ESTIMATION OF GLOBAL LOGISTICS EXPENDITURES USING NEURAL NETWORKS

Measuring the size of global logistics expenditure is a difficult task. What is an estimate of logistics expenditures for the global economy? The objective of this research is to answer this question. Using neural networks, an artificial intelligence methodology, logistics expenditures have been estimated at the country level. There are two main contributions from this research. The first is an update of previous estimates of global logistics expenditures. The second is continuous improvement of the estimation method, including information quality and availability as well as mathematical model refinement.     

Can agency theory justify the regulation of insider trading?

Conclusion The insider trading debate traditionally discusses the pros and cons of insider trading and draws a conclusion about the desirability or undesirability of public regulation of insider trading. One of the most important arguments against insider trading is that it generates agency problems that shareholders cannot resolve and that, therefore, insider trading should be publicly regulated. We have challenged this argument for failing to engage in comparative institutional analysis. We argued that when the negative aspects of insider trading, namely, the agency problems that it may create, are considered, it is necessary to engage in comparative institutional analysis and how these problems can be resolved under two different economic systems: the market economy and interventionism. We have been led to the conclusion that under a market economy, shareholders do have mechanisms to protect themselves against agency problems generated by insider trading and that these problems are reduced to a minimum. We have shown that interventionism hampers the functioning and reduces the disciplinary role of such mechanisms. Therefore, insiders have indeed more latitude to engage in these discretionary behaviors, pointed out by the supporters of the insider-trading-as-an-agency-problem argument, that harm shareholders. Finally, we have shown that the failures of government regulation reinforce this tendency of insiders’ behavior. We conclude that we cannot justify a public regulation of insider trading based on the insider-trading-as-agency-problem argument.     

ESTIMATION OF GLOBAL AND NATIONAL LOGISTICS EXPENDITURES: 2002 DATA UPDATE

The objective of this research was to estimate logistic expenditure for the global economy. An Artificial Neural Network was used to generate national estimates. The estimation set constitutes 24 countries representing approximately 75% of the global Gross Domestic Product. The model utilizes variables that capture economic activity, transportation activity, income level, country size, and geographic location. This research updates previous estimates and represents continuous improvement of the estimation method, including new input variables, better information quality, mathematical model refinement, and methods of model validation.     

Mean–variance portfolio selection with ‘at-risk’ constraints and discrete distributions

We examine the impact of adding either a VaR or a CVaR constraint to the mean–variance model when security returns are assumed to have a discrete distribution with finitely many jump points. Three main results are obtained. First, portfolios on the VaR-constrained boundary exhibit (K + 2)-fund separation, where K is the number of states for which the portfolios suffer losses equal to the VaR bound. Second, portfolios on the CVaR-constrained boundary exhibit (K + 3)-fund separation, where K is the number of states for which the portfolios suffer losses equal to their VaRs. Third, an example illustrates that while the VaR of the CVaR-constrained optimal portfolio is close to that of the VaR-constrained optimal portfolio, the CVaR of the former is notably smaller than that of the latter. This result suggests that a CVaR constraint is more effective than a VaR constraint to curtail large losses in the mean–variance model.     

北京万达索菲特大饭店 彰显法式奢华

北京唯一的法式奢华白金五星级酒店——北京万达索菲特大饭店,楼高27层,内设417间客房与套房,其中包括63间行政房及至臻完善的索菲特会所。酒店潜心将法式奢华风姿与中国华丽韵致完美璧合,为那些在商务或度假旅途中探寻时尚、文化、艺术与舒适感的旅行者们提供至尊旅居体验。     

Robust portfolio estimation under skew-normal return processes

In this paper, we study issues related to the optimal portfolio estimators and the local asymptotic normality (LAN) of the return process under the assumption that the return process has an infinite moving average (MA) (∞) representation with skew-normal innovations. The paper consists of two parts. In the first part, we discuss the influence of the skewness parameter δ of the skew-normal distribution on the optimal portfolio estimators. Based on the asymptotic distribution of the portfolio estimator ? for a non-Gaussian dependent return process, we evaluate the influence of δ on the asymptotic variance V(δ) of ?. We also investigate the robustness of the estimators of a standard optimal portfolio via numerical computations. In the second part of the paper, we assume that the MA coefficients and the mean vector of the return process depend on a lower-dimensional set of parameters. Based on this assumption, we discuss the LAN property of the return's distribution when the innovations follow a skew-normal law. The influence of δ on the central sequence of LAN is evaluated both theoretically and numerically.     

