Genetic algorithm versus classical methods in sparse index tracking

The main objective in index tracking is to replicate the performance of a target index by using a small subset of its constituents. Non-convex regularization techniques, such as the \(\ell _q\) and the log penalization, which are able to enhance portfolio sparsity by selecting a low number of active weights, recently proved to perform remarkably well in index tracking problems. The resulting non-convex optimization is NP-hard and deterministic optimization methods, such as interior point and gradient projection algorithms, may not efficiently reach the optimal solution due to the presence of multiple local optima and discontinuities in the search space. Therefore, heuristic approaches can be more helpful and easy to implement, thanks to recent hardware development. In this paper, we compare three state-of-the-art estimation techniques, i.e., the interior point, the gradient projection and the coordinate descent algorithms, to a popular heuristic method, the genetic algorithm, in index tracking optimization. We show and evaluate the performance of the four methods in a penalized framework on different simulated settings and on real-world financial data.     

Can problem-solving attitudes explain the gender gap in financial literacy? Evidence from Italian students’ data

Recent results from the OECD PISA (Financial literacy assessment framework. Australian Council for Educational Research. ACER, Australia, 2012) highlight that Italy is the only surveyed country where, among 15-year-old students, boys perform significantly better than girls in terms of financial literacy. This gap is relevant because financially literacy is crucial to make sound financial decisions and, consequently, it is likely to impact strongly on well-being of women. The main findings reveal that students’ performance in financial literacy is most strongly influenced by some personality traits, such as perseverance and openness to solving complex problems, and, at same time, by the school career and the type of school attended. Their effects are larger among low-performing students than in the upper tail of the score distribution. A decomposition exercise of the gender gap in financial literacy confirms the role played by motivational and attitudinal factors and, at the same time, highlights that putting males and females on an even footing with respect to personal characteristics does not suffice to close the gap.     

Securities class actions in the US banking sector: Between investor protection and bank stability

This paper investigates whether securities class actions (SCAs) can play a role in banking supervision, both as a warning signal of insolvency and as an instrument of market discipline to encourage bank managers to carefully evaluate risk. Two groups of US banks are compared over the 2000–2008 period. One includes banks that have faced at least one SCA, while the other is composed of non-targeted banks (control group). Results indicate that collective private litigation procedures are more frequently directed at financially fragile intermediaries exhibiting inadequate governance standards. Furthermore, banks which have been subjected to SCAs are likely to reduce their excessive risk positions. This supports the idea that SCAs could be efficiently employed as a complement to public supervisory activity in the banking sector.     

Economies of scale and market structure in international grain trade

A large body of literature has examined international grain trade in imperfectly competitive models. The article develops a two-stage duopoly model that considers a private trader and a State Trading Enterprise (STE) competing on a foreign market. The key difference between the private trader and the STE is their international organization; while the STE makes use of external agents to export, the private firm may choose to internalize international transactions. The game is solved for different modes of competition and under both assumptions of homogeneous and differentiated products, in order to assess how these assumptions affect the outcome of the game. The results of the game are examined by using numerical examples. The analysis shows that external shocks on export markets may result in a change of market structure and, consequently, of market shares. These effects depend on the initial market structure. Furthermore, the degree of product differentiation and the assumed mode of competition significantly affect the relative values of transaction and fixed costs at which the market structure changes.     

Validation and measurement invariance of the multidimensional qualitative job insecurity scale

This contribution introduces the Multidimensional Qualitative Job Insecurity Scale (MQJIS). Drawing from the qualitative job insecurity literature and addressing some of other scales’ limitations, a multidimensional model is proposed and investigated by means of confirmatory factor analysis and multilevel confirmatory factor analysis. Study 1 aims to explore the psychometric properties and factorial structure of MQJIS in an Italian sample of blue-collar workers (N?=?583), showing that a model with one higher-order factor (i.e., qualitative job insecurity) and four dimensions (i.e., social relationships, employment conditions, working conditions, and work content) shows a good fit to the data and good reliability indices. Study 2 aims to investigate MQJIS measurement invariance across several groups, based on country of origin, age, and gender. Results on a sample of Belgian and Italian workers (N?=?710) show that MQJIS met the criteria for uniqueness invariance across genders and scalar invariance across countries and age groups. Significance, implications, and future directions stemming from the initial validation and the confirmed measurement invariance of this scale are discussed.

     

Democracies,Politics, and Arms Supply

Throughout the 20th century arms have not only been tradable goods, but also policy instruments. This paper focuses on countries supplying major conventional weapons (MCW), and investigates whether changes in political conditions impact the quantity of MCW supplied to third countries. In particular, it concentrates on democratic exporters and estimates a gravity‐type panel tobit for the years 1975–2004. Results suggest that the exporter's chief executive, being right‐wing, has a positive and significant impact on MCW exports. This may reflect a general right‐wing tendency to support national industry and deregulate heavy industry exports. It is also found that higher concentration of power is associated with lower MCW exports, and that executives which serve the last year of their term and can run for re‐election tend to decrease MCW exports.     

The impact of EU trade preferences on the extensive and intensive margins of agricultural and food products

In this article, we study the trade creation effects of EU preferential trade agreements (PTAs) in the agriculture and food sectors for a large sample of developing countries in the period 1990–2006. We investigate the extent to which the PTAs affect trade through the extensive margin—number of exported products—or the intensive margin—volume of existing products. We use a gravity framework in a panel data setting, and different estimators to deal with the issues of zero trade flows and the presence of an upper bound in the dependent variable. The results show that EU PTAs positively affect the extensive margin in agricultural trade, but not in processed foods. As regards the intensive margin, the effect is driven by the role of tariffs alone, whereas the other provisions of PTAs do not exert any other significant impact on agricultural or food products.     

Disciplining exporting state trading enterprises under economies of scale and oligopoly

The paper develops a two-stage duopoly model to investigatethe effects of eliminating subsidies to state trading enterprises(STEs) as discussed in the WTO Doha Development Agenda negotiationson agriculture. Unlike the STE, the private firm may chooseto integrate vertically in order to avoid transaction costsarising from dealing with downstream operators. The theoreticalmodel shows that eliminating subsidies to the STE may inducea change in market structure and not necessarily lead to increasedcompetition. In fact, if transaction costs are large enoughrelative to fixed costs, then the result may be a monopoly bythe private firm.     

Value network dynamics in 3G–4G wireless communications: A systems thinking approach to strategic value assessment

This article develops a map to analyze the dynamic forces that influence the structure and development of 3G (third generation) wireless communications value networks. The analysis builds on the Strategic Value Assessment Model (Fine, et al. [Fine, Charles H., Vardan, Roger, Pethick, Robert, El Hout, Jamal. Rapid-Response Capability in value chain Design. MIT Sloan Manage Rev 2002, 43(Winter): 69–75.]) and utilizes a qualitative System Dynamics mapping approach. The map focuses on the driving forces affecting user adoption of 3G services, focusing on customer dynamics, competitive dynamics, and technology dynamics. To analyze adoption of 3G services by customers, the articles maps the dynamics of (1) network investment and user population, (2) entry of service innovators as well as price competitors, (3) the effects of positive network externalities arising from a larger user population, (4) price compression as lower willingness-to-pay users adopt 3G services, (5) scale economies in terminal costs and prices, and (6) new content development as a draw to new users. Applying inductive systems diagrams hypotheses are integrated into a causal loop map and tested with data collected at 15 communications-industry workshops attended by 190 participants in Europe. The map aims to deepen the understanding of the possible evolutionary paths of the 3G wireless value network. The article seeks also to assess which future scenarios are plausible and what dynamic triggers might make them likely.