Seasonal decomposition and forecasting of telecommunication data: A comparative case study

In this paper, forecasting models for the monthly outgoing telephone calls in a University Campus are presented. The data have been separated in the categories of international and national calls as well as calls to mobile phones. The total number of calls has also been analyzed. Three different methods, namely the Seasonal Decomposition, Exponential Smoothing Method and SARIMA Method, have been used. Forecasts with 95% confidence intervals were calculated for each method and compared with the actual data. The outcome of this work can be used to predict future demands for the telecommunications network of the University.     

Agency costs and product market competition: The case of audit pricing in Greece

Jensen and Meckling (1976) argue that agency costs are not dependent on product market competition. However, elsewhere in the economics literature, theoretical analysis and empirical research have indicated that product market competition reduces agency costs by reducing the marginal cost of eliciting effort from agents. We investigate the relationship between product market competition and audit fee, as an example of agency cost. Taking advantage of a proprietary data set for Greek audit firms, we find that the audit fee and audit hours are inversely associated with client firm product market competition. We conclude that audit effort, as an agency cost, is reduced where competitive forces reduce the need for shareholders to bear the costs of monitoring agents.     

New classes of improved confidence intervals for the variance of a normal distribution

Two new classes of improved confidence intervals for the variance of a normal distribution with unknown mean are constructed. The first one is a class of smooth intervals. Within this class, a subclass of generalized Bayes intervals is found which contains, in particular, the Brewster and Zidek-type interval as a member. The intervals of the second class, though non-smooth, have a very simple and explicit functional form. The Stein-type interval is a member of this class and is shown to be empirical Bayes. The construction extends Maruyama’s (Metrika 48:209–214, 1998) point estimation technique to the interval estimation problem.     

THE NUMÉRAIRE PROPERTY AND LONG‐TERM GROWTH OPTIMALITY FOR DRAWDOWN‐CONSTRAINED INVESTMENTS

We consider the portfolio choice problem for a long‐run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward risk, encoded by a linear drawdown constraint imposed on admissible wealth processes. We define the constrained numéraire property through the notion of expected relative return and prove that drawdown‐constrained numéraire portfolio exists and is unique, but may depend on the investment horizon. However, when sampled at the times of its maximum and asymptotically as the time‐horizon becomes distant, the drawdown‐constrained numéraire portfolio is given explicitly through a model‐independent transformation of the unconstrained numéraire portfolio. The asymptotically growth‐optimal strategy is obtained as limit of numéraire strategies on finite horizons.     

What drives housing price dynamics in Greece: New evidence from asymmetric ARDL cointegration

In this paper, we study the dynamics between house prices and selected macroeconomic fundamentals in Greece. The empirical analysis applies the asymmetric ARDL cointegration methodology proposed by Shin, Yu and Greenwood-Nimmo (2011) over the period from January 1999 to May 2011. The evidence suggests that ignoring the intrinsic nonlinearities may lead to misleading inference. In particular, the results reveal significant differences in the response of house prices to positive or negative changes of the explanatory variables in both the long- and short-run time horizons. The obtained evidence of asymmetry could be of major importance for more efficient policymaking and forecasting in the Greek house market.     

STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well posed, in the sense that the optimal wealth and the marginal utility‐based prices are continuous functionals of preferences and probabilistic views.     

A model for evaluating the effectiveness of middle managers' training courses: evidence from a major banking organization in Greece

Contemporary management thinking embraces the organizational training theory that sustainable success rests, to a great extent, upon a systematic evaluation of training interventions. However, the evidence indicates that few organizations take adequate steps to assess and analyse the quality and outcomes of their training. The authors seek to develop the existing literature on training evaluation by proposing a new model, specific to management training, which might encourage more and better evaluation by practitioners. Their thesis is that training evaluation is best if it can be based on criteria derived from the objectives of the training and they draw on the management effectiveness literature to inform their proposed model. The study seeks to examine the effect of six evaluation levels – reactions, learning, job behaviour, job performance, organizational team performance and some wider, societal effects – in measuring training interventions with regard to the alterations to learning, transfer and organizational impact. The model was tested with data obtained from 190 middle managers employed by a large banking organization in Greece and the results suggest that there is considerable consistency in the evaluation framework specified. The paper discusses these results and draws conclusions about their practical implications. The study's limitations are considered and some future research needs identified.     

Diversity and relative arbitrage in equity markets

An equity market is called diverse if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Itô-process model initiated by Samuelson (1965) we formulate this property (and the allied, successively weaker notions of weak diversity and asymptotic weak diversity) in precise terms. We show that diversity is possible to achieve, but delicate. Several examples are provided which illustrate these notions and show that weakly-diverse markets contain relative arbitrage opportunities: it is possible to outperform or underperform such markets over any given time-horizon. The existence of this type of relative arbitrage does not interfere with the development of contingent claim valuation, and has consequences for the pricing of long-term warrants and for put-call parity. Several open questions are suggested for further study.Received: January 2004, Mathematics Subject Classification (2000): 60H10, 91B28; 60J55JEL Classification: G10We are grateful for the helpful remarks offered by seminar audiences at Columbia, Yale, Princeton, the Sloan School of MIT, Boston University, the Mathematical Institute in Oberwolfach, and the Universities of Athens, Connecticut/Storrs and Texas/Austin. Special thanks go to Professors Jérôme Detemple, Julien Hugonnier, Ralf Korn, Andrew Lo, Mark Lowenstein and Steven Shreve. We are also indebted to Dr. Adrian Banner for a number of discussions that helped sharpen our thinking about these problems, and to the referees and editors for suggestions that improved the exposition. A significant part of this work was completed in the spring semester of 2002, while the second author was on sabbatical leave at the Cowles Foundation for Research in Economics, Yale University. He is grateful to the Foundation for its hospitality.