu lqfrph ulvn/ xqfruuhodwhg zlwk qdqfldo dvvhw ulvn/ uhgxfhv wkh wlow
wrzdugv ulvn| dvvhwv exw grhv qrw uhyhuvh lw1 Wklv w|sh ri ulvn dovr kdv d odujh hhfw
lq vwlpxodwlqj zhdowk dffxpxodwlrq wkurxjk suhfdxwlrqdu| vdylqj dv hpskdvl}hg e|
Fduuroo +4<<:,1
Ehuwdxw dqg Kdoldvvrv +4<<:,/ Khdwrq dqg Oxfdv +4<<:,/ Frffr/ Jrphv/ dqg Pdhq0
krxw +4<<;,/ dqg Vwruhvohwwhq/ Whophu/ dqg \durq +4<<;, kdyh h{soruhg wkh hhfwv ri
uhdolvwlfdoo| fdoleudwhg oderu lqfrph ulvn rq sruwirolr fkrlfh ryhu wkh olih f|foh1 Vlqfh
wkh udwlr ri oderu lqfrph wr zhdowk ulvhv hduo| lq dgxow olih dqg wkhq judgxdoo| gh0
folqhv/ wkh zloolqjqhvv wr wdnh htxlw| ulvn iroorzv d vlplodu sdwwhuq1 Gdpprq/ Vsdww/
dqg ]kdqj +4<<<, kdyh h{soruhg wkh olih0f|foh sruwirolr hhfwv ri wkh wd{ frgh/ dqg
sduwlfxoduo| wkh dgmxvwphqw ri wkh fdslwdo jdlqv wd{ edvlv dw ghdwk1 Wkh| qg wkdw
wkh wd{ frgh ghwhuv hoghuo| lqyhvwruv iurp vhoolqj vwrfnv/ zklfk lqfuhdvhv wkhlu dyhudjh
doorfdwlrq wr htxlwlhv1
67
LY1 Htxloleulxp Prghov zlwk d Uhsuhvhqwdwlyh Djhqw
Wkh wkhru| ri lqwhuwhpsrudo rswlpl}dwlrq uhodwhv wkh vwrfkdvwlf glvfrxqw idfwru wr
wkh pdujlqdo xwlolw| surfhvv iru dq xqfrqvwudlqhg lqyhvwru1 Wklv lq wxuq uhvwulfwv wkh
frqvxpswlrq ri vxfk dq lqyhvwru1 Wkh uhvhdufk vxppdul}hg lq vhfwlrq LLL xvhv wklv
idfw wr vroyh iru wkh rswlpdo frqvxpswlrq dqg sruwirolr fkrlfh ri lqyhvwruv zlwk h{rjh0
qrxvo| vshflhg xwlolw| ixqfwlrqv zkr idfh h{rjhqrxv dvvhw uhwxuq surfhvvhv +htxlyd0
ohqwo|/ dq h{rjhqrxv VGI,1
Oxfdv +4<:;, srlqwhg rxw wkdw wklv orjlf fdq eh uhyhuvhg wr ghulyh wkh htxlole0
ulxp VGI lpsolhg e| dq h{rjhqrxv frqvxpswlrq surfhvv dqg xwlolw| vshflfdwlrq1
Kh dvvxphg wkdw wkh hfrqrp| fdq eh ghvfulehg e| d uhsuhvhqwdwlyh lqyhvwru/ zlwk
d vwdqgdug xwlolw| ixqfwlrq/ zkr frqvxphv djjuhjdwh frqvxpswlrq1 Wkh uvw0rughu
frqglwlrqv ri wklv lqyhvwru ghwhuplqh wkh VGI1 Dvvhw sulfhv fdq eh ghwhuplqhg h{solf0
lwo| e| prghoolqj sd|rv mrlqwo| zlwk wkh VGI/ xvlqj phwkrgv ghvfulehg lq vhfwlrq LL1
Oxfdv prghoohg wkh djjuhjdwh vwrfn pdunhw dv sd|lqj d glylghqg htxdo wr djjuhjdwh
frqvxpswlrq> wklv lv htxlydohqw wr wkh wudglwlrqdo dvvxpswlrq lq qdqfh wkdw wkh vwrfn
pdunhw lv wkh pdunhw sruwirolr ri doo zhdowk1
D1 Wkuhh Sx}}ohv
Zlwk wkh vwdqgdug dvvxpswlrq ri srzhu xwlolw|/ wklv dssurdfk ohdgv wr wkuhh sx}0
}ohv1 Iluvw/ wkh dyhudjh uhwxuq rq wkh vwrfn pdunhw lv wrr kljk wr eh uhdglo| h{sodlqhg
e| wkh prgho1 Wkh VGI lpsolhg e| srzhu xwlolw| lv BE|n *| 3 / wkh wlph glvfrxqw
idfwru wlphv djjuhjdwh frqvxpswlrq jurzwk udlvhg wr wkh srzhu 1 Li zh dvvxph
mrlqw orjqrupdolw| ri frqvxpswlrq jurzwk dqg dvvhw uhwxuqv iru h{srvlwlrqdo frqyh0
qlhqfh/ wkh qhjdwlyh fryduldqfh ri wkh orj uhwxuq rq dvvhw zlwk wkh orj VGI ehfrphv
jS / wkh frh!flhqw ri ulvn dyhuvlrq wlphv wkh fryduldqfh ri dvvhw zlwk orj frqvxps0
wlrq jurzwk1 Wklv vkrxog htxdo wkh ulvn suhplxp rq dvvhw 1 Exw hpslulfdoo|/ X1V1
frqvxpswlrq jurzwk lv yhu| vprrwk +Fdpsehoo +4<<<, uhsruwv d vwdqgdug ghyldwlrq
ri derxw rqh shufhqw lq txduwhuo| srvwzdu X1V1 gdwd,1 Wkxv wkh fryduldqfh ri ulvn|
dvvhwv zlwk frqvxpswlrq jurzwk fdqqrw eh odujh/ qr pdwwhu krz kljko| fruuhodwhg
zlwk frqvxpswlrq jurzwk wkhvh dvvhwv pd| eh1 Wr h{sodlq wkh htxlw| suhplxp/
wkh frh!flhqw ri ulvn dyhuvlrq pxvw eh d pxfk kljkhu qxpehu wkdq kdv wudglwlrqdoo|
ehhq frqvlghuhg sodxvleoh1 Wklv lv wkh htxlw| suhplxp sx}}oh ri Phkud dqg Suhvfrww
+4<;8,1
68
Vhfrqg/ wkh yrodwlolw| ri vwrfn uhwxuqv lv wrr kljk wr eh uhdglo| h{sodlqhg e| wkh
prgho1 Vwrfn uhwxuqv duh gulyhq e| lqqrydwlrqv wr frqvxpswlrq jurzwk/ zklfk dhfw
erwk h{shfwhg ixwxuh glylghqgv dqg glvfrxqw udwhv1 H{shfwhg orj glylghqg jurzwk
htxdov h{shfwhg orj frqvxpswlrq jurzwk ,| {S|n / dqg lq d krprvnhgdvwlf orjqrupdo
prgho zlwk frqvwdqw ulvn suhpld/ wkh h{shfwhg orj vwrfn uhwxuq htxdov ,| {S|n /
ulvn dyhuvlrq wlphv h{shfwhg frqvxpswlrq jurzwk1 Xvlqj wkh dssur{lpdwh orjolqhdu
irupxod iru vwrfn uhwxuqv/ +45,/ wkh lpsolhg uhwxuq rq wkh djjuhjdwh vwrfn pdunhw/
oec|n / lv
oec|n ,| oec|n ' E{S|n ,| {S|n n E E,|n ,| "
[
4 {S|nn +4:,
'
Li frqvxpswlrq jurzwk lv LLG +wklv dsshduv wr eh dssur{lpdwho| wuxh lq srvwzdu X1V1
gdwd,/ wkhq h{shfwhg ixwxuh frqvxpswlrq jurzwk lv frqvwdqw dqg wkh xqh{shfwhg vwrfn
uhwxuq vkrxog htxdo fxuuhqw xqh{shfwhg frqvxpswlrq jurzwk1 Pruh jhqhudoo|/ yduld0
wlrqv lq h{shfwhg ixwxuh frqvxpswlrq jurzwk fdxvh rvhwwlqj yduldwlrqv lq h{shfwhg
ixwxuh glylghqg jurzwk dqg h{shfwhg ixwxuh vwrfn uhwxuqvwkh rvhw lv h{dfw li ulvn
dyhuvlrq ' dqg wklv pdnhv lw kdug wr jhqhudwh odujh yduldwlrqv lq fxuuhqw vwrfn
uhwxuqv1 Fdpsehoo +4<<<, fdoov wklv wkh vwrfn pdunhw yrodwlolw| sx}}oh1
Rqh uhvsrqvh wr wkh htxlw| suhplxp sx}}oh lv wr dffhsw wkh srvvlelolw| wkdw ulvn
dyhuvlrq pljkw eh kljkhu wkdq zdv wudglwlrqdoo| frqvlghuhg uhdvrqdeoh1 Rxu lqwxlwlrq
derxw ulvn dyhuvlrq kdv ehhq exlow wkurxjk wkrxjkw h{shulphqwv/ exw Ndqgho dqg
Vwdpedxjk +4<<4, srlqw rxw wkdw wkh uhvxowv ri vxfk h{shulphqwv duh yhu| vhqvlwlyh
wr ghwdlov ri wkhlu vshflfdwlrq/ lqfoxglqj sduwlfxoduo| wkh vl}h ri wkh jdpeoh rqh
frqvlghuv1
Zlwklq wkh srzhu xwlolw| iudphzrun/ lqfuhdvlqj ulvn dyhuvlrq kdv wkh xqiruwxqdwh
vlgh0hhfw ri orzhulqj wkh hodvwlflw| ri lqwhuwhpsrudo vxevwlwxwlrq +HLV,1 Zkloh wkhuh
lv gluhfw hylghqfh wkdw wkh HLV lv idluo| vpdoo +Kdoo +4<;;,/ Fdpsehoo dqg Pdqnlz
+4<;<,exw vhh Dwwdqdvlr dqg Zhehu +4<<6, dqg Ehdxgu| dqg ydq Zlqfrrs +4<<9,
iru vrphzkdw odujhu hvwlpdwhv,/ h{wuhpho| vpdoo ydoxhv iru wkh HLV lpso| wkdw lq0
yhvwruv kdyh dq ryhusrzhulqj suhihuhqfh iru d dw frqvxpswlrq sdwk1
Jlyhq wkh
klvwrulfdo xszdug guliw lq frqvxpswlrq/ wklv lpsolhv dq h{wuhpho| vwurqj ghvluh wr
eruurz iurp wkh ixwxuh1 Xqohvv wklv lv rvhw e| d orz ru hyhq qhjdwlyh udwh ri wlph
suhihuhqfh/ wkh uhvxow lv d frxqwhuidfwxdoo| kljk uhdo lqwhuhvw udwh1 Zhlo +4<;<, fdoov
wklv wkh ulvniuhh udwh sx}}oh1
Hsvwhlq0]lq xwlolw| fdq eh khosixo lq uhvroylqj wkh ulvniuhh udwh sx}}oh1 Lw/ olnh wkh
69
prgho ri kdelw irupdwlrq glvfxvvhg lq Vhfwlrq LY1E/ doorzv wkh HLV wr glhu iurp wkh
uhflsurfdo ri ulvn dyhuvlrq1 Wkxv rqh fdq srvwxodwh kljk ulvn dyhuvlrq wr uhvroyh wkh
htxlw| suhplxp sx}}oh zlwkrxw gulylqj wkh HLV wr dq xquhdvrqdeo| orz ydoxh1
Wkhuh lv qr vxfk vwudljkwiruzdug hvfdsh iurp wkh vwrfn pdunhw yrodwlolw| sx}}oh1
Wkh orjqrupdo prgho zlwk srzhu xwlolw| h{sodlqv yduldwlrq lq vwrfn sulfhv uhodwlyh wr
glylghqgv dv uhvxowlqj iurp suhglfwdeoh yduldwlrq lq ixwxuh frqvxpswlrq jurzwk wkdw
pryhv h{shfwhg ixwxuh glylghqgv dqg uhdo lqwhuhvw udwhv1 Xqiruwxqdwho|/ uhdo lqwhuhvw
udwhv duh wrr vwdeoh wr h{sodlq odujh vzlqjv lq vwrfn sulfhv +Fdpsehoo 4<<4,/ dqg wkhuh
lv yhu| olwwoh hylghqfh wkdw vwrfn sulfh0glylghqg udwlrv suhglfw ixwxuh frqvxpswlrq
jurzwk/ glylghqg jurzwk/ ru uhdo lqwhuhvw udwhv +Fdpsehoo 4<<<,1 Wklv vxjjhvwv wkdw
wkh yrodwlolw| ri vwrfn uhwxuqv pxvw eh h{sodlqhg e| fkdqjhv lq wkh htxlw| suhplxp
lwvhoi1
Rqh zd| wr jhqhudwh wlph0yduldwlrq lq wkh htxlw| suhplxp lv iurp wlph0yduldwlrq
lq yrodwlolw|1 Vfkzhuw +4<;<, suhvhqwv hylghqfh wkdw wkh frqglwlrqdo yrodwlolw| ri vwrfn
uhwxuqv pryhv frxqwhuf|folfdoo| dorqj zlwk iruhfdvwv ri vwrfn uhwxuqv/ dqg Eroohuvohy/
Hqjoh/ dqg Zrrogulgjh +4<;;, ghulyh lpsolfdwlrqv ri h{rjhqrxv pryhphqwv lq uhwxuq
yrodwlolw| iru wkh htxlw| suhplxp1 Ri frxuvh/ lw lv ghvludeoh wr ghulyh pryhphqwv lq
uhwxuq yrodwlolw| iurp xqghuo|lqj ixqgdphqwdov> dffruglqjo| Deho +4<;;,/ Ndqgho dqg
Vwdpedxjk +4<<4,/ Yhurqhvl +4<<<,/ dqg Zklwhodz +5333, prgho khwhurvnhgdvwlflw|
ru wlph0ydu|lqj xqfhuwdlqw| derxw wkh frqvxpswlrq +glylghqg, surfhvv1 D gl!fxow|
zlwk wkhvh hruwv lv wkdw wkh hylghqfh iru khwhurvnhgdvwlflw| lq djjuhjdwh frqvxpswlrq
lv idluo| zhdn1 Wklv vxjjhvwv wkdw lw pd| eh zruwkzkloh wr exlog d prgho lq zklfk
ulvn dyhuvlrq fkdqjhv ryhu wlph vr wkdw wkh sulfh ri ulvn/ udwkhu wkdq wkh txdqwlw| ri
ulvn/ lv wlph0ydu|lqj1
E1 Kdelw Irupdwlrq dqg Wlph0Ydu|lqj Ulvn Dyhuvlrq
Vxqgduhvdq +4<;<, dqg Frqvwdqwlqlghv +4<<3, kdyh dujxhg iru wkh lpsruwdqfh ri
kdelw irupdwlrq/ d srvlwlyh hhfw ri wrgd|*v frqvxpswlrq rq wrpruurz*v pdujlqdo
xwlolw| ri frqvxpswlrq1
Vhyhudo prgholqj lvvxhv dulvh dw wkh rxwvhw1 Zulwlqj wkh shulrg xwlolw| ixqfwlrq
dv LE| c f| / zkhuh f| lv wkh wlph0ydu|lqj kdelw ru vxevlvwhqfh ohyho/ wkh uvw lvvxh
lv wkh ixqfwlrqdo irup iru LE1 Deho +4<<3, kdv sursrvhg wkdw LE vkrxog eh d
srzhu ixqfwlrq ri wkh udwlr | *f| / zkloh prvw rwkhu uhvhdufkhuv kdyh xvhg d srzhu
ixqfwlrq ri wkh glhuhqfh | f| 1 Wkh vhfrqg lvvxh lv wkh hhfw ri dq djhqw*v rzq
6:
ghflvlrqv rq ixwxuh ohyhov ri kdelw1 Lq vwdqgdug lqwhuqdo kdelw prghov vxfk dv wkrvh
lq Frqvwdqwlqlghv +4<<3, dqg Vxqgduhvdq +4<;<,/ kdelw ghshqgv rq dq djhqw*v rzq
frqvxpswlrq dqg wkh djhqw wdnhv dffrxqw ri wklv zkhq fkrrvlqj krz pxfk wr frqvxph1
Lq h{whuqdo kdelw prghov vxfk dv wkrvh lq Deho +4<<3, dqg Fdpsehoo dqg Frfkudqh
+4<<<,/ kdelw ghshqgv rq djjuhjdwh frqvxpswlrq zklfk lv xqdhfwhg e| dq| rqh
djhqw*v ghflvlrqv1 Deho fdoov wklv fdwfklqj xs zlwk wkh Mrqhvhv1 Wkh wklug lvvxh lv wkh
vshhg zlwk zklfk kdelw uhdfwv wr lqglylgxdo ru djjuhjdwh frqvxpswlrq1 Deho +4<<3,
dqg Ihuvrq dqg Frqvwdqwlqlghv +4<<4, pdnh kdelw ghshqg rq rqh odj ri frqvxpswlrq/
zkhuhdv Frqvwdqwlqlghv +4<<3,/ Vxqgduhvdq +4<;<,/ Fdpsehoo dqg Frfkudqh +4<<<,/
dqg Khdwrq +4<<8, dvvxph wkdw kdelw uhdfwv rqo| judgxdoo| wr fkdqjhv lq frqvxpswlrq1
Wkh fkrlfh ehwzhhq udwlr prghov dqg glhuhqfh prghov ri kdelw lv lpsruwdqw eh0
fdxvh udwlr prghov kdyh frqvwdqw ulvn dyhuvlrq zkhuhdv glhuhqfh prghov kdyh wlph0
ydu|lqj ulvn dyhuvlrq1 Lq Deho*v +4<<3, udwlr prgho/ h{whuqdo kdelw dggv d whup wr
wkh htxdwlrq ghvfulelqj wkh ulvnohvv lqwhuhvw udwh/ exw grhv qrw fkdqjh wkh htxdwlrq
wkdw ghvfulehv wkh h{fhvv uhwxuq ri ulvn| dvvhwv ryhu wkh ulvnohvv lqwhuhvw udwh1 Wkh
hhfw rq wkh ulvnohvv lqwhuhvw udwh kdv wr gr zlwk lqwhuwhpsrudo vxevwlwxwlrq1 Krog0
lqj frqvxpswlrq wrgd| dqg h{shfwhg frqvxpswlrq wrpruurz frqvwdqw/ dq lqfuhdvh
lq frqvxpswlrq |hvwhugd| lqfuhdvhv wkh pdujlqdo xwlolw| ri frqvxpswlrq wrgd|1 Wklv
pdnhv wkh uhsuhvhqwdwlyh djhqw zdqw wr eruurz iurp wkh ixwxuh/ gulylqj xs wkh uhdo
lqwhuhvw udwh1
Wklv lqvwdelolw| ri wkh ulvnohvv uhdo lqwhuhvw udwh lv d ixqgdphqwdo sureohp iru kdelw
irupdwlrq prghov1 Wlph0qrqvhsdudeoh suhihuhqfhv pdnh pdujlqdo xwlolw| yrodwloh hyhq
zkhq frqvxpswlrq lv vprrwk/ ehfdxvh frqvxphuv ghulyh xwlolw| iurp frqvxpswlrq uho0
dwlyh wr lwv uhfhqw klvwru| udwkhu wkdq iurp wkh devroxwh ohyho ri frqvxpswlrq1 Exw xq0
ohvv wkh frqvxpswlrq dqg kdelw surfhvvhv wdnh sduwlfxodu irupv/ wlph0qrqvhsdudelolw|
dovr fuhdwhv odujh vzlqjv lq h{shfwhg pdujlqdo xwlolw| dw vxffhvvlyh gdwhv/ dqg wklv
lpsolhv odujh pryhphqwv lq wkh uhdo lqwhuhvw udwh1 L qrz suhvhqw dq dowhuqdwlyh vshfl0
