A test for the global minimum variance portfolio for small sample and singular covariance

AStA Advances in Statistical Analysis - Recently, a test dealing with the linear hypothesis for the global minimum variance portfolio weights was obtained under the assumption of non-singular...     

Culture as a consequence: A multi-level multivariate meta-analysis of the effects of individual and country characteristics on work-related cultural values

Culture as a consequence is a neglected topic. Addressing this, we explore what factors are related to and potentially shape culture, what explains cultural variations within countries, and what the relationship is between cultural values at the individual and national levels. To answer these questions, we use a multi-level multivariate meta-analysis of 508 studies. The findings indicate that national and individual cultural values may be determined by the micro characteristics of age, gender, education, and socio-economic status as well as the macro characteristics of wealth and freedom. This provides a basis for explaining cultural change, both at the individual and national levels. Also, up to 90% of the variance in cultural values is found to reside within countries, stressing that national averages poorly represent specific individuals.     

Who shall speak of the pain? frame violations and the making of public controversy 1

This paper focuses on the frame violations that were created as sense-makers viewed a Canadian war documentary, The Valour and the Horror. The film series aggressively challenged conventional wisdom, and resulted in a fierce battle played out publicly in a Senate Subcommittee investigation as parliamentarians, veterans, historians, journalists and film-makers clashed over whose version of the truth would prevail. We argue that controversy erupts due to frame violations, and that it unfolds in a predictable manner. The article analyses both the content of the documentary, and describes the unfolding controversy. We found that different types of frame violations resulted in different consequences, but that generally, broad revisions of conventional and deeply held frames resulted in attacks on the person who created the violations, while lesser violations elicited an attempt to tamper with the product.     

Multivariate control charts based on a projection approach

Summary: In this paper the projection approach of Runger (1996) is applied to construct control charts for a multivariate process. It is assumed that a shift in the mean might only occur in a known subspace of the parameter space. The projection method permits a reduction of the dimensionality of the control problem.Several control schemes based on projections are introduced. We consider CUSUM type charts as well as EWMA schemes. The underlying variables are assumed to be independent and normally distributed. Using the average run length all control charts are compared with each other. Moreover, it is analyzed how sensitive the charts react on a false choice of the subspace.     

Public Policy: Choice, Influence, Evaluation

This symposium celebrates the entire policy-making process in the context of labor relations. The four contributions to the symposium are reviewed and their contributions are assessed.     

Statistical inference of the efficient frontier for dependent asset returns

In the paper we consider the three characteristics of the efficient frontier. These characteristics are estimated by substituting the unknown parameters by the sample counterparts. Assuming that the asset returns follow a stationary Gaussian process it is shown that the estimated characteristics are asymptotically normally distributed. This result is used to determine the joint asymptotic distribution of the estimated portfolio return and the estimated portfolio variance in the case of the expected utility portfolio and the tangency portfolio, respectively.     

Application of the Generalized Likelihood Ratio Test for Detecting Changes in the Mean of Multivariate GARCH Processes

We derive several multivariate control charts to monitor the mean vector of multi-variate GARCH processes under the presence of changes, by means of maximizing the generalized likelihood ratio. This presentation is rounded up by a comparative performance study based on extensive Monte Carlo simulations. An empirical illustration shows how the obtained results can be applied to real data.