Econometrical analysis of the sample efficient frontier

The efficient frontier is a parabola in the mean-variance space which is uniquely determined by three characteristics. Assuming that the portfolio asset returns are independent and multivariate normally distributed, we derive tests and confidence sets for all possible arrangements of these characteristics. Note that all of our results are based on the exact distributions for a finite sample size. Moreover, we determine a confidence region of the whole efficient frontier in the mean-variance space. It is shown that this set is bordered by five parabolas.     

A contextual understanding of projects—The importance of space and time

This article analyzes the managing of high-tech projects in complex and dynamic settings. Building on recent developments in organization theory and knowledge management, we focus on the importance of understanding the ways in which project-centered activities are shaped in time and space, both in the organization itself and in a wider context embracing customers, consultants and suppliers. A longitudinal case study including semi-structured interviews, observations and secondary data will substantiate our findings. The study offers both theoretical and practical insights suggesting that projects are exposed to a varying degree of complexity and dynamics, calling for different managerial approaches. The analysis shows that boundary spanning has many dimensions that have to be considered in the management of projects in space and time. The article concludes by suggesting seven analytical categories for analyzing and understanding projects in their spatial and temporal contexts.     

Measuring the diversification benefits of investing in highly internationalised firms

A vast literature exists investigating if Multinational Companies (MNCs) provide indirect international exposure to investors. These studies produce mixed results. Unlike previous studies, we distinguish between various types of MNCs, in particular firms that are consistently international versus firms that are in the process of internationalising. We provide a unique longitudinal dataset of firm-level multinationality of 396 Russell 1000 firms between 1996 and 2010, and estimate the diversification benefits of investing in these firms using mean variance spanning and Sharpe ratio tests. We find that the most consistently international firms provide the greatest diversification benefits. Rapidly internationalising firms provide little benefit, suggesting that the costs of rapid firm-level internationalisation are substantial. This distinction between firms at differing stages of internationalisation adds to the debate on the benefits of investing in MNCs and provides a possible explanation to the conflicting findings in the literature.     

Holdout behaviour: a question of diversification,risk aversion and expectation

We argue a holdout is not a destructive investor behaviour but an investment decision. The decision is characterized by the mean-variance approach. We investigate intercreditor conflict by diverse portfolio structure. We demonstrate that at some point during the Greek (2012) and Argentine (2005) debt restructuring programmes, it was reasonable for the investor to hold out. This model shows that the investment decision is based on the portfolio structure, risk aversion and expected possible payment of the debtor, so there is no free-rider behaviour. This is based on the fact that the investor harms herself due to destructive and uncooperative behaviour.     

组合投资的系统风险与非系统风险——兼评王辉等人的《投资组合风险的分散化研究》

本文在指出王辉等人的《投资组合风险的分散化研究》一文中出现的错误的基础上,根据资本资产定价模型(CAPM)将组合投资的风险分离为系统风险与非系统风险,最后讨论了组合投资的均值-方差模型。     

The Role of Strategic Conversations with Stakeholders in the Formation of Corporate Social Responsibility Strategy

This paper explores the role of strategic conversations in corporate social responsibility (CSR) strategy formation. The authors suggest that explicitly engaging stakeholders in the CSR strategy-making process, through the mechanism of strategic conversations, will minimize future stakeholder concerns and enhance CSR strategy making. In addition, suggestions for future research are offered to enable a better understanding of effective strategic conversation processes in CSR strategy making and the resulting performance outcomes.     

Facilitating conditions for boundary-spanning behaviour in governance networks

This article examines the impact of two facilitating conditions for boundary-spanning behaviour in urban governance networks. While research on boundary spanning is growing, there is little attention for antecedents. Combining governance network literature on project management and organizational literature on facilitative and servant leadership, we examine two potential conditions: a facilitative project management style and executive support. We conducted survey research among project managers involved in urban governance networks in order to test these relationships. We found positive relationships between facilitative project management and boundary-spanning behaviour, while executive support indirectly, via facilitative management, contributed to boundary-spanning behaviour.     

长株潭一体化公路网构架优化的探讨

为加快长株潭一体化公路网的建设进程,降低公路网建设的成本,对长株潭一体化公路网结构进行了研究,将长株潭城市群十五大片区组团构成的公路网分布情况,抽象为一个赋权连通图,在此基础上应用Prim算法,得出了相应赋权连通图的最小支撑树,进而提出了长株潭一体化公路网构架建设的可行性方案,通过比较分析,说明了方案的有效性与合理性.     

上跨徐兰高铁立交转体桥施工安全防护技术

城市快速通道飞快建设的同时,上跨铁路营业线施工项目逐渐增多,不仅给施工增加了难度,也给铁路运行的安全带来了隐患.本文就上跨徐兰高铁转体施工安全风险,系统总结了该项目为确保高速铁路行车安全和施工安全所采取的安全技术和安全防护措施,对今后同类桥梁上跨高速铁路营业线转体施工项目安全防护具有一定的借鉴作用.     

Determinants of S&;P 500 index option returns

We analyze common factors that affect returns on S&P 500 index options and find that 93% of the variation in option returns can be explained by three factors, which respectively account for 87%, 4%, and 2% of the variation in option returns. Furthermore, we test diffusion option pricing models by using mean–variance spanning properties implied in the models. The spanning tests reject one-factor diffusion models, as well as the hypothesis that the underlying asset and an equally weighted option index span options. Our results fail to reject that the underlying asset and an at-the-money option can span out-of-the-money options, but does reject that they span in-the-money options.