Portfolio selection in a data-rich environment

We model portfolio weights as a function of latent factors that summarize the information in a large number of economic variables. This approach (hereafter diffusion index approach) offers the opportunity to exploit a much richer information base to improve portfolio selection. We use factor analysis to estimate the space spanned by the factors. This provides consistent estimates for the optimal weights as the number of economic variables and sample size go to infinity. We consider an empirical application to illustrate the practical usefulness of our approach. The results indicate that the diffusion index approach helps to improve the portfolio performance.     

The under-pricing of IPOs in the Gulf cooperation council countries

We document the phenomenon of under-pricing initial public offerings (IPOs) for 47 Gulf firms that went public between 2001 and 2006. The IPOs had, on average, initial abnormal returns of 290 percent, far exceeding those documented for both developed and emerging markets. In aftermarket performance, we find that these IPOs provide investors with negative abnormal returns over a one-year period, which seems to be consistent with findings in other industrial and emerging markets. The empirical models fail, however, to provide us with a satisfactory explanation using the common independent variables employed in the literature. Nevertheless, it appears that country- and industry-specific characteristics, in addition to the timing of the offers, play a key role in explaining IPO behavior in the region. This paper's empirical findings support the hypothesis that investors are initially over-optimistic about an IPO's performance, but grow more pessimistic over time.     

Can Robust Optimization Offer Improved Portfolio Performance? An Empirical Study of Indian market

Journal of Quantitative Economics - The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model. There has been a noteworthy...     

A review of machine learning for big data analytics: bibliometric approach

ABSTRACT

The amalgamation of machine learning and big data has led to a revolution in data science with several influencing applications to various domains. To gain insights on the current research trends on machine learning for big data analytics, this study follows a bibliometric analysis methodology of citation data to review and quantitatively assess the explosion and impact of literature and research performance in this vibrant research area, which has witnessed rapid changes and rising interest in business, industry and academia. Using a variety of bibliometric measures and visualisation techniques, the paper examines and identifies several related issues including research productivity and directions, major contributors, publication trends and growth rates, citation and collaboration analysis, and others. The relevant bibliographic units for the study were collected from the Core Collection of the Web of Science bibliographic database. Nearly all the relevant publications prior to February 2018 were included in the analysis. The overwhelming productivity and wide-spread applications in several multidisciplinary domains have been revealed, with one-to-two ratio of journal to conference publications. Three countries (USA, China, India) are dominating the research output with more than two-thirds of the total productivity.     

Synthesis of Complex Criteria Decision Making: A Case Towards a Consensus Agreement for a Middle East Conflict Resolution

The title of this paper reflects both the process and the outcome of the current undertaking. Frustrated with the current state of the Middle East but encouraged by earlier attempts at modeling complex problems, the authors participated in a panel discussion assembled to address the conflict and propose a possible road-map to peace. However, the participants of this project did not come to a single course of action that will result in peace in the Middle East but did reach a consensus agreement about a resolution that needs to be managed. This paper explores the process, the outcome and the factors that influence the decision as well as potential pitfalls. The Analytic Network Process (ANP), a well known multicriteria decision making approach, applied frequently in recent years to examine conflicts around the world, is used in this analysis. It provides a framework for synthesizing judgments on the diverse aspects of the problem represented in the structure of the decision. It pieces together these judgments in a holistic and logical way.     

Basic Process Capability Indices: An Expository Review

A review of the four basic process capability indices has been made. The interrelationship among these indices has been highlighted. Attention has been drawn to their drawbacks. The relation of these indices to the proportion nonconforming has been dwelt upon and the requirement of the adequate sample size has been emphasized. Cautionary remarks on the use of these indices in the case of nonnormal distributions, skewed distributions, and autocorrelated data are also presented. The effect of measurement error on process capability indices has been dealt with in great detail.     

Economic prosperity of the gold-mining industry in Australia and the consequent gold tax

Income from gold mining in Australia was declared tax-exempt in 1924. This tax-exempt status was removed and tax on income from gold mining was imposed in 1988 with effect from 1 January 1991. This paper documents the political process that led to the imposition of this tax. It provides evidence that rapid prosperity of the Australian gold-mining industry in the 1980s led to increased political sensitivity and removal of the industry's tax-exempt status of nearly seven decades.     

Businesswoman networking: An Eastern perspective

Networking studies remain limited, often overlooking key structure, content, and cultural issues. This article attempts to fill the gap through describing the networking attributes of composition (who), motives (why), faste and methods (how), and network building and maintenance. Results show that (1) businesswomen indicated a preference for male networks, (2) formal networks were more socially accepted, and (3) online networks are becoming popular. Finally, although businesswomen need to extend their networking activities through participating in mainstream networks, cultural limitations on intergender interactions need to be considered; imposing a specific networking model (i.e., male‐dominated) might force women into more isolation. ©2011 Wiley Periodicals, Inc.     

A note on the turn of the month and year effects in international stock returns

This examination of the turn of the month (TOM) and turn of the year (TOY) effects in 50 international stock indices, for the period 1994–2006, characterises the degree that the effects are influenced by: (i) the gross domestic product of the economy, (ii) the sign of the return on the prior day (called the prior day effect), (iii) a temporal indicator and (iv) the Monday effect. These effects are assessed by the use of an estimated generalised least squares (EGLS) panel regression model incorporating panel-corrected standard errors. Three important results relating to the TOM and TOY effects are observed. When the prior day effect on control days is used as the reference and controls are made for market development and year, we find that: (i) there is a relatively enhanced return on all TOM days, (ii) there is a relatively enhanced return on good TOY days and (iii) returns of bad TOY days are not remarkable.     

The dimensions of assortment: A proposed hierarchy of assortment decision making

Abstract

The merchandise assortment plays a fundamental role in retailing; it conveys the positioning of the retailer, and is a key determinant of image and patronage. However, existing literature covering a 50-year period is somewhat fragmented. A key problem with the literature is that it does not distinguish between different levels and dimensions of assortment, causing potential ambiguity in their interpretation in the modern retailing context. The lack of standardised terminology could potentially inhibit future assortment research in, for example, assortment measurement. In reviewing the literature, the critical dimensions of assortment are clarified with conceptual definitions and a hierarchical classification of assortment being proposed. Further, the assortment research is examined, identifying an imbalance between operational and strategic assortment research. As retail assortments expand and saturate, the need for assortment measurement research is argued with associated implications for retail management.