For financial risk management it is of vital interest to have good estimates for the correlations between the stocks. It has been found that the correlations obtained from historical data are covered by a considerable amount of noise, which leads to a substantial error in the estimation of the portfolio risk. A method to suppress this noise is power mapping. It raises the absolute value of each matrix element to a power q while preserving the sign. In this paper we use the Markowitz portfolio optimization as a criterion for the optimal value of q and find a K/T dependence, where K is the portfolio size and T the length of the time series. Both in numerical simulations and for real market data we find that power mapping leads to portfolios with considerably reduced risk. It compares well with another noise reduction method based on spectral filtering. A combination of both methods yields the best results. 相似文献
Abstract Let X1(µ), X2(µ), ... be an infinite sequence of independent and identically distributed random variables defined on the whole real axis and with EX1(µ) = µ > 0. Put Mn(µ) = max (S0(µ), S1(µ), ..., Sn(µ), where Sn(µ) = X1(µ) + ... + Xn(µ) for n = 1 , 2, ... and S0(µ) = 0, and define 相似文献
The introduction of market mechanisms matters for industrial relations. In the German hospital sector, national liberalization policies have put immense pressure on local management and worker representatives and led to the growth of a low‐wage sector. In case studies of eight hospitals, we find some locales where market making has led to union revitalization and mobilization, but this effect varies. Using an eight‐way comparison, we infer a configuration of three aspects of the local political economy — labour markets, politics and co‐determination rules — that together provide a well‐fitting explanation for both variation and change. 相似文献
If the German energy transition is to succeed, environmental soundness should not be the only criterion on the agenda with respect to the restructuring of the energy system. It is rather the security of electricity supply and likewise the social sustainability during the transformation process that has to be ensured. The primary question is how to fulfill this challenge in the light of the legal obligation of a complete nuclear power phase-out in the most cost-effective way. The looming avalanche of costs triggered by record-breaking highs of the expanding solar power systems, promoted under the German Renewable Energy Sources Act (EEG), should have made it clear that cost efficiency has only played a minor role so far. According to this study, (real) additional costs for all solar power systems, which had been installed between 2000 and the end of 2011 in Germany, sum up to about 100 billion Euros (prices as of 2011). Since these resources are withdrawn from other societal uses, it is essential that costs for the energy transition in general and in particular the consumers’ costs due to an increased share in renewable energies have to be minimized. For this reason, a new, more cost-efficient and market-oriented promotion/funding system is needed to replace the current system based on the EEG. As suggested by the Monopoly Commission (Monopolkommission 2011), the German Council of Economic Experts (SVR 2011) and recently by acatech, Germany’s National Academy of Science and Engineering (acatech 2012), a market-based promotion system with quantity control in the form of quotas for “green” energy would be a more efficient system. If from 2013 onwards, the future expansion of renewable energies would be fostered by a national quota-based system instead of the EEG, the expansion could be more cost-effective, according to calculations of this study. If, for example, the future price for green electricity certificates exclusively accelerated the expansion of on-shore wind power, the overall subsidies for those wind power capacities that may be installed between 2013 and 2020 merely amount to EUR 6.8 billion (current prices) instead of subsidies in the amount of nearly 58.8 billion Euro (current prices) in the case of further sticking to the EEG. This alone should give sufficient reason to replace the EEG as quickly as possible by a market-based support system such as the quota system. 相似文献
The governments of most advanced countries offer some type of financial subsidy to encourage firm innovation and productivity. This paper analyzes the effects of innovation subsidies using a unique Swedish database that contains firm level data for the period 1997–2011, specifically informa tion on firm subsidies over a broad range of programs. Applying causal treatment effect analysis based on matching and a diff-in-diff approach combined with a qualitative case study of Swedish innovation subsidy programs, we test whether such subsidies have positive effects on firm performance. Our results indicate a lack of positive performance effects in the long run for the majority of firms, albeit there are positive short-run effects on human capital investments and also positive short-term productivity effects for the smallest firms. These findings are interpreted from a robust political economy perspective that reveals that the problems of acquiring correct information and designing appropriate incentives are so complex that the absence of significant positive long-run effects on firm performance for the majority of firms is not surprising. 相似文献
A myriad of front-of-package (FOP) nutrition labeling systems have been developed by both food retailers (e.g., Walmart, Safeway, Hannaford) and manufacturers (e.g., Kellogg's, General Mills) to help consumers identify more healthful options at the point-of-purchase. Given the uniqueness of these different approaches, two studies examine the effects of alternative FOP systems on shoppers’ product evaluations, choices, and retailer evaluations. When a single food item is evaluated in isolation, both the reductive and evaluative systems had a positive effect on product evaluations. However, when several choice options are presented simultaneously in a realistic retail environment, the evaluative (reductive) system has a stronger (weaker) influence on product evaluation and choice. Results also show that FOP nutrition labeling systems have both direct and moderating effects on attitude toward the retailer and perceived retailer concern for shoppers. These retailer-related outcomes, in turn, mediate the effects of the labeling system on shoppers’ intentions to patronize the retailer. Results suggest that FOP nutrition labeling may help retailers build a non-price competitive advantage. 相似文献
The geological conditions in Germany allow maximum temperatures between 160 to 170°C free well head taking techno-economic constraint into consideration. This makes an electricity production for purely technical reasons possible, but only with low efficiencies due to physical constraints. That’s why it assault big amounts of waste heat. For example, the existing geothermal power plants in Germany provide in average 18% of electricity and 82% of heat. This heat is use so far only to a very small degree. Even is a district heating system is operated to supply private households, this heat is used with less than 2.500 h per year. That’s why the still hot thermal water is press back into the underground without any further utilization. For these reasons to achieve a technical and economic optimization it should be the aim to find different reasonable options to use this waste heat. One possibility is the coupling with a drying process at the location of the geothermal plant. Such options will be analyzed from a technical and economic point of view and some conclusions will be drawn. 相似文献
We show that free agent signings in U.S. professional sports are associated with localized sentiment trading effects. Responses are influenced by player performance, labor contract and sport structure characteristics unique to each league. Football signings lack guarantees and are noisy signals while the most informative baseball signings reflect player performance. Sentiment effects of basketball signings are mixed. Investors respond positively to contract extension announcements, but negatively to new contract negotiations, with either the current team or a different franchise. Exceptions are for free agents with high performance rankings or who are perceived to improve the odds of winning a championship. We also provide some evidence that sentiment trading is driven primarily by retail investors.