Integrating genetic algorithms and spreadsheets: a capital budgeting application

The role of the tax system in generating interactions between the post‐tax cash flows of different projects is discussed. When such interactions can occur, the capital budgeting process should be based around project combinations rather than individual projects. Evaluation of a project combination in net present value terms can easily be done using a spreadsheet. If the number of individual projects is large, then project combinations can be generated and an optimum combination of projects searched for using a genetic algorithm. The genetic algorithm approach has an advantage over alternative computational approaches, such as mixed integer programming, because of the more understandable representation of the problem it allows. Copyright © 2007 John Wiley & Sons, Ltd.     

A predictive system integrating intrinsic mode functions,artificial neural networks,and genetic algorithms for forecasting S&P500 intra‐day data

There is an abundant literature on the design of intelligent systems to forecast stock market indices. In general, the existing stock market price forecasting approaches can achieve good results. The goal of our study is to develop an effective intelligent predictive system to improve the forecasting accuracy. Therefore, our proposed predictive system integrates adaptive filtering, artificial neural networks (ANNs), and evolutionary optimization. Specifically, it is based on the empirical mode decomposition (EMD), which is a useful adaptive signal‐processing technique, and ANNs, which are powerful adaptive intelligent systems suitable for noisy data learning and prediction, such as stock market intra‐day data. Our system hybridizes intrinsic mode functions (IMFs) obtained from EMD and ANNs optimized by genetic algorithms (GAs) for the analysis and forecasting of S&P500 intra‐day price data. For comparison purposes, the performance of the EMD‐GA‐ANN presented is compared with that of a GA‐ANN trained with a wavelet transform's (WT's) resulting approximation and details coefficients, and a GA‐general regression neural network (GRNN) trained with price historical data. The mean absolute deviation, mean absolute error, and root‐mean‐squared errors show evidence of the superiority of EMD‐GA‐ANN over WT‐GA‐ANN and GA‐GRNN. In addition, it outperformed existing predictive systems tested on the same data set. Furthermore, our hybrid predictive system is relatively easy to implement and not highly time‐consuming to run. Furthermore, it was found that the Daubechies wavelet showed quite a higher prediction accuracy than the Haar wavelet. Moreover, prediction errors decrease with the level of decomposition.     

African SMES,networks, and manufacturing performance

This paper examines the role of private support institutions in determining small and medium enterprise (SMES) growth and performance in Sub-Saharan Africa (SSA). It finds that SMES in SSA get around market failures and lack of formal institutions by creating private governance systems in the form of long-term business relationships and tight, ethnically based, business networks. There are important links between these informal governance institutions and SME performance. Networks raise the performance of “insiders” and, in the sparse business environments of the SSA region, have attendant negative consequences for market participation of “outsiders,” such as indigenous-African SMES. This is indicated through the determinants of access to supplier credit. Policy interventions will be needed to improve the platform for relation-based governance mechanisms and to address the exclusionary effects of tight networks.     

Alumni social networks and hedge fund performance: Evidence from China

Based on unique data of Chinese private hedge funds, we first construct the “strong alumni” (alumni of the same school and the same major) social networks of private hedge fund managers, and examine the impact of alumni social networks on the performance of hedge funds in China. We build a series of alumni networks using the educational background information of 4734 private hedge funds, and perform an empirical analysis on a sample of 1115 private hedge funds products from 2010 to 2019. Different from previous findings of mutual funds, we find that more central network positions of hedge fund managers are associated with better risk-adjusted fund performance. Hedge fund managers with more central positions conduct more active investment styles and receive lower fund flows.¹ The results supplement the evidence that information advantages brought by central position in social networks can influence managers' investment styles, thus improve hedge fund performance.     

Board connections and crisis performance: Family,state, and political networks

We introduce a novel concept of network interactions in which board connections provide access to external spheres of political influence, state ownership, and family control. We posit this form of indirect access via board association enables connected firms to benefit from information privy to external networks while avoiding their resource-based costs of membership. Board network data are assembled for 1290 East Asian firms and linked to hand-collected data on political connections and corporate ownership around the 2008–09 crisis. Companies with board connections to state-owned firms and family business groups had greater crisis-period accounting performance and stock returns. In countries with weak institutional development, board connections to politically connected firms were also beneficial.     

Integrating sustainability performance measurement into logistics and supply networks: A multi-methodological approach

This paper seeks to address the way in which economic and environmental performance can be measured simultaneously, taking a multi-methodological approach to the logistics and supply chain management field in order to address sustainability challenges. The multi-methodological approach relies on the merits of different methodologies, provides more flexibility in tackling problems under investigation, and tolerates inaccurate estimation of parameters during the process. An illustrative case study (Westgate Ports) is undertaken in Australia in order to examine the ways in which the multi-methodological approach is applied, and how it assists during the decision making process in the adoption of green practices for freight transport logistics. The case validates the applicability and usefulness of the approach and highlights comparative outputs of costs and carbon emissions in freight transport logistics. Rail transport is identified as giving the opportunity to study the short distance container and freight distribution network, although initially this does not appear to be the most cost-effective option. This study finds that it is better to simultaneously consider performance indicators from different perspectives and to integrate them into one model of system measurement in order for corporations to improve their sustainability performance.     

