A relaxation algorithm for building undominated portfolios

Stochastic dominance methods which have been developed in recent years are generally more valid than mean-variance (EV) and higher moment methods for selecting a portfolio from a given finite set of possible portfolios. One of the limitations of these methods is the lack of procedures for building portfolios from a given set of securities and the probability distribution of their returns. Markowitz has developed an algorithm based on the restriction method in linear programming to build undominated portfolios. In this paper a more efficient method based on the relaxation method of linear programming is developed and tested for efficiency. Computational results justify its use as a practical tool for portfolio building.     

反垄断法SSNIP测试辅助性分析方法研究

为了最大限度地弥补 SSNIP 测试不精确与无法涵盖所有现实情况的短板,世界各国反垄断执法机构在其实践中,发掘出一系列辅助性分析方法,如价格弹性分析法、价格差异分析法、价格相关性分析法等。我国作为反垄断的后发国家,尚没有完全掌握相关市场的界定方法,尤其是 SSNIP 测试的具体操作,因而对这些辅助性分析方法进行研究将有利于我国形成一套行之有效的相关市场界定方法,从而促进我国反垄断的有效执法。     

Framework foresight: Exploring futures the Houston way

Over the last several years, the University of Houston developed and codified a method for teaching students how to carry out foresight projects. This development represented a philosophical shift from a neutral presentation of methods without particular advocacy for one or the other. The challenge that this neutral approach presented is that each method is somewhat different and especially for those new to foresight, it became challenging to find common ground, distinguish them, or to know when to use one or the other. Our experience is that our initial wariness of promoting a standard method and thus a “one-right-way” of doing foresight proved unfounded. Not only does it not detract from the teaching of other methods, in fact it has made it easier. Framework Foresight was deliberately built to accommodate and incorporate other methods and approaches. It provides a basis of comparison of how various practitioners and methods do the work, enabling them to assess the strengths and weaknesses of each. Framework Foresight thus could be viewed as a meta-method in that it is a modular approach that accommodates a substitution of, or supplementation from, other methods or techniques at various steps. As students became practitioners and used the method in their practice, they have provided useful feedback and have generally reported back good results. Thus, Framework Foresight is offered to the foresight community as a method for carrying out foresight projects     

The estimation of mortality and other decremental probabilities

Abstract

The standard actuarial methods of estimating the age-specific one-year probabilities of death in a given community were developed—for the most part, many years ago-with large bodies of observations in mind. Although the familiar “exposed to risk” procedure is known to provide unbiased estimates only when a rather dubious assumption is made about the progression of the instantaneous death-rate (the force of mortality) over the year of age (Cantelli, 1914) it is still the most widely used method of estimation. This is partly because the age-to-age increment in human mortality is relatively small—so that assumptions about its mathematical form are unimportant—and partly because suggested methods of estimation based on more “realistic” assumptions are usually laborious to apply to thousands of observations.     

Approaches and Experiences in Projecting Mortality Patterns for the Oldest-Old

Abstract

In 1998 the United Nations Population Division extended the age format of its estimates and projections of population dynamics for all countries and areas of the world from 80 years and above to 100 years and above. The paper is based on experiences made during the implementation of relevant mortality projection methodologies and their application in two rounds of global population projections.

The paper first briefly addresses the need for the explicit inclusion of very old population segments into the regular UN estimates and projections. It is argued that since population aging is an important issue for both developed and developing countries, the need for more information regarding the elderly, and the oldest-old in particular, is significant.

The paper then documents the methods that have been evaluated and implemented, namely, the relational mortality standard proposed by Himes, Preston, and Condran, the Coale-Kisker extrapolation method for extending empirical age patterns of mortality to very high ages, and the Carter-Lee projection method for projecting model patterns of mortality to very high levels of life expectancy at birth. The methods are critically reviewed, and possible improvements to the methods are discussed.

The paper concludes with a discussion of different views regarding the future evolution of mortality at older ages, their regional variability, and the necessity to improve the coverage and quality of data collected in this area.     