fdwlrq lq zklfk lw lv srvvleoh wr vroyh wklv sureohp/ dqg lq zklfk ulvn dyhuvlrq ydulhv
ryhu wlph1
Fdpsehoo dqg Frfkudqh +4<<<, exlog d prgho zlwk h{whuqdo kdelw irupdwlrq lq
zklfk d uhsuhvhqwdwlyh djhqw ghulyhv xwlolw| iurp wkh glhuhqfh ehwzhhq frqvxpswlrq
dqg d wlph0ydu|lqj vxevlvwhqfh ru kdelw ohyho1 Wkh| dvvxph wkdw orj frqvxpswlrq
iroorzv d udqgrp zdon zlwk phdq } dqg lqqrydwlrq "Sc|n 1 Wklv lv d idluo| jrrg
dssur{lpdwlrq iru X1V1 gdwd1 Wkh xwlolw| ixqfwlrq ri wkh uhsuhvhqwdwlyh djhqw lv d
wlph0vhsdudeoh srzhu xwlolw| ixqfwlrq/ zlwk fxuydwxuh / ri wkh glhuhqfh ehwzhhq
6;
frqvxpswlrq | dqg kdelw f| 1 Xwlolw| lv rqo| ghqhg zkhq frqvxpswlrq h{fhhgv
kdelw1
Lw lv frqyhqlhqw wr fdswxuh wkh uhodwlrq ehwzhhq frqvxpswlrq dqg kdelw e| wkh
vxusoxv frqvxpswlrq udwlr 7| / ghqhg e| 7| E| f| *| 1 Wkh vxusoxv frqvxpswlrq
udwlr lv wkh iudfwlrq ri frqvxpswlrq wkdw h{fhhgv kdelw dqg lv wkhuhiruh dydlodeoh wr
jhqhudwh xwlolw|1 Li kdelw f| lv khog {hg dv frqvxpswlrq | ydulhv/ wkh orfdo frh!flhqw
ri uhodwlyh ulvn dyhuvlrq lv * ' *7| / zkhuh dqg duh wkh uvw dqg
vhfrqg ghulydwlyhv ri xwlolw| zlwk uhvshfw wr frqvxpswlrq1 Ulvn dyhuvlrq ulvhv dv wkh
vxusoxv frqvxpswlrq udwlr 7| ghfolqhv/ wkdw lv/ dv frqvxpswlrq dssurdfkhv wkh kdelw
ohyho1 Qrwh wkdw / wkh fxuydwxuh sdudphwhu lq xwlolw|/ lv qr orqjhu wkh frh!flhqw ri
uhodwlyh ulvn dyhuvlrq lq wklv prgho1
Wr frpsohwh wkh ghvfulswlrq ri suhihuhqfhv/ rqh pxvw vshfli| krz wkh kdelw f|
hyroyhv ryhu wlph lq uhvsrqvh wr djjuhjdwh frqvxpswlrq1 Fdpsehoo dqg Frfkudqh
vxjjhvw dq DU+4, prgho iru wkh orj vxusoxv frqvxpswlrq udwlr/ r| *L}E7| =
r|n ' E )7
r n )r| n b Er| "Sc|n +4;,
Wkh sdudphwhu ) jryhuqv wkh shuvlvwhqfh ri wkh orj vxusoxv frqvxpswlrq udwlr/ zkloh
wkh vhqvlwlylw| ixqfwlrq bEr| frqwurov wkh vhqvlwlylw| ri r|n dqg wkxv ri orj kdelw
%|n wr lqqrydwlrqv lq frqvxpswlrq jurzwk "Sc|n 1 Wklv prghoolqj vwudwhj| hqvxuhv
wkdw wkh kdelw surfhvv lpsolhg e| d surfhvv iru r|n dozd|v olhv ehorz frqvxpswlrq1
dv
Wr ghulyh wkh dvvhw sulflqj lpsolfdwlrqv ri wklv prgho/ rqh uvw fdofxodwhv wkh VGI
|n ' B
7|n
7|
3 |n
|
3
+4<,
Wkh VGI lv gulyhq e| sursruwlrqdo lqqrydwlrqv lq wkh vxusoxv frqvxpswlrq udwlr/ dv
zhoo dv e| sursruwlrqdo lqqrydwlrqv lq frqvxpswlrq1 Li wkh vxusoxv frqvxpswlrq udwlr
lv rqo| d vpdoo iudfwlrq ri frqvxpswlrq/ wkhq vpdoo vkrfnv wr frqvxpswlrq fdq eh odujh
vkrfnv wr wkh vxusoxv frqvxpswlrq udwlr> wkxv wkh VGI fdq eh kljko| yrodwloh hyhq
zkhq frqvxpswlrq lv vprrwk1 Wklv yrodwlolw| lv lwvhoi wlph0ydu|lqj vlqfh lw ghshqgv
rq wkh ohyho ri wkh vxusoxv frqvxpswlrq udwlr1
Wkh orjlf ri Kdqvhq dqg Mdjdqqdwkdq +4<<4, lpsolhv wkdw wkh odujhvw srvvleoh
Vkdush udwlr lv jlyhq e| wkh frqglwlrqdo vwdqgdug ghyldwlrq ri wkh orj VGI1 Wklv lv
jE n bEr| / vr d vhqvlwlylw| ixqfwlrq wkdw ydulhv lqyhuvho| zlwk r| gholyhuv d wlph0
ydu|lqj/ frxqwhuf|folfdo Vkdush udwlr1
6<
Wkh vdph phfkdqlvp khosv wr vwdelol}h wkh ulvnohvv uhdo lqwhuhvw udwh1 Zkhq wkh
vxusoxv frqvxpswlrq udwlr idoov/ lqyhvwruv kdyh dq lqwhuwhpsrudo0vxevwlwxwlrq prwlyh
wr eruurz iurp wkh ixwxuh/ exw wklv lv rvhw e| dq lqfuhdvhg suhfdxwlrqdu| vdylqjv
prwlyh fuhdwhg e| wkh yrodwlolw| ri wkh VGI1 Fdpsehoo dqg Frfkudqh sdudphwhul}h wkh
prgho vr wkdw wkhvh wzr hhfwv h{dfwo| fdqfho1 Wklv pdnhv wkh ulvnohvv uhdo lqwhuhvw
udwh frqvwdqw/ d nqlih0hgjh fdvh wkdw khosv wr uhyhdo wkh sxuh hhfwv ri wlph0ydu|lqj
ulvn dyhuvlrq rq dvvhw sulfhv1 Zlwk d frqvwdqw ulvnohvv udwh/ uhdo erqgv ri doo pdwxulwlhv
duh dovr ulvnohvv dqg wkhuh duh qr uhdo whup suhpld1 Wkxv wkh htxlw| suhplxp lv dovr
d suhplxp ri vwrfnv ryhu orqj0whup erqgv1
Zkhq wklv prgho lv fdoleudwhg wr w wkh uvw wzr prphqwv ri frqvxpswlrq jurzwk/
wkh dyhudjh ulvnohvv lqwhuhvw udwh/ dqg wkh Vkdush udwlr rq wkh vwrfn pdunhw/ lw dovr
urxjko| wv wkh yrodwlolw|/ suhglfwdelolw|/ dqg f|folfdolw| ri vwrfn uhwxuqv1 Wkh prgho
grhv qrw uhvroyh wkh htxlw| suhplxp sx}}oh/ vlqfh lw uholhv rq kljk dyhudjh ulvn dyhu0
vlrq/ exw lw grhv uhvroyh wkh vwrfn pdunhw yrodwlolw| sx}}oh1
Lw lv lpsruwdqw wr xqghuvwdqg wkh phfkdqlvp e| zklfk wklv uhvroxwlrq wdnhv sodfh1
Dq| vfdoh0lqghshqghqw prgho lpsolhv wkdw zhdowk dqg frqvxpswlrq duh frlqwhjudwhg/
vr ryhu vx!flhqwo| orqj krul}rqv wkhlu jurzwk udwhv pxvw kdyh wkh vdph yrodwlolw|1
Vlqfh wkh yrodwlolw| ri zhdowk vhhpv wr eh idu kljkhu wkdq wkh yrodwlolw| ri frqvxps0
wlrq lq wkh vkruw uxq/ wkh txhvwlrq lv krz wkhvh yrodwlolwlhv duh uhfrqflohg lq wkh orqj
uxq1 Wkh wzr srvvlelolwlhv duh wkdw frqvxpswlrq jurzwk lv srvlwlyho| dxwrfruuhodwhg/
vr wkh yduldqfh ri frqvxpswlrq jurzwk lqfuhdvhv pruh wkdq sursruwlrqdoo| zlwk wkh
krul}rq/ ru wkdw vwrfn uhwxuqv duh qhjdwlyho| dxwrfruuhodwhg/ vr wkh yduldqfh ri zhdowk
lqfuhdvhv ohvv wkdq sursruwlrqdoo| zlwk wkh krul}rq1 Wkh Fdpsehoo0Frfkudqh prgho
dvvxphv udqgrp zdon frqvxpswlrq dqg lpsolhv qhjdwlyh dxwrfruuhodwlrq ri vwrfn uh0
wxuqv1 Wkh Frqvwdqwlqlghv +4<<3, prgho ri kdelw irupdwlrq/ e| frqwudvw/ dvvxphv
LLG dvvhw uhwxuqv dqg lpsolhv srvlwlyh dxwrfruuhodwlrq ri frqvxpswlrq jurzwk1
Fdpsehoo dqg Frfkudqh +5333, ghyhors furvv0vhfwlrqdo lpsolfdwlrqv ri wkh kdelw0
irupdwlrq prgho1 Vlqfh wkh prgho lv gulyhq e| d vlqjoh vkrfn/ wkh vwrfn pdunhw uhwxuq
lv doprvw shuihfwo| fruuhodwhg zlwk wkh lqqrydwlrq wr frqvxpswlrq1 Wklv lpsolhv wkdw
hlwkhu d frqglwlrqdo frqvxpswlrq FDSP ru d frqglwlrqdo yhuvlrq ri wkh wudglwlrqdo
FDSP surylghv d jrrg frqglwlrqdo ghvfulswlrq ri uhwxuqv1 Xqfrqglwlrqdoo|/ krzhyhu/
wkh frqvxpswlrq FDSP zrunv srruo| ehfdxvh wkh VGI lv d wlph0ydu|lqj ixqfwlrq ri
frqvxpswlrq jurzwk1 Wkh pdunhw uhwxuq sduwo| fdswxuhv wklv wlph0yduldwlrq vr wkh
xqfrqglwlrqdo FDSP zrunv ehwwhu1 D vfdohg yhuvlrq ri wkh FDSP zrunv ehwwhu vwloo1
Wkhvh uhvxowv dsso| wr duwlfldo gdwd jhqhudwhg e| wkh kdelw0irupdwlrq prgho/ qrw wr
73
uhdo gdwd/ exw wkh| gr vxjjhvw wkh lpsruwdqfh ri xvlqj frqglwlrqdo prghov wr hydoxdwh
furvv0vhfwlrqdo dqrpdolhv dv lq wkh uhfhqw zrun ri Frfkudqh +4<<9,/ Mdjdqqdwkdq dqg
Zdqj +4<<9,/ dqg Ohwwdx dqg Oxgyljvrq +4<<<e,1
74
Y1 Htxloleulxp Prghov zlwk Khwhurjhqhrxv Djhqwv
Wkh suhylrxv vhfwlrq dvvxphg wkdw dvvhwv fdq eh sulfhg dv li wkhuh lv d uhsuh0
vhqwdwlyh djhqw zkr frqvxphv djjuhjdwh frqvxpswlrq1 Dq dowhuqdwlyh ylhz lv wkdw
djjuhjdwh frqvxpswlrq lv qrw dq dghtxdwh sur{| iru wkh frqvxpswlrq ri lqyhvwruv1
D1 Khwhurjhqhrxv Frqvwudlqwv
Rqh vlpsoh h{sodqdwlrq iru d glvfuhsdqf| ehwzhhq wkhvh wzr phdvxuhv ri frq0
vxpswlrq lv wkdw wkhuh duh wzr w|shv ri djhqwv lq wkh hfrqrp|= frqvwudlqhg djhqwv
zkr duh suhyhqwhg iurp wudglqj lq dvvhw pdunhwv dqg vlpso| frqvxph wkhlu oderu
lqfrph hdfk shulrg/ dqg xqfrqvwudlqhg djhqwv1 Wkh frqvxpswlrq ri wkh frqvwudlqhg
djhqwv lv luuhohydqw wr wkh ghwhuplqdwlrq ri htxloleulxp dvvhw sulfhv/ exw lw pd| eh d
odujh iudfwlrq ri djjuhjdwh frqvxpswlrq1 Fdpsehoo dqg Pdqnlz +4<;<, dujxh wkdw
suhglfwdeoh yduldwlrq lq frqvxpswlrq jurzwk/ fruuhodwhg zlwk suhglfwdeoh yduldwlrq lq
lqfrph jurzwk/ vxjjhvwv dq lpsruwdqw uroh iru frqvwudlqhg djhqwv/ zkloh Pdqnlz dqg
]hoghv +4<<4, dqg Eudy dqg Jhf}| +4<<9, xvh X1V1 sdqho gdwd wr vkrz wkdw wkh frq0
vxpswlrq ri vwrfnkroghuv lv pruh yrodwloh dqg pruh kljko| fruuhodwhg zlwk wkh vwrfn
pdunhw wkdq wkh frqvxpswlrq ri qrqvwrfnkroghuv1 Khdwrq dqg Oxfdv +4<<<, dqg
Ylvvlqj0Mûujhqvhq +4<<:, exlog jhqhudo htxloleulxp prghov lq zklfk d olplwhg iudfwlrq
ri wkh srsxodwlrq sduwlflsdwhv lq wkh vwrfn pdunhw1 Wkh| dujxh wkdw dq lqfuhdvhg
sduwlflsdwlrq udwh/ dorqj zlwk uhgxfhg frvwv ri glyhuvlfdwlrq/ pd| khos wr h{sodlq
uhfhqw lqfuhdvhv lq vwrfn sulfhv1 Vxfk hhfwv duh olnho| wr eh hyhq pruh lpsruwdqw lq
frxqwulhv zlwk orz vwrfn pdunhw fdslwdol}dwlrq dqg frqfhqwudwhg htxlw| rzqhuvkls1
Wklv ylhz vxjjhvwv dq dssurdfk wr dvvhw sulflqj lq zklfk rqh dvvxphv wkdw wkhuh
lv d uhsuhvhqwdwlyh lqyhvwru zkr krogv wkh pdunhw sruwirolr exw grhv qrw qhfhvvdulo|
frqvxph djjuhjdwh frqvxpswlrq1 Frqvxpswlrq ehfrphv xqrevhuydeoh/ dqg pxvw eh
vxevwlwxwhg rxw ri dq lqwhuwhpsrudo prgho1 Phuwrq*v +4<:6, lqwhuwhpsrudo FDSP
lv wkh fodvvlf h{dpsoh ri wklv dssurdfk1 Pruh uhfhqwo| Fdpsehoo +4<<6/ 4<<9, kdv
ghyhorshg dq hpslulfdo glvfuhwh0wlph yhuvlrq ri wklv prgho lq zklfk sulfhg idfwruv duh
lqqrydwlrqv wr yduldeohv wkdw iruhfdvw ixwxuh uhwxuqv rq wkh pdunhw sruwirolr1 Iru
uhdvrqv glvfxvvhg lq Vhfwlrq LLL/ wkh hvwlpdwhg phdq uhyhuvlrq ri djjuhjdwh vwrfn
pdunhw uhwxuqv lqfuhdvhv wkh ghpdqg iru vwrfnv e| wkh uhsuhvhqwdwlyh lqyhvwru li wkh
frh!flhqw ri uhodwlyh ulvn dyhuvlrq lv juhdwhu wkdq rqh1 Wklv lqfuhdvh lq htxlw| ghpdqg
phdqv wkdw wkh ulvn dyhuvlrq qhhghg wr w wkh htxlw| suhplxp lv odujh/ lq olqh zlwk
wkh frqvxpswlrq0edvhg olwhudwxuh ri Vhfwlrq LY/ udwkhu wkdq vpdoo/ dv vxjjhvwhg e|
75
Iulhqg dqg Eoxph +4<:8, xvlqj d vwdwlf prgho wkdw ljqruhv phdq uhyhuvlrq1 Wklv
zrun ghhshqv wkh htxlw| suhplxp sx}}oh e| vkrzlqj wkdw wkh sx}}oh dulvhv hyhq li
rqh ljqruhv djjuhjdwh frqvxpswlrq gdwd1
Rqh pljkw krsh wkdw dq lqwhuwhpsrudo FDSP ri wklv vruw/ zlwk dgglwlrqdo sulfhg
ulvnv eh|rqg vkrfnv wr wkh pdunhw/ frxog h{sodlq wkh furvv0vhfwlrqdo dqrpdolhv lq
vwrfn uhwxuqv1 Wklv olqh ri uhvhdufk lv surplvlqj/ exw lv kdpshuhg e| wkh Uroo +4<::,
fulwltxh wkdw djjuhjdwh zhdowk lwvhoi lv yhu| kdug wr phdvxuh1
E1 Khwhurjhqhrxv Lqfrph
Lw lv dovr srvvleoh wkdw xwlolw|0pd{lpl}lqj vwrfn pdunhw lqyhvwruv duh khwhurjhqhrxv
lq lpsruwdqw zd|v1 Li lqyhvwruv duh vxemhfw wr odujh lglrv|qfudwlf ulvnv lq wkhlu oderu
lqfrph dqg fdq vkduh wkhvh ulvnv rqo| lqgluhfwo| e| wudglqj d ihz dvvhwv vxfk dv vwrfnv
dqg Wuhdvxu| eloov/ wkhlu lqglylgxdo frqvxpswlrq sdwkv pd| eh pxfk pruh yrodwloh
wkdq djjuhjdwh frqvxpswlrq1 Hyhq li lqglylgxdo lqyhvwruv kdyh wkh vdph srzhu xwlolw|
ixqfwlrq/ vr wkdw dq| lqglylgxdo*v frqvxpswlrq jurzwk udwh udlvhg wr wkh srzhu zrxog eh d ydolg vwrfkdvwlf glvfrxqw idfwru/ wkh djjuhjdwh frqvxpswlrq jurzwk udwh
udlvhg wr wkh srzhu pd| qrw eh d ydolg vwrfkdvwlf glvfrxqw idfwru1
Wklv sureohp lv dq h{dpsoh ri Mhqvhq*v Lqhtxdolw|1 Vlqfh pdujlqdo xwlolw| lv qrq0
olqhdu/ wkh dyhudjh ri lqyhvwruv* pdujlqdo xwlolwlhv ri frqvxpswlrq lv qrw jhqhudoo| wkh
vdph dv wkh pdujlqdo xwlolw| ri dyhudjh frqvxpswlrq1 Wkh sureohp glvdsshduv zkhq
lqyhvwruv* lqglylgxdo frqvxpswlrq vwuhdpv duh shuihfwo| fruuhodwhg zlwk rqh dqrwkhu
dv wkh| zloo eh lq d frpsohwh pdunhwv vhwwlqj1 Jurvvpdq dqg Vkloohu +4<;5, srlqw rxw
wkdw lw dovr glvdsshduv lq d frqwlqxrxv0wlph prgho zkhq wkh surfhvvhv iru lqglylgxdo
frqvxpswlrq vwuhdpv dqg dvvhw sulfhv duh glxvlrqv1
Uhfhqwo| Frqvwdqwlqlghv dqg Gx!h +4<<9, kdyh surylghg d vlpsoh iudphzrun
zlwklq zklfk wkh hhfwv ri khwhurjhqhlw| fdq eh xqghuvwrrg1 Frqvwdqwlqlghv dqg