When more is less: Using multiple constraints to reduce tail risk

Financial institutions suffered large trading losses during the 2007–2009 global financial crisis. These losses cast doubt on the effectiveness of regulations and risk management systems based on a single Value-at-Risk (VaR) constraint. While some researchers have recommended using Conditional Value-at-Risk (CVaR) to control tail risk, VaR remains popular among practitioners and regulators. Accordingly, our paper examines the effectiveness of multiple VaR constraints in controlling CVaR. Under certain conditions, we theoretically show that they are more effective than a single VaR constraint. Furthermore, we numerically find that the maximum CVaR permitted by the constraints is notably smaller than with a single constraint. These results suggest that regulations and risk management systems based on multiple VaR constraints are more effective in reducing tail risk than those based on a single VaR constraint.     

Portfolio selection with mental accounts and background risk

Das et al. (2010) develop a model where an investor divides his or her wealth among mental accounts with motives such as retirement and bequest. Nevertheless, the investor ends up selecting portfolios within mental accounts and an aggregate portfolio that lie on the mean–variance frontier. Importantly, they assume that the investor only faces portfolio risk. In practice, however, many individuals also face background risk. Accordingly, our paper expands upon theirs by considering the case where the investor faces background risk. Our contribution is threefold. First, we provide an analytical characterization of the existence and composition of the optimal portfolios within accounts and the aggregate portfolio. Second, we show that these portfolios lie away from the mean–variance frontier under fairly general conditions. Third, we find that the composition and location of such portfolios can differ notably from those of portfolios on the mean–variance frontier.     

Measuring Market Power for Food Retail Activities: French Evidence

In this paper we develop and estimate an empirical model of pricing behaviour for food retail firms in both a quantity‐setting oligopoly engaged in the joint production of demand‐related final goods and a quantity‐setting oligopsony for supply‐unrelated wholesale goods. The procedure consists of estimating an inverse demand system for the final goods, single supply functions for the wholesale goods and the retail industry first‐order profit‐maximisation conditions, from which an estimate of the degree of imperfect competition and of oligopoly‐oligopsony power for the different commodities can be retrieved. The model is applied to the French food retail industry and three commodities are distinguished: dairy products, meat products and other food products. We strongly reject the hypothesis that French food retail firms behave competitively, and more than 20 and 17 per cent of the wholesale‐to‐retail price margins for dairy products and meat products, respectively, can be attributed to oligopoly‐oligopsony distortions.     

Evidence of European Trade and Investment U-Shaping Industrial Output in Bulgaria, Hungary, Poland, and Romania

Industrial output in Central and Eastern Europe evolved in a U-shape during the first seven years of transition. The literature explains the initial collapse of industrial output as an inefficient outcome driven by supply side distortions that constrained the transition process. We show that the U-shape experience of industrial sectors is an outcome driven by an intrasector change, induced by investment demand shocks, in the market orientation of production away from products traditionally sold into the CMEA market and towards products traditionally sold into the EU market. This revisionist view has important implications for policy formation. J. Comp. Econom., December 1999, 27(4), pp. 730–752. LICOS, Centre for Transition Economics, Katholieke Universiteit Leuven, Debériotstraat 34, 3000 Leuven, Belgium; and Department of Economics, Trinity College, Dublin, Dublin 2, Ireland, and LICOS, Centre for Transition, Katholieke Universiteit Leuven, Debériostraat 34, 3000 Leuven, Belgium.