A boosting approach to forecasting gold and silver returns: economic and statistical forecast evaluation

We use a boosting algorithm to forecast the returns of gold and silver prices. We then study the implications of using different information criteria to terminate the boosting algorithm in terms of the statistical and economic performance of a forecasting model. Our findings demonstrate that information criteria that select parsimonious forecasting models perform better in statistical terms than information criteria that select relatively complex forecasting models, but this good performance does not necessarily survive an economic performance evaluation.     

SEN'S CAPABILITY APPROACH AND GENDER INEQUALITY: SELECTING RELEVANT CAPABILITIES

This paper investigates how Amartya Sen's capability approach can be applied to conceptualize and assess gender inequality in Western societies. I first argue against the endorsement of a definitive list of capabilities and instead defend a procedural approach to the selection of capabilities by proposing five criteria. This procedural account is then used to generate a list of capabilities for conceptualizing gender inequality in Western societies. A survey of empirical studies shows that women are worse off than men on some dimensions, better off on a few others, and similarly placed on yet others, while for some dimensions the evaluation is unclear. I then outline why, for group inequalities, inequalities in achieved functionings can be taken to reflect inequalities in capabilities, and how an overall evaluation could be arrived at by weighting the different capabilities.     

Cost-benefit analysis and project evaluation: A comparison of alternative approaches

A cost-benefit criterion is devised to identify small projects which increase production efficiency in a small open economy. This productive efficiency criterion requires only local information on the country's technology. Conditions which make this criterion consistent with more complex criteria based on consumers' preferences as well as technology are investigated in the second half of the paper. We find that the appropriate project evaluation criterion depends on what set of tax and transfer instruments the government can vary. Assuming that the government cannot vary tariffs but can vary all commodity taxes, we find that our initial productive efficiency project evaluation criterion is still valid. Assuming that the government cannot vary tariffs or commodity taxes but can vary direct transfers to consumers leads to a different project evaluation criterion, a generalized Harberger-Bruce-Harris criterion.     

电子行业的供应商评价与选择策略

评价和选择适合的供应商是企业实施供应链管理的关键,中国电子制造企业在供应商评选工作方面还存在一些问题。电子行业企业应该根据成本以及对企业的影响这两个维度对所采购项目进行分类,分别确定评价指标权重,并采用不同的方法评选供应商。同时,对于供应商的评选是个动态过程,应该持续进行。     

Bubble measures in experimental asset markets

We review bubble measures which are commonly used in the experimental asset market literature. It seems sensible to require that measures of mispricing should (i) relate the fundamental value and price, (ii) be monotone in the difference between fundamental value and price, and (iii) be independent of the total number of periods and the absolute level of fundamental value. We show that none of the measures currently used fulfills all these criteria. To facilitate comparability across different experimental settings with different parameterizations we propose two alternative measures which fulfill all evaluation criteria. The measure for mispricing, RAD (relative absolute deviation), is calculated by averaging absolute differences between the (volume-weighted) mean price and the fundamental value across all periods and normalizing it with the absolute value of the average FV of the market. The measure for overvaluation, RD (relative deviation), is calculated analogously, but uses raw difference between (volume-weighted) mean prices and fundamental values. Hence, it provides information on whether the mispricing stems from over- or undervaluation of the asset.     

Conditional market beta for REITs: A comparison of modeling techniques

There has accumulated strong evidence in the literature that market beta (β) is time varying. This paper contributes to the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and evaluate their performances in terms of in-sample beta estimates and out-of-sample beta forecasts. We apply these methods to U.S. equity REITs. Our results overwhelmingly suggest that the state space model is the best performer. Such a conclusion is supported by different evaluation criteria and robust to different sample splitting. Our findings have direct financial implications. The forecasted betas (preferably through the state space model) can be used in many applications such as estimating the cost of capital for the purpose of capital budgeting involving REITs, identifying equity REIT mispricing, evaluating the performance of managed REIT portfolios, etc.     

Reproductive health,fairness, and optimal policies

We consider an overlapping generations economy in which agents differ through their ability to procreate. Ex‐ante infertile households may incur health expenditure to increase their chances of parenthood. This health heterogeneity generates welfare inequalities that deserve to be ruled out. We explore three different criteria of social evaluation in the long‐run: the utilitarian approach, the ex‐ante egalitarian criterion and the ex‐post egalitarian one. We propose a set of economic instruments to decentralize each solution. To correct for the externalities and health inequalities, both a preventive (a taxation of capital) and a redistributive policy are required. We show that a more egalitarian allocation is associated with higher productive investment but reduced health expenditure and thus, lower population growth.     

To value or not to value? That is not the question

Should we reject money when we value nature? Like most environmentalists, ecological economists are increasingly divided on this question. Synthesizing political ecology with ecological economics, we argue that this way of framing the question is limited. We propose a reformulation of the question into “when and how to value with money?” and “under what conditions?” We recommend four criteria for a sound choice: environmental improvement; distributive justice and equality; maintenance of plural value-articulating institutions; and, confronting commodification under neo-liberalism. We call for due attention to the socio-political context within which a valuation is placed and the political goals it serves. The relevance of this framework is demonstrated by applying it to three practical cases: pollution damages, water pricing and payments for ecosystem services.     