Gx!h srvwxodwh dq hfrqrp| lq zklfk lqglylgxdo lqyhvwruv & kdyh glhuhqw frqvxps0
wlrq ohyhov &| 1 Wkh furvv0vhfwlrqdo glvwulexwlrq ri lqglylgxdo frqvxpswlrq lv orj0
qrupdo/ dqg wkh fkdqjh iurp wlph | wr wlph | n  lq lqglylgxdo orj frqvxpswlrq lv
furvv0vhfwlrqdoo| xqfruuhodwhg zlwk wkh ohyho ri lqglylgxdo orj frqvxpswlrq dw wlph |1
Doo lqyhvwruv kdyh wkh vdph srzhu xwlolw| ixqfwlrq zlwk wlph glvfrxqw idfwru B dqg
frh!flhqw ri uhodwlyh ulvn dyhuvlrq 1
Lq wklv hfrqrp| hdfk lqyhvwru*v rzq lqwhuwhpsrudo pdujlqdo udwh ri vxevwlwxwlrq
76
lv d ydolg VGI1 Khqfh wkh furvv0vhfwlrqdo dyhudjh ri lqyhvwruv* lqwhuwhpsrudo pdujlqdo
W
/ lv d ydolg VGI1 Krzhyhu wkh pdujlqdo xwlolw| ri wkh furvv0
udwhv ri vxevwlwxwlrq/ |n
-
vhfwlrqdo dyhudjh ri lqyhvwruv* frqvxpswlrq/ |n
/ lv qrw d ydolg VGI zkhq pdujlqdo
xwlolw| lv qrqolqhdu1 Wklv idovh VGI zrxog eh xvhg lqfruuhfwo| e| dq hfrqrplvw zkr
ljqruhv wkh djjuhjdwlrq sureohp lq wkh hfrqrp|1
Wkh glhuhqfh ehwzhhq wkh orjv ri wkhvh wzr yduldeohv lv
E n 
V@hW|n {S&c|n c
+53,
2
zkhuh V@hW|n ghqrwhv d furvv0vhfwlrqdo yduldqfh phdvxuhg dw wlph |n1 Wkh wlph vhulhv
ri wklv glhuhqfh fdq kdyh d qrq}hur phdq/ khoslqj wr h{sodlq wkh ulvniuhh udwh sx}}oh/
dqg d qrq}hur yduldqfh/ khoslqj wr h{sodlq wkh htxlw| suhplxp sx}}oh1 Li wkh furvv0
vhfwlrqdo yduldqfh ri orj frqvxpswlrq jurzwk lv qhjdwlyho| fruuhodwhg zlwk wkh ohyho ri
djjuhjdwh frqvxpswlrq/ vr wkdw lglrv|qfudwlf ulvn lqfuhdvhv lq hfrqrplf grzqwxuqv/
wkhq wkh wuxh vwrfkdvwlf glvfrxqw idfwru 6W|n zloo eh pruh vwurqjo| frxqwhuf|folfdo
wkdq wkh uhsuhvhqwdwlyh0djhqw vwrfkdvwlf glvfrxqw idfwru frqvwuxfwhg xvlqj wkh vdph
suhihuhqfh sdudphwhuv> wklv kdv wkh srwhqwldo wr h{sodlq wkh kljk sulfh ri ulvn zlwkrxw
dvvxplqj wkdw lqglylgxdo lqyhvwruv kdyh kljk ulvn dyhuvlrq1 Pdqnlz +4<;9, pdnhv d
vlplodu srlqw lq d wzr0shulrg prgho1
6W|n 6-
|n '
Dq lpsruwdqw xquhvroyhg txhvwlrq lv zkhwkhu wkh khwhurjhqhlw| zh fdq phdvxuh
kdv wkh fkdudfwhulvwlfv wkdw duh qhhghg wr khos uhvroyh wkh dvvhw sulflqj sx}}ohv1 Lq
wkh Frqvwdqwlqlghv0Gx!h prgho wkh khwhurjhqhlw| pxvw eh odujh wr kdyh lpsruwdqw
hhfwv rq wkh vwrfkdvwlf glvfrxqw idfwru> d furvv0vhfwlrqdo vwdqgdug ghyldwlrq ri orj
frqvxpswlrq jurzwk ri 53 shufhqw/ iru h{dpsoh/ lv d furvv0vhfwlrqdo yduldqfh ri rqo|
3137/ dqg lw lv yduldwlrq lq wklv qxpehu ryhu wlph wkdw lv qhhghg wr h{sodlq wkh htxlw|
suhplxp sx}}oh1 Lqwhuhvwlqjo|/ wkh hhfw ri khwhurjhqhlw| lv vwurqjo| lqfuhdvlqj lq
ulvn dyhuvlrq vlqfh V@hW|n {S&c|n lv pxowlsolhg e| E n *2 lq +53,1 Wklv vxjjhvwv
wkdw khwhurjhqhlw| pd| vxssohphqw kljk ulvn dyhuvlrq exw fdqqrw dowrjhwkhu uhsodfh
lw dv dq h{sodqdwlrq iru wkh htxlw| suhplxp sx}}oh1
Frjoh| +4<<;, orrnv dw frqvxpswlrq gdwd dqg qgv wkdw phdvxuhg khwhurjhqhlw|
kdv rqo| vpdoo hhfwv rq wkh VGI1 Ohwwdx +4<<:, uhdfkhv d vlplodu frqfoxvlrq e|
dvvxplqj wkdw lqglylgxdov frqvxph wkhlu lqfrph/ dqg fdofxodwlqj wkh ulvn0dyhuvlrq
frh!flhqwv qhhghg wr sxw prgho0edvhg vwrfkdvwlf glvfrxqw idfwruv lqvlgh wkh Kdqvhq0
Mdjdqqdwkdq yrodwlolw| erxqgv1 Wklv surfhgxuh lv frqvhuydwlyh lq wkdw lqglylgxdov
wudglqj lq qdqfldo pdunhwv duh qrupdoo| deoh wr dfklhyh vrph vprrwklqj ri frq0
vxpswlrq uhodwlyh wr lqfrph1 Qhyhuwkhohvv Ohwwdx qgv wkdw kljk lqglylgxdo ulvn
77
dyhuvlrq lv vwloo qhhghg wr vdwlvi| wkh Kdqvhq0Mdjdqqdwkdq erxqgv1
Wkhvh frqfoxvlrqv pd| qrw eh vxusulvlqj jlyhq wkh Jurvvpdq0Vkloohu +4<;5, uhvxow
wkdw wkh djjuhjdwlrq sureohp glvdsshduv lq d frqwlqxrxv0wlph glxvlrq prgho1 Lq
vxfk d prgho/ wkh furvv0vhfwlrqdo yduldqfh ri frqvxpswlrq lv orfdoo| ghwhuplqlvwlf dqg
-
khqfh wkh idovh VGI |n
fruuhfwo| sulfhv ulvn| dvvhwv1 Lq d glvfuhwh0wlph prgho wkh
furvv0vhfwlrqdo yduldqfh ri frqvxpswlrq fdq fkdqjh udqgrpo| iurp rqh shulrg wr wkh
qh{w/ exw lq sudfwlfh wkhvh fkdqjhv duh olnho| wr eh vpdoo1 Wklv olplwv wkh hhfwv ri
frqvxpswlrq khwhurjhqhlw| rq dvvhw sulflqj1
Lw lv dovr lpsruwdqw wr qrwh wkdw lglrv|qfudwlf vkrfnv duh dvvxphg wr eh shupdqhqw
lq wkh Frqvwdqwlqlghv0Gx!h prgho1 Khdwrq dqg Oxfdv +4<<9, fdoleudwh lqglylgxdo
lqfrph surfhvvhv wr plfur gdwd iurp wkh Sdqho Vwxg| ri Lqfrph G|qdplfv +SVLG,1
Ehfdxvh wkh SVLG gdwd vkrz wkdw lglrv|qfudwlf lqfrph yduldwlrq lv odujho| wudqvlwru|/
Khdwrq dqg Oxfdv qg wkdw lqyhvwruv fdq plqlpl}h lwv hhfwv rq wkhlu frqvxpswlrq
e| eruurzlqj dqg ohqglqj1 Wklv suhyhqwv khwhurjhqhlw| iurp kdylqj dq| odujh hhfwv
rq djjuhjdwh dvvhw sulfhv1
Wr jhw durxqg wklv sureohp/ vhyhudo uhfhqw sdshuv kdyh frpelqhg khwhurjhqhlw|
zlwk frqvwudlqwv rq eruurzlqj1 Khdwrq dqg Oxfdv +4<<9, dqg Nuxvhoo dqg Vplwk
+4<<:, qg wkdw eruurzlqj frqvwudlqwv ru odujh frvwv ri wudglqj htxlwlhv duh qhhghg wr
h{sodlq wkh htxlw| suhplxp1 Frqvwdqwlqlghv/ Grqdogvrq/ dqg Phkud +4<<;, irfxv rq
khwhurjhqhlw| dfurvv jhqhudwlrqv1 Lq d vw|ol}hg wkuhh0shulrg ryhuodsslqj jhqhudwlrqv
prgho |rxqj djhqwv kdyh wkh vwurqjhvw ghvluh wr krog htxlwlhv ehfdxvh wkh| kdyh wkh
odujhvw udwlr ri oderu lqfrph wr qdqfldo zhdowk1 Li wkhvh djhqwv duh suhyhqwhg iurp
eruurzlqj wr ex| htxlwlhv/ wkh htxloleulxp htxlw| suhplxp lv odujh1
F1 Khwhurjhqhrxv Suhihuhqfhv
Khwhurjhqhlw| lq suhihuhqfhv pd| dovr eh lpsruwdqw1 Vhyhudo dxwkruv kdyh uh0
fhqwo| dujxhg wkdw wudglqj ehwzhhq lqyhvwruv zlwk glhuhqw ghjuhhv ri ulvn dyhuvlrq
ru wlph suhihuhqfh/ srvvleo| lq wkh suhvhqfh ri pdunhw iulfwlrqv ru sruwirolr lqvxudqfh
frqvwudlqwv/ fdq ohdg wr wlph0yduldwlrq lq wkh pdunhw sulfh ri ulvn +Gxpdv +4<;<,/
Jurvvpdq dqg ]krx +4<<9,/ Zdqj +4<<9,/ Vdqgurql +4<<:,/ Fkdq dqg Nrjdq +4<<<,,1
Lqwxlwlyho|/ ulvn0wrohudqw djhqwv krog pruh ulvn| dvvhwv vr wkh| frqwuro d juhdwhu vkduh
ri zhdowk lq jrrg vwdwhv wkdq lq edg vwdwhv> djjuhjdwh ulvn dyhuvlrq wkhuhiruh idoov lq
jrrg vwdwhv/ surgxflqj hhfwv vlplodu wr wkrvh ri kdelw irupdwlrq1
78
YL1 Ehkdylrudo Ilqdqfh
Ehkdylrudo qdqfh kdv ehhq rqh ri wkh prvw dfwlyh duhdv lq dvvhw sulflqj gxulqj
wkh 4<<3v1 Vkloohu +4<;7, dqg Vxpphuv +4<;9, duh wzr nh| hduo| uhihuhqfhv> wkh hog
kdv qrz pdwxuhg wr wkh srlqw zkhuh wh{werrn wuhdwphqwv duh srvvleoh +Vkloohu 4<<</
Vkohlihu 5333,1
Ehkdylrudo qdqfh prghov frqwdlq wzr nh| lqjuhglhqwv1 Iluvw/ wkh| srvwxodwh
qrqvwdqgdug ehkdylru/ gulyhq e| luudwlrqdolw| ru qrqvwdqgdug suhihuhqfhv/ rq wkh
sduw ri dw ohdvw vrph lqyhvwruv1 Lghdoo| wkh srvwxodwhg ehkdylru lv vxssruwhg e|
h{shulphqwdo ru hpslulfdo hylghqfh1 Vhfrqg/ wkh| dvvxph wkdw udwlrqdo lqyhvwruv
zlwk vwdqgdug suhihuhqfhv duh olplwhg lq wkhlu ghvluh ru delolw| wr rvhw wkh dvvhw
ghpdqgv ri wkh uvw jurxs ri lqyhvwruv1 Wklv phdqv wkdw luudwlrqdo h{shfwdwlrqv ru
qrqvwdqgdug suhihuhqfhv dhfw wkh sulfhv ri qdqfldo dvvhwv1
Wkhvh prghov fdqqrw eh whvwhg xvlqj gdwd rq djjuhjdwh frqvxpswlrq ru wkh pdunhw
sruwirolr/ ehfdxvh udwlrqdo xwlolw|0pd{lpl}lqj lqyhvwruv qhlwkhu frqvxph djjuhjdwh
frqvxpswlrq +vrph lv dffrxqwhg iru e| qrqvwdqgdug lqyhvwruv, qru krog wkh pdunhw
sruwirolr +lqvwhdg wkh| vkliw lq dqg rxw ri wkh vwrfn pdunhw,1 Wklv pdnhv lw kdug
wr whvw ehkdylrudo prghov zlwkrxw kdylqj ghwdlohg lqirupdwlrq rq wkh lqyhvwphqw
vwudwhjlhv ri glhuhqw pdunhw sduwlflsdqwv1
D1 Olplwv wr Duelwudjh
Lq wkh uvw skdvh ri wklv uhvhdufk/ wkh ghvfulswlrq ri qrqvwdqgdug lqyhvwruv zdv
uxglphqwdu|1 Wkhvh lqyhvwruv zhuh fdoohg qrlvh wudghuv1 Wkhlu ghpdqgv iru ulvn|
dvvhwv zhuh dvvxphg wr iroorz vlpsoh h{rjhqrxv surfhvvhv1 Sdshuv ri wklv vruw lqfoxgh
Vkloohu +4<;7,/ Gh Orqj hw do1 +4<<3,/ Fxwohu/ Srwhued/ dqg Vxpphuv +4<<4,/ dqg
Fdpsehoo dqg N|oh +4<<6,1 Wkh pdlq hpskdvlv ri wklv zrun lv rq wkh idfwruv wkdw
olplw wkh delolw| ri xwlolw|0pd{lpl}lqj lqyhvwruv wr devrue wkh ghpdqgv ri qrlvh wudghuv
dw frqvwdqw sulfhv1 +Wklv devruswlrq ri ghpdqg lv riwhq fdoohg duelwudjh/ exw
vkrxog qrw eh frqixvhg zlwk wkh whfkqlfdo xvh ri wkh whup wr phdq d ulvnohvv surw
rssruwxqlw|1,
Wkh edvlf idfwru lv ulvn/ dqg wklv fdq eh hqrxjk e| lwvhoi1 Lq Fdpsehoo dqg N|oh
+4<<6,/ iru h{dpsoh/ pdunhwv duh shuihfw dqg lqyhvwruv duh lqqlwho| olyhg/ exw xwlolw|0
pd{lpl}huv fkdujh d sulfh iru ehdulqj ixqgdphqwdo ulvn zkhq wkh| duh dvnhg wr ex|
79
pruh ulvn| dvvhwv iurp qrlvh wudghuv1 Wkh hhfwv ri ulvn dyhuvlrq duh uhlqirufhg li lq0
yhvwruv kdyh vkruw krul}rqv1 Gh Orqj hw do1 +4<<3, dvvxph dq ryhuodsslqj0jhqhudwlrqv
vwuxfwxuh lq zklfk xwlolw|0pd{lpl}lqj lqyhvwruv duh irufhg wr vhoo wkhlu dvvhw kroglqjv
diwhu rqh shulrg1 Lq wklv fdvh xwlolw|0pd{lpl}huv duh h{srvhg wr sulfh xfwxdwlrqv
fdxvhg e| qrlvh wudglqj dv zhoo dv wr ixqgdphqwdo ulvn/ dqg wkhlu zloolqjqhvv wr rvhw
qrlvh lv fruuhvsrqglqjo| uhgxfhg1 Wkh zhdowk ru fdslwdo ri xwlolw|0pd{lpl}huv lv dovr
uhohydqw1 D vkrfn wr qrlvh ghpdqg wkdw pryhv sulfhv dzd| iurp ixqgdphqwdo ydoxh
uhgxfhv wkh zhdowk ri xwlolw|0pd{lpl}huv dqg pd| uhgxfh wkhlu wudglqj fdsdflw|1 Wklv
idfwru lv olnho| wr eh sduwlfxoduo| lpsruwdqw li xwlolw|0pd{lpl}lqj lqyhvwruv duh qdqfhg
e| xqlqiruphg rxwvlgh ohqghuv/ zkr uhdfw wr orvvhv e| fxwwlqj ohqglqj +Vkohlihu dqg
Ylvkq| +4<<:,/ [lrqj +4<<<,,1 Wklv srlqw dsshduv kljko| uhohydqw iru xqghuvwdqglqj
wkh hyhqwv ri idoo 4<<;/ sduwlfxoduo| wkh froodsvh ri wkh khgjh ixqg Orqj Whup Fdslwdo
Pdqdjhphqw1
Ehfdxvh ulvn lv wkh nh| idfwru olplwlqj wkh delolw| ri xwlolw|0pd{lpl}huv wr rvhw
qrlvh0wudghu ghpdqgv/ qrlvh wudghuv fdqqrw fuhdwh glyhuvldeoh udqgrp yduldwlrq lq
dvvhw sulfhv1 Wkh hhfwv ri qrlvh wudglqj pxvw hlwkhu eh v|vwhpdwlfwkdw lv/ fruuh0
odwhg zlwk shuydvlyh frpprq idfwruv lq wkh hfrqrp|ru pxvw eh olplwhg wr lvrodwhg
lqvwdqfhv1 Ohh/ Vkohlihu/ dqg Wkdohu +4<<4,/ iru h{dpsoh/ dujxh wkdw qrlvh wudghuv
ghwhuplqh wkh suhpld dqg glvfrxqwv rq forvhg0hqg ixqgv/ dqg wkdw wkhvh suhpld whqg
wr pryh zlwk wkh uhwxuqv rq vpdoo vwrfnv1 Vpdoo0vwrfn uhwxuqv duh d v|vwhpdwlf ulvn
idfwru lq wkh Idpd0Iuhqfk +4<<6, prgho/ zkhwkhu iru ixqgdphqwdo uhdvrqv ru ehfdxvh
wkh| uh hfw v|vwhpdwlf vkliwv lq qrlvh wudghu ghpdqgv1 Vkohlihu +4<;9, dqg Zxujohu
dqg ]kxudyvnd|d +4<<<, dujxh wkdw qrlvh wudghuv elg xs wkh sulfhv ri vwrfnv zkhq
wkh| duh lqfoxghg lq wkh V)S 833 lqgh{1 Vlqfh rqo| rqh ru d ihz vwrfnv duh lqfoxghg
lq wkh lqgh{ dw dq| rqh wlph/ wklv hhfw fdqqrw eh uhdglo| glyhuvlhg dzd|1 Qrlvh
wudghuv pd| vlploduo| dhfw wkh sulfhv ri lqlwldo sxeolf rhulqjv li rqo| rqh ru d ihz
LSRv duh dydlodeoh dw dq| rqh wlph1
E1 Prghoolqj Qrqvwdqgdug Ehkdylru
Uhfhqw ehkdylrudo uhvhdufk kdv sodfhg juhdwhu hpskdvlv rq wkh prghoolqj ri qrq0
vwdqgdug lqyhvwru ehkdylru/ dqg kdv vrxjkw wr h{sodlq wkh djjuhjdwh suhglfwdelolw|
dqg furvv0vhfwlrqdo sdwwhuqv lq vwrfn uhwxuqv vxppdul}hg lq Vhfwlrq L1 Vrph prghov
dowhu vwdqgdug dvvxpswlrqv derxw suhihuhqfhv/ zkloh rwkhuv dvvxph sduwlfxodu irupv
ri luudwlrqdo h{shfwdwlrqv1
7:
E141 Survshfw Wkhru|
Suhihuhqfh0edvhg ehkdylrudo prghov riwhq zrun zlwk wkh survshfw wkhru| ri Ndk0
