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.

     

Psychiatric emergencies: the check effect revisited.

Federal income support to persons with alcohol and drug related disabilities was ended in 1997. The argument for ending the programs was that recipients were using their benefits to purchase drugs and alcohol. This supposedly led to the "check effect," an increase in psychiatric emergencies in American communities in the days following the receipt of disability benefits. We test two hypotheses implied by this argument. The first is that psychiatric emergencies are elevated in the fourth through eighth day of the month. The second is that the excess of emergencies in these days was significantly reduced when benefits were ended. The tests are based on 35,500 psychiatric emergencies in San Francisco, California occurring over 1,551 days. Results support the first hypothesis but not the second. The implications are that there is a general check effect and that it was not reduced by ending benefits to persons with drug and alcohol related disabilities.     

Correlates contributing to involvement in violent behaviors among young adults

The study examines the extent to which gender, personality attributes, household, community, and environmental factors are associated with violent behaviors in young adulthood. The authors present findings from a sample of 765 21-year-old individuals participating in a drug and delinquency prevention study. Personality attributes, opportunities, and social acceptability of antisocial behaviors were identified as accounting for gender differences and having more influence on violent behavior than environmental correlates. Implications for preventive intervention are discussed.     

Inclusive Governance and “Minority” Groups: The Role of the Third Sector in Wales

Following the establishment of a national legislature in Wales in 1999 the third sector has entered into a pioneering cross-sectoral partnership with the Welsh government. This paper presents the results of a research project that has studied the new structures of devolved governance through the expectations and participation of voluntary organizations representing three marginalized or minority groupings: women, disabled people, and those from an ethnic minority background. The findings reveal that despite varying levels of expectation expressed by minority voluntary groups, active engagement of minority groups in policy making has been a feature of the Assembly's first months. Nevertheless, formidable challenges face both sectoral partners in the new system of governance, not least in creating organizational structures that facilitate partnership working in the devolved polity.     

Is There a Quest for Identity?*

It is widely assumed that people today experience an imperative quest for identity, and that altruism and work have been displaced as credible routes to self-discovery by the abandonment of inhibition and the attainment of intimacy. A preliminary examination of these premises is made through questions included in a survey of adults in the Los Angeles metropolitan area and in questionnaires administered to students at UCLA, two Australian universities, and one British university. Very few adults in Los Angeles, even in the youngest and most highly educated brackets, acknowledge any preoccupation with the question, “Who am I really?,”though most university students in the four samples do. Both adults and students endorse altruism most frequently, impulse-release least frequently, and intimacy with intermediate frequency as routes to self-discovery. They differ most in their evaluation of work as a medium for self-discovery. All observations apply only to a self-conscious search for identity.     

Cultural determinants of jealousy

I disagree with the practice of defining romantic jealousy in terms of other emotions, on the grounds that it is circular and redundant. Moreover, it appears implausible to me that the variety of private motives for protecting a relationship against an interloper can be accounted for by a unitary source of motivation, such as an emotion of romantic jealousy. I propose that the words romantic jealousy, instead of identifying an emotion of jealousy, refer to the situation characterized by the potential, or actual, loss of a loved one, or a mate, to a real or imagined rival. Reactions in such a situation, whatever they may be, are labeled as jealousy. On the basis of the assumption that individuals create culture to satisfy personal goals and are, in turn, affected by their cultural creations, I identify particular cultural factors as increasing the likelihood that an individual will be threatened by a jealousy event. The individual makes use of culturally sanctioned coping strategies for dealing with the threat. These concepts are discussed in the context of appraisal processes.     

A Shared Presentation: Two Disabled Women on Video

In this paper we share our collaborative experience of making a video in which disabled women present their lives as they wish to portray them. We undertook what we hope will be perceived as emancipatory research, in which disabled and non-disabled women work together to create audio-visual teaching materials. We include a preliminary discussion about the representation of disability on British television broadcasts between October 1991 and March 1992. We look at negative imagery, charity fund raising, and positive images. The paper uses comments by disabled broadcasters and disabled academics, and reflects on their work.     

Conceptual dimensions of crowding reconsidered

A recent and noteworthy facet of crowding research has been the exploration of the perception of high density/crowding experiences. A review of the methods and results of these investigations reveals considerable variation across studies on the dimensions of stimulus domain and selection, attention to intersubject differences, and approaches to interpreting results. The outputs of these studies do not appear as clearcut as has been suggested. It is hoped that the raising of these issues will result in more careful and fruitful research in this area. The links between conceptual crowding, situational variables, intrapersonal variables, and behavioral responses to high density/crowding are discussed.