Power mapping with dynamical adjustment for improved portfolio optimization

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.     

Marktwirtschaftliche Energiewende: Ein Wettbewerbsrahmen für die Stromversorgung mit alternativen Technologien

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 Since these resources are withdrawn from other societal uses, it is essential that costs for the energy transition in general and in particular the consumers’ costs due to an increased share in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.     

How Does Market Making Affect Industrial Relations? Evidence from Eight German Hospitals

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.     

A Triple Bottom Line Dominant Logic for Business Sustainability: Framework and Empirical Findings

ABSTRACT

Purpose: A limited number of studies have attempted to reveal the mechanism underlying integration amongst the economic, environmental, and social components of business sustainability (BS). BS refers to a company’s efforts to go beyond focusing only on profitability, also to manage its environmental, social, and broader economic impact on the marketplace and society as a whole. The research objective of this study is therefore to develop and test a framework of BS, based upon the triple bottom line (TBL) approach.

Methodology/approach: Companies with more than 100 employees were identified to take part in the study. Respondents included executives in charge of BS initiatives, such as chief sustainability officers, sustainable business managers, and CEOs. Ultimately, 261 companies agreed to participate. Questionnaires (and an accompanying letter with survey details and contact information on the researchers) were sent to the targeted key informant in the company. A total of 110 usable questionnaires were returned, generating a final response rate of 42.1%.

Findings: To assess the underlying pattern of dimensions and items of the BS framework, factor analyses were conducted. An initial factor analysis revealed 3 separate subframeworks of BS (economic, social, and environmental dimensions of the TBL-approach), all of which demonstrate satisfactory factor solutions. A second factor analysis iteration, containing all subframeworks of BS (i.e., 20 dimensions and 60 items) generated a total explained variance of 80%, although the factor loadings of 3 dimensions and their items merged with 3 other dimensions. The final factor solution generated a satisfactory 17-factor solution and explained 83% of the variance, indicating satisfactory convergent, discriminant, and nomological validity, as well as reliability of each dimension.

Research implications: The study proposes a BS framework and concludes that the measurement metrics of the BS framework, which were developed and tested, are valid and reliable. Suggestions for applications, research limitations, and further research are provided. The BS framework may be used by companies to assess and monitor their sustainable business practices in the marketplace and society. The framework provides managerial structure and guidance in terms of the dimensions to be taken into consideration and also the items for measuring each of the dimensions of the BS framework in the market and society. The study is not without its limitations and further work is needed to verify the validity and reliability of the empirical findings of the BS framework across contexts and over time. As it stands, the investigation provides a foundation for further research, offering opportunities for updates, amendments, and refinements. Originality/value/contribution: A principal contribution of this study is the empirically developed and tested BS framework. It is based on the elements of the TBL approach, consisting of dimensions and measurement items. The BS framework and its hierarchical layers provide a structured contribution that assesses and monitors the managerial implementation of sustainable business practices and sustainable business models. Furthermore, the structural properties of the BS framework, in relation to contextual variables, provide additional research opportunities for the future.     

The “sugar rush” from innovation subsidies: a robust political economy perspective

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.     

A review of national arrangements for consumer influence in product safety standardization in the EEA

Abstract

Cooperation between the EC and the EFTA countries in the European Economic Area (EEA) should, among other things, enable consumers to participate in and influence standardization. The EC New Approach presupposes the elaboration of standards to interpret or fill out the special safety provisions of various directives. The notion of safe products according to the Product Safety Directive can be supported by drafting relevant safety standards. Swedish experiences in some product fields show that results can be achieved through expert consumer participation. Consumer influence on standardization is a matter of great importance for product safety in the future.     

The impact of the 2004 EU enlargement on the performance of service enterprises in Germany’s eastern border region

We consider the impact of the 2004 EU enlargement on enterprise performance and the exporting behavior of German service enterprises in Germany’s eastern border region. Our results from regression adjusted difference-in-differences estimators combined with matching and panel data from official statistics suggest that the EU enlargement had a negative impact on the turnover and export intensity of large enterprises in the border region. For small enterprises, we find an annual increase in turnover by 2.3% in 2004 and an annual decrease in profitability by 1.5 and 1.9 percentage points in 2004 and 2005, respectively.     

Product liability and product safety-complementary approaches to consumer safety. Some observations of the situation in the EEA

Abstract

In this paper the author asserts that product liability and product safety are complementary instruments to achieve a safer environment for consumers. Whereas legislation on product liability has a remedying function, legislation on product safety has a preventive one. The present situation in the EEA countries as regards the implementation of the Council Directives on Product Liability and Product Safety is summarized as well as the basic content of the Directives. It seems that almost all EEA countries have implemented the Liability Directive. The EFTA countries probably have-in comparison with the EU countries-to some extent a more positive implementation approach. It is too premature to foresee how the EEA countries will implement the Product Safety Directive of June 29, 1994. However, for many years most West European countries have had rules regulating product safety. The product safety policy in the EEA countries has been enhanced by co-operation within the OECD, the EU and the EFTA. Market control co-ordination will be an important part of the EEA efforts in the future to increase safety for consumers.