qhpdq dqg Wyhuvn| +4<:<,1 Dffruglqj wr wklv wkhru|/ shrsoh gr qrw mxgjh rxwfrphv
rq dq devroxwh vfdoh/ exw frpsduh rxwfrphv zlwk dq lqlwldo uhihuhqfh srlqw1 Wkhlu
remhfwlyh ixqfwlrq kdv d nlqn dw wkh uhihuhqfh srlqw/ vr ulvn dyhuvlrq lv orfdoo| lqqlwh
dw wkdw srlqw1 Wkh remhfwlyh ixqfwlrq lv frqfdyh iru jdlqv +rxwfrphv deryh wkh
uhihuhqfh srlqw, exw lv frqyh{ iru orvvhv +rxwfrphv ehorz wkh uhihuhqfh srlqw,1 Doo
wkhvh surshuwlhv duh edvhg rq h{shulphqwdo hylghqfh/ exw vxfk hylghqfh fdq eh kdug wr
lqwhusuhw ehfdxvh h{shulphqwdo uhzdugv dqg shqdowlhv duh qhfhvvdulo| vpdoo dqg pd|
qrw uhyhdo shrsoh*v dwwlwxghv wrzdugv odujhu ulvnv1 Iru wklv uhdvrq pdq| dssolfdwlrqv
prgli| wkh prgho wr gurs fhuwdlq ihdwxuhv/ sduwlfxoduo| wkh frqyh{lw| ri wkh remhfwlyh
ixqfwlrq lq wkh uhdop ri orvvhv1 D uhodwhg prgho ri uvw0rughu ulvn dyhuvlrq/ zlwk
nlqnhg xwlolw| dw d uhihuhqfh srlqw exw zlwkrxw frqyh{lw| lq wkh uhdop ri orvvhv/ lv
ghyhorshg e| Hsvwhlq dqg ]lq +4<<3, +vhh dovr Jxo +4<<4,,1
Vhyhudo lpsruwdqw lvvxhv dulvh lq xvlqj survshfw wkhru|/ dqg h{shulphqwdo hylghqfh
jlyhv olwwoh jxlgdqfh1 D uvw lvvxh lv wkh wlph krul}rq= dw zkdw lqwhuydov gr lqyhvwruv
hydoxdwh rxwfrphv xvlqj wkh Ndkqhpdq0Wyhuvn| remhfwlyh ixqfwlrqB D vhfrqg lvvxh lv
wkh ghwhuplqdwlrq dqg xsgdwlqj ri wkh uhihuhqfh srlqw1 D wklug lvvxh lv wkh dujxphqw
ri wkh remhfwlyh ixqfwlrq1 Lq d vwdqgdug lqwhuwhpsrudo prgho/ lqyhvwruv fduh derxw
frqvxpswlrq udwkhu wkdq zhdowk1 Pdq| sdshuv lq wkh ehkdylrudo olwhudwxuh dujxh
lqvwhdg wkdw zhdowk lv wkh dujxphqw ri wkh remhfwlyh ixqfwlrq1 Vrph jr ixuwkhu
dqg fodlp wkdw lqyhvwruv kdyh d vhsdudwh phqwdo dffrxqw iru hdfk dvvhw/ hydoxdwlqj
rxwfrphv rq dq dvvhw0e|0dvvhw edvlv1
Ehqduw}l dqg Wkdohu +4<<8, dujxh wkdw zhdowk0edvhg survshfw wkhru| fdq h{sodlq
wkh htxlw| suhplxp sx}}oh li lqyhvwruv hydoxdwh wkhlu zhdowk iuhtxhqwo| dqg xsgdwh
wkhlu uhihuhqfh srlqwv wr fxuuhqw zhdowk ohyhov1 Lq wklv fdvh wkh nlqn dw wkh uhihuhqfh
srlqw lv dozd|v uhohydqw dqg pdnhv lqyhvwruv/ lq hhfw/ kljko| ulvn0dyhuvh1 Hsvwhlq
dqg ]lq +4<<3, qg d vlplodu hhfw lq wkhlu prgho ri uvw0rughu ulvn dyhuvlrq1
Eduehulv/ Kxdqj/ dqg Vdqwrv +khuhdiwhu EKV +5333,, frpelqh d vwdqgdug srzhu
xwlolw| ixqfwlrq lq frqvxpswlrq zlwk zhdowk0edvhg survshfw wkhru|1 Wkh| vkrz wkdw
wkh Ehqduw}l0Wkdohu prgho/ zlwk kljk exw frqvwdqw ulvn dyhuvlrq/ idlov wr h{sodlq wkh
vwrfn pdunhw yrodwlolw| sx}}oh1 Dsshdolqj wr h{shulphqwdo hylghqfh ri Wkdohu dqg
Mrkqvrq +4<<3,/ wkh| dujxh wkdw dyhuvlrq wr orvvhv ydulhv zlwk sdvw rxwfrphv> sdvw
vxffhvv uhgxfhv hhfwlyh ulvn dyhuvlrq dv lqyhvwruv ihho wkh| duh jdpeolqj zlwk krxvh
7;
prqh|1 Wklv fuhdwhv d wlph0ydu|lqj sulfh ri ulvn zklfk h{sodlqv djjuhjdwh vwrfn
pdunhw yrodwlolw| lq d vlplodu pdqqhu wr Fdpsehoo dqg Frfkudqh +4<<<,1 Wkh EKV
prgho kdv d orzhu dyhuvlrq wr frqvxpswlrq ulvn wkdq wkh Fdpsehoo0Frfkudqh prgho/
ehfdxvh lw jhqhudwhv ulvn0dyhuvh ehkdylru iurp gluhfw dyhuvlrq wr zhdowk xfwxdwlrqv
dv zhoo dv iurp vwdqgdug dyhuvlrq wr frqvxpswlrq xfwxdwlrqv1
Jrphv +4<<<, h{soruhv wkh hhfwv ri zhdowk0edvhg survshfw wkhru| rq wkh ghpdqg
iru ulvn| dvvhwv lq sduwldo htxloleulxp1 Jrphv vkrzv wkdw d ghfolqh lq dvvhw sulfhv zlwk
{hg h{shfwhg sd|rv fdq dfwxdoo| uhgxfh dvvhw ghpdqgv dv lqfuhdvhg ulvn dyhuvlrq/
fdxvhg e| uhgxfhg zhdowk/ rxwzhljkv kljkhu h{shfwhg uhwxuqv1 Dw d fhuwdlq srlqw/
krzhyhu/ wkhuh lv d glvfrqwlqxrxv mxps lq dvvhw ghpdqg dv lqyhvwruv ehfrph ulvn0orylqj
lq wkh grpdlq ri orvvhv1 Jrphv dovr vkrzv wkdw wkh nlqn lq wkh Ndkqhpdq0Wyhuvn|
remhfwlyh ixqfwlrq pdnhv lw rswlpdo iru lqyhvwruv wr krog qr vwrfn zkhq wkh htxlw|
suhplxp lv vpdoo> wklv lv txlwh glhuhqw iurp wkh vwdqgdug uhvxow wkdw d ulvn0dyhuvh
lqyhvwru vkrxog dozd|v wdnh vrph dprxqw ri d idyrudeoh jdpeoh/ dqg lw pljkw khos wr
h{sodlq wkh h{lvwhqfh ri lqyhvwruv zkr gr qrw sduwlflsdwh lq wkh vwrfn pdunhw1
Vkhiulq dqg Vwdwpdq +4<;8, uhsruwhg hpslulfdo hylghqfh wkdw pdq| lqyhvwruv duh
uhoxfwdqw wr uhdol}h orvvhv1 Wklv lv d sduwlfxodu sx}}oh ehfdxvh wkh wd{ frgh idyruv uhdo0
l}lqj orvvhv dqg ghod|lqj wkh uhdol}dwlrq ri jdlqv1 Rghdq +4<<;, dujxhv wkdw survshfw
wkhru| fdq h{sodlq wklv skhqrphqrq1 Krzhyhu vxfk dq dujxphqw uhtxluhv d vhsdudwh
phqwdo dffrxqw iru hdfk vwrfn/ dqg dovr uhtxluhv wkdw lqyhvwruv wuhdw xquhdol}hg orvvhv
glhuhqwo| iurp uhdol}hg rqhv +wkdw lv/ uhdol}dwlrq wuljjhuv hydoxdwlrq ri wkh remhfwlyh
ixqfwlrq,1 Wkhvh udglfdo dvvxpswlrqv duh qrw lpsolhg e| survshfw wkhru| lwvhoi1
E151 Luudwlrqdo H{shfwdwlrqv
D qxpehu ri sdshuv kdyh h{soruhg wkh frqvhtxhqfhv ri uhod{lqj wkh dvvxpswlrq
wkdw lqyhvwruv kdyh udwlrqdo h{shfwdwlrqv dqg xqghuvwdqg wkh ehkdylru ri glylghqg
dqg frqvxpswlrq jurzwk1 Lq wkh devhqfh ri duelwudjh/ wkhuh h{lvw srvlwlyh vwdwh
sulfhv wkdw fdq udwlrqdol}h wkh sulfhv ri wudghg qdqfldo dvvhwv1 Wkhvh vwdwh sulfhv
htxdo vxemhfwlyh vwdwh suredelolwlhv pxowlsolhg e| udwlrv ri pdujlqdo xwlolwlhv lq glhu0
hqw vwdwhv1 Wkxv jlyhq dq| prgho ri xwlolw|/ wkhuh h{lvw vxemhfwlyh suredelolwlhv wkdw
surgxfh wkh qhfhvvdu| vwdwh sulfhv dqg lq wklv vhqvh h{sodlq wkh revhuyhg sulfhv ri
wudghg qdqfldo dvvhwv1 Wkh lqwhuhvwlqj txhvwlrq lv zkhwkhu wkhvh vxemhfwlyh suredelo0
lwlhv duh vx!flhqwo| forvh wr remhfwlyh suredelolwlhv/ dqg vx!flhqwo| uhodwhg wr nqrzq
sv|fkrorjlfdo eldvhv lq ehkdylru/ wr eh sodxvleoh1
7<
Pdq| ri wkh sdshuv lq wklv duhd zrun lq sduwldo htxloleulxp dqg dvvxph wkdw
vwrfnv duh sulfhg e| glvfrxqwlqj h{shfwhg ixwxuh glylghqgv dw d frqvwdqw udwh1 Wklv
dvvxpswlrq pdnhv lw hdv| wr ghulyh dq| ghvluhg ehkdylru ri vwrfn sulfhv gluhfwo| iurp
dvvxpswlrqv rq glylghqg h{shfwdwlrqv1 Eduvn| dqg Gh Orqj +4<<6,/ iru h{dpsoh/ dv0
vxph wkdw lqyhvwruv eholhyh glylghqgv wr eh jhqhudwhg e| d grxeo| lqwhjudwhg surfhvv/
vr wkdw wkh glylghqg jurzwk udwh kdv d xqlw urrw1 Wkhvh h{shfwdwlrqv lpso| wkdw udslg
glylghqg jurzwk lqfuhdvhv vwrfn sulfhv pruh wkdq sursruwlrqdoo|/ vr wkdw wkh sulfh0
glylghqg udwlr ulvhv zkhq glylghqgv duh jurzlqj vwurqjo|1 Li glylghqg jurzwk lv lq idfw
vwdwlrqdu|/ wkhq wkh kljk sulfh0glylghqg udwlr lv w|slfdoo| iroorzhg e| glylghqg glv0
dssrlqwphqwv/ orz vwrfn uhwxuqv/ dqg uhyhuvlrq wr wkh orqj0uxq phdq sulfh0glylghqg
udwlr1 Xqghu wklv dvvxpswlrq ri vwdwlrqdu| glylghqg jurzwk/ Eduvn| dqg GhOrqj*v
prgho surgxfhv ryhuuhdfwlrq ri vwrfn sulfhv wr glylghqg qhzv1 Dw wkh furvv0vhfwlrqdo
ohyho/ lw h{sodlqv wkh ydoxh hhfw1 Dw wkh djjuhjdwh ohyho/ wkh prgho fdq dffrxqw iru
wkh yrodwlolw| sx}}oh dqg wkh suhglfwdelolw| ri vwrfn uhwxuqv1
Lw lv kdughu wr exlog d prgho ri luudwlrqdo h{shfwdwlrqv wkdw h{sodlqv wkh furvv0
vhfwlrqdo prphqwxp hhfw wrjhwkhu zlwk wkh ydoxh hhfw1 Wkuhh uhfhqw dwwhpswv wr gr
wklv lqfoxgh Eduehulv/ Vkohlihu/ dqg Ylvkq| +khuhdiwhu EVY +4<<;,,/ Gdqlho/ Kluvkohlihu/
dqg Vxeudkpdq|dp +khuhdiwhu GKV +4<<;,,/ dqg Krqj dqg Vwhlq +4<<<,1 EVY
dvvxph wkdw lqyhvwruv hqwhuwdlq wzr glhuhqw prghov ri glylghqgv1 Lq wkh uvw prgho/
glylghqg jurzwk lv qhjdwlyho| dxwrfruuhodwhg vr glylghqgv duh phdq0uhyhuwlqj/ zkhuhdv
lq wkh vhfrqg prgho/ glylghqg jurzwk lv srvlwlyho| dxwrfruuhodwhg vr glylghqgv glvsod|
wuhqgv1 Lqyhvwruv qhyhu fkdqjh hlwkhu prgho exw xvh Ed|hvldq phwkrgv wr xsgdwh wkhlu
sulruv derxw wkh suredelolw| wkdw hdfk prgho lv wuxh1 EVY dvvxph wkdw glylghqgv lq
idfw iroorz d udqgrp zdon/ vr erwk prghov duh idovh> wkh phdq0uhyhuwlqj prgho pdnhv
lqyhvwruv xqghuuhdfw wr qhzv zkloh wkh wuhqglqj prgho pdnhv wkhp ryhuuhdfw1 Lq wklv
vhwwlqj d vwulqj ri jrrg ru edg qhzv fdq lqgxfh lqyhvwruv wr vzlwfk iurp wkh phdq0
uhyhuwlqj prgho wr wkh wuhqglqj prgho/ vr wkh prgho fdq surgxfh erwk xqghuuhdfwlrq
dqg ryhuuhdfwlrq ghshqglqj rq uhfhqw hyhqwv1
Wkh EVY prgho dvvxphv d uhsuhvhqwdwlyh luudwlrqdo lqyhvwru1 GKV +4<<;, dqg
Krqj dqg Vwhlq +4<<<,/ e| frqwudvw/ dvvxph wkdw wkhuh duh pxowlsoh lqyhvwruv zkr
uhfhlyh erwk sulydwh vljqdov dqg sxeolf lqirupdwlrq1 Lq wkh GKV prgho/ doo lqyhvwruv
duh v|pphwulfdo dqg ryhufrqghqw> wkh| sodfh wrr juhdw d zhljkw rq wkhlu rzq sul0
ydwh vljqdo/ dqg wrr olwwoh rq sxeolf lqirupdwlrq1 Ixuwkhupruh/ lqyhvwruv uhdfw wr
sxeolf lqirupdwlrq wkdw lv frqvlvwhqw zlwk wkhlu sulydwh vljqdo e| lqfuhdvlqj wkhlu
ryhufrqghqfh/ exw uhdfw wr lqfrqvlvwhqw sxeolf lqirupdwlrq e| d vpdoohu uhgxfwlrq
lq ryhufrqghqfh> GKV fdoo wklv eldvhg vhoi0dwwulexwlrq1 Wkhvh dvvxpswlrqv lpso|
83
wkdw sulydwh lqirupdwlrq wuljjhuv vkruw0uxq ryhuuhdfwlrq/ zklfk lqlwldoo| lqfuhdvhv dv
lqyhvwruv uhdfw lq d eldvhg pdqqhu wr vxevhtxhqw sxeolf lqirupdwlrq1 Rqo| zkhq
wkh zhljkw ri sxeolf lqirupdwlrq ehfrphv ryhuzkhoplqj gr lqyhvwruv dedqgrq wkhlu
ryhufrqghqw plvydoxdwlrq1 Wkxv wkh prgho surgxfhv erwk vkruw0uxq prphqwxp
dqg orqj0uxq uhyhuvdo1
Krqj dqg Vwhlq +4<<<, dvvxph wkdw wkhuh duh wzr w|shv ri luudwlrqdo lqyhvwruv1
Qhzvzdwfkhuv uhfhlyh sulydwh vljqdov derxw ixqgdphqwdo ydoxh/ zklfk glxvh judg0
xdoo| wkurxjk wkh qhzvzdwfklqj srsxodwlrq1 Wkhvh lqyhvwruv irup sulfh h{shfwdwlrqv
edvhg rq wkhlu vljqdov/ exw duh lpshuihfwo| udwlrqdo lq wkdw wkh| gr qrw ohduq iurp
pdunhw sulfhv1 Prphqwxp lqyhvwruv kdyh qr sulydwh lqirupdwlrq dqg wudgh rq wkh
edvlv ri wkh prvw uhfhqw fkdqjh lq sulfh1 Wkhvh lqyhvwruv duh lpshuihfwo| udwlrqdo lq
wkdw wkh| gr qrw wudgh rswlpdoo| edvhg rq wkh hqwluh klvwru| ri sulfh fkdqjhv1 Wkh
lqwhudfwlrq ehwzhhq wkhvh wzr jurxsv surgxfhv erwk d prphqwxp hhfw/ dv sulydwh
lqirupdwlrq judgxdoo| dhfwv sulfhv dqg lv uhlqirufhg e| prphqwxp wudglqj/ dqg d
ydoxh hhfw/ dv prphqwxp lqyhvwruv gulyh sulfhv eh|rqg ixqgdphqwdo ydoxh1
Dqrwkhu srwhqwldoo| lpsruwdqw irup ri luudwlrqdolw| lv d idloxuh wr xqghuvwdqg wkh
glhuhqfh ehwzhhq uhdo dqg qrplqdo pdjqlwxghv1 Prgljoldql dqg Frkq +4<:<, dujxhg
wkdw lqyhvwruv vxhu iurp lq dwlrq looxvlrq/ lq hhfw glvfrxqwlqj uhdo fdvk rzv dw
qrplqdo lqwhuhvw udwhv1 Ulwwhu dqg Zduu +4<<<, dqg Vkdush +4<<<, dujxh wkdw lq dwlrq
looxvlrq pd| kdyh ohg lqyhvwruv wr elg xs vwrfn sulfhv dv lq dwlrq kdv ghfolqhg vlqfh wkh
hduo| 4<;3v1 Dq lqwhuhvwlqj lvvxh udlvhg e| wklv olwhudwxuh lv zkhwkhu plvydoxdwlrq lv
fdxvhg e| d kljk ohyho ri lq dwlrq +lq zklfk fdvh lw lv xqolnho| wr eh lpsruwdqw wrgd|,
ru zkhwkhu lw lv fdxvhg e| fkdqjhv lq lq dwlrq iurp klvwrulfdo ehqfkpdun ohyhov +lq
zklfk fdvh lw pd| frqwulexwh wr kljk fxuuhqw ohyhov ri vwrfn sulfhv,1
D olplwdwlrq ri doo wkhvh prghov lv wkdw wkh| gr qrw frqvlghu jhqhudo htxloleulxp
lvvxhv1 Li wkh prghov duh vxssrvhg wr dsso| wr lqglylgxdo dvvhwv/ wkhq wkh plvydoxd0
wlrqv wkh| surgxfh duh glyhuvldeoh dqg vr fdq hdvlo| eh duelwudjhg dzd| e| udwlrqdo
lqyhvwruv1 Li/ rq wkh rwkhu kdqg/ wkh prghov dsso| wr wkh pdunhw dv d zkroh/ wkhq
lw lv lpsruwdqw wr frqvlghu wkh lpsolfdwlrqv iru frqvxpswlrq1 Xvlqj iru vlpsolflw|
