Asset Allocation by Variance Sensitivity Analysis

This article provides a solution to the curse of dimensionalityassociated to multivariate generalized autoregressive conditionallyheteroskedastic (GARCH) estimation. We work with univariateportfolio GARCH models and show how the multivariate dimensionof the portfolio allocation problem may be recovered from theunivariate approach. The main tool we use is "variance sensitivityanalysis," the change in the portfolio variance induced by aninfinitesimal change in the portfolio allocation. We suggesta computationally feasible method to find minimum variance portfoliosand estimate full variance-covariance matrices. An applicationto real data portfolios implements our methodology and comparesits performance against that of selected popular alternatives.     

Parental role models and the decision to become self-employed: The moderating effect of personality

This paper uses social learning theory to examine the influence of parental role models in entrepreneurial families. We distinguish between paternal and maternal role models and investigate how their influence on offsprings’ decision to become self-employed is moderated by personality, specifically the offsprings’ openness. We use data on 461 alumni from eight German universities. Our results show not only that the presence of a parental role model increases the likelihood that individuals become self-employed, but that the influence of role models also depends on the individual’s openness. We discuss the implications of our findings for research on entrepreneurial families, role models, and the psychology of the entrepreneur.