An interactive three-stage model for mutual funds portfolio selection

The aim of this work is to be a useful instrument for helping finance practitioners on the selection of suitable mutual fund portfolios. The portfolio selection problem is characterized by imprecision and/or vagueness inherent in the required data and more generally, in the context where investors have to make decisions. In order to mitigate these problems, a three stage model has been proposed based on a multi-index model and considering several market scenarios described in an imprecise way by an expert. The proposed fuzzy model allows the Decision Maker to select, by means of an outranking method, a suitable portfolio taking into account the uncertainty related to the market scenarios and the imprecision and/or vagueness associated with the model data.     

Parental involvement laws, religion, and abortion rates

This article explores whether policy endogeneity partially explains the negative relationship generally reported between parentll involvement laws and abortion rates, since parental involvement laws are found to be negatively related to both teen and adult abortion rates. Since parental involvement laws may be more likely to be passed in jurisdictions with a higher level of antiabortion sentiment, both the law and anti-abortion sentiment may be responsible for lower abortion rates. To explore this possible interrelatedness, a religiosity level variable was used as a proxy for anti-abortion sentiment, since anti-abortion sentiment might affect abortion rates directly and indirectly through the greater likelihood of the enactment of parental involvement laws. The relationship of parental involvement laws and religiosity level to abortion rates was analyzed for teens and adults; regressions were estimated for four age groups: 15–19, 20–24, 25–29, and 30–34 years old. Residence county-level 1995 abortion rates were regressed against parental involvement laws and religiosity levels as well as several control county-level variables—restrictive public funding, unemployment rate, population density, percent of college graduates, extent of poverty, percent of married-couple families, and geographic region. The sample consisted of the 1,008 counties from the 17 states that reported abortion numbers by county and by age group. Using log transformations of the dependent variable abortion rates, log-linear weighted regression models were run for the four age groups. Parental involvement laws were highly statistically significantly related (p<0.1) to lower abortion rates for all four age groups; the coefficient was larger, however, when the religiosity level variable was excluded from the model. The coefficient for the religiosity level was highly statistically significant (p<01) for all four age groups when the parental involvement variable was excluded from the model; when the parental involvement variable was included in the model, the coefficient for the religiosity level decreased for all four age groups and was statistically significant for only three of the four age groups. Since the coefficients for both the religiosity level and the parental involvement law decrease when both variables are included, the negative relationship between parental involvement laws and abortion rates does seem to reflect some policy endogeneity so that the reported impact of parental involvement laws may be overstated. Her primary research interestes are gender-related, currently in the area of abortion rates.     

Constructing optimal designs for fitting pharmacokinetic models

We consider some computational issues that arise when searching for optimal designs for pharmacokinetic (PK) studies. Special factors that distinguish these are (i) repeated observations are taken from each subject and the observations are usually described by a nonlinear mixed model (NLMM), (ii) design criteria depend on the model fitting procedure, (iii) in addition to providing efficient parameter estimates, the design must also permit model checking, (iv) in practice there are several design constraints, (v) the design criteria are computationally expensive to evaluate and often numerical integration is needed and finally (vi) local optimisation procedures may fail to converge or get trapped at local optima.We review current optimal design algorithms and explore the possibility of using global optimisation procedures. We use these latter procedures to find some optimal designs.For multi-purpose designs we suggest two surrogate design criteria for model checking and illustrate their use.     

The social and demographic impact of the Southeast Asian Crisis of 1997–99

When an unexpected financial crisis overtook Southeast Asia in 1997 planners and policymakers feared that the economic difficulties would unwind two decades of remarkable economic and social development. Newspaper headlines spoke of massive increases in poverty, unemployment and malnutrition, and it was speculated that family planning programs would collapse and fertility would rise dramatically. Infant and child mortality and maternal mortality were also expected to increase. This paper briefly reviews the onset of the financial crisis as a background for assessing whether speculations about die demographic and social effects tallied with reality. It is found that these effects were neither as dramatic nor as easy to monitor as some of the public debate implied. The general lesson is that the most serious social and demographic problems were not so much the products of crisis as embedded in chronic weaknesses that had become entrenched in times of economic growth. The crisis exposed these weaknesses.     