wkh fwlrq wkdw glylghqgv htxdo frqvxpswlrq/ lqyhvwruv* luudwlrqdo h{shfwdwlrqv derxw
glylghqg jurzwk vkrxog eh olqnhg wr wkhlu luudwlrqdo h{shfwdwlrqv derxw frqvxpswlrq
jurzwk1 Lqwhuhvw udwhv duh qrw h{rjhqrxv/ exw olnh vwrfn sulfhv/ duh ghwhuplqhg e|
lqyhvwruv* h{shfwdwlrqv1 Wkxv lw lv vljqlfdqwo| kdughu wr exlog d jhqhudo htxloleulxp
prgho zlwk luudwlrqdo h{shfwdwlrqv1
Wr vhh krz luudwlrqdolw| fdq dhfw dvvhw sulfhv lq jhqhudo htxloleulxp/ frqvlghu
84
uvw d vwdwlf prgho lq zklfk orj frqvxpswlrq iroorzv d udqgrp zdon zlwk guliw1 Lq0
yhvwruv xqghuvwdqg wkdw frqvxpswlrq lv d udqgrp zdon/ exw wkh| xqghuhvwlpdwh lwv
guliw1 Vxfk luudwlrqdo shvvlplvp orzhuv wkh dyhudjh ulvniuhh udwh/ lqfuhdvhv wkh htxlw|
suhplxp/ dqg kdv dq dpeljxrxv hhfw rq wkh sulfh0glylghqg udwlr1 Wkxv shvvlplvp
kdv wkh vdph hhfwv rq dvvhw sulfhv dv d orz udwh ri wlph suhihuhqfh dqg d kljk fr0
h!flhqw ri ulvn dyhuvlrq/ dqg lw fdq khos wr h{sodlq erwk wkh ulvniuhh udwh sx}}oh dqg
wkh htxlw| suhplxp sx}}oh +Kdqvhq/ Vdujhqw/ dqg Wdoodulql 4<<:,1
Wr h{sodlq wkh yrodwlolw| sx}}oh/ d pruh frpsolfdwhg prgho ri luudwlrqdolw| lv
qhhghg1 Vxssrvh qrz wkdw orj frqvxpswlrq jurzwk iroorzv dq DU+4, surfhvv/ exw
wkdw lqyhvwruv ryhuhvwlpdwh wkh shuvlvwhqfh ri wklv surfhvv1 Lq wklv prgho wkh htxlw|
suhplxp idoov zkhq frqvxpswlrq jurzwk kdv ehhq udslg/ dqg ulvhv zkhq frqvxpswlrq
jurzwk kdv ehhq zhdn1 Wklv prgho/ zklfk fdq eh vhhq dv d jhqhudo htxloleulxp yhu0
vlrq ri Eduvn| dqg Gh Orqj +4<<6,/ wv wkh dssduhqw f|folfdo yduldwlrq lq wkh pdunhw
sulfh ri ulvn1 Rqh gl!fxow| zlwk wklv vwru| lv wkdw lw kdv vwurqj lpsolfdwlrqv iru erqg
pdunhw ehkdylru1 Frqvxpswlrq jurzwk gulyhv xs wkh ulvnohvv lqwhuhvw udwh dqg wkh
uhdo erqg suhplxp hyhq zkloh lw gulyhv grzq wkh htxlw| suhplxp1 Fhffkhwwl/ Odp/
dqg Pdun +4<<:, kdqgoh wklv sureohp e| doorzlqj wkh ghjuhh ri lqyhvwruv* luudwlrqdolw|
lwvhoi wr eh vwrfkdvwlf dqg wlph0ydu|lqj1
85
YLL1 Frqfoxvlrq
Wklv uhylhz ri wkh sdvw wzhqw| |hduv ri dvvhw sulflqj uhvhdufk vxjjhvwv wkuhh pdlq
ghyhorsphqwv1 Iluvw/ zh qrz kdyh d ulfk vhw ri vw|ol}hg idfwv derxw lqwhuhvw udwhv/
djjuhjdwh vwrfn sulfhv/ dqg furvv0vhfwlrqdo sdwwhuqv lq vwrfn uhwxuqv1 Zkloh vrph ri
wkhvh idfwv pd| wxuq rxw wr eh wkh uhvxow ri gdwd0vqrrslqj/ prvw ri wkhp duh olnho|
wr vxuylyh dv wkh vxemhfw ri ohjlwlpdwh lqwhuhvw1 Vhfrqg/ zh kdyh ghyhorshg d ydulhw|
ri prghov lq uhvsrqvh wr wkhvh idfwv1 Zkloh wkhvh prghov idoo zlwklq wkh jhqhudo
rxwolqhv hvwdeolvkhg e| dq hduolhu jhqhudwlrq ri wkhrulvwv/ wkh ghwdlov duh qhz dqg
lpsruwdqw1 Wklug/ dvvhw sulflqj lv frqfhuqhg zlwk wkh vrxufhv ri ulvn dqg wkh hfrqrplf
irufhv wkdw ghwhuplqh wkh uhzdugv iru ehdulqj ulvn1 Vxpphuv +4<;8, lqidprxvo|
frpsduhg qdqfldo hfrqrplvwv zlwk nhwfkxs hfrqrplvwv revhvvhg zlwk wkh uhodwlyh
sulfhv ri glhuhqw0vl}hg erwwohv ri nhwfkxs1 Kh doohjhg wkdw qdqfldo hfrqrplvwv/
olnh nhwfkxsdo hfrqrplvwv111 duh frqfhuqhg zlwk wkh lqwhuuhodwlrqvklsv ehwzhhq wkh
sulfhv ri glhuhqw qdqfldo dvvhwv1 Wkh| ljqruh zkdw vhhpv wr pdq| wr eh wkh pruh
lpsruwdqw txhvwlrq ri zkdw ghwhuplqhv wkh ryhudoo ohyho ri dvvhw sulfhv +s1 967,1
Wklv dffxvdwlrq pd| qhyhu kdyh ehhq idlu/ exw lw fhuwdlqo| grhv qrw ghvfuleh wkh hog
wrgd|1
D qxpehu ri lpsruwdqw lvvxhv uhpdlq dv fkdoohqjhv iru wkh qhz ploohqqlxp1 Vrph
ri wkhvh jurz rxw ri wkh olwhudwxuh L kdyh ghvfulehg/ zkloh rwkhuv L kdyh qrw wrxfkhg
rq dw doo1
Iluvw/ zh kdyh rqo| d srru xqghuvwdqglqj ri krz wudqvdfwlrqv frvwv fdq dhfw
dvvhw sulfhv1 Dplkxg dqg Phqghovrq +4<;9, kdyh dujxhg wkdw wudqvdfwlrqv frvwv
vljqlfdqwo| uhgxfh wkh sulfhv ri vpdoo vwrfnv dqg pd| khos wr h{sodlq wkh vpdoo0
up hhfw1 Kh dqg Prghvw +4<<8, dqg Oxwwphu +4<<9, kdyh h{whqghg wkh Kdqvhq0
Mdjdqqdwkdq yrodwlolw| erxqgv wr doorz iru wudqvdfwlrqv frvwv1 Wkh eljjhu fkdoohqjh
lv wr h{sodlq krz wudqvdfwlrqv frvwverwk lq dgmxvwlqj sruwirolrv dqg lq dgmxvwlqj
frqvxpswlrq/ sduwlfxoduo| ri gxudeoh jrrgv dqg krxvlqjdhfw wkh sulfhv ri dvvhwv lq
jhqhudo htxloleulxp1 Uhfhqw zrun e| Frqvwdqwlqlghv +4<;9,/ Jurvvpdq dqg Odurtxh
+4<<3,/ Khdwrq dqg Oxfdv +4<<9,/ Yd|dqrv +4<<;,/ dqg rwkhuv pdnhv d vwduw rq wklv
wdvn/ exw zh vwloo qhhg vlpsoh/ wudfwdeoh prghov wkdw lqfrusrudwh wkhvh iulfwlrqv1
Vhfrqg/ wkhuh lv wdqwdol}lqj hylghqfh wkdw h{wud ulvn idfwruv vxjjhvwhg e| g|qdplf
dvvhw sulflqj prghov fdq khos wr h{sodlq furvv0vhfwlrqdo sdwwhuqv lq vwrfn uhwxuqv1
Vrph ri wkhvh h{wud idfwruv sur{| iru rplwwhg frpsrqhqwv ri zhdowk/ qrwdeo| kx0
pdq fdslwdo> rwkhuv fdswxuh wlph0yduldwlrq lq wkh xqghuo|lqj prgho iru wkh vwrfkdvwlf
86
glvfrxqw idfwru1 Pruh zrun lv qhhghg wr uhqh rxu xqghuvwdqglqj ri wkhvh idfwru
prghov1 Khuh lw zloo eh khosixo wr xvh lqirupdwlrq iurp jryhuqphqw dqg frusrudwh
erqg pdunhwv dv zhoo dv iurp vwrfn pdunhwv1 Xowlpdwh vxffhvv zloo uhtxluh d pxfk
ghhshu xqghuvwdqglqj ri wkh uhodwlrq ehwzhhq wkh vwrfkdvwlf glvfrxqw idfwru dqg wkh
htxloleulxp ri wkh uhdo hfrqrp|1
Ghvslwh wkh surplvh ri vxfk uhvhdufk/ lq p| rslqlrq lw lv xquhdolvwlf wr krsh iru
d ixoo| udwlrqdo/ ulvn0edvhg h{sodqdwlrq ri doo wkh hpslulfdo sdwwhuqv wkdw kdyh ehhq
glvfryhuhg lq vwrfn uhwxuqv1 D pruh uhdvrqdeoh ylhz lv wkdw udwlrqdo prghov ri ulvn
dqg uhwxuq ghvfuleh d orqj0uxq htxloleulxp wrzdugv zklfk qdqfldo pdunhwv judgxdoo|
hyroyh1 Vrph ghyldwlrqv iurp vxfk prghov fdq eh txlfno| duelwudjhg dzd| e| udwlrqdo
lqyhvwruv> rwkhuv duh pxfk kdughu wr duelwudjh dqg pd| glvdsshdu rqo| diwhu d vorz
surfhvv ri ohduqlqj dqg lqvwlwxwlrqdo lqqrydwlrq1 Wkh ydoxh hhfw/ iru h{dpsoh/ pd|
uhvxow lq sduw iurp lqyhvwruv* luudwlrqdo h{wudsrodwlrq ri srru hduqlqjv jurzwksxw
dqrwkhu zd|/ wkhlu uhoxfwdqfh wr krog edgo| pdqdjhg frpsdqlhv lq ghfolqlqj lqgxv0
wulhv1 Wklv hhfw pd| glvdsshdu rqo| dv pxwxdo ixqgv ehfrph dydlodeoh wkdw glvjxlvh
wkh lghqwlwlhv ri frpsdqlhv lq d ydoxh sruwirolr1
Li wklv ylhz lv fruuhfw/ d wklug fkdoohqjh iru hpslulfdo uhvhdufk lv wr ghylvh zd|v wr
wudfn wkh fkdqjlqj vwuhqjwk ri dvvhw sulflqj sdwwhuqv ryhu wlph1 Vrph hhfwv/ vxfk dv
wkh Mdqxdu| hhfw lq vpdoo0vwrfn uhwxuqv ru wkh hduqlqjv dqqrxqfhphqw hhfw/ pd|
glvdsshdu txlwh txlfno| diwhu wkh| ehfrph zlgho| nqrzq1 Rwkhuv pd| eh pxfk pruh
vwdeoh1 Uhodwlyho| olwwoh dfdghplf zrun kdv h{soruhg vxfk lvvxhv v|vwhpdwlfdoo|1
Irxuwk/ dq lpsruwdqw ixqfwlrq ri dvvhw pdunhwv lv wr hqdeoh lqyhvwruv wr vkduh
ulvnv1 Ghvslwh wkh h{wudruglqdu| qdqfldo lqqrydwlrq wkdw kdv rffxuuhg lq wkh odvw
wkluw| |hduv/ pdq| ulvn0vkdulqj duudqjhphqwv duh vwloo txlwh sulplwlyh1 Lw lv sduwlfx0
oduo| kdug iru lqyhvwruv wr vkduh ulvnv wkdw dhfw odujh vxejurxsv ri wkh srsxodwlrq/
idoolqj ehwzhhq wkh sxuho| lglrv|qfudwlf ulvnv fryhuhg e| lqvxudqfh frqwudfwv dqg wkh
djjuhjdwh ulvnv wkdw fdq eh khgjhg xvlqj erqgv dqg vwrfn lqgh{hv1 Dq lpsruwdqw uroh
iru dfdghplf uhvhdufk lv wr hydoxdwh srwhqwldo qdqfldo lqqrydwlrqv/ lqfoxglqj qdqfldo
lqvwuxphqwv wkdw duh lqgh{hg wr lq dwlrq/ krxvh sulfhv/ ru frpsrqhqwv ri qdwlrqdo ru
zruog lqfrph1 Vkloohu +4<<7, ghvfulehv dq djhqgd iru h{sorulqj pdq| ri wkhvh lvvxhv1
Iliwk/ wkhuh duh vrph idvflqdwlqj sxeolf srolf| txhvwlrqv wkdw uhodwh wr wkh hog ri
dvvhw sulflqj1 Wzr lpsruwdqw h{dpsohv duh wkh ghedwh ryhu sursrvdov wr lqyhvw Vrfldo
Vhfxulw| ixqgv lq ulvn| dvvhwv/ dqg wkh txhvwlrq ri krz wkh Wuhdvxu| vkrxog rswlpdoo|
vwuxfwxuh wkh sxeolf ghew1 Dv ulvn pdqdjhphqw lvvxhv frqiurqw erwk krxvhkrogv dqg
jryhuqphqwv/ dvvhw sulflqj zloo uhpdlq dq dfwlyh dqg uhohydqw hog ri hfrqrplfv1
87
Uhihuhqfhv
Deho/ Dqguhz E1/ 4<;;/ Vwrfn sulfhv xqghu wlph0ydu|lqj glylghqg ulvn= Dq h{dfw
vroxwlrq lq dq lqqlwh0krul}rq jhqhudo htxloleulxp prgho/ Mrxuqdo ri Prqhwdu|
Hfrqrplfv 55/ 6:86<61
Deho/ Dqguhz E1/ 4<<3/ Dvvhw sulfhv xqghu kdelw irupdwlrq dqg fdwfklqj xs zlwk
wkh Mrqhvhv/ Dphulfdq Hfrqrplf Uhylhz Sdshuv dqg Surfhhglqjv ;3/ 6;751
Dplkxg/ \dnry dqg Kdlp Phqghovrq/ 4<;9/ Dvvhw sulflqj dqg wkh elg0dvn vsuhdg/
Mrxuqdo ri Ilqdqfldo Hfrqrplfv 4:/ 55657<1
Dqghuvrq/ H1/ Oduv S1 Kdqvhq/ dqg Wkrpdv M1 Vdujhqw/ 4<<</ Ulvn dqg urexvwqhvv
lq htxloleulxp/ Zrunlqj sdshu/ Xqlyhuvlw| ri Fklfdjr1
Dqj/ Dqguhz dqg Mxq Olx/ 4<<;/ D jhqhudol}hg hduqlqjv prgho ri vwrfn ydoxdwlrq/
Zrunlqj sdshu/ Vwdqirug Xqlyhuvlw|1
Dwwdqdvlr/ Rud}lr dqg Jxolhopr Zhehu/ 4<<6/ Frqvxpswlrq jurzwk/ wkh lqwhuhvw
udwh/ dqg djjuhjdwlrq/ Uhylhz ri Hfrqrplf Vwxglhv 93/ 96497<1
Edfnxv/ Gdylg/ Vloyhulr Iruhvl/ Derq Pr}xpgdu/ dqg Olxuhq Zx/ 4<<;/ Suhglfwdeoh
fkdqjhv lq |lhogv dqg iruzdug udwhv/ QEHU Zrunlqj sdshu 96:<1
Edfnxv/ Gdylg/ Vloyhulr Iruhvl/ dqg Fkulv Whophu/ 4<<;/ Glvfuhwh0wlph prghov ri
erqg sulflqj/ QEHU Zrunlqj sdshu 9:691
Ednhu/ Pdofrop dqg Mhuh| Zxujohu/ 5333/ Wkh htxlw| vkduh lq qhz lvvxhv dqg
djjuhjdwh vwrfn uhwxuqv/ iruwkfrplqj Mrxuqdo ri Ilqdqfh1
Ednvkl/ Jxugls dqg ]klzx Fkhq/ 4<<:/ Vwrfn ydoxdwlrq lq g|qdplf hfrqrplhv/ Zrun0
lqj sdshu/ Xqlyhuvlw| ri Pdu|odqg1
Edogx}}l/ Slhuoxljl/ Jlxvhssh Ehuwrod/ dqg Vloyhulr Iruhvl/ 4<<:/ D prgho ri wdujhw
fkdqjhv dqg wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Mrxuqdo ri Prqhwdu| Hfrqrplfv
6</ 55657<1
Edogx}}l/ Slhuoxljl dqg Dqwkrq| O|qfk/ 4<<</ Wudqvdfwlrq frvwv dqg suhglfwdelolw|=
Vrph xwlolw| frvw fdofxodwlrqv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 85/ 7::;1
88
Edqvdo/ Udyl dqg Zloexu M1 Frohpdq/ LL/ 4<<9/ D prqhwdu| h{sodqdwlrq ri wkh htxlw|
suhplxp/ whup suhplxp/ dqg ulvniuhh udwh sx}}ohv/ Mrxuqdo ri Srolwlfdo Hfrqrp|
437/ 446844:41
Edq}/ Uroi Z1/ 4<;4/ Wkh uhodwlrq ehwzhhq uhwxuq dqg pdunhw ydoxh ri frpprq
vwrfnv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv </ 64;1
Eduehulv/ Qlfkrodv F1/ 5333/ Lqyhvwlqj iru wkh orqj uxq zkhq uhwxuqv duh suhglfwdeoh/
Mrxuqdo ri Ilqdqfh 88/ 5585971
Eduehulv/ Qlfkrodv F1/ Plqj Kxdqj/ dqg Wdqr Vdqwrv/ 5333/ Survshfw wkhru| dqg
dvvhw sulfhv/ iruwkfrplqj Txduwhuo| Mrxuqdo ri Hfrqrplfv1
Eduehulv/ Qlfkrodv F1/ Dqguhl Vkohlihu/ dqg Urehuw Z1 Ylvkq|/ 4<<;/ D prgho ri
lqyhvwru vhqwlphqw/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 7</ 63:6761
Eduvn|/ Urehuw dqg M1 Eudg Gh Orqj/ 4<<6/ Zk| grhv wkh vwrfn pdunhw xfwxdwhB/
Txduwhuo| Mrxuqdo ri Hfrqrplfv 43:/ 5<46441
Edvx/ Vdqmr|/ 4<;6/ Wkh uhodwlrqvkls ehwzhhq hduqlqjv |lhog/ pdunhw ydoxh/ dqg
uhwxuq iru Q\VH frpprq vwrfnv= Ixuwkhu hylghqfh/ Mrxuqdo ri Ilqdqfldo Hfr0
qrplfv 45/ 45<4891
Edzd/ Ylmd|/ Vwhskhq Eurzq/ dqg Urjhu Nohlq/ 4<:</ Hvwlpdwlrq Ulvn dqg Rswlpdo
Sruwirolr Fkrlfh +Qruwk0Kroodqg/ Dpvwhugdp,1
Ehdxgu|/ Sdxo dqg Hulf ydq Zlqfrrs/ 4<<9/ Wkh lqwhuwhpsrudo hodvwlflw| ri vxevwlwx0
wlrq= Dq h{sorudwlrq xvlqj d X1V1 sdqho ri vwdwh gdwd/ Hfrqrplfd 96/ 7<88451
Ehndhuw/ Jhhuw/ Urehuw M1 Krgulfn/ dqg Gdylg D1 Pduvkdoo/ 4<<;/ Shvr sureohp
h{sodqdwlrqv iru whup vwuxfwxuh dqrpdolhv/ Zrunlqj sdshu/ Vwdqirug Xqlyhuvlw|1
