Kurtosis of the logistic-exponential survival distribution

ABSTRACT

In this article, the kurtosis of the logistic-exponential distribution is analyzed. All the moments of this survival distribution are finite, but do not possess closed-form expressions. The standardized fourth central moment, known as Pearson’s coefficient of kurtosis and often used to describe the kurtosis of a distribution, can thus also not be expressed in closed form for the logistic-exponential distribution. Alternative kurtosis measures are therefore considered, specifically quantile-based measures and the L-kurtosis ratio. It is shown that these kurtosis measures of the logistic-exponential distribution are invariant to the values of the distribution’s single shape parameter and hence skewness invariant.     

Using High-Frequency Data in Dynamic Portfolio Choice

This article evaluates the economic benefit of methods that have been suggested to optimally sample (in an MSE sense) high-frequency return data for the purpose of realized variance/covariance estimation in the presence of market microstructure noise (Bandi and Russell, 2005a Bandi , F. M. , Russell , J. R. ( 2005a ). Realized covariation, realized beta, and microstructure noise . Working paper . [Google Scholar], 2008 Bandi , F. M. , Russell , J. R. ( 2008 ). Microstructure noise, realized variance, and optimal sampling . Review of Economic Studies , forthcoming . [Google Scholar]). We compare certainty equivalents derived from volatility-timing trading strategies relying on optimally-sampled realized variances and covariances, on realized variances and covariances obtained by sampling every 5 minutes, and on realized variances and covariances obtained by sampling every 15 minutes. In our sample, we show that a risk-averse investor who is given the option of choosing variance/covariance forecasts derived from MSE-based optimal sampling methods versus forecasts obtained from 5- and 15-minute intervals (as generally proposed in the literature) would be willing to pay up to about 80 basis points per year to achieve the level of utility that is guaranteed by optimal sampling. We find that the gains yielded by optimal sampling are economically large, statistically significant, and robust to realistic transaction costs.     

The role of nonverbal sensitivity in childhood psychopathology

Two samples of boys were compared on their sensitivity to nonverbal communication: boys not in treatment (sampled from elementary school populations) and boys in treatment (sampled from community mental health clinics). Three main decoding tasks assessed the boys' ability to identify, classify, and predict nonverbal displays. Parent and self appraisals on nonverbal sensitivity were also collected. Results indicated that clinic-recruited boys performed less well than school-recruited boys on the three decoding tasks, but there were no significant differences in the self or parent appraisals. Older boys performed better than younger boys on the decoding tasks, but were not differentiated by self or parent appraisals. Further analyses revealed a significant positive correlation between the level of the boys' social incompetence and poor self-control and the number of decoding errors the boys made on the dominant/submissive but not the negative/positive dimension of nonverbal displays. In addition, the interrelationship of the nonverbal skills appeared to differ across clinic- and school-recruited boys. Results are discussed in terms of their relevance for understanding child psychopathology and their implications for child assessment and treatment.     

Scheduling and the problem of computational complexity

Why is it that the problem of scheduling is so computationally difficult to solve? At last recent developments in modern mathematical complexity theory are providing some insights. The paper describes in essentially non-mathematical terms the computational technique known as the ‘Branch and Bound Method’. This, the best general optimising technique available for scheduling, is also shown to have its limitations. It now appears that efficient computational and optimising algorithms are unlikely ever to be found for all except special cases of the general industrial scheduling problem. It seems that heuristic (rule-of-thumb) methods leading to approximate solutions are likely to offer the only real promise for the future.     

Improved distribution quantile estimation

A technique for estimating the quantiles or percentiles of a distribution is developed. The parametric form of the distribution is assumed unknown. The estimation procedure is based on a kernel estimator of a probability density function and on aquantile estimator suggested by Harrell and Davis (1982). Simulation studies show that estimation of quantiles in moderately heavyto heavy tails of a distribution is substantially improved by use of the technique.     

Social capital and nonprofit leaders

The concept of social capital seems to be a very compatible, useful, and important one for nonprofit organizations. Nonprofits must sustain and enhance the original social capital with which they were formed and broaden it into a variety of key areas. Nonprofits and their leaders must foster social capital in order to recruit and develop board members, raise philanthropic support, develop strategic partnerships, engage in advocacy, enhance community relations, and create a shared strategic vision and mission within the organization and its employees. Nonprofit executives have a pivotal role in carrying out these functions, but they do so through relationships and networks with others. These activities are time‐consuming and demanding, and they require planning. This article provides a focused literature analysis on the concept of social capital as it applies to nonprofit management and leadership. The author views the literature with respect to definitions of social capital and the way nonprofits generate and mobilize social capital in order to achieve organizational goals. The author also cites methods for measuring social capital.