Hedge fund index-engineering methodologies: a comparison and demonstration

We examine hedge fund (HF) index construction methodologies, by describing and analysing case studies from two well-known database vendors and evaluating them using numerical examples on the same dataset. Despite the fact that they follow a similar due diligence process, there are great differences in the index engineering practices arising from different quantitative techniques, even for indices in the same HF category. However, those quantitative techniques provide similar results. The differences are rather due to the use of different HF universes and different inclusion criteria. This article is the first to use actual numerical case studies to illustrate and compare how HF index engineering works. Having read it, the reader will have a good understanding of how HF indices are formed.     

Evaluation of Nature Conservation

Recent literature shows a lively debate on how tocapture ecological and environmental aspects indifferent evaluation methods and the closely relatedissue of the (im)possibilities of monetization ofthese aspects. Although economists in general tend tofavour Cost-Benefit Analysis (CBA) aboveMulti-Criteria Analysis (MCA), part of the literaturesuggests that CBA falls short of being the onlydecision-making device for environmental problems,both for theoretical and practical reasons. This paperdiscusses both evaluation methods and the main resultsof a major, publicly-financed nature conservationproject in The Netherlands.The evaluation method combines the straightforwardnessof CBA with the flexibility of MCA. Conceptually, itconsists of a MCA, the net result of a CBA beingintegrated as one of the criteria. The differentaspects of the nature conservation project that can bemonetized are incorporated into the CBA. Otheraspects such as changes in biodiversity or scenicbeauty are analysed in their own dimension,provided (cardinal) quantification is possible. Infact, the analysis consists of a very simple MCA, withtwo criteria: social costs and a quantitative measureof nature.Quantifying the amount of nature in its own,non-monetary dimension is a key element of theempirical analysis. A detailed quantitative estimateis made of the improvement of nature, based upon 564species and 131 different ecosystems. The result ofthe evaluation is a trade-off at the national levelbetween ecological improvements (plus 18 percent) andsocial costs (DFl. 3.4 billion net present value). Dueto the detailed quantification of the effect on naturethe evaluation also yields results about thecost-effectiveness of four different instruments tocreate and to preserve nature. That part of theanalysis shows that complete withdrawal ofagricultural land for nature purposes in the projectin general is more cost-effective than subsidizingnature-friendly farming, although the former is moreexpensive.     

Bilateral foreign aid: how important is aid effectiveness to people for choosing countries to support?

We conduct a discrete choice experiment to determine how important aid effectiveness is to people relative to other criteria for choosing countries to support with bilateral foreign aid. We find that aid effectiveness is important, on a par with recipient-country need as proxied by the level of hunger and malnutrition. Both criteria are more important than others.     

ON PREJUDICE

This paper examines how prejudice biases an evaluation outcome. We also show that referring to past data, which leads to prejudice, can provide a better estimator for the quality of the object under evaluation, even if biased, in the sense that it reduces the mean squared error. However, in cases in which the quality of the evaluation depends on the referee's effort, as well as on his ability, prejudice aggravates the evaluation outcome by dampening his refereeing efforts, thus possibly yielding a worse estimator than no prejudice even in terms of the mean squared error. If evaluators possess prejudice, an individual's performance in the earlier stage of his career becomes more important, at least in the short run, thus creating an incentive to work harder in the earlier stage than in the later stage. This may provide an alternative explanation for cut‐throat competition in the earlier stage to the traditional signaling argument.     

Developing and applying a framework to evaluate participatory research for sustainability

The normative implications of participatory research imply ongoing social learning that ought to lead to personal and institutional transformation. Sustainability science also requires reflexive scientific practice in order to enable the co-generation of solutions that take account of uncertainty and multiple forms of knowledge. However, there is little published peer-reviewed material on how to assess to what degree the rhetoric regarding the benefits of participatory research are achieved in practice, particularly with regard to participatory research for sustainability. This paper outlines how linking the rationales for participatory research and for sustainability science to the principles of evaluation can deliver a conceptually coherent evaluation framework for assessment. The approach for evaluating participatory research in this context consists of framing the evaluation, i.e., setting boundaries on the subject within its social, political, environmental and institutional context and selecting appropriate criteria, methods and data sources. The application of the framework, using a summative evaluation of participatory research for sustainability in north-east Australia, illustrates its strengths and weaknesses, concluding with a consideration of its applicability to further participatory sustainability science.     