Ehndhuw/ Jhhuw dqg Vwhyhq U1 Juhqdglhu/ 4<<</ Vwrfn dqg erqg sulflqj lq dq d!qh
hfrqrp|/ Zrunlqj sdshu/ Vwdqirug Xqlyhuvlw|1
Ehqduw}l/ Vkorpr dqg Ulfkdug K1 Wkdohu/ 4<<8/ P|rslf orvv dyhuvlrq dqg wkh htxlw|
suhplxp sx}}oh/ Txduwhuo| Mrxuqdo ri Hfrqrplfv 443/ :6<51
Ehuqdug/ Ylfwru/ 4<<5/ Vwrfn sulfh uhdfwlrqv wr hduqlqjv dqqrxqfhphqwv/ lq Ulfkdug
Wkdohu hg1 Dgydqfhv lq Ehkdylrudo Ilqdqfh +Uxvvhoo Vdjh Irxqgdwlrq/ Qhz
\run/ Q\,1
89
Ehuwdxw/ Fduro F1 dqg Plfkdho Kdoldvvrv/ 4<<:/ Suhfdxwlrqdu| sruwirolr ehkdylru
iurp d olih0f|foh shuvshfwlyh/ Mrxuqdo ri Hfrqrplf G|qdplfv dqg Frqwuro 54/
484448751
Eodfn/ Ilvfkhu/ 4<:5/ Fdslwdo pdunhw htxloleulxp zlwk uhvwulfwhg eruurzlqj/ Mrxuqdo
ri Exvlqhvv 78/ 7777871
Eodfn/ Ilvfkhu/ Plfkdho Mhqvhq/ dqg P|urq Vfkrohv/ 4<:5/ Wkh fdslwdo dvvhw sulflqj
prgho= Vrph hpslulfdo whvwv/ lq Plfkdho Mhqvhq hg1 Vwxglhv lq wkh Wkhru| ri
Fdslwdo Pdunhwv +Sudhjhu/ Qhz \run/ Q\,1
Eodqfkdug/ Rolylhu M1 dqg Pdun Zdwvrq/ 4<;5/ Exeeohv/ udwlrqdo h{shfwdwlrqv/ dqg
qdqfldo pdunhwv/ lq Sdxo Zdfkwho hg1 Fulvhv lq wkh Hfrqrplf dqg Ilqdqfldo
Vwuxfwxuh= Exeeohv/ Exuvwv/ dqg Vkrfnv +Oh{lqjwrq/ Oh{lqjwrq/ PD,1
Erglh/ ]yl/ Urehuw F1 Phuwrq/ dqg Zlooldp I1 Vdpxhovrq/ 4<<4/ Oderu vxsso| h{l0
elolw| dqg sruwirolr fkrlfh lq d olih f|foh prgho/ Mrxuqdo ri Hfrqrplf G|qdplfv
dqg Frqwuro 49/ 75:77<1
Eroohuvohy/ Wlprwk|/ Urehuw I1 Hqjoh/ dqg Mhuh| Zrrogulgjh/ 4<;;/ D fdslwdo dvvhw
sulflqj prgho zlwk wlph ydu|lqj fryduldqfhv/ Mrxuqdo ri Srolwlfdo Hfrqrp| <9/
4494641
Eudqgw/ Plfkdho/ 4<<</ Hvwlpdwlqj sruwirolr dqg frqvxpswlrq fkrlfh= D frqglwlrqdo
Hxohu htxdwlrqv dssurdfk/ Mrxuqdo ri Ilqdqfh 87/ 493<49781
Eudy/ Dorq/ Jhrujh Frqvwdqwlqlghv/ dqg Fkulvwrskhu F1 Jhf}|/ 4<<</ Dvvhw sulflqj
zlwk khwhurjhqhrxv frqvxphuv dqg olplwhg sduwlflsdwlrq= Hpslulfdo hylghqfh/
Zrunlqj sdshu/ Gxnh Xqlyhuvlw|1
Euhqqdq/ Plfkdho M1/ 4<<;/ Wkh uroh ri ohduqlqj lq g|qdplf sruwirolr ghflvlrqv/ Hx0
urshdq Ilqdqfh Uhylhz 4/ 5<86391
Euhqqdq/ Plfkdho M1/ Hgxdugr V1 Vfkzduw}/ dqg Urqdog Odjqdgr/ 4<<9/ Wkh xvh
ri Wuhdvxu| eloo ixwxuhv lq vwudwhjlf dvvhw doorfdwlrq surjudpv/ Zrunlqj sdshu/
Dqghuvrq Judgxdwh Vfkrro ri Pdqdjhphqw/ XFOD/ Orv Dqjhohv/ FD1
Euhqqdq/ Plfkdho M1/ Hgxdugr V1 Vfkzduw}/ dqg Urqdog Odjqdgr/ 4<<:/ Vwudwhjlf
dvvhw doorfdwlrq/ Mrxuqdo ri Hfrqrplf G|qdplfv dqg Frqwuro 54/ 46::47361
Euhqqdq/ Plfkdho M1 dqg \lkrqj [ld/ 4<<;/ Uhvroxwlrq ri d qdqfldo sx}}oh/ Zrunlqj
sdshu/ Dqghuvrq Judgxdwh Vfkrro ri Pdqdjhphqw/ XFOD/ Orv Dqjhohv/ FD1
8:
Eurzq/ Urjhu K1 dqg Vfkdhihu/ Vwhskhq P1/ 4<<7/ Wkh whup vwuxfwxuh ri uhdo lqwhuhvw
udwhv dqg wkh Fr{/ Lqjhuvroo/ dqg Urvv prgho/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv
68/ 6751
Eurzq/ Vwhskhq/ Zlooldp Jrhw}pdqq/ dqg Vwhskhq D1 Urvv/ Vxuylydo/ Mrxuqdo ri
Ilqdqfh 83/ ;86;:61
Fdpsehoo/ Mrkq \1/ 4<;:/ Vwrfn uhwxuqv dqg wkh whup vwuxfwxuh/ Mrxuqdo ri Ilqdqfldo
Hfrqrplfv 4;/ 6:66<<1
Fdpsehoo/ Mrkq \1/ 4<<4/ D yduldqfh ghfrpsrvlwlrq iru vwrfn uhwxuqv/ Hfrqrplf
Mrxuqdo 434/ 48:4:<1
Fdpsehoo/ Mrkq \1/ 4<<6/ Lqwhuwhpsrudo dvvhw sulflqj zlwkrxw frqvxpswlrq gdwd/
Dphulfdq Hfrqrplf Uhylhz ;6/ 7;:8451
Fdpsehoo/ Mrkq \1/ 4<<9/ Xqghuvwdqglqj ulvn dqg uhwxuq/ Mrxuqdo ri Srolwlfdo Hfrq0
rp| 437/ 5<;6781
Fdpsehoo/ Mrkq \1/ 4<<</ Dvvhw sulfhv/ frqvxpswlrq/ dqg wkh exvlqhvv f|foh/ lq
Mrkq Wd|oru dqg Plfkdho Zrrgirug hgv1 Kdqgerrn ri Pdfurhfrqrplfv/ Yro1 4
+Qruwk0Kroodqg/ Dpvwhugdp,1
Fdpsehoo/ Mrkq \1/ \hxqj Ohzlv Fkdq/ dqg Oxlv P1 Ylfhlud/ 4<<</ D pxowlyduldwh
prgho ri vwudwhjlf dvvhw doorfdwlrq/ Zrunlqj sdshu/ Kduydug Xqlyhuvlw|1
Fdpsehoo/ Mrkq \1 dqg Mrkq K1 Frfkudqh/ 4<<</ E| irufh ri kdelw= D frqvxpswlrq0
edvhg h{sodqdwlrq ri djjuhjdwh vwrfn pdunhw ehkdylru/ Mrxuqdo ri Srolwlfdo Hfrq0
rp| 43:/ 5385841
Fdpsehoo/ Mrkq \1 dqg Mrkq K1 Frfkudqh/ 5333/ H{sodlqlqj wkh srru shuirupdqfh
ri frqvxpswlrq0edvhg dvvhw sulflqj prghov/ iruwkfrplqj Mrxuqdo ri Ilqdqfh1
Fdpsehoo/ Mrkq \1 dqg Doehuw V1 N|oh/ 4<<6/ Vpduw prqh|/ qrlvh wudglqj/ dqg vwrfn
sulfh ehkdylru/ Uhylhz ri Hfrqrplf Vwxglhv 93/ 4671
Fdpsehoo/ Mrkq \1/ Dqguhz Z1 Or dqg D1 Fudlj PdfNlqod|/ 4<<:/ Wkh Hfrqrphwulfv
ri Ilqdqfldo Pdunhwv +Sulqfhwrq Xqlyhuvlw| Suhvv/ Sulqfhwrq/ QM,1
Fdpsehoo/ Mrkq \1 dqg Q1 Juhjru| Pdqnlz/ 4<;</ Frqvxpswlrq/ lqfrph/ dqg lq0
whuhvw udwhv= Uhlqwhusuhwlqj wkh wlph0vhulhv hylghqfh/ lq R1M1 Eodqfkdug dqg V1
Ilvfkhu hgv1/ Qdwlrqdo Exuhdx ri Hfrqrplf Uhvhdufk Pdfurhfrqrplfv Dqqxdo 7
+PLW Suhvv/ Fdpeulgjh/ PD,1
8;
Fdpsehoo/ Mrkq \1 dqg Urehuw M1 Vkloohu/ 4<;;d/ Wkh glylghqg0sulfh udwlr dqg h{0
shfwdwlrqv ri ixwxuh glylghqgv dqg glvfrxqw idfwruv/ Uhylhz ri Ilqdqfldo Vwxglhv
4/ 4<855;1
Fdpsehoo/ Mrkq \1 dqg Urehuw M1 Vkloohu/ 4<;;e/ Vwrfn sulfhv/ hduqlqjv/ dqg h{shfwhg
glylghqgv/ Mrxuqdo ri Ilqdqfh 76/ 9949:91
Fdpsehoo/ Mrkq \1 dqg Urehuw M1 Vkloohu/ 4<<4/ \lhog vsuhdgv dqg lqwhuhvw udwhv= D
elug*v h|h ylhz/ Uhylhz ri Hfrqrplf Vwxglhv 8;/ 7<88471
Fdpsehoo/ Mrkq \1 dqg Oxlv P1 Ylfhlud/ 4<<</ Frqvxpswlrq dqg sruwirolr ghflvlrqv
zkhq h{shfwhg uhwxuqv duh wlph ydu|lqj/ Txduwhuo| Mrxuqdo ri Hfrqrplfv 447/
7667<81
Fdpsehoo/ Mrkq \1 dqg Oxlv P1 Ylfhlud/ 5333/ Zkr vkrxog ex| orqj0whup erqgvB/
iruwkfrplqj Dphulfdq Hfrqrplf Uhylhz1
Fdqqhu/ Qlnr/ Q1 Juhjru| Pdqnlz/ dqg Gdylg Q1 Zhlo/ 4<<:/ Dq dvvhw doorfdwlrq
sx}}oh/ Dphulfdq Hfrqrplf Uhylhz ;:/ 4;44<41
Fdukduw/ Pdun P1/ 4<<:/ Rq shuvlvwhqfh lq pxwxdo ixqg shuirupdqfh/ Mrxuqdo ri
Ilqdqfh 85/ 8:;51
Fduuroo/ Fkulvwrskhu G1/ 4<<:/ Exhu0vwrfn vdylqj dqg wkh olih f|foh2shupdqhqw lq0
frph k|srwkhvlv/ Txduwhuo| Mrxuqdo ri Hfrqrplfv 445/ 4881
Fhffkhwwl/ Vwhskhq J1/ Srn0Vdqj Odp/ dqg Qhovrq F1 Pdun/ 4<<7/ Whvwlqj yrodwlolw|
uhvwulfwlrqv rq lqwhuwhpsrudo pdujlqdo udwhv ri vxevwlwxwlrq lpsolhg e| Hxohu
htxdwlrqv dqg dvvhw uhwxuqv/ Mrxuqdo ri Ilqdqfh 7</ 4564851
Fhffkhwwl/ Vwhskhq J1/ Srn0Vdqj Odp/ dqg Qhovrq F1 Pdun/ 4<<:/ Dvvhw sulflqj
zlwk glvwruwhg eholhiv= Duh htxlw| uhwxuqv wrr jrrg wr eh wuxhB/ Zrunlqj sdshu/
Rklr Vwdwh Xqlyhuvlw|1
Fkdq/ N1F1 dqg Qdl0ix Fkhq/ 4<<4/ Vwuxfwxudo dqg uhwxuq fkdudfwhulvwlfv ri vpdoo
dqg odujh upv/ Mrxuqdo ri Ilqdqfh 79/ 479:47;71
Fkdq/ \hxqj Ohzlv dqg Ohrqlg Nrjdq/ 4<<</ Khwhurjhqhrxv suhihuhqfhv dqg wkh
g|qdplfv ri dvvhw sulfhv/ Zrunlqj sdshu/ Kduydug Xqlyhuvlw|1
Frffr/ Mrdr/ Iudqflvfr Jrphv/ dqg Sdvfdo Pdhqkrxw/ 4<<;/ Frqvxpswlrq dqg sruw0
irolr fkrlfh ryhu wkh olih f|foh/ Zrunlqj sdshu/ Kduydug Xqlyhuvlw|1
8<
Frfkudqh/ Mrkq K1/ 4<<9/ D furvv0vhfwlrqdo whvw ri dq lqyhvwphqw0edvhg dvvhw sulflqj
prgho/ Mrxuqdo ri Srolwlfdo Hfrqrp| 437/ 8:59541
Frfkudqh/ Mrkq K1/ 4<<</ Dvvhw Sulflqj/ Xqsxeolvkhg pdqxvfulsw/ Xqlyhuvlw| ri
Fklfdjr/ Fklfdjr/ LO1
Frfkudqh/ Mrkq K1 dqg Oduv Shwhu Kdqvhq/ 4<<5/ Dvvhw sulflqj ohvvrqv iru pdfurhfr0
qrplfv/ lq R1M1 Eodqfkdug dqg V1 Ilvfkhu/ hgv1/ QEHU Pdfurhfrqrplfv Dqqxdo
4<<5 +PLW Suhvv/ Fdpeulgjh/ PD,1
Frjoh|/ Wlprwk|/ 4<<;/ Lglrv|qfudwlf ulvn dqg wkh htxlw| suhplxp= Hylghqfh iurp
wkh Frqvxphu H{shqglwxuh Vxuyh|/ Zrunlqj sdshu/ Ihghudo Uhvhuyh Edqn ri
Vdq Iudqflvfr1
Frqvwdqwlqlghv/ Jhrujh/ 4<;9/ Fdslwdo pdunhw htxloleulxp zlwk wudqvdfwlrqv frvwv/
Mrxuqdo ri Srolwlfdo Hfrqrp| <7/ ;75;951
Frqvwdqwlqlghv/ Jhrujh/ 4<<3/ Kdelw irupdwlrq= D uhvroxwlrq ri wkh htxlw| suhplxp
sx}}oh/ Mrxuqdo ri Srolwlfdo Hfrqrp| <;/ 84<8761
Frqvwdqwlqlghv/ Jhrujh/ Mrkq Grqdogvrq/ dqg Udmqlvk Phkud/ 4<<;/ Mxqlru fdq*w
eruurz= D qhz shuvshfwlyh rq wkh htxlw| suhplxp sx}}oh/ QEHU Zrunlqj
sdshu 994:1
Frqvwdqwlqlghv/ Jhrujh dqg Gduuhoo Gx!h/ 4<<9/ Dvvhw sulflqj zlwk khwhurjhqhrxv
frqvxphuv/ Mrxuqdo ri Srolwlfdo Hfrqrp| 437/ 54<5731
Fr{/ Mrkq F1 dqg Fkl0ix Kxdqj/ 4<;</ Rswlpdo frqvxpswlrq dqg sruwirolr srolflhv
zkhq dvvhw sulfhv iroorz d glxvlrq surfhvv/ Mrxuqdo ri Hfrqrplf Wkhru| 6</
66;61
Fr{/ Mrkq F1/ Mrqdwkdq H1 Lqjhuvroo/ Mu1/ dqg Vwhskhq D1 Urvv/ 4<;8/ D wkhru| ri
wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Hfrqrphwulfd 86/ 6;873:1
Fr{/ Mrkq F1 dqg Vwhskhq D1 Urvv/ 4<:9/ Wkh ydoxdwlrq ri rswlrqv iru dowhuqdwlyh
vwrfkdvwlf surfhvvhv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 6/ 4784991
Fxwohu/ Gdylg/ Mdphv Srwhued/ dqg Odzuhqfh Vxpphuv/ 4<<4/ Vshfxodwlyh g|qdplfv/
Uhylhz ri Hfrqrplf Vwxglhv 8;/ 85<8791
Gdl/ Tldqj dqg Nhqqhwk M1 Vlqjohwrq/ 5333/ Vshflfdwlrq dqdo|vlv ri d!qh whup
vwuxfwxuh prghov/ iruwkfrplqj Mrxuqdo ri Ilqdqfh1
93
Gdpprq/ Urehuw P1/ Fkhvwhu V1 Vsdww/ dqg Kdurog K1 ]kdqj/ 4<<</ Rswlpdo frq0
vxpswlrq dqg lqyhvwphqw zlwk fdslwdo jdlqv wd{hv/ Zrunlqj sdshu/ Fduqhjlh
Phoorq Xqlyhuvlw|1
Gdqlho/ Nhqw/ Gdylg Kluvkohlihu/ dqg Dydqlgkdu Vxeudkpdq|dp/ 4<<;/ Lqyhvwru sv|0
fkrorj| dqg vhfxulw| pdunhw xqghu0 dqg ryhuuhdfwlrqv/ Mrxuqdo ri Ilqdqfh 4;6<
4;;81
GhErqgw/ Zhuqhu I1P1 dqg Ulfkdug K1 Wkdohu/ 4<;8/ Grhv wkh vwrfn pdunhw ryhu0
uhdfwB/ Mrxuqdo ri Ilqdqfh 73/ :<6;381
Gh Orqj/ M1 Eudgirug/ Dqguhl Vkohlihu/ Odzuhqfh Vxpphuv/ dqg Plfkdho Zdogpdqq/
4<<3/ Qrlvh wudghu ulvn lq qdqfldo pdunhwv/ Mrxuqdo ri Srolwlfdo Hfrqrp| <;/
:36:6;1
Gled/ Ehk}dg dqg Khuvfkho L1 Jurvvpdq/ 4<;;/ Wkh wkhru| ri udwlrqdo exeeohv lq
vwrfn sulfhv/ Hfrqrplf Mrxuqdo <;/ :79:8:1
Grwkdq/ P1 dqg Gdylg Ihogpdq/ 4<;9/ Htxloleulxp lqwhuhvw udwhv dqg pxowlshulrg
erqgv lq d sduwldoo| revhuydeoh hfrqrp|/ Mrxuqdo ri Ilqdqfh 74/ 69<6;51
Gx!h/ Gduuhoo/ 4<<5/ G|qdplf Dvvhw Sulflqj Wkhru| +Sulqfhwrq Xqlyhuvlw| Suhvv/
Sulqfhwrq/ QM,1
Gx!h/ Gduuhoo dqg Odzuhqfh Hsvwhlq/ 4<<5/ Vwrfkdvwlf glhuhqwldo xwlolw| dqg dvvhw
sulflqj/ Hfrqrphwulfd 93/ 6866<71
Gxpdv/ Ehuqdug/ 4<;</ Wzr0shuvrq g|qdplf htxloleulxp lq wkh fdslwdo pdunhw/ Uh0
ylhz ri Ilqdqfldo Vwxglhv 5/ 48:4;;1
Hsvwhlq/ Odzuhqfh dqg Vwdqoh| ]lq/ 4<;</ Vxevwlwxwlrq/ ulvn dyhuvlrq/ dqg wkh whp0
srudo ehkdylru ri frqvxpswlrq dqg dvvhw uhwxuqv= D wkhruhwlfdo iudphzrun/
Hfrqrphwulfd 8:/ <6:9<1
Hsvwhlq/ Odzuhqfh dqg Vwdqoh| ]lq/ 4<<3/ Iluvw0rughu ulvn dyhuvlrq dqg wkh htxlw|
suhplxp sx}}oh/ Mrxuqdo ri Prqhwdu| Hfrqrplfv 59/ 6;:73:1
Hsvwhlq/ Odzuhqfh dqg Vwdqoh| ]lq/ 4<<4/ Vxevwlwxwlrq/ ulvn dyhuvlrq/ dqg wkh whp0
srudo ehkdylru ri frqvxpswlrq dqg dvvhw uhwxuqv= Dq hpslulfdo lqyhvwljdwlrq/
Mrxuqdo ri Srolwlfdo Hfrqrp| <</ 5965;91
94
Idpd/ Hxjhqh I1/ 4<:8/ Vkruw0whup lqwhuhvw udwhv dv suhglfwruv ri lq dwlrq/ Dphulfdq
Hfrqrplf Uhylhz 98/ 59<5;51
Idpd/ Hxjhqh I1 dqg Urehuw Eolvv/ 4<;:/ Wkh lqirupdwlrq lq orqj0pdwxulw| iruzdug
udwhv/ Dphulfdq Hfrqrplf Uhylhz ::/ 9;39<51
Idpd/ Hxjhqh I1 dqg Nhqqhwk U1 Iuhqfk/ 4<;;d/ Shupdqhqw dqg whpsrudu| frp0
srqhqwv ri vwrfn sulfhv/ Mrxuqdo ri Srolwlfdo Hfrqrp| <9/ 5795:61
Idpd/ Hxjhqh I1 dqg Nhqqhwk U1 Iuhqfk/ 4<;;e/ Glylghqg |lhogv dqg h{shfwhg vwrfn
uhwxuqv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 55/ 65:1
Idpd/ Hxjhqh I1 dqg Nhqqhwk U1 Iuhqfk/ 4<;</ Exvlqhvv frqglwlrqv dqg h{shfwhg
