High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators

We compare the performance of recently developed regularized covariance matrix estimators for Markowitz's portfolio optimization and of the minimum variance portfolio (MVP) problem in particular. We focus on seven estimators that are applied to the MVP problem in the literature; three regularize the eigenvalues of the sample covariance matrix, and the other four assume the sparsity of the true covariance matrix or its inverse. Comparisons are made with two sets of long-term S&P 500 stock return data that represent two extreme scenarios of active and passive management. The results show that the MVPs with sparse covariance estimators have high Sharpe ratios but that the naive diversification (also known as the ‘uniform (on market share) portfolio’) still performs well in terms of wealth growth.     

Simulating the average run length for cusum schemes using variance reduction techniques

Some variance reduction techniques utilizing the total hazard are developed to estimate the average run lengths of the cumulative sum charts through simulation when the process follows a general probability distribution. Particularly, we propose the hazard estimator and the cycle estimator. Simulation results are shown for the exponential case and these estimators are compared with the raw simulation estimator. Applicability to multivariate CUSUM schemes is briefly discussed in the conclusion.     

Euler(p,q) Processes and Their Application to Non Stationary Time Series with Time Varying Frequencies

We introduce Euler(p, q) processes as an extension of the Euler(p) processes for purposes of obtaining more parsimonious models for non stationary processes whose periodic behavior changes approximately linearly in time. The discrete Euler(p, q) models are a class of multiplicative stationary (M-stationary) processes and basic properties are derived. The relationship between continuous and discrete mixed Euler processes is shown. Fundamental to the theory and application of Euler(p, q) processes is a dual relationship between discrete Euler(p, q) processes and ARMA processes, which is established. The usefulness of Euler(p, q) processes is examined by comparing spectral estimation with that obtained by existing methods using both simulated and real data.     

Determinants of stability and changes in self-reported work disability among older working-age populations

Data from the Health and Retirement Study, 1992-1994, were used to analyze (1) the prevalence and incidence of self-reported work disability among older working-age populations over a two-year period, and (2) the effect of the stability/changes in physical and functional health conditions, controlling for socioeconomic and occupational characteristics, on the stability/changes in self-reported work ability/disability. Findings show a high rate of transitions into and out of work-disabled status over the two-year period. Findings also show that, although objective physical and functional health problems and low self-ratings of health at wave 1 were significant determinants of self-reported work disability at wave 1, most subsequent changes in objective physical and functional health conditions over the two-year period were not significantly associated with the changes in self-report of work disability between wave 1 and wave 2. Especially, improved health conditions were not significantly associated with regained work ability between the two waves. Of the demographic variables, female gender significantly increased the likelihood of reporting work disability at wave 2, and being Black or Hispanic significantly decreased the likelihood of reporting regained work ability at wave 2. Research and policy implications of the findings are discussed.     

Single-machine scheduling with periodic due dates to minimize the total earliness and tardy penalty

We consider a single-machine scheduling problem such that the due dates are assigned to each job depending on its order, and the lengths of the intervals between consecutive due dates are identical. The objective is to minimize the total penalty for the earliness and tardiness of each job. The early penalty proportionally increases according to the earliness amount, while the tardy penalty increases according to the step function. We show that the problem is strongly NP-hard, and furthermore, polynomially solvable if the two types of processing times exist.

     

Limited Income Mobility: Empirical Evidence from Korea

Longitudinal child cohort studies collect large amounts of information about children’s families and the types of activities they participate in. With such a broad array of information to select from, researchers investigating aspects of the family environment may be overwhelmed by the choices available if they only need summary measures reflecting domains of the family environment. Using data from the Longitudinal Study of Australian Children, this study aimed to derive and assess summary indices of three domains of the family environment, including a Family Stress Index, Home Education Index and Parenting Index. Indices were derived by identifying a set of candidate indicators, dichotomising the indicators to determine elements of risk, then averaging across the dichotomised items to create measures that captured cumulative risk. Assessments of the three indices suggest that the measures are consistent across time, and have good predictive validity with socioeconomic measures and assessments of children’s social-emotional wellbeing and learning outcomes. Structural equation models estimating children’s outcomes suggested that models using the indices had comparable model fit to models using the broader array of variables used to construct the indices, but the Parenting Index in particular explained less variation in children’s problem behaviour outcomes. Overall, the family environment indices derived in this study may be useful for researchers wishing to simplify complex models or explore the circumstances of children exposed to multiple risks, but less useful in analyses where the primary goal is to explain variance in children’s developmental outcomes.     

Motivational signage increases stair usage on a Hispanic serving institution

Abstract

Objective: Stair climbing is considered a good physical activity. Motivational signage has been successful in promoting stair usage in various settings. This study was to investigate the effects of motivational signage on stair usage in a Hispanic serving institution. Participants: A total of 31,067 pedestrians were observed from February to March 2013. Methods: Stair usage was monitored for 9?h per day each week at phase 1 (baseline), 2 (intervention), and 3 (post-intervention). Results: Overall, participants’ stair usage was higher during phase 2 (49.0%) and phase 3 (48.0%), compared with phase 1 (39.7%). The participants during phase 2 and 3 were more likely to use the stairs compared to participants during phase 1, regardless of floor level (3-story or 4-story building), status (student or staff/faculty), and time of day (7:30–10:29, 10:30–13:29, or 13:30–16:30) (p?<?.001). Conclusion: Motivational signage can effectively encourage more stair usage, and hence promote healthy behavior in a predominantly Hispanic-serving institution.     

Organizational innovativeness and its determinants in South Korean nonprofit human service organizations

This study compares the level of organizational innovativeness and its determinants in different types of nonprofit human service organizations. Based on theoretical conceptualizations of organizational innovation, it was hypothesized that community service organizations (CSOs) would be more innovative than residential service organizations (RSOs), and determinants of organizational innovation (such as organizations' characteristics, internal and external properties, and executive leadership) would influence innovativeness. Data from a survey of two types of human service organizations in South Korea (127 RSOs for children and 220 CSOs) revealed that the level of innovation in both types of organizations was not significantly different. The determinants of decentralization and formalization showed significant impacts on innovativeness in CSOs. Decentralization also had a significant positive effect on innovativeness in RSOs. However, executive leadership was a significant determinant of organizational innovativeness in CSOs only. Based on these results, administrative implications are suggested for the facilitation of organizational innovation in nonprofit human service organizations.