Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

Heterogeneous returns to personality: the role of occupational choice

We analyze the role of personality in occupational choice and wages using data from Germany for the years 1992 to 2009. Characterizing personality by use of seven complementary measures (Big Five personality traits, locus of control, and a measure of reciprocity), the empirical findings show that personal characteristics are important determinants of occupational choice. Associated with that, identical personality traits are differently rewarded across occupations. Hence, breaking down the analysis on the level of occupational groups provides more detailed results of returns to personality. By evaluating different personality profiles, we additionally estimate the influence of personality as a whole. The estimates establish occupation-specific patterns of significant returns to particular personality profiles. These findings underline the importance to consider the occupational distribution when analyzing returns to personality due to its heterogeneous valuation.     

Productivity and Employment in the Information Economy: What Kaldor’s and Verdoorn’s Growth Laws Can Teach the US

During the last decade of the 20th century the US economy experienced the longest economic boom since World War II. Information and communication technologies (ICT) are seen as one of the main reasons for this development and it is still an open question how ICT will affect growth and employment in the future. To evaluate this process Kaldors growth laws, especially Verdoorns law are reconsidered. It will be discussed which changes in the Verdoorn-Coefficient (VC) and the employment threshold (ET) can be expected due to ICT. Induced technical progress and increasing returns to scale could make future economic growth to be less labor-intensive. A simple OLS estimation using data for the US non-farm sector indicates that the VC increased in the second half of the 1990s. Thus, more output growth is required to keep employment constant.The author gratefully acknowledges the most valuable comments from two anonymous referees and the participants of the Annual Meeting of the Austrian Economic Association (NOeG) at the Vienna University of Economics (WU), May 21–22, 2004. Any remaining errors are my own.     

Asymmetric information in bilateral trade and in markets: An inversion result

I consider bilateral trade between a seller and a buyer with private valuations. The seller makes a take-it-or-leave-it price offer. If the seller observes the buyer?s valuation (symmetric information), bilateral trade is trivially efficient. If the seller cannot observe the valuation (asymmetric information), bilateral trade is inefficient. This bilateral trading game is embedded into a large matching market. In the steady-state equilibrium of the market game, the relation between the informational regime and efficiency is inverted: With small frictions efficiency obtains if information is asymmetric. If information is symmetric, however, the trading outcome can be very inefficient—even if frictions vanish.     

Allocative efficiency measurement revisited—Do we really need input prices?

The traditional approach to measuring allocative efficiency exploits input prices, which are rarely known at the firm level. This paper proves allocative efficiency can be measured as a profit-oriented distance to the frontier in a profit-technical efficiency space. This new approach does not require information on input prices. To validate the new approach, we perform a Monte-Carlo experiment providing evidence that the estimates of allocative efficiency employing the new and the traditional approach are highly correlated. Finally, as an illustration, we apply the new approach to a sample of about 900 enterprises from the chemical manufacturing industry in Germany.     

Evaluating universal primary education in Uganda: School fee abolition and educational outcomes

This paper analyzes the effect of lifting primary school fees on educational attainment in Uganda. After the abolishment of school fees in 1997, the enrollment rate more than doubled. Two decades later, we know little about the effect of the policy on educational attainment. With recent data on eight cohorts exposed to free education, we analyze the impact of the policy on years of completed primary school, completion of primary school, and transitioning to secondary school. We use a straightforward regression analysis with cohort dummies and household fixed effects to control for unobserved heterogeneity. We find that lifting school fees had no effect on the years of primary school achievement and the likelihood of primary school completion. We find some weak evidence that the likelihood of those who completed primary education to start secondary school increased after Universal Primary Education.     

Growth, Inequality, and Well-Being: Intertemporal and Global Comparisons

We use several well-being measures that combine average incomewith a measure of inequality to undertake intertemporal andglobal comparisons of wellbeing. The conclusions emerging fromthe intertemporal analysis are that the impact of these measureson temporal trends in well-being is relatively small on average,but changing across the decades. In particular, it suggeststhat changes in well-being were understated in the 1960s and1970s and overstated in the 1980s and 1990s. Our global analysiscovering ca. 81 per cent of the world's population demonstratesthat global well-being is at least 50 per cent smaller thanworld per capita income if the unequal income distribution isalso factored in. Conversely, growth in world well-being hasbeen larger than world income growth between 1970–1998.Since the inclusion of inequality has an important impact onwell-being comparisons, it is of great importance to generatemore consistent and intertemporally as well as internationallycomparable data on inequality. (JEL I31, D63)     

Adam Smith and the division of labour: is there a difference between organisation and market?

The paper claims that, in The Wealth of Nations, the divisionof labour refers simultaneously to two different things: a socialdivision of labour and an organisational division of labour.The central point is that the organisation of work (the organisationaldivision of labour) in the firm is the logical counterpart ofthe social division of labour, and that these reflect two inseparableaspects of the process of the division of labour. Smith is thusconcerned with organisations as well as with markets, each functioningaccording to the same principle. Hence, Smith does not believethat the organisational and the social divisions of labour arefundamentally different, although he does recognise some variationbetween them and describes different states of the divisionof labour within the firm, liberal and capitalist.     

The impact of network configurations on value constellations in business markets — The case of an innovation network

A growing body of scholars are advocating a better understanding of how value is created in business networks, rather than merely in business relationships or at the level of single actors. Among such networks, innovation networks, i.e. the configurations of strategic entrepreneurial nets aimed at improving the effectiveness of innovation performance, have come under scrutiny in the business marketing literature. However, research that explicitly connects value considerations with innovation network configurations is still in its infancy, with empirical evidence being notably scarce. This study is aimed at identifying if and how network configurations affect value constellation aspects in business networks, in terms of value recipients and value outcomes. We interviewed key informants representing 46 high-technology entrepreneurial firms co-located in an innovation network (Daresbury Science and Technology Park — UK). Our study identifies that different network configurations can co-exist in the same overall network; these, nevertheless, are not alternative independent structures, but rather they interact with each other through actors spanning their boundaries. Our study thus provides an understanding of network configurations relating to specific value consequences, but also provides evidence relating to the interactions between different configurations. By doing this, we establish a bridge between a business marketing and a strategy perspective on value in networks. Important managerial implications and implications for policy makers also emerge from our study.     

The mover’s advantage: The superior performance of migrant scientists

Migrant scientists outperform domestic scientists. The result persists after instrumenting migration for reasons of work or study with migration in childhood to minimize the effect of selection. The results are consistent with theories of knowledge recombination and specialty matching.