uhwxuqv rq vwrfnv dqg erqgv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 58/ 567<1
Idpd/ Hxjhqh I1 dqg Nhqqhwk U1 Iuhqfk/ 4<<5/ Wkh furvv0vhfwlrq ri h{shfwhg vwrfn
uhwxuqv/ Mrxuqdo ri Ilqdqfh 7:/ 75:7981
Idpd/ Hxjhqh I1 dqg Nhqqhwk U1 Iuhqfk/ 4<<6/ Frpprq ulvn idfwruv lq wkh uhwxuqv
rq vwrfnv dqg erqgv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 66/ 6891
Idpd/ Hxjhqh I1 dqg Nhqqhwk U1 Iuhqfk/ 4<<9/ Pxowlidfwru h{sodqdwlrqv ri dvvhw
sulflqj dqrpdolhv/ Mrxuqdo ri Ilqdqfh 84/ 88;71
Idpd/ Hxjhqh I1 dqg Nhqqhwk U1 Iuhqfk/ 4<<</ Glvdsshdulqj glylghqgv= Fkdqjlqj
up fkdudfwhulvwlfv ru lqfuhdvhg uhoxfwdqfh wr sd|B/ Zrunlqj sdshu/ Xqlyhuvlw|
ri Fklfdjr dqg PLW1
Idpd/ Hxjhqh I1 dqg M1 PdfEhwk/ 4<:6/ Ulvn/ uhwxuq/ dqg htxloleulxp= Hpslulfdo
whvwv/ Mrxuqdo ri Srolwlfdo Hfrqrp| :4/ 93:9691
Ihuvrq/ Zd|qh H1 dqg Jhrujh Frqvwdqwlqlghv/ 4<<4/ Kdelw shuvlvwhqfh dqg gxudelolw|
lq djjuhjdwh frqvxpswlrq= Hpslulfdo whvwv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 5</
4<<5731
Iuhqfk/ Nhqqhwk/ J1 Zlooldp Vfkzhuw/ dqg Urehuw I1 Vwdpedxjk/ 4<;:/ H{shfwhg
vwrfn uhwxuqv dqg yrodwlolw|/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 4</ 6631
Iurrw/ Nhqqhwk dqg Pdxulfh Revwihog/ 4<<4/ Lqwulqvlf exeeohv= Wkh fdvh ri vwrfn
sulfhv/ Dphulfdq Hfrqrplf Uhylhz ;4/ 44;<454:1
95
Jdufld/ Uhqì dqg Slhuuh Shuurq/ 4<<9/ Dq dqdo|vlv ri wkh uhdo lqwhuhvw udwh xqghu
uhjlph vkliwv/ Uhylhz ri Hfrqrplfv dqg Vwdwlvwlfv :;/ 4444581
Jhqqrwwh/ Jhudug/ 4<;9/ Rswlpdo sruwirolr fkrlfh xqghu lqfrpsohwh lqirupdwlrq/
Mrxuqdo ri Ilqdqfh 74/ :66:791
Jleerqv/ Plfkdho U1 dqg Nulvkqd Udpdvzdp|/ 4<<6/ D whvw ri wkh Fr{/ Lqjhuvroo/
dqg Urvv prgho ri wkh whup vwuxfwxuh/ Uhylhz ri Ilqdqfldo Vwxglhv 9/ 94<98;1
Jlrydqqlql/ Doehuwr dqg Sklolssh Zhlo/ 4<;</ Ulvn dyhuvlrq dqg lqwhuwhpsrudo vxe0
vwlwxwlrq lq wkh fdslwdo dvvhw sulflqj prgho/ QEHU Zrunlqj sdshu 5;571
Jodvvpdq/ Mdphv N1 dqg Nhylq D1 Kdvvhww/ 4<<</ Grz 69/333= Wkh Qhz Vwudwhj|
iru Surwlqj iurp wkh Frplqj Ulvh lq wkh Vwrfn Pdunhw +Wlphv Errnv,1
Jorvwhq/ Odzuhqfh/ Udyl Mdjdqqdwkdq/ dqg Gdylg Uxqnoh/ 4<<6/ Rq wkh uhodwlrq
ehwzhhq wkh h{shfwhg ydoxh dqg wkh yrodwlolw| ri wkh qrplqdo h{fhvv uhwxuq rq
vwrfnv/ Mrxuqdo ri Ilqdqfh 7;/ 4::<4;341
Jroolhu/ Fkulvwldq/ 5333/ Wkh Hfrqrplfv ri Ulvn dqg Wlph +iruwkfrplqj PLW Suhvv/
Fdpeulgjh/ PD,1
Jrphv/ Iudqflvfr/ 4<<</ Orvv dyhuvlrq dqg wkh ghpdqg iru ulvn| dvvhwv/ Zrunlqj
sdshu/ Kduydug Xqlyhuvlw|1
Jrugrq/ P|urq/ 4<95/ Wkh Lqyhvwphqw/ Ilqdqflqj/ dqg Ydoxdwlrq ri wkh Frusrudwlrq
+Luzlq/ Krphzrrg/ LO,1
Jud|/ Vwhskhq I1/ 4<<9/ Prghoolqj wkh frqglwlrqdo glvwulexwlrq ri lqwhuhvw udwhv dv d
uhjlph0vzlwfklqj surfhvv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 75/ 5:951
Jurvvpdq/ Vdqirug M1 dqg Jx| Odurtxh/ 4<<3/ Dvvhw sulflqj dqg rswlpdo sruwirolr
fkrlfh lq wkh suhvhqfh ri looltxlg gxudeoh frqvxpswlrq jrrgv/ Hfrqrphwulfd 8;/
58841
Jurvvpdq/ Vdqirug M1 dqg Urehuw M1 Vkloohu/ 4<;4/ Wkh ghwhuplqdqwv ri wkh yduldelolw|
ri vwrfn pdunhw sulfhv/ Dphulfdq Hfrqrplf Uhylhz :4/ 55555:1
Jurvvpdq/ Vdqirug M1 dqg Urehuw M1 Vkloohu/ 4<;5/ Frqvxpswlrq fruuhodwhgqhvv dqg
ulvn phdvxuhphqw lq hfrqrplhv zlwk qrq0wudghg dvvhwv dqg khwhurjhqhrxv lq0
irupdwlrq/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 43/ 4<85431
96
Jurvvpdq/ Vdqirug M1 dqg ]1 ]krx/ 4<<9/ Htxloleulxp dqdo|vlv ri sruwirolr lqvxudqfh/
Mrxuqdo ri Ilqdqfh 84/ 46:<47361
Jxo/ Iduxn/ 4<<4/ D wkhru| ri glvdssrlqwphqw dyhuvlrq/ Hfrqrphwulfd 8</ 99:9;91
Kdoo/ Urehuw H1/ 4<;;/ Lqwhuwhpsrudo vxevwlwxwlrq lq frqvxpswlrq/ Mrxuqdo ri Srolw0
lfdo Hfrqrp| <9/ 5545:61
Kdqvhq/ Oduv S1/ 4<;5/ Odujh vdpsoh surshuwlhv ri jhqhudol}hg phwkrg ri prphqwv
hvwlpdwruv/ Hfrqrphwulfd 83/ 435<43871
Kdqvhq/ Oduv S1/ Mrkq Khdwrq/ dqg Hu}r Oxwwphu/ 4<<8/ Hfrqrphwulf hydoxdwlrq ri
dvvhw sulflqj prghov/ Uhylhz ri Ilqdqfldo Vwxglhv ;/ 56:5:71
Kdqvhq/ Oduv S1 dqg Udyl Mdjdqqdwkdq/ 4<<4/ Uhvwulfwlrqv rq lqwhuwhpsrudo pdujlqdo
udwhv ri vxevwlwxwlrq lpsolhg e| dvvhw uhwxuqv/ Mrxuqdo ri Srolwlfdo Hfrqrp| <</
55805951
Kdqvhq/ Oduv S1 dqg Udyl Mdjdqqdwkdq/ 4<<:/ Dvvhvvlqj vshflfdwlrq huuruv lq
vwrfkdvwlf glvfrxqw idfwru prghov/ Mrxuqdo ri Ilqdqfh 85/ 88:8<31
Kdqvhq/ Oduv S1 dqg Vfrww Ulfkdug/ 4<;:/ Wkh uroh ri frqglwlrqlqj lqirupdwlrq lq
ghgxflqj whvwdeoh uhvwulfwlrqv lpsolhg e| g|qdplf dvvhw sulflqj prghov/ Hfrqr0
phwulfd 88/ 8;:9461
Kdqvhq/ Oduv S1/ Wkrpdv M1 Vdujhqw/ dqg Wkrpdv Wdoodulql/ 4<<:/ Urexvw shupdqhqw
lqfrph dqg sulflqj/ Zrunlqj sdshu/ Xqlyhuvlw| ri Fklfdjr1
Kdqvhq/ Oduv S1 dqg Nhqqhwk M1 Vlqjohwrq/ 4<;5/ Jhqhudol}hg lqvwuxphqwdo yduldeohv
hvwlpdwlrq ri qrqolqhdu udwlrqdo h{shfwdwlrqv prghov/ Hfrqrphwulfd 83/ 459<
45;;1
Kdqvhq/ Oduv S1 dqg Nhqqhwk M1 Vlqjohwrq/ 4<;6/ Vwrfkdvwlf frqvxpswlrq/ ulvn dyhu0
vlrq/ dqg wkh whpsrudo ehkdylru ri dvvhw uhwxuqv/ Mrxuqdo ri Srolwlfdo Hfrqrp|
<4/ 57<59;1
Kdugrxyholv/ Jlndv D1/ 4<<7/ Wkh whup vwuxfwxuh vsuhdg dqg ixwxuh fkdqjhv lq orqj
dqg vkruw udwhv lq wkh J: frxqwulhv= Lv wkhuh d sx}}ohB/ Mrxuqdo ri Prqhwdu|
Hfrqrplfv 66/ 5885;61
Kduulvrq/ Mrkq P1 dqg Gdylg Nuhsv/ 4<:</ Pduwlqjdohv dqg duelwudjh lq pxowlshulrg
vhfxulwlhv pdunhwv/ Mrxuqdo ri Hfrqrplf Wkhru| 53/ 6;473;1
97
Kduyh|/ Fdpsehoo U1/ 4<;</ Wlph0ydu|lqj frqglwlrqdo fryduldqfhv lq whvwv ri dvvhw
sulflqj prghov/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 57/ 5;<64:1
Kduyh|/ Fdpsehoo U1/ 4<<4/ Wkh zruog sulfh ri fryduldqfh ulvn/ Mrxuqdo ri Ilqdqfh
79/ 44448:1
Kh/ Kxd dqg Gdylg Prghvw/ 4<<8/ Pdunhw iulfwlrqv dqg frqvxpswlrq0edvhg dvvhw
sulflqj/ Mrxuqdo ri Srolwlfdo Hfrqrp| 436/ <744:1
Khdwrq/ Mrkq/ 4<<8/ Dq hpslulfdo lqyhvwljdwlrq ri dvvhw sulflqj zlwk whpsrudoo|
ghshqghqw suhihuhqfh vshflfdwlrqv/ Hfrqrphwulfd 96/ 9;4:4:1
Khdwrq/ Mrkq dqg Gherudk Oxfdv/ 4<<9/ Hydoxdwlqj wkh hhfwv ri lqfrpsohwh pdunhwv
rq ulvn vkdulqj dqg dvvhw sulflqj/ Mrxuqdo ri Srolwlfdo Hfrqrp| 437/ 99;:451
Khdwrq/ Mrkq dqg Gherudk Oxfdv/ 4<<:/ Pdunhw iulfwlrqv/ vdylqj ehkdylru dqg sruw0
irolr fkrlfh/ Pdfurhfrqrplf G|qdplfv 4/ :94341
Khdwrq/ Mrkq dqg Gherudk Oxfdv/ 4<<</ Vwrfn sulfhv dqg ixqgdphqwdov/ iruwkfrplqj
QEHU Pdfurhfrqrplfv Dqqxdo +PLW Suhvv/ Fdpeulgjh/ PD,1
Krgulfn/ Urehuw M1/ 4<<5/ Glylghqg |lhogv dqg h{shfwhg vwrfn uhwxuqv= Dowhuqdwlyh
surfhgxuhv iru lqihuhqfh dqg phdvxuhphqw/ Uhylhz ri Ilqdqfldo Vwxglhv 8/ 68:
6;91
Krqj/ Kduulvrq dqg Mhuhp| F1 Vwhlq/ 4<<</ D xqlhg wkhru| ri xqghuuhdfwlrq/ pr0
phqwxp wudglqj/ dqg ryhuuhdfwlrq lq dvvhw pdunhwv/ Mrxuqdo ri Ilqdqfh 87/
547654;71
Lqjhuvroo/ Mrqdwkdq H1/ Mu1/ 4<;:/ Wkhru| ri Ilqdqfldo Ghflvlrq Pdnlqj +Urzpdq
dqg Olwwohhog/ Wrwrzd/ QM,1
Mdjdqqdwkdq/ Udyl dqg ]1 Zdqj/ 4<<9/ Wkh frqglwlrqdo FDSP dqg wkh furvv0vhfwlrq
ri h{shfwhg uhwxuqv/ Mrxuqdo ri Ilqdqfh 84/ 6861
Mhjdghhvk/ Qdudvlpkdq dqg Vkhulgdq Wlwpdq/ 4<<6/ Uhwxuqv wr ex|lqj zlqqhuv dqg
vhoolqj orvhuv= Lpsolfdwlrqv iru vwrfn pdunhw h!flhqf|/ Mrxuqdo ri Ilqdqfh 7;/
98<41
Mrulrq/ Sklolssh dqg Zlooldp Q1 Jrhw}pdqq/ 4<<</ Joredo vwrfn pdunhwv lq wkh
wzhqwlhwk fhqwxu|/ Mrxuqdo ri Ilqdqfh 87/ <86<;31
98
Ndkqhpdq/ Gdqlho dqg Dprv Wyhuvn|/ 4<:</ Survshfw wkhru|= Dq dqdo|vlv ri ghflvlrq
xqghu ulvn/ Hfrqrphwulfd 7:/ 5965<41
Ndqgho/ Vkpxho dqg Urehuw I1 Vwdpedxjk/ 4<<4/ Dvvhw uhwxuqv dqg lqwhuwhpsrudo
suhihuhqfhv/ Mrxuqdo ri Prqhwdu| Hfrqrplfv 5:/ 6:<41
Ndqgho/ Vkpxho dqg Urehuw I1 Vwdpedxjk/ 4<;9/ Rq wkh suhglfwdelolw| ri vwrfn
uhwxuqv= Dq dvvhw doorfdwlrq shuvshfwlyh/ Mrxuqdo ri Ilqdqfh 84/ 6;87571
Nhlp/ Grqdog/ 4<;6/ Vl}h0uhodwhg dqrpdolhv dqg vwrfn uhwxuq vhdvrqdolw|= Ixuwkhu
hpslulfdo hylghqfh/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 45/ 46651
Nhlp/ Grqdog dqg Urehuw Vwdpedxjk/ 4<;9/ Suhglfwlqj uhwxuqv lq vwrfn dqg erqg
pdunhwv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 4:/ 68:6<31
Nlp/ Wrqj Vxn dqg Hgzdug Rpehuj/ 4<<9/ G|qdplf qrqp|rslf sruwirolr ehkdylru/
Uhylhz ri Ilqdqfldo Vwxglhv </ 4744941
Nohlgrq/ Doodq/ 4<;9/ Yduldqfh erxqgv whvwv dqg vwrfn sulfh ydoxdwlrq prghov/ Mrxu0
qdo ri Srolwlfdo Hfrqrp| <7/ <8643341
Nrwkdul/ V1S1/ Md| Vkdqnhq/ dqg Ulfkdug J1 Vordq/ 4<<8/ Dqrwkhu orrn dw wkh furvv0
vhfwlrq ri h{shfwhg vwrfn uhwxuqv/ Mrxuqdo ri Ilqdqfh 83/ 4;85571
Nuhsv/ Gdylg P1 dqg H1O1 Sruwhxv/ 4<:;/ Whpsrudo uhvroxwlrq ri xqfhuwdlqw| dqg
g|qdplf fkrlfh wkhru|/ Hfrqrphwulfd 79/ 4;85331
Nuxvhoo/ Shu dqg D1D1 Vplwk/ Mu1/ 4<<:/ Lqfrph dqg zhdowk khwhurjhqhlw|/ sruwirolr
fkrlfh/ dqg htxloleulxp dvvhw uhwxuqv/ Zrunlqj sdshu/ Xqlyhuvlw| ri Urfkhvwhu
dqg Fduqhjlh Phoorq Xqlyhuvlw|1
Odnrqlvkrn/ Mrvhi/ Dqguhl Vkohlihu/ dqg Urehuw Z1 Ylvkq|/ 4<<7/ Frqwuduldq lqyhvw0
phqw/ h{wudsrodwlrq/ dqg ulvn/ Mrxuqdo ri Ilqdqfh 7</ 487448:;1
Odprqw/ Rzhq/ 4<<;/ Hduqlqjv dqg h{shfwhg uhwxuqv/ Mrxuqdo ri Ilqdqfh 86/ 4896
48;:1
Od Sruwd/ Udidho/ 4<<9/ H{shfwdwlrqv dqg wkh furvv0vhfwlrq ri uhwxuqv/ Mrxuqdo ri
Ilqdqfh 84/ 4:484:751
Od Sruwd/ Udidho/ Mrvhi Odnrqlvkrn/ Dqguhl Vkohlihu/ dqg Urehuw Z1 Ylvkq|/ 4<<:/
Jrrg qhzv iru ydoxh vwrfnv= Ixuwkhu hylghqfh rq pdunhw h!flhqf|/ Mrxuqdo ri
Ilqdqfh 85/ ;8<;:71
99
Ohh/ Fkduohv P1F1/ Dqguhl Vkohlihu/ dqg Ulfkdug Wkdohu/ 4<<4/ Lqyhvwru vhqwlphqw
dqg wkh forvhg0hqg ixqg sx}}oh/ Mrxuqdo ri Ilqdqfh 79/ :84431
OhUr|/ Vwhskhq dqg Ulfkdug Sruwhu/ 4<;4/ Wkh suhvhqw ydoxh uhodwlrq= Whvwv edvhg
rq yduldqfh erxqgv/ Hfrqrphwulfd 7</ 8888::1
Ohwwdx/ Pduwlq/ 4<<:/ Lglrv|qfudwlf ulvn dqg yrodwlolw| erxqgv/ Zrunlqj sdshu/ Fhq0
wHU/ Wloexuj Xqlyhuvlw|1
Ohwwdx/ Pduwlq dqg V|gqh| Oxgyljvrq/ 4<<<d/ Frqvxpswlrq/ djjuhjdwh zhdowk/ dqg
h{shfwhg vwrfn uhwxuqv/ Zrunlqj sdshu/ Ihghudo Uhvhuyh Edqn ri Qhz \run1
Ohwwdx/ Pduwlq dqg V|gqh| Oxgyljvrq/ 4<<<e/ Uhvxuuhfwlqj wkh +F,FDSP= D furvv0
vhfwlrqdo whvw zkhq ulvn suhpld duh wlph0ydu|lqj/ Zrunlqj sdshu/ Ihghudo Uh0
vhuyh Edqn ri Qhz \run1
Ohzhoohq/ 4<<</ Wkh wlph0vhulhv uhodwlrqv dprqj h{shfwhg uhwxuq/ ulvn/ dqg errn0wr0
pdunhw/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 87/ 8761
Oldqj/ M1 Qhoolh dqg Vwhyhq D1 Vkdush/ 4<<</ Vkduh uhsxufkdvhv dqg hpsor|hh vwrfn
rswlrqv dqg wkhlu lpsolfdwlrqv iru V)S 833 vkduh uhwluhphqwv dqg h{shfwhg
uhwxuqv/ Zrunlqj sdshu/ Ihghudo Uhvhuyh Erdug1
Olhz/ Mlpp| dqg Pduld Ydvvdorx/ 5333/ Fdq errn0wr0pdunhw/ vl}h/ dqg prphqwxp
eh ulvn idfwruv wkdw suhglfw hfrqrplf jurzwkB/ iruwkfrplqj Mrxuqdo ri Ilqdqfldo
Hfrqrplfv1
Olqwqhu/ Mrkq/ 4<98/ Wkh ydoxdwlrq ri ulvn| dvvhwv dqg wkh vhohfwlrq ri ulvn| lq0
yhvwphqwv lq vwrfn sruwirolrv dqg fdslwdo exgjhwv/ Uhylhz ri Hfrqrplfv dqg
Vwdwlvwlfv 7:/ 466:1
Or/ Dqguhz Z1 dqg D1 Fudlj PdfNlqod|/ 4<<3/ Gdwd0vqrrslqj eldvhv lq whvwv ri
qdqfldo dvvhw sulflqj prghov/ Uhylhz ri Ilqdqfldo Vwxglhv 6/ 76479;1
Oxfdv/ Urehuw H1/ Mu1/ 4<:;/ Dvvhw sulfhv lq dq h{fkdqjh hfrqrp|/ Hfrqrphwulfd 79/