Comparative performance of UK mutual building societies and stock retail banks: further evidence

The purpose of this paper is to extend the literature on the comparative performance of mutual and stock retail banks by examining a unique episode in the history of financial services; namely, when four of the largest UK building societies (accounting for approximately 60 per cent of the industry's assets) demutualized to public limited company status in 1997. The episode allows us to consider the relative performance of the same businesses under different organizational forms. The results contrast starkly with previous findings and cast doubt on the hypothesis that mutuals generally outperform stock retail banks and indeed the idea that mutuals can be regarded as a homogeneous group of institutions.     

Improved lower and upper bound algorithms for pricing American options by simulation

This paper introduces new variance reduction techniques and computational improvements to Monte Carlo methods for pricing American-style options. For simulation algorithms that compute lower bounds of American option values, we apply martingale control variates and introduce the local policy enhancement, which adopts a local simulation to improve the exercise policy. For duality-based upper bound methods, specifically the primal–dual simulation algorithm, we have developed two improvements. One is sub-optimality checking, which saves unnecessary computation when it is sub-optimal to exercise the option along the sample path; the second is boundary distance grouping, which reduces computational time by skipping computation on selected sample paths based on the distance to the exercise boundary. Numerical results are given for single asset Bermudan options, moving window Asian options and Bermudan max options. In some examples the computational time is reduced by a factor of several hundred, while the confidence interval of the true option value is considerably tighter than before the improvements.     

Organic salmon farming: risk perceptions, decision heuristics and the absence of environmental accounting

This paper reports on interviews with salmon farmers exploring their decision as to whether to adopt organic production methods. Organic salmon farming has the potential to considerably reduce the social, environmental and economic risks associated with salmon farming. Salmon farming is an industry subjected to intense scrutiny and is highly controversial. The combination of these two factors was expected to reveal the use of environmental accounting in evaluating this potentially difficult, expensive strategic decision, responding to the barrage of public criticism, driven by changing environmental regulations and a potential value shift by key actors.However, interviews revealed that going organic was regarded as a normal agricultural decision, largely based on price forecasts. The shift to organic was relatively easy, unproblematic and not too expensive. The environmental pressure groups campaigns had very little impact on this decision and it was not subjected to systematic accounting evaluation. The interviews described a sector exhibiting many of the characteristics of Beck's Risk Society thesis (1992, 1995, 1996).Decision makers’ risk perception is identified as important for considering what factors are thought to be legitimate/illegitimate and powerful/weak in the decision making process. Unless risks are considered ‘real’ by the decision makers then the associated costs/benefits of doing or not doing something are not going to figure in the decision heuristics, regardless of the nature of their calculation. Environmental accounting could play a part, not necessarily at the individual farm level, but as part of a reflexive process in reconstructing the underlying knowledge of the social, environmental and economic risks of salmon farming as a whole.     

Comparative measures of performance for U.S.-based international equity mutual funds

This paper compares an international two-index model to an International Arbitrage Pricing Theory (IAPT) two-factor model to evaluate the performance of 37 U.S.-based international mutual funds over the 1985–1993 period. Results from the index model confirm prior research that international funds perform as well as the market proxy. In contrast, the IAPT model implies superior investment performance by the international funds. Moreover, the two models produce different relative performance rankings. Intertemporal comparisons of the models indicate that the multifactor IAPT model better reflects the international equity return-generating process.     

Accounting and networks of corruption

This study examines the nature and role of accounting practices in a network of corruption in an influence-market setting. The study focuses on the Canadian government’s Sponsorship Program (1994–2003), a national unification scheme that saw approximately $50 million diverted into the bank accounts of political parties, program administrators, and their families, friends and business colleagues. Relying on the institutional sociology of Bourdieu, the study demonstrates the precise role of accounting practices in the organization of a corrupt network imbued with a specific telos and certain accounting tasks. The study illustrates how accounting is accomplished and by whom, and it shows how the ‘skillful use’ of accounting practices and social interactions around these practices together enable corruption. In so doing, the study builds on a growing body of work examining criminogenic networks and the contextual, collaborative and systemic uses of accounting in such networks.     

Accounting comparability and relative performance evaluation by capital markets

This paper examines how accounting comparability affects the monitoring role and the risk allocation role of capital markets. We develop the statistical and informational properties of accounting reports under varying degrees of comparability. A perfectly comparable accounting information system enables investors to perfectly infer the difference between any two firms' future cash flows although investors remain uncertain about either firm's cash flow. Comparability alleviates entrepreneurs' moral hazard problem by strengthening the price response to the relative accounting performance, but can induce excessive price risk as well as residual systematic cash flow risk. Unlike the investors (users) who earn their surplus by bearing the residual systematic risk, the entrepreneurs (preparers) do not find perfect comparability desirable. Hence, a standard setter would mandate higher comparability than preferred by preparers, but not perfect comparability.     

