A Historical Review of Postponement Research

This historical review traces the development of postponement research starting in the fifties. The focus is on seven related themes: connecting form and time postponement, conceptual extensions to postponement, decoupling points, design for postponement, customization and mass customization, factors favoring postponement implementation, and postponement in global settings. Within these themes, the review includes concepts such as postponement costs, decoupling points, part commonality, and the impact of demand correlations on the benefits of postponement. The review suggests that substantial progress has been made in postponement research.     

Cover's universal portfolio,stochastic portfolio theory,and the numéraire portfolio

Cover's celebrated theorem states that the long‐run yield of a properly chosen “universal” portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The “universality” refers to the fact that this result is model‐free, that is, not dependent on an underlying stochastic process. We extend Cover's theorem to the setting of stochastic portfolio theory: the market portfolio is taken as the numéraire, and the rebalancing rule need not be constant anymore but may depend on the current state of the stock market. By fixing a stochastic model of the stock market this model‐free result is complemented by a comparison with the numéraire portfolio. Roughly speaking, under appropriate assumptions the asymptotic growth rate coincides for the three approaches mentioned in the title of this paper. We present results in both discrete and continuous time.     

Portfolio performance gauging in discrete time using a Luenberger productivity indicator

This paper proposes a pragmatic, discrete time indicator to gauge the performance of portfolios over time. Integrating the shortage function (Luenberger, 1995) into a Luenberger portfolio productivity indicator (Chambers, 2002), this study estimates the changes in the relative positions of portfolios with respect to the traditional Markowitz mean-variance efficient frontier, as well as the eventual shifts of this frontier over time. Based on the analysis of local changes relative to these mean-variance and higher moment (in casu, mean-variance-skewness and mean-variance-skewness-kurtosis) frontiers, this methodology allows to neatly separate between on the one hand performance changes due to portfolio strategies and on the other hand performance changes due to the market evolution. This methodology is empirically illustrated using a mimicking portfolio approach (22 and 23) using US monthly data from January 1931 to August 2007.     

Announcements

Abstract

In this study we examined the effect of specialization on behavioral choice among Wisconsin goose hunters, who were able to choose a relatively easy hunt at the Horicon Marsh or a more complex hunt in the exterior zones. Past research has shown that more specialized recreationists have differing motives, attitudes, satisfaction levels, crowding perceptions, environmental preferences, and management preferences. Our goal in this study was to extend this research to behavioral choices and to learn more about the dimensions of specialization in goose hunting. Specialization did not predict behavioral choice among the sample. Specialization, as measured by past experience, commitment, media involvement, club membership, and preferred hunting style, did not differ significantly when comparing Horicon goose hunters and exterior zone hunters. Novice hunters hunted alongside experienced hunters, and behavioral choice appeared to be more a function of structural constraint than attitu‐dinal preference. Specialization did explain differences in hunter judgments of quality, correlating negatively with shooting and bagging and positively with social and natural components of a quality experience. These findings indicate that although the specialization framework can effectively predict attitudinal differences among participants in a given activity, it is less efficient at predicting behavioral choice. Consequently, specialization researchers need to be cautious about inferring levels of specialization from observations of locational choice.     

On the uniqueness of individual demand at almost every price system

A simple new proof, based on Fubini's theorem, is given for the uniqueness of individual demand at almost every price system, even if preferences are nonconvex.     

Numerical evaluation of the critical price and American options

An approximate solution to the American put value is proposed and implemented numerically. Relaxation techniques enable the critical price to be determined with high accuracy. The method uses a modification of the quadratic approximation of MacMillan and Barone-Adesi and Whaley which gives an expression for the critical price. Numerical experimentation and iterative methods quickly provide highly accurate solutions.     

Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors

This paper investigates whether familiarity induced by ambiguity aversion can help explaining the local bias phenomenon among individual investors. Using geographic closeness as a proxy for investor familiarity, we find that investors pull out of (unfamiliar) remote stocks and pour into (familiar) local stocks during times of increased market uncertainty. Moreover, the magnitude of this ‘flight to familiarity’ increases in the spread of an investor's ambiguity (about expected returns) between local and remote stocks. Our results prove robust to a number of alternative explanations of local bias. Specifically, we rule out a ‘home-field advantage’, where investors are able to translate information advantages about nearby companies into excess returns on their local stockholdings. We conclude that individual investors’ local bias is induced by ambiguity aversion in the portfolio selection process rather than a trading strategy based on superior information about local companies.     

Indicators, Green Accounting and Environment Statistics— Information Requirements for Sustainable Development

Since the Earth Summit in Rio de Janeiro 1992 the term sustainable development determines the third and current phase of environmental policy. A precise and commonly accepted definition of sustainable development (s.d.) is still missing. There are, nevertheless, some elements in the philosophy of sustainable development which–even if they are still vague–could be used as guidelines for a framework of green accounting and sustainability indicators. Based on theoretical considerations, the German Federal Statistical Office has developed a framework for an Environmental Economic Accounting System. The objective is to add meaningful modules to the traditional System of National Accounts which are designed to quantify the external (environmental) effects of economic activities. The framework could already be realised and published to an extent that is relevant for actual policy making in Germany.