Portfolio optimization: New capabilities and future methods

Summary  This paper addresses the problem of portfolio selection in finance. In many cases, currently available software to compute the efficient frontier runs into difficulty in problems with more than about 600 securities. To proceed beyond this size, it is often necessary to modify the problem in which case there is typically a loss of information. In this paper, we discuss a computer capability that can exactly compute mean-variance efficient frontiers of problems with up to 2,000 securities in very reasonable time (even if a problem’s covariance matrix is 100% dense). The paper also discusses an augmentation to the theory of portfolio selection that allows multiple objectives (such as dividends, liquidity, social responsibility, amount invested in R&D, and so forth) to be incorporated into the portfolio selection process. In such problems, the efficient set is no longer a “frontier,” but is now best described as a “surface” with the interesting property that it is composed of platelets (like on the back of a turtle). Moreover, the computer capability that can compute the exact efficient frontier of a mean-variance problem with up to 2,000 securities also has, after additional coding, the ability to compute exactly all platelets of the efficient surface of a tri-criterion portfolio problem with up to 400 securities.

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Zusammenfassung  In dieser Arbeit stellen wir einen leistungsf?higen Rechenalgorithmus vor, um den effizienten Rand (die nichtdominierten Alternativen) von Portfolio-Auswahlproblemen in der Finanzierung zu bestimmen. Wir bezeichnen den Berechnungsalgorithmus, der in Java programmiert ist, mit MPQ (multi-parametric quadratic programming). MPQ weist gegenüber bisherigen Berechnungsverfahren eine Reihe von Vorteilen auf: Es kann für umfangreiche Anwendungsf?lle genutzt werden, ist durch passable Rechenzeiten charakterisiert und kann die Menge effizienter Alternativen in einem Bruchteil bisher üblicher Rechenzeiten bestimmen.

     

Mehrperiodige Bewertung mit dem Tax-CAPM und Kapitalkostenkonzept

Zusammenfassung  Aus der Empfehlung des IDW, die für die Unternehmensbewertung mittels der DCF-Verfahren erforderlichen Kapitalkosten aus dem einperiodigen Tax-CAPM abzuleiten, ergibt sich die Notwendigkeit, dieses Modell mehrperiodig anzuwenden. Sowohl die hierzu erforderlichen Pr?missen als auch die Struktur der aus der mehrperiodigen Anwendung resultierenden Bewertungsgleichungen sind bislang ungekl?rt. Der vorliegende Beitrag spezifiziert ein mehrperiodiges Tax-CAPM, welches zur Bewertung mehrperiodiger stochastischer Cash-Flows bei differenzierter Besteuerung von Zinsen, Dividenden und Wert?nderungen eingesetzt werden kann. Die aus der Anwendung dieses Modells resultierenden Bewertungsgleichungen erm?glichen die Abbildung sowohl des Risikos als auch der Besteuerung einer durch den Kapitalmarkt bestimmten Alternativanlage mittels deterministischer Diskontierungsfaktoren, welche die Kapitalkosten der zu bewertenden Cash-Flows darstellen. Unter den restriktiven Pr?missen des vorliegenden Modells ist es demnach m?glich, die Einkommensbesteuerung der Kapitalgeber konsistent in die DCF-Verfahren zu integrieren. Der Autor dankt zwei anonymen Gutachtern der ZfB für wertvolle Hinweise und Verbesserungsvorschl?ge.     

Slug grazing effects on seedling and adult life stages of North American Prairie plants used in designed urban landscapes

Designed vegetation is a major contributor to ecosystem service provision in cities, and as such the study of how herbivory and other ecological factors determine its capacity to deliver such services, is long overdue. This study investigated the effect of slug grazing on the establishment and development of 26 species of North American prairie forbs and grasses used in sown or planted naturalistic communities in urban greenspace. The experiment was designed to provide slugs with the opportunity to choose between the plant species used, to mirror the situation that prevails in public greenspace. Slug density was manipulated through baiting with metaldehyde at different frequencies. Seedlings of prairie species were more palatable to slugs than adults. Seedling establishment was significantly reduced in most species by slug grazing, with only seven species showing no significant increase in establishment in response to baiting with metaldehyde. In many species successful establishment was based on moderate-high unpalatability and large or fast growing seedlings. Adult prairie plants were typically more able to withstand slug damage, and once their shoots reached a certain size, grazing declined. This was not true of the most palatable species, which even as adults were eventually eliminated by grazing in the absence of baiting. Phenology plays an important role in the survival of adults, with early emerging species potentially subject to severe damage due to the limited availability of alternate food plants. As a group, prairie forbs are typically palatable to slugs, and unlikely to be persistent in the most slug-rich urban situations.     