Currency Hedging Using the Mean-Gini Framework

The mean-Gini framework has been suggested as a robust alternative to the portfolio approach to futures hedging given its optimality under general distributional conditions. However, calculation of the Gini hedge ratio requires estimation of the underlying price distribution. We estimate minimum-Gini hedge ratios using two widely-used estimation procedures, the empirical distribution function method and the kernel method, for three emerging market and three developed market currencies. We find that these methods yield different Gini hedge ratios. These differences increase with risk aversion and are statistically significant for all developed market currencies but only one emerging market currency. In-sample analyses show that the empirical distribution function method is more effective at risk reduction than the kernel method for developed market currencies, whereas the kernel method is superior for emerging market currencies. Post-sample analyses strengthen the superiority of the empirical distribution function method for developed market and, in several cases, for emerging market currencies.JEL Classification: F31, G15     

Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data

Different prediction methods for chaotic deterministic systems are compared. Two methods of reconstructing the dynamics of the systems are considered with a view to producing a profitable trading model. The methods developed are the ‘nearest neighbours’ method and the ‘radial basis functions’ method. The optimal prediction horizon according to the sampling time step, and a reliable method to measure the prediction error are discussed. These methods are applied to the intra-day series of exchange rates, namely DEM/FRF. Developments concerning the importance of noise when chaotic systems are studied are provided.     

Content analysis in environmental reporting research: Enrichment and rehearsal of the method in a British–German context

A number of previous studies have utilised content analysis as a method for analysing environmental reporting. In this study, a method, devised by the authors and capable of both mechanistic and interpretative narrative interrogation is presented. By adopting a matrix approach to environmental narratives, multiple information characteristics can be taken into account when analysing disclosures. The method developed in this paper (termed CONI or consolidated narrative interrogation) provides a measure of information diversity, information content and volume. The content analysis instrument facilitates data capture inaccessible to less penetrating research instruments.The joint objectives of this paper are to report on the development of CONI and to demonstrate its capacity to extend the capability of content analysis methods. In particular, the paper demonstrates the utility of CONI through the application to a matched sample of 14 pairs of companies from the United Kingdom and Germany over a period of five years. Findings include the observation that information diversity has broadened over time. The study also notes the dominance of narrative over numerical content with little disclosure containing comparative or contextualised numerical information. There were few significant differences in environmental reporting between the two countries. The paper concludes with suggested opportunities for future research using the CONI research instrument.     

Designing insightful inquiring systems for sustainable organizational foresight

This paper contributes to the theory of collaborative problem solving and strategy design by reviewing the state of the art in the application of problem solving and dialectical methods, and then linking up with analytical and computer-aided approaches. Churchman's concept of dialectical inquiry (DI) is presented, and some major derivatives of DI are reviewed, as well as an integrative method for sustainable insightful foresight developed by the authors called comprehensive situation mapping (CSM). In addition to its dialectical process side, CSM offers computational capabilities for devising and figuring out change scenarios. The theory for the manual application of CSM is summarized; in addition, its recent computerized version is presented and likely future improvements are sketched out in light of a current spate of case studies investigating the user-friendliness of its computerization.     

The model of risk assessment of greywater discharges from the Danube River ships

Having in mind the immense value of the Danube River and knowing that risk assessment of its pollution is one of the key elements for ecology and the health of people in its region, in this paper we emphasized the importance of risk assessment of ship-generated wastewater – particularly in the case of greywater discharges. Although, a number of methods for measuring and analysing different environmental risks have been developed, previous research shows that the failure mode and effect analysis (FMEA) method is applicable in solving environmental issues. Therefore, we conducted our research with the main purpose to develop a model of FMEA method application for assessing the risks of ship-generated greywater discharges based on estimated data for total quantity of greywater, the size of the exposed population to the pollution of greywater and the possibilities of this pollution detection. Risk analysis was performed on official data for nine ports on the Danube River on inland waterways of the Republic of Serbia. Based on the obtained results, we concluded that measures, recommendations and risk prevention strategies for ship-generated greywater discharges should go into two major directions: (1) decreasing the pollution caused by greywater discharges; (2) increasing the number of water quality monitoring stations.