Investment Horizon and Composition of Optimal Portofolio: International Evidence

Little attention has been paid in the literature to the impact of different investment horizons on the portfolio compositiondespite its importance to portfolio managers. One exception isthe study by Gunthorpe and Levy (1994) on the U.S. stock market.Our paper extends the same study to the stock markets of Japan,Hong Kong and Korea. Using 40 individual stocks in each market,our results support those of Gunthorpe and Levy (1994) in thatthe composition of an optimal portfolio depends heavily on theinvestment horizon. When the investment horizon lengthens, theproportion of defensive stocks becomes larger while that ofaggressive stocks becomes smaller.     

Safety of the U.S. food supply: consumer concerns and behaviour

To examine consumer concern about food safety, identify characteristics of those most concerned, and determine behavioural responses to concerns, we used mailed questionnaires to survey a random sample of 630 adults. Eighty-eight percent of respondents were very or somewhat concerned about safety of the food supply. Subjects perceived greatest likelihood of harm from chemicals and lowest likelihood of harm from bacterial contamination. Relative to other concerns about food such as cost or taste, food safety ranked low. Because the concern was across all ages, education levels, genders, and places of residence, we were unable to define a type of person most likely to be concerned about food safety. Less than half the subjects had changed dietary behaviour in response to food safety concerns. Foods reduced or eliminated from the diet most often were meats, fruits, eggs and vegetables. The findings indicate that consumers need risk assessment education and help in making food choices that do not compromise diet quality.     

Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework

In setting minimum capital requirements for trading portfolios, the Basel Committee on Banking Supervision (1996, 2011a, 2013) initially used Value‐at‐Risk (VaR), then both VaR and stressed VaR (SVaR), and most recently, stressed Conditional VaR (SCVaR). Accordingly, we examine the use of SCVaR to measure risk and set these requirements. Assuming elliptically distributed asset returns, we show that portfolios on the mean‐SCVaR frontier generally lie away from the mean‐variance (M‐V) frontier. In a plausible numerical example, we find that such portfolios tend to have considerably higher ratios of risk (measured by, e.g., standard deviation) to minimum capital requirement than those of portfolios on the M‐V frontier. Also, we find that requirements based on SCVaR are smaller than those based on both VaR and SVaR but exceed those based on just VaR. Finally, we find that requirements based on SCVaR are less procyclical than those based on either VaR or both VaR and SVaR. Overall, our paper suggests that the use of SCVaR to measure risk and set requirements is not a panacea.     

Consumer Interest and Health Reform: The Logic of Withdrawal from Managed Competition

We propose six tasks Colston Warne would urge in addressing health care reform: (1) skepticism about advertised claims, (2) independent testing and appraisal, (3) minimizing barriers to consumer access and choice, (4) maximizing quality, (5) evaluation of fairness, and (6) assessing consumer empowerment potential. Such an exercise would likely have led him and should lead us to advocate single-payer health reform. Consumers are the key to breaking through the grid-lock blocking health reform, and single payer is the key for unlocking the democratic dialogue needed for moving forward. Thus we need to stop “fighting over the bill”and instead begin building a better health system.