Validity,facts, and values sans closure: Reply to Messick,Reckase, Moss,and Zimmerman

Social Indicators Research -     

Individual Differences in Infant Skills as Predictors of Child-Caregiver Joint Attention and Language

Current research suggests that the extent to which child-caregiver dyads engage in interactions involving episodes of joint or coordinated attention can have a significant impact on early lexical acquisition. In this regard it has been recognized that individual differences in early developing child communication skills, such as capacity to follow gaze and early infant language, may contribute to these child-caregiver interactional patterns, as well as to subsequent language development. To address this expectation, 21 infant-parent dyads were recruited for participation in a longitudinal study. Early infant language, responding to joint attention skill, and cognitive development were assessed at 12 months of age. Child-caregiver joint attention episodes, as well as responding to joint attention skill and child language, were assessed at 18 months of age. Developmental outcome, using the MacArthur Communicative Development Inventories and the Bayley Scales of Infant Development-II, was assessed at 21 and 24 months of age. Consistent with previous findings, results indicated that individual differences in child-caregiver episodes of joint attention were related to language at 18 months. In addition, though, 12 month vocabulary and responding to joint attention skill were associated with some aspects of 18 month child-caregiver interaction, as well as subsequent language development. In general, 12 month child measures and 18 month child-caregiver interaction measures appeared to make unique contributions to language development in this sample. These results suggest the need to further consider the role of infant skills in the connections between child-caregiver joint attention episodes and language development.     

Pension Wealth and the Gender Wealth Gap

We examine the gender wealth gap with a focus on pension wealth and statutory pension rights. By taking into account employment characteristics of women and men, we are able to identify the extent to which the redistributive effect of pension rights reduces the gender wealth gap. The data for our analysis come from the German Socio-Economic Panel (SOEP), one of the few surveys that collects information on wealth and pension entitlements at the individual level. Pension wealth data are available in the SOEP for 2012 only. While the relative raw gender wealth gap is about 35% (or 31,000 euros) when analysing the standard measure of net worth, it shrinks to 28% when pension wealth is added. This reduction is due to redistributive elements such as caregiver credits provided through the statutory pension scheme. Results of a recentred influence functions (RIF) decomposition show that pension wealth reduces the gap substantially in the lower half of the distribution. At the 90th percentile, the gender wealth gap in net worth and in augmented wealth remains more stable at roughly 27–30%.     

Dispositions to Act in Favor of the Environment: Fatalism and Readiness to Make Sacrifices in a Cross‐National Perspective1

This article hypothesizes that individuals’ environmental attitudes depend not only on their knowledge, interests, emotions, and values but also on the social context in which they live. We test this hypothesis by analyzing the 2000/01 ISSP‐II Survey on Environmental Attitudes; the data include respondents from 23 countries. Our findings show that individual characteristics influence both “pessimistic environmental orientations” and “the willingness to act in favor of the environment.” As for social context, the level of development and affluence, the degree of political centralization, the presence of green movements and parties, and the degree of objective pollution in a country are all important. However, their influences on fatalism and willingness vary.     

Loss of Agro-Biodiversity, Uncertainty, and Perceived Control: A Comparative Risk Perception Study in Austria and China

The biogeographical centers of origin of important food crops-called Vavilov centers-are considered to be crucial sources of genetic diversity for present and future crop-breeding programs and thus for human food safety worldwide. Global environmental change and more intensified modes of crop production may cause genetic erosion (loss of traditional crop varieties and loss of crop wild relatives), especially in Vavilov centers. The present study focused on how the risk of genetic erosion (or loss of agro-biodiversity) is perceived in comparison to 16 other risk topics by experts and lay people in Austria and China. The most striking result was that genetic erosion was perceived to be an exceptionally unknown and uncertain risk topic, given that only genetically modified organisms (GMOs) were perceived as being even more uncertain. As a consequence of the high uncertainty, the idea of applying the precautionary principle to further prevent genetic erosion is discussed. An unprecedented finding-one that differs from Austrian participants-is that the Chinese have a higher perceived control over all risk topics. The increased perception of controllability in China is discussed in light of the theory of reflexive modernization. This theory strives to explain the increased critical attitude in Western countries such as Austria toward scientific innovations and toward the idea that everything can be calculated and mastered at will. By revealing different notions of risk perception, this research also provides additional scientific input to risk communication efforts for public education.     

A robust modification of the ordered-heterogeneity test

An ordered heterogeneity (OH) test is a test for a trend that combines a non-directional heterogeneity test with the rank-order information specified under the alternative. We propose two modifications of the OH test procedure: (1) to use the mean ranks of the groups rather than the sample means to determine the observed ordering of the groups, and (2) to use the maximum correlation out of the 2^k???1 – 1 possibilities under the alternative rather than the single ordering (1, 2, … , k), where k is the number of independent groups. A simulation study indicates that these two changes increase the power of the ordered heterogeneity test when, as common in practice, the underlying distribution may deviate from a normal distribution and the trend pattern is a priori unknown. In contrast to the original OH test, the modified OH test can detect all possible patterns under the alternative with a relatively high power.