475<47791
Oxwwphu/ Hu}r/ 4<<9/ Dvvhw sulfhv lq hfrqrplhv zlwk iulfwlrqv/ Hfrqrphwulfd 97/
476<479:1
9:
O|qfk/ Dqwkrq| Z1/ 4<<</ Sruwirolr fkrlfh dqg htxlw| fkdudfwhulvwlfv= Fkdudfwhul}lqj
wkh khgjlqj ghpdqgv lqgxfhg e| uhwxuq suhglfwdelolw|/ Zrunlqj sdshu/ Qhz
\run Xqlyhuvlw|1
PdfNlqod|/ D1 Fudlj/ 4<<8/ Pxowlidfwru prghov gr qrw h{sodlq ghyldwlrqv iurp wkh
FDSP/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 6;/ 65;1
Pdhqkrxw/ Sdvfdo/ 4<<</ Urexvw sruwirolr uxohv dqg dvvhw sulflqj/ Zrunlqj sdshu/
Kduydug Xqlyhuvlw|1
Pdqnlz/ Q1 Juhjru|/ 4<;9/ Wkh htxlw| suhplxp dqg wkh frqfhqwudwlrq ri djjuhjdwh
vkrfnv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 4:/ 54454<1
Pdqnlz/ Q1 Juhjru| dqg Mhuh| D1 Plurq/ 4<;9/ Wkh fkdqjlqj ehkdylru ri wkh whup
vwuxfwxuh ri lqwhuhvw udwhv/ Txduwhuo| Mrxuqdo ri Hfrqrplfv 434/ 5445541
Pdqnlz/ Q1 Juhjru| dqg Vwhskhq S1 ]hoghv/ 4<<4/ Wkh frqvxpswlrq ri vwrfnkroghuv
dqg qrq0vwrfnkroghuv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 5</ <:4451
Pdunrzlw}/ Kduu|/ 4<85/ Sruwirolr vhohfwlrq/ Mrxuqdo ri Ilqdqfh :/ ::<41
Pduvk/ Whuu| dqg Urehuw F1 Phuwrq/ 4<;9/ Glylghqg yduldelolw| dqg yduldqfh erxqgv
whvwv iru wkh udwlrqdolw| ri vwrfn pdunhw sulfhv/ Dphulfdq Hfrqrplf Uhylhz :9/
7;67<;1
PfFxoorfk/ M1 Kxvwrq dqg K1 Nzrq/ 4<<6/ X1V1 whup vwuxfwxuh gdwd/ 4<7:4<<4/
Zrunlqj Sdshu <69/ Rklr Vwdwh Xqlyhuvlw|1
Phkud/ Udmqlvk dqg Hgzdug Suhvfrww/ 4<;8/ Wkh htxlw| suhplxp= D sx}}oh/ Mrxuqdo
ri Prqhwdu| Hfrqrplfv 48/ 4784941
Phuwrq/ Urehuw F1/ 4<9</ Olihwlph sruwirolr vhohfwlrq xqghu xqfhuwdlqw|= Wkh frq0
wlqxrxv wlph fdvh/ Uhylhz ri Hfrqrplfv dqg Vwdwlvwlfv 84/ 57:58:1
Phuwrq/ Urehuw F1/ 4<:4/ Rswlpxp frqvxpswlrq dqg sruwirolr uxohv lq d frqwlqxrxv0
wlph prgho/ Mrxuqdo ri Hfrqrplf Wkhru| 6/ 6:67461
Phuwrq/ Urehuw F1/ 4<:6/ Dq lqwhuwhpsrudo fdslwdo dvvhw sulflqj prgho/ Hfrqrphw0
ulfd 74/ ;9:;:1
Phuwrq/ Urehuw F1/ 4<;3/ Rq hvwlpdwlqj wkh h{shfwhg uhwxuq rq wkh pdunhw= dq
h{sorudwru| lqyhvwljdwlrq/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv ;/ 6566941
9;
Phuwrq/ Urehuw F1/ 4<<3/ Frqwlqxrxv Wlph Ilqdqfh/ Edvlo Eodfnzhoo/ Fdpeulgjh/
PD1
Prgljoldql/ Iudqfr dqg Ulfkdug D1 Frkq/ 4<:</ Lq dwlrq dqg wkh vwrfn pdunhw/
Ilqdqfldo Dqdo|vwv Mrxuqdo 68/ 57771
Prgljoldql/ Iudqfr dqg Ulfkdug Vxwfk/ 4<99/ Lqqrydwlrqv lq lqwhuhvw udwh srolf|/
Dphulfdq Hfrqrplf Uhylhz 89/ 4:;4<:1
Qhovrq/ Fkduohv dqg P1 Nlp/ 4<<6/ Suhglfwdeoh vwrfn uhwxuqv= Wkh uroh ri vpdoo
vdpsoh eldv/ Mrxuqdo ri Ilqdqfh 7;/ 9749941
Qhovrq/ Zlooldp U1/ 4<<</ Wkuhh hvvd|v rq wkh delolw| ri wkh fkdqjh lq vkduhv rxw0
vwdqglqj wr suhglfw vwrfn uhwxuqv/ SkG glvvhuwdwlrq/ \doh Xqlyhuvlw|1
Rghdq/ Whuudqfh/ 4<<;/ Duh lqyhvwruv uhoxfwdqw wr uhdol}h wkhlu orvvhvB/ Mrxuqdo ri
Ilqdqfh 86/ 4::84:<;1
Rkovrq/ M1D1/ 4<<3/ D v|qwkhvlv ri vhfxulw| ydoxdwlrq wkhru| dqg wkh uroh ri glylghqgv/
fdvk rzv/ dqg hduqlqjv/ Mrxuqdo ri Frqwhpsrudu| Dffrxqwlqj Uhvhdufk 9/ 97;
9:91
Rkovrq/ M1D1/ 4<<8/ Hduqlqjv/ errn ydoxhv/ dqg glylghqgv lq htxlw| ydoxdwlrq/ Mrxuqdo
ri Frqwhpsrudu| Dffrxqwlqj Uhvhdufk 44/ 9949;:1
Sld}}hvl/ Prqlnd/ 4<<</ Dq hfrqrphwulf prgho ri wkh |lhog fxuyh zlwk pdfurhfr0
qrplf mxps hhfwv/ Zrunlqj sdshu/ Vwdqirug Xqlyhuvlw|1
Srwhued/ Mdphv dqg Odzuhqfh K1 Vxpphuv/ 4<;;/ Phdq uhyhuvlrq lq vwrfn uhwxuqv=
Hylghqfh dqg lpsolfdwlrqv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 55/ 5:931
Ulfkdugvrq/ Pdwwkhz dqg Mdphv K1 Vwrfn/ 4<;</ Gudzlqj lqihuhqfhv iurp vwdwlvwlfv
edvhg rq pxowl|hdu dvvhw uhwxuqv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 58/ 65667;1
Ulhw}/ Wrp/ 4<;;/ Wkh htxlw| ulvn suhplxp= D vroxwlrqB/ Mrxuqdo ri Prqhwdu|
Hfrqrplfv 54/ 44:4651
Ulwwhu/ Md| U1 dqg Ulfkdug V1 Zduu/ 4<<</ Wkh ghfolqh ri lq dwlrq dqg wkh exoo
pdunhw ri 4<;5 wr 4<<:/ Zrunlqj sdshu/ Xqlyhuvlw| ri Iorulgd1
Uroo/ Ulfkdug/ 4<::/ D fulwltxh ri wkh dvvhw sulflqj wkhru|*v whvwv= Sduw L/ Mrxuqdo ri
Ilqdqfldo Hfrqrplfv 7/ 45<4:91
9<
Urvhqehuj/ Eduu/ Nhqqhwk Uhlg/ dqg Urqdog Odqvwhlq/ 4<;8/ Shuvxdvlyh hylghqfh ri
pdunhw lqh!flhqf|/ Mrxuqdo ri Sruwirolr Pdqdjhphqw 44/ <4:1
Urvv/ Vwhskhq D1/ 4<:9/ Wkh duelwudjh wkhru| ri fdslwdo dvvhw sulflqj/ Mrxuqdo ri
Hfrqrplf Wkhru| 46/ 6746931
Urvv/ Vwhskhq D1/ 4<:;/ D vlpsoh dssurdfk wr wkh ydoxdwlrq ri ulvn| vwuhdpv/ Mrxuqdo
ri Exvlqhvv 84/ 7867:81
Urvv/ Vwhskhq D1/ 4<<;/ Vdpxhovrq*v idoodf| ri odujh qxpehuv uhylvlwhg/ Zrunlqj
sdshu/ PLW1
Vdpxhovrq/ Sdxo D1/ 4<98/ Surri wkdw surshuo| dqwlflsdwhg sulfhv xfwxdwh udqgrpo|/
Lqgxvwuldo Pdqdjhphqw Uhylhz 9/ 747<1
Vdpxhovrq/ Sdxo D1/ 4<9</ Olihwlph sruwirolr vhohfwlrq e| g|qdplf vwrfkdvwlf sur0
judpplqj/ Uhylhz ri Hfrqrplfv dqg Vwdwlvwlfv 84/ 56<5791
Vdqgurql/ D1/ 4<<:/ Dvvhw sulfhv/ zhdowk glvwulexwlrq/ dqg lqwhuwhpsrudo suhihuhqfh
vkrfnv/ Zrunlqj sdshu/ Xqlyhuvlw| ri Shqqv|oydqld1
Vdqwrv/ P1V1 dqg Plfkdho Zrrgirug/ 4<<:/ Udwlrqdo dvvhw sulflqj exeeohv/ Hfrqr0
phwulfd 98/ 4<8:1
Vfkurghu/ Pdun dqg Frvwlv Vnldgdv/ 4<<</ Rswlpdo frqvxpswlrq dqg sruwirolr vhohf0
wlrq zlwk vwrfkdvwlf glhuhqwldo xwlolw|/ Mrxuqdo ri Hfrqrplf Wkhru| ;</ 9;4591
Vfkzhuw/ J1 Zlooldp/ 4<;</ Zk| grhv vwrfn pdunhw yrodwlolw| fkdqjh ryhu wlphB/
Mrxuqdo ri Ilqdqfh 77/ 444844861
Vfkzhuw/ J1 Zlooldp/ 4<<3/ Lqgh{hv ri X1V1 vwrfn sulfhv iurp 4;35 wr 4<;:/ Mrxuqdo
ri Exvlqhvv 96/ 6<<7591
Vkdqnhq/ Md|/ 4<;:/ Pxowlyduldwh sur{lhv dqg dvvhw sulflqj uhodwlrqv= Olylqj zlwk wkh
Uroo fulwltxh/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 4;/ <44431
Vkdush/ Vwhyhq D1/ 4<<</ Vwrfn sulfhv/ h{shfwhg uhwxuqv/ dqg lq dwlrq/ Zrunlqj
sdshu/ Erdug ri Jryhuqruv ri wkh Ihghudo Uhvhuyh V|vwhp1
Vkdush/ Zlooldp/ 4<97/ Fdslwdo dvvhw sulfhv= D wkhru| ri pdunhw htxloleulxp xqghu
frqglwlrqv ri ulvn/ Mrxuqdo ri Ilqdqfh 4</ 7587751
:3
Vkhiulq/ Khuvk dqg Phlu Vwdwpdq/ 4<;8/ Wkh glvsrvlwlrq wr vhoo zlqqhuv wrr hduo|
dqg ulgh orvhuv wrr orqj= Wkhru| dqg hylghqfh/ Mrxuqdo ri Ilqdqfh 73/ ::::<31
Vkloohu/ Urehuw M1/ 4<;4/ Gr vwrfn sulfhv pryh wrr pxfk wr eh mxvwlhg e| vxevhtxhqw
fkdqjhv lq glylghqgvB/ Dphulfdq Hfrqrplf Uhylhz :4/ 7547691
Vkloohu/ Urehuw M1/ 4<;5/ Frqvxpswlrq/ dvvhw pdunhwv/ dqg pdfurhfrqrplf xfwxd0
wlrqv/ Fduqhjlh Phoorq Frqihuhqfh Vhulhv rq Sxeolf Srolf| 4:/ 53656;1
Vkloohu/ Urehuw M1/ 4<;7/ Vwrfn sulfhv dqg vrfldo g|qdplfv/ Eurrnlqjv Sdshuv rq
Hfrqrplf Dfwlylw| 5/ 78:7<;1
Vkloohu/ Urehuw M1/ 4<<7/ Pdfur Pdunhwv= Fuhdwlqj Lqvwlwxwlrqv iru Pdqdjlqj Vrflhw|*v
Odujhvw Hfrqrplf Ulvnv +R{irug Xqlyhuvlw| Suhvv/ R{irug,1
Vkloohu/ Urehuw M1/ 4<<</ Kxpdq ehkdylru dqg wkh h!flhqf| ri wkh qdqfldo v|vwhp/
iruwkfrplqj lq Mrkq Wd|oru dqg Plfkdho Zrrgirug hgv1/ Kdqgerrn ri Pdfurh0
frqrplfv Yro1 4 +Qruwk0Kroodqg/ Dpvwhugdp,1
Vkloohu/ Urehuw M1/ Mrkq \1 Fdpsehoo/ dqg Nhuplw O1 Vfkrhqkrow}/ 4<;6/ Iruzdug
udwhv dqg ixwxuh srolf|= Lqwhusuhwlqj wkh whup vwuxfwxuh ri lqwhuhvw udwhv/ Eurrn0
lqjv Sdshuv rq Hfrqrplf Dfwlylw| 4/ 4:654:1
Vkohlihu/ Dqguhl/ 4<;9/ Gr ghpdqg fxuyhv iru vwrfnv vorsh grzqB/ Mrxuqdo ri Ilqdqfh
74/ 8:<8<31
Vkohlihu/ Dqguhl/ 5333/ Lqh!flhqw Pdunhwv= Dq Lqwurgxfwlrq wr Ehkdylrudo Ilqdqfh
+R{irug Xqlyhuvlw| Suhvv/ R{irug,1
Vkohlihu/ Dqguhl dqg Urehuw Z1 Ylvkq|/ 4<<:/ Wkh olplwv ri duelwudjh/ Mrxuqdo ri
Ilqdqfh 85/ 68881
Vlhjho/ Mhuhp|/ 4<<</ Vwrfnv iru wkh Orqj Uxq/ 5qg hg1 +Luzlq,1
Vwdpedxjk/ Urehuw I1/ 4<;5/ Rq wkh h{foxvlrq ri dvvhwv iurp whvwv ri wkh wzr sd0
udphwhu prgho/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 43/ 56859;1
Vwruhvohwwhq/ Nmhwlo/ Fkulv L1 Whophu/ dqg Dplu \durq/ 4<<;/ Dvvhw sulflqj zlwk
lglrv|qfudwlf ulvn dqg ryhuodsslqj jhqhudwlrqv/ Zrunlqj sdshu/ Fduqhjlh Phoorq
Xqlyhuvlw|1
:4
Vxpphuv/ Odzuhqfh K1/ 4<;8/ Rq hfrqrplfv dqg qdqfh/ Mrxuqdo ri Ilqdqfh 73/
9669681
Vxpphuv/ Odzuhqfh K1/ 4<;9/ Gr zh uhdoo| nqrz wkdw qdqfldo pdunhwv duh h!0
flhqwB/ lq M1 Hgzdugv hw do1 hgv1 Uhfhqw Ghyhorsphqwv lq Frusrudwh Ilqdqfh
+Fdpeulgjh Xqlyhuvlw| Suhvv/ Qhz \run/ Q\,1
Vxqgduhvdq/ Vxuhvk P1/ 4<;</ Lqwhuwhpsrudoo| ghshqghqw suhihuhqfhv dqg wkh yrodwlo0
lw| ri frqvxpswlrq dqg zhdowk/ Uhylhz ri Ilqdqfldo Vwxglhv 5/ :6;;1
Vxqgduhvdq/ Vxuhvk P1/ 5333/ Frqwlqxrxv0wlph phwkrgv lq qdqfh= D uhylhz dqg dq
dvvhvvphqw/ iruwkfrplqj Mrxuqdo ri Ilqdqfh1
Wkdohu/ Ulfkdug K1 dqg Hulf M1 Mrkqvrq/ 4<<3/ Jdpeolqj zlwk wkh krxvh prqh| dqg
wu|lqj wr euhdn hyhq= Wkh hhfwv ri sulru rxwfrphv rq ulvn| fkrlfh/ Pdqdjhphqw
Vflhqfh 69/ 9769931
Wrelq/ Mdphv/ 4<8;/ Oltxlglw| suhihuhqfh dv ehkdylru wrzdugv ulvn/ Uhylhz ri Hfr0
qrplf Vwxglhv 58/ 9;;81
Ydvlfhn/ Rogulfk/ 4<::/ Dq htxloleulxp fkdudfwhul}dwlrq ri wkh whup vwuxfwxuh/ Mrxu0
qdo ri Ilqdqfldo Hfrqrplfv 8/ 4::4;;1
Ydvvdorx/ Pduld/ 4<<</ Wkh Idpd0Iuhqfk idfwruv dv sur{lhv iru ixqgdphqwdo hfrqrplf
ulvnv/ Zrunlqj sdshu/ Froxpeld Xqlyhuvlw|1
Yd|dqrv/ Glplwul/ 4<<;/ Wudqvdfwlrqv frvwv dqg dvvhw sulfhv= D g|qdplf htxloleulxp
prgho/ Uhylhz ri Ilqdqfldo Vwxglhv 44/ 48;1
Yhurqhvl/ Slhwur/ 4<<</ Vwrfn pdunhw ryhuuhdfwlrq wr edg qhzv lq jrrg wlphv= D
udwlrqdo h{shfwdwlrqv htxloleulxp prgho/ Uhylhz ri Ilqdqfldo Vwxglhv 45/ <:80
433:1
Ylfhlud/ Oxlv P1/ 4<<</ Rswlpdo sruwirolr fkrlfh iru orqj0krul}rq lqyhvwruv zlwk qrq0
wudgdeoh oderu lqfrph/ QEHU Zrunlqj sdshu :73<1
Ylvvlqj0Mûujhqvhq/ Dqqhwwh/ 4<<:/ Olplwhg vwrfn pdunhw sduwlflsdwlrq/ Zrunlqj sd0
shu/ PLW1
Yxrowhhqdkr/ Wxrpr/ 4<<</ Zkdw gulyhv up0ohyho vwrfn uhwxuqvB/ Zrunlqj sdshu/
Xqlyhuvlw| ri Fklfdjr1
:5
Zdfkwhu/ Mhvvlfd/ 4<<;/ Ulvn dyhuvlrq dqg doorfdwlrq wr orqj0whup erqgv/ Zrunlqj
sdshu/ Kduydug Xqlyhuvlw|1
Zdfkwhu/ Mhvvlfd/ 4<<</ Sruwirolr dqg frqvxpswlrq ghflvlrqv xqghu phdq0uhyhuwlqj
uhwxuqv= Dq h{dfw vroxwlrq iru frpsohwh pdunhwv/ Zrunlqj sdshu/ Kduydug Xql0
yhuvlw|1
Zdqj/ Mldqj/ 4<<9/ Wkh whup vwuxfwxuh ri lqwhuhvw udwhv lq d sxuh h{fkdqjh hfrqrp|
zlwk khwhurjhqhrxv lqyhvwruv/ Mrxuqdo ri Ilqdqfldo Hfrqrplfv 74/ :84431
Zhlo/ Sklolssh/ 4<;</ Wkh htxlw| suhplxp sx}}oh dqg wkh ulvniuhh udwh sx}}oh/ Mrxu0
qdo ri Prqhwdu| Hfrqrplfv 57/ 7347541
Zhvw/ Nhqqhwk G1/ 4<;;/ Glylghqg lqqrydwlrqv dqg vwrfn sulfh yrodwlolw|/ Hfrqrphw0
ulfd 89/ 6:941
Zklwh/ Kdoehuw/ 5333/ D uhdolw| fkhfn iru gdwd vqrrslqj/ iruwkfrplqj Hfrqrphwulfd1
Zklwhodz/ Urehuw I1/ 5333/ Vwrfn pdunhw ulvn dqg uhwxuq= Dq htxloleulxp dssurdfk/
iruwkfrplqj Uhylhz ri Ilqdqfldo Vwxglhv1
Zlooldpv/ Mrvhsk/ 4<::/ Fdslwdo dvvhw sulfhv zlwk khwhurjhqhrxv eholhiv/ Mrxuqdo ri
Ilqdqfldo Hfrqrplfv 8/ 54<56<1
Zxujohu/ Mhuh| dqg Hndwhulqd ]kxudyvnd|d/ 4<<</ Grhv duelwudjh dwwhq ghpdqg
fxuyhv iru vwrfnvB/ Zrunlqj sdshu/ Kduydug Xqlyhuvlw|1
[ld/ \lkrqj/ 4<<</ Ohduqlqj derxw suhglfwdelolw|= Wkh hhfw ri sdudphwhu xqfhu0
wdlqw| rq g|qdplf dvvhw doorfdwlrq/ Zrunlqj sdshu/ XFOD1
[lrqj/ Zhl/ 4<<</ Lpshuihfw duelwudjh zlwk zhdowk hhfwv/ Zrunlqj sdshu/ Gxnh
Xqlyhuvlw|1
:6