Duration of poor performance and risk shifting by hedge fund managers

A typical hedge fund manager receives greater compensation after strong performance but does not lose compensation after weak performance, and therefore might take on more risk for the second half of the year after poor returns in the first half. We refer to this as “risk shifting.” However, continual risk shifting over a long period would likely make the fund too volatile to attract investors. We find that hedge funds with poor first-half-year performance do tend to increase risk during the second half-year. The effect is larger for funds that began the year “under water” and for smaller funds. The effect is smaller, however, if the poor performance lasts long.     

利用简单命令测试网络性能

在计算机系统的日常维护工作中,网络问题是比较常见的。本文扼要介绍几个在网络维护中比较常用的测试命令。1.Ping命令利用Ping命令,可以测试一帧数据从一台主机传输到另一台主机所需的时间,从而判断主机的响应时间。该命令的作用,主要用于检查路由是否能够到达。由于该命令的包长很小,所以在网上传递的速度非常快,可以快速地检测要去的站点是否可到达。一般访问某一站点前,可先运行此命令。如果执行Ping命令不成功,则可以从以下几个方面查找故障:网线是否连通、网络适配器配置是否正确、IP地址是否可用等。如果执行Ping成功而网络仍无法…     

Risk selection in the London political risk insurance market: the role of tacit knowledge,trust and heuristics

This study demonstrates that the basis of decision-making and risk selection in the London Political Risk Insurance (PRI) market is a combination of Art and Science with such factors as trust and reputation playing an important role. The study breaks new ground by uncovering and examining different methods and strategies of political risk underwriting employed in the insurance market, which does not rely on statistical tools as seen in more traditional insurance types. Adopting a grounded theory approach, the data was generated through 14 semi-structured and unstructured interviews conducted with PRI experts from five PRI companies and two leading political risk broking houses. The data also included documentation reviews and observations.     

Stock performance by utility indifference pricing and the Sharpe ratio

We compare stock performance based on utility indifference pricing and the Sharpe ratio assuming that stock returns follow the class of discrete normal mixture distributions. The utility indifference price with an exponential utility function satisfies several desirable properties that a suitable value measure should satisfy. For utility indifference pricing, we employ the inner rate of risk aversion proposed by Miyahara [Evaluation of the scale risk. RIMS Kokyuroku, No. 1886, Financial Modeling and Analysis (2013/11/20-2013/11/22), 181–188, 2014], which is the degree of risk aversion that makes the utility indifference price with the exponential utility function zero in order to evaluate stock performance. Using a selection of U.S. stocks, the results show that the evaluation of stock performance based on the inner rate of risk aversion is more relevant for risk-averse investors than that based on the Sharpe ratio, which represents performance by the first two moments.     

Advertising in the mutual fund business: The role of judgmental heuristics in private investors' evaluation of risk and return

Effective advertising strategies are of growing importance in the mutual fund industry due to keen competition and changes in market structure. But the dominant variables in financial decision making, investor's perceived investment risk and expected return, have not yet been analysed in an advertising context, although these productrelated evaluations can be influenced by advertising and therefore serve as additional indicators of advertising effectiveness. In this study, the authors use a large-scale experimental study (n=499) to detect how risk-return assessments of private investors are influenced by specific elements of print ads. In this context, judgmental heuristics used systematically by private investors play a crucial role.     

浅析局域网分段在提高网络性能中的作用

分析了局域网中冲突域和广播域产生的原因及对网络性能的影响，并阐述了局域网分段在提高网络性能中的作用，最后对Windows网络分段提出了合理化的建议。     

Foreign acquisitions by UK limited companies: short- and long-run performance

In this paper, we consider the short- and long-run performance of UK firms following foreign acquisitions. Based on a near-exhaustive sample of significant foreign acquisitions by UK companies over the period 1985–1994, we show that short-run returns are insignificantly different from zero irrespective of the location of the acquisition. Further analysis reveals that the distribution of the event period returns is determined by changes in the exchange rate, the presence of the acquiring firm in the target country and by US tax reforms. While long-run returns are not significantly different from zero on average, they show considerable variation by region. Specifically, firms under-perform following acquisition in the US, show insignificant returns following acquisitions in the EU and acquisitions elsewhere show significant positive returns. Examination of the distribution of these returns suggest that, in accordance with the ownership–location–internalisation hypothesis of foreign direct investment (FDI), long-run performance is more likely to depend on the firm-specific advantages such as R&D.     

Reputation and performance fee effects on portfolio choice by investment advisers

This paper examines a two-period model of investment management. Investors reallocate their wealth between two mutual funds managed by different investment advisers after observing the performance of each adviser in the first period. A reputation effect causes one adviser to choose a portfolio in the first period that is extreme given his private information about asset returns. Extreme portfolios are costly for risk-averse advisers and investors because mutual funds are riskier than in one-period or single-adviser settings. Adoption of a performance fee mitigates undesirable reputation effects and results in superior ex ante payoffs to investors.