A geometric approach to portfolio optimization in models with transaction costs

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation.Mathematics Subject Classification (1991): 60G44JEL Classification: G13, G11This research was done at Munich University of Technology supported by a Mercator Guest Professorship of the German Science Foundation (Deutsche Forschungsgemeinschaft). The authors also express their thanks to Mark Davis, Steve Shreve, and Michael Taksar for useful discussions concerning the principle of dynamic programming.     

The poor outside the lamplight: on the prevalence of poverty among population groups not included in household surveys

Poverty rate calculations are often based on household surveys that exclude some of the groups most vulnerable to poverty such as the homeless. This paper documents the nature of the excluded groups and the quantitative importance of their omission for the Czech Republic. Our study combines European Union Statistics on Income and Living Conditions data for 2011 with information from the 2011 Population Census. Our preferred estimate indicates an increase in the poverty rate by almost one percentage point. The paper contributes to accurately identifying the most vulnerable members of the society, which is essential for setting effective social policies.     

The role of psychological and socio-demographical factors for electric bike use in Norway

The electric bike (e-bike) is emerging as a new sustainable transport mode in Norway and has the potential to lead to increased cycling among the population. However, little is known about psychosocial determinants of e-bike use. The aim of the study was to examine the role of normative and environmental beliefs, the perceived attributes of e-bikes, and innovativeness and demographical factors related to e-bike use in a Norwegian sample. An online survey was used to collect data from 910 respondents, including both e-bike users (252) and non-users (658). The respondents were recruited via a commercial panel (response rate 42.04%) and a Facebook post. A structural equation modeling analysis was used to analyze the data. The structural model had a good fit to the data. The results showed that attitudes towards e-bike use followed by innovativeness were the most important predictors of e-bike use. The normative processes measured within the Norm Activation Model activated positive attitudes towards e-bike use, which in turn predicted e-bike use. There was a negative relationship between e-bike and conventional bike use, while a positive relationship was found between car and e-bike use. The results are discussed with regard to their implications for interventions aiming to promote e-bike use.     

Telemonitoring bei Patienten mit arterieller Hypertonie – medizinischer Nutzen und Wirtschaftlichkeit

Background

Arterial hypertension is a widely spread disease which can lead to serious adverse events. On the one hand, an optimal therapy should be provided, and on the other hand it is of major importance to search actively for opportunities to further improve usual care.

Objectives

The objective is to conduct a literature review about “Improvement of health care by telemonitoring in patients with arterial hypertension”. Moreover, potential target groups for telemonitoring and the cost-effectiveness of telemonitoring are discussed.

Methods

Firstly, it was searched for relevant reviews with help of predefined search terms and in- and exclusion criteria (2005–2015). Subsequently, the second step consisted of a literature search for RCTs (2013–2015). The final studies (12 reviews/6 RCTs) were systematically analyzed and summarized in a qualitative way.

Results

It is clear that blood pressure telemonitoring is able to lower blood pressure additionally to usual care. With regards to emerging costs, telemonitoring is initially associated with higher costs. When long-term effects are taken into account, telemonitoring can be classified as cost-effective (1 study). Furthermore, specific patient subgroups (such as patients with uncontrolled hypertension) can particularly benefit from telemonitoring.

Conclusions

It is clear that telemonitoring results in an additional reduction of blood pressure compared to usual care. High risk groups can particularly benefit from telemonitoring. Future telemedical studies should focus more on health economic aspects as the current evidence is limited.

     

Potential economic variables and actual economic policies in Europe

Ignoring for a moment the debate on whether balanced budget rules are a sensible idea from a macroeconomic point of view, there remains a major problem with tying one’s fiscal policy to econometric estimates of potential variables: their notorious unreliability. With every one of its biannual economic forecasts, the EC provides revised estimates of structural parameters that are crucial components of its macroeconometric models and, by extension, its economic policy advice. This article shows that the EC’s econometric estimates of potential growth variables in Europe have been subject to massive revisions since the financial crisis.     

Inclusive Growth — Institutions Matter!

Intereconomics - The aim of the concept of inclusive growth is to derive political recommendations on the basis of selected indicators so that a maximum number of socio-economic groups may benefit...     

Electricity spot price modelling with a view towards extreme spike risk

Sums of Lévy-driven Ornstein–Uhlenbeck processes are appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we show it at work for the EEX Phelix Base electricity price index. We also present a small simulation study to demonstrate the performance of our estimation procedure.     

Optimal portfolios when stock prices follow an exponential Lévy process

We investigate some portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the risk, where we measure risk by the variance, but also by the Capital-at-Risk (CaR). The solution of the mean-variance problem has the same structure for any price process which follows an exponential Lévy process. The CaR involves a quantile of the corresponding wealth process of the portfolio. We derive a weak limit law for its approximation by a simpler Lévy process, often the sum of a drift term, a Brownian motion and a compound Poisson process. Certain relations between a Lévy process and its stochastic exponential are investigated.Received: January 2003Mathematics Subject Classification: Primary: 60F05, 60G51, 60H30, 91B28; secondary: 60E07, 91B70JEL Classification: C22, G11, D81We would like to thank Jan Kallsen and Ralf Korn for discussions and valuable remarks on a previous version of our paper. The second author would like to thank the participants of the Conference on Lévy Processes at Aarhus University in January 2002 for stimulating remarks. In particular, a discussion with Jan Rosinski on gamma processes has provided more insight into the approximation of the variance gamma model.     

Mehr Beschäftigung durch weitere Arbeitsmarktreformen?

Die „Agenda 2010“ hat den Arbeitsmarkt in Deutschland tiefgreifend reformiert. Basiert der jüngste Aufschwung auf diesen Reformen? Sollten die Reformen fortgeführt werden? Wie beschreibt die moderne Arbeitsmarkttheorie den Zusammenhang zwischen Arbeitsmarktinstitutionen und Arbeitslosigkeit? Was ergeben empirische Untersuchungen dieses Zusammenhangs und was l?sst sich daraus für die deutsche Wirtschafts- und Sozialpolitik ableiten? Erik Kl?r, 29, Dipl.-Volkswirt, ist Doktorand an der Universit?t Trier, Lehrstuhl für Geld, Kredit und W?hrung; Dr. Ulrich Fritsche, 39, ist Juniorprofessor an der Universit?t Hamburg, Department Wirtschaft und Politik und Mitarbeiter des Deutsches Instituts für Wirtschaftsforschung (DIW Berlin).     

EXPLORING ALL VAR ORDERINGS FOR CALCULATING SPILLOVERS? YES,WE CAN!—A NOTE ON DIEBOLD AND YILMAZ (2009)

Diebold and Yilmaz (Economic Journal 2009; 119 ; 158–171) introduce the spillover index to measure linkages between international financial markets. As their index depends on the ordering of the variables in the underlying VAR model, they check robustness by computing the index for a small number of randomly chosen permutations, stating that it was impossible to explore the huge number of renumerations. Building on a new divide‐and‐conquer strategy, we provide an algorithm for swiftly calculating the spillover index's maximum and minimum over all renumerations. Using this new algorithm, we find that the true range of the spillover index can be up to three times as large as estimated by Diebold and Yilmaz. Copyright © 2013 John Wiley & Sons, Ltd.