Property Loss Estimation for Wind and Earthquake Perils

This article describes the development of a generic loss assessment methodology, which is applicable to earthquake and windstorm perils worldwide. The latest information regarding hazard estimation is first integrated with the parameters that best describe the intensity of the action of both windstorms and earthquakes on building structures, for events with defined average return periods or recurrence intervals. The subsequent evaluation of building vulnerability (damageability) under the action of both earthquake and windstorm loadings utilizes information on damage and loss from past events, along with an assessment of the key building properties (including age and quality of design and construction), to assess information about the ability of buildings to withstand such loadings and hence to assign a building type to the particular risk or portfolio of risks. This predicted damage information is then translated into risk-specific mathematical vulnerability functions, which enable numerical evaluation of the probability of building damage arising at various defined levels. By assigning cost factors to the defined damage levels, the associated computation of total loss at a given level of hazard may be achieved. This developed methodology is universal in the sense that it may be applied successfully to buildings situated in a variety of earthquake and windstorm environments, ranging from very low to extreme levels of hazard. As a loss prediction tool, it enables accurate estimation of losses from potential scenario events linked to defined return periods and, hence, can greatly assist risk assessment and planning.     

Innovation Management as a Post-Modern Phenomenon: The Outsourcing of Pharmaceutical R&D

The institutionalization of R&D by large, modern organizations is regarded as one of the most significant social and economic factors of the twentieth century. In recent years post-modern organizations have begun to replace bureaucratic control with market control. This approach is particularly attractive in the case of R&D employees who have been relatively successful in resisting direct managerial control. Government statistics are used to demonstrate that external R&D increased from 5% to 16% of internal R&D expenditure between 1989 and 1995. This trend is examined in the context of consolidation within the UK pharmaceutical industry, which has considerable implications for the sustainability of high-technology industry in the UK.     

Estimating conditional tail expectation with actuarial applications in view

We develop statistical inferential tools for estimating and comparing conditional tail expectation (CTE) functions, which are of considerable interest in actuarial science. In particular, we construct estimators for the CTE functions, develop the necessary asymptotic theory for the estimators, and then use the theory for constructing confidence intervals and bands for the functions. Both parametric and non-parametric approaches are explored. Simulation studies illustrate the performance of estimators in various situations. Results are obtained under minimal assumptions, and the general Vervaat process plays a crucial role in achieving these goals.     

The journal readership survey

In the early part of last year the Editorial Board commissioned a study to investigate readers' attitudes to this journal. The journal is produced for a highly specialist audience, located in a wide spectrum of industries and institutions, with considerable diversity in their application of the planning function. The board was therefore concerned to discover the extent to which the journal satisfied the varied interests of readers and to identity any aspects of the content and presentation of the journal which could be improved in the future.     

Experiencing Work: Values, Attitudes, and Moods

This paper describes a model (the VAM model)which integrates three of the most significantdimensions of the work experience, work values,attitudes, and moods, into one overarching framework.The VAM model proposes that a rich and more completeunderstanding of the experience of work necessitates thesimultaneous consideration of work values, attitudes,and moods. After describing how work values, attitudes, and moods, each capture key aspects ofexperiencing work, we discuss three important dimensionsalong which they vary: time, dynamism, and focus. Thesedimensions underscore the need for the simultaneous consideration of values, attitudes, and moodsfor a fuller understanding of the work experience. Wethen describe how work values, attitudes, and moods havethe potential to influence each other. Finally, we discuss the implications of the VAM modelfor understanding important organizational outcomesincluding extra-role behavior, job performance, socialloafing, absenteeism, and turnover.