Exploring efficient sets and equilibria on risky assets with APABO DSS prototype version 2.1

ABAPO 2.1 (Assets/Business(es) Analyser and Portfolio Optimizer) is a DSS prototype for portfolio managers. It assists the decision maker in two important stages of his task. First, it provides an integrated synthesis of the returns scenario in order to support the decision maker in the selection of the assets to retain, in accordance with his strategy. Second, on the retained assets it computes and shows the E- efficient solutions. For each efficient portfolio ABAPO supplies immediately a lot of information that should help the decision maker to single out the portfolio which fits his goals best.ABAPO works on an integration of elements derived from the Portfolio Selection Theory, the Capital Asset Pricing Model, the Utility Theory. ABAPO uses the principal component, the univariate, the bivariate regression and the correlation analysis, a parametric quadratic programming model and an algorithm based on the critical line method.ABAPO is implemented in C language under AIX operating system and runs on a IBM RT PC 6150. It is a ductile, interactive procedure that involves graphics in order to increase the efficiency and the effectiveness of the what if simulations.This version 2.1 improves upon the previous one by the evaluation of the Security Market Line, some statistics on the returns of the efficient portfolios, the evaluation of the quadratic indifference curves associated to the efficient portfolios.Research supported by the Italian National Research Council (CNR), grant n. 88.03065.10. ABAPO DSS 2.1 prototype has been developed with the support of the CNR (grant n. 87.1210.10), of the Banca Popolare di Verona, of the Cassa di Risparmio di Verona Vicenza e Belluno, of the Società Cattolica di Assicurazione, at the Istituto di Matematica, Università di Verona.     

Product attributes and models of multiple discreteness

Demand for product characteristics is examined within the context of models that allow for both corner and interior solutions corresponding to zero and non-zero demand. Product attribute information is associated with marginal utility and curvature (satiation) parameters of various utility functions. Empirical applications demonstrate the need for incorporating characteristics in a fairly general way. We also compare our approach to an ideal point and pure Lancasterian versions of our nonlinear utility model. The data support our model over either the ideal point or Lancasterian variants.     

New Evidence from Brazil on Trade Liberalization and Productivity Growth*

This article presents evidence on the positive effect of international trade on productivity growth using industrial level data preceding and following Brazil's trade liberalization in 1988–90. Our data reveal large and widespread productivity improvement across industries after barriers to trade were drastically reduced. Econometric results confirm the association between trade liberalization and productivity growth and show that the impact was indeed substantial: The observed tariff reduction in the period brought a 6% estimated increase in total factor productivity growth rate and a similar impact on labor productivity.     

Police-Monitored Cameras and Crime*

We study the effects of police monitoring on crime. We exploit detailed information on the location and date of installation of police-monitored surveillance cameras, coupled with data at the street-segment level on all reported crimes in the city of Montevideo, Uruguay. We find that the introduction of police-monitored surveillance cameras reduces crime by about 20 percent in monitored areas relative to a pure control group located outside the city. We also explore potential displacement effects, and we do not find evidence of such effects.     

Do Community Supported Agriculture programmes encourage change to food lifestyle behaviours and health outcomes? New evidence from shareholders

Community Supported Agriculture (CSA) programmes have recently received attention for their potential to influence food lifestyle behaviours and health outcomes, though studies have mostly drawn from small samples (n?t-tests assess if paired means are statistically different, and multiple regressions of paired differences on socioeconomic factors, self-reported health, and years of CSA enrolment estimate the effect of respondent characteristics on behaviour change. The results strongly suggest that CSAs have the potential to positively impact shareholders’ food lifestyle behaviours and health outcomes, and that those reporting ‘poor health’ prior to CSA enrolment exhibited the most change overall. These results should be taken as an initial, yet promising, analysis of the impact of CSA participation on shareholder food lifestyle behaviours and health outcomes.     

Optimal monetary policy in a New Keynesian model with habits in consumption

In this paper we consider the implications of habits for optimal monetary policy, when those habits either exist at the level of the aggregate basket of consumption goods (‘superficial’ habits) or at the level of individual goods (‘deep’ habits: see Ravn et al., 2006). External habits generate an additional distortion in the economy and create new trade-offs for optimal policy, as the policy maker does not respond as aggressively to technology shocks in order to avoid exacerbating the habits externality. This can dramatically affect both the parameterization of optimal simple rules, as well as their determinacy properties. These effects are particularly strong when habits are of the deep kind.     

The usefulness of performance reporting in local government: comparing Italy and Spain

This article presents a comparative analysis of the perceived usefulness of performance information by managers in local authorities in Italy and Spain. Italy and Spain have similar cultural and administrative characteristics and in both countries there are external requirements (from central government) to adopt performance indicators. The adoption of performance indicators was found to be almost symbolic in both states.     

The effects of economic news on commodity prices

We assess how commodity prices respond to macroeconomic news and show that commodities have been relatively insensitive to such news over daily frequencies between 1997 and 2009 compared to other financial assets and major exchange rates. Where commodity prices are influenced by news, there is a pro-cyclical bias and these sensitivities have risen as commodities have become increasingly financialized. However, models based on news still do a relatively poor job of forecasting commodity prices at daily frequencies. We also find some asymmetries in how commodity prices respond to news, most notably for gold, which alone among commodities acts as a safe-haven when “bad” economic news emerges.     

Optimal prepayment and default rules for mortgage-backed securities

We study the optimal stopping problems embedded in a typical mortgage. Despite a possible non-rational behaviour of the typical borrower of a mortgage, such problems are worth to be solved for the lender to hedge against the prepayment risk, and because many mortgage-backed securities pricing models incorporate this suboptimality via a so-called prepayment function which can depend, at time t, on whether the prepayment is optimal or not. We state the prepayment problem in the context of the optimal stopping theory and present an algorithm to solve the problem via weak convergence of computationally simple trees. Numerical results in the case of the Vasicek model and of the CIR model are also presented. The procedure is extended to the case when both the prepayment as well as the default are possible: in this case, we present a new method of building two-dimensional computationally simple trees, and we apply it to the optimal stopping problem.