An algorithmic approach to deriving the minimum-variance zero-beta portfolio

This paper examines the problem of deriving Black's (1972) minimum-variance zero-beta portfolio. Long's (1971) methods, used by Morgan (1975), are briefly mentioned. Then the complementary pivot algorithm of Lemke (1965), which has been shown to be capable of deriving the optimal solution to certain quadratic programming problems that are subject to a non-negativity constraint, is described. Finally, Lemke's algorithm is shown to be capable of deriving the minimum-variance zero-beta portfolio efficiently from samples of risky assets where both long and short positions are allowed by reformulating the problem so as to avoid the difficulties encountered by having a non-negatively constraint.     

Loan loss reporting,early disclosure,and investor reactions

Several prior studies present evidence that bank loan-loss announcements have a significant impact on shareholder wealth. There is no satisfactory explanation, however, as to why these announcements should change share prices. This paper examines loan-loss announcements in the context of the early disclosure literature. We find banks that publicly announce losses before releasing their quarterly earnings report have a significant increase in shareholder wealth following the loan-loss announcement. Banks that choose to publicly announce loan-loss increases with the release of quarterly-earnings report experience a significant decrease in shareholder wealth prior to the loan-loss announcement. Our results support the notion that the timing of the loan-loss announcement provides information to investors.     

Current Trends and Demands in Visualization in the Geosciences

Geosciences, along with many other disciplines in science and engineering, faces an exponential increase in the amount of data generated from observation, experiment and large-scale, high-resolution 3-D numerical simulations. In this communication we describe the fundamentals of visualization necessary to meet these challenges. We present several alternative methodologies such as 2D/3D feature extraction, segmentation methods, and flow topology, to help better understand the physical structure of the data. We use AMIRA from TGS to demonstrate our concepts. Examples are drawn from fields in computational fluid dynamics, 3-D mantle convection and seismic tomography. Finally, we present our perspective on the future of visualization.     

The Deterrent Effect of UK Competition Enforcement

Summary  The paper briefly reviews previous studies of the deterrent effect of competition enforcement. It then describes the key findings of a recent report commissioned by the Office of Fair Trading on the scale of the deterrent effect of merger control and competition law enforcement in the UK. The research, which was based on in-depth interviews and phone surveys with senior competition lawyers and large UK companies also indicated which sanctions may be more effective at deterring anti-competitive behaviour and provided suggestions for improving deterrence. The paper discusses a number of policy issues raised by the research’s findings. The views expressed herein do not necessarily represent those of the OFT or Deloitte. This paper was prepared for the October 2007 workshop on Measuring the Effects of Competition Law Enforcement, organized by the Netherlands Competition Authority.     

An empirical analysis of continuing improvements following the implementation of a performance-based compensation plan

Performance improvements subsequent to the implementation of a pay-for-performance plan can result because more productive employees self-select into the firm (selection effect) and because employees allocate effort to become more effective (effort effect). We analyze individual performance data for 3,776 sales employees of a retail firm to evaluate these alternative sources of continuing performance improvement. The incentive plan helps the firm attract and retain more productive sales employees, and motivates these employees to further improve their productivity. In contrast, the less productive sales employees’ performance declines before they leave the firm.