评标准则对建筑业利润率的影响研究——基于多智能体仿真

目前关于低价中标对建筑业的影响存在积极与负面两方面的看法,一方认为建筑企业为了生存不得不作出＂最低价抢标＂的抉择,因而产生质量纠纷、影响企业发展的后果。一方认为发达国家多在实践中采用低价中标方式,所有采用过的评标办法在实施中总会出现一些自身无法解决的弊端,实施最低价中标评标办法较之其它办法更有利于实现真正的竞标。理论各持一词。因而研究从个体企业行为角度出发,根据多智能体理论,使用Netlogo建模平台,建立中国建筑业的交易行为互动流程,模拟运行建筑产业创新行为,通过建筑业的虚拟仿真竞争互动,观察并分析论证了建筑业不同评标准则对产业收益存在不同的影响,低价中标方法损害产业收益,而偏好创新中标方法有利于产业收益提高。     

Competitive diffusion of new prescription drugs: The role of pharmaceutical marketing investment

We investigate the impact of marketing interventions on the diffusion of new products in a competitive setting. We develop a family of trial–repeat diffusion models to identify the longitudinal effects of marketing efforts, and complement this with a cross-sectional analysis to identify the between-drug effects. We believe that we are the first to consider both longitudinal and cross-sectional marketing effects in a trial–repeat diffusion context. The models are calibrated on 34 drugs in three therapeutic categories using monthly data. Our longitudinal analyses demonstrate that the trial rate responds positively to increases in own marketing expenditures but is affected negatively by competitors' expenditures. We show how these within-drug analyses provide opportunities for accelerating the diffusion process by reallocating marketing expenditures over time. The cross-sectional analyses demonstrate that pharmaceutical marketing has both an informative and a persuasive influence on the diffusion of new drugs. We find that direct-to-consumer advertising does not affect the trial nor repeat rates during the first months after introduction. We illustrate the managerial relevance of our results and find that a reallocation of marketing budgets does not alter the saturation level, but can help in attaining this level faster. We show that this has a great effect on sales, market share and ROI.     

Dynamics of social factors in technological substitutions

Diffusion models of technological innovations are often based on an epidemic structure which has a good fit to historical data but whose communication assumptions lack explanatory power. They assume a simplified decision process, uniform decision criteria across adopters categories, and a fully interconnected social structure. The objective of this paper is to show that the dynamics of social factors during technological substitutions have significant effects on substitution patterns. The success of a paradigmatic shift is not only a function of technological characteristics but also depends on change agents and many social dynamics. Such complexity requires analysis at several levels of granularity. We start with cognitive processes at the individual level using concepts from cognitive psychology and decision making under uncertainty and then move to interpersonal communications at the aggregate social level. We show that population heterogeneity generates different decision criteria and a social topology which greatly affect perceptions and the formation of expectations. The structure of interpersonal networks also explains how the relevance and credibility of information impact the critical mass dynamics of technology adoption. A more complete model accounting for social interactions provides a useful framework for understanding complex substitution patterns and reducing the risk of misreading the market.     

论人生价值的评价标准

一个社会所提倡的人生价值的评价标准,反映了一个社会的价值取向。在社会主义社会,金钱、权力等不能作为人生价值的评价标准,社会奉献才是人生价值的评价标准。     

Optimal litigation strategies with observable case preparation

This paper investigates the strategic effects of case preparation in litigation. Specifically, it shows how the pretrial efforts incurred by one party may alter its adversary's incentives to settle. We build a sequential game with one-sided asymmetric information where the informed party first decides to invest in case preparation, and the uninformed party then makes a settlement offer. Overinvestment, or bluff, always prevails in equilibrium: with positive probability, plaintiffs with weak cases take a chance on investing, and regret it in case of trial. Furthermore, due to the endogenous investment decision, the probability of trial may (locally) decrease with case strength. Overinvestment generates inefficient preparation costs, but may trigger more settlements, thereby reducing trial costs.     

Litigation with Symmetric Bargaining and Two-Sided Incomplete Information

We construct game-theoretic foundations for bargaining in theshadow of a trial. Plaintiff and defendant both have noisy signalsof a common-value trial judgment and make simultaneous offersto settle. If the offers cross, they settle on the average offer;otherwise, both litigants incur an additional cost and the judgmentis imposed at trial. We obtain an essentially unique Nash equilibriumand characterize its conditional trial probabilities and judgments.Some of the results are intuitive. For example, an increasein trial cost (or a decrease in the range of possible outcomes)reduces the probability of a trial. We obtain a precise nonlinearexpression for the relationship. Other results reverse findingsfrom previous literature. For example, trials are possible evenwhen the defendant's signal indicates a higher potential judgmentthan the plaintiff's signal, and when trial costs are low, middlingcases (rather than extreme cases) are more likely to settle.     

Deterrence, Lawsuits, and Litigation Outcomes Under Court Errors

This article presents a strategic model of liability and litigationunder court errors. Our framework allows for endogenous choiceof level of care and endogenous likelihood of filing and disputes.We derive sufficient conditions for a unique universally divinemixed-strategy perfect Bayesian equilibrium under low courterrors. In this equilibrium, some defendants choose to be grosslynegligent; some cases are filed; and some lawsuits are dropped,some are resolved out of court, and some go to trial. We findthat court errors in the size of the award, as well as damagecaps and split awards, reduce the likelihood of trial but increasefiling and reduce the deterrence effect of punitive damages.We derive conditions under which the adoption of the Englishrule for allocating legal costs reduces filing.