Model-free portfolio theory: A rough path approach

Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on Föllmer integration. Without the assumption of any underlying probabilistic model, we prove a pathwise formula for the relative wealth process, which reduces in the special case of functionally generated portfolios to a pathwise version of the so-called master formula of classical SPT. We show that the appropriately scaled asymptotic growth rate of a far reaching generalization of Cover's universal portfolio based on controlled paths coincides with that of the best retrospectively chosen portfolio within this class. We provide several novel results concerning rough integration, and highlight the advantages of the rough path approach by showing that (nonfunctionally generated) log-optimal portfolios in an ergodic Itô diffusion setting have the same asymptotic growth rate as Cover's universal portfolio and the best retrospectively chosen one.     

The executive suite: Are women perceived as ready for the managerial climb?

In a developing profession, emphasis is placed on two key ingredients for a successful climb to the executive suite — namely, interpersonal skills and an appropriate personality structure than can cope with forms of stress and uncertainty. The data presented in this study were collected from one of the major accounting firms and offers insights into men and women on the upward climb within the accounting profession. Analysis of this data shows that although appropriate personality characteristics are predicated on a male managerial model, women and men perceive themselves similarly with respect to these characteristics. However, others' perceptions of women, male accountants as well as clients, seemed more skeptical of women's ability to succeed. Furthermore, there are indications that women and men have different job assignments along their career paths. Our data collected in the latter half of the seventies tend to corroborate many of the findings in the first half — in general women are not perceived as ready for the managerial climb.     

Capital expenditure decision making in small firms

A number of studies have been conducted to determine the extent to which large firms utilize sophisticated techniques in capital expenditure decision making. This research effort focuses on financial decision making procedures of small firms, exploring the techniques utilized to evaluate investment opportunities, methods employed to adjust for risk, purposes of expenditures and concern for profitability, and the source and cost of funds. In light of the recent debate on the capital shortage issue, small firms were also asked what type of tax reform they deemed most desirable to stimulate capital investments.     

Structural constraints on organizational change: A longitudinal analysis

The results of a longitudinal study assessing the impact of internal constraints upon both organizational responsiveness to the environment and efforts to change structures for symbolic signaling of policy are presented. The causal model used is developed from a theoretical elaboration of Williamson, Thompson, and Meyer. The implications of the analysis for the signaling metaphor of organizational change are emphasized. The data indicate (i) that the varying resistance to change observed within core dimensions of organizational structure may be largely due to durable capital investments, (ii) that within capitalized dimensions of organizational structure, the resulting resistance to change leads to a longitudinal persistence of centralized decision making, and (iii) that failure to incorporate such constraints in analyses of organizational change leads to misleading results.     

Unilateral and bilateral trade policies for a minimum-wage economy

This paper considers optimal commercial policy for a trading economy which departs from neo-classical characteristics only in that a minimum-wage constraint gives rise to unemployment. Although for a flexible-wage fully employed economy the Baldwin envelope yields dominant domestic production-cum-trade possibilities, unilateral imposition of an optimum tariff is shown not necessarily to be optimal commercial policy for the minimum-wage economy. Rather, there exists an envelope, derived from foreigners' trade indifference and attained via bilateral trade policy, which dominates the Baldwin envelope when the optimum tariff is zero (as Brecher has shown it can be for a minimum-wage economy), and can still yield superior production-cum-trade possibilities when the optimum tariff is non-zero.     

SOME RECENT RESEARCH INTO HOME HEATING

As part of an investigation into the performance of heating systems and the effectiveness of energy saving measures, temperatures have been monitored in forty centrally heated homes. The addition of extra insulation had no effect on the way people operated their heating system or on the temperature level set in the main living room. However, bedrooms were warmer and the importance of individual room temperature controls demonstrated. Differences between people's thermal requirements in domestic and office environments are considered.