Comparison of different estimation techniques for portfolio selection

The main problem in applying the mean-variance portfolio selection consists of the fact that the first two moments of the asset returns are unknown. In practice the optimal portfolio weights have to be estimated. This is usually done by replacing the moments by the classical unbiased sample estimators. We provide a comparison of the exact and the asymptotic distributions of the estimated portfolio weights as well as a sensitivity analysis to shifts in the moments of the asset returns. Furthermore we consider several types of shrinkage estimators for the moments. The corresponding estimators of the portfolio weights are compared with each other and with the portfolio weights based on the sample estimators of the moments. We show how the uncertainty about the portfolio weights can be introduced into the performance measurement of trading strategies. The methodology explains the bad out-of-sample performance of the classical Markowitz procedures.     

Statistical consulting

The paper and the special issue focus on the activity of statistical consulting and its varieties. This includes academic consulting, consulting to and in industry as well as statistics in public media.     

Intersection of Ethnicity,Gender and Class: Oriental Faculty Women in Israel

Ethnicity, gender and class are the major factors of social inequality and have been studied extensively leading to a large literature pertaining to each one of them. The issue of the intersection of ethnicity, gender and class has been introduced into the social sciences by feminist critical theory. Intersection theory postulates that minority groups are discriminated against on the basis of more than one characteristic which are “inextricably tied” leading to complex forms of inequality in various social domains. This study examines the intertwined effects of these factors as they are experienced and narrated by Mizrachi women (19) who are employed in universities and colleges. Although the intersection approach is generally supported by the data it was found that under certain conditions ethnicity, gender and class may be separated. One type of decomposition is when one identity encroaches upon another or others; the second is the separation of diverse identities assigning them to different life areas. These change processes do not support stereotypical dichotomies between Ashkenazi and Mizrachi, women and men and so on, and enable the creation of new hybrid identities.

The Migrant Mortality Advantage: A 70 Month Follow-up of the Brussels Population

There is considerable evidence that first generation immigrants to developed countries tend to have lower mortality than does the population as a whole at their destination. This advantage is usually ascribed to a selection process which makes migrants more robust than the local population and/or an acculturation process whereby third-world migrants lose their natural healthy life style as they take on modern urban dietary and living habits. We investigate immigrant-local mortality differences using a 6-year follow-up of the complete Brussels population aged 25–55, as enumerated at the Belgian census, 1991. We show that adult migrants have lower mortality than their native-born counterparts, despite their often poorer living arrangements, work status and human capital. This effect differs by origin group. The effects of age on mortality are similar for all groups, with mortality increasing about 8% a year. This increase is slightly greater for the Belgian born than for immigrants, which makes the selectivity explanation unlikely. Years since migration does not significantly increase the mortality risk for most groups, contradicting the acculturation hypothesis. Thus, explanations ascribing immigrants' mortality advantage to migrant selectivity, pre-modern cultural practices, or an artefact of population recording practices are insufficient. We propose, instead, an explanation based on the meaning migration has for the immigrant, and the hope engendered in the move, particularly that from a lesser to a more developed country.     

Like Mother(-in-Law) Like Daughter? Influence of the Older Generation’s Fertility Behaviours on Women’s Desired Family Size in Bihar,India

This paper investigates the associations between preferred family size of women in rural Bihar, India and the fertility behaviours of their mother and mother-in-law. Scheduled interviews of 440 pairs of married women aged 16–34 years and their mothers-in-law were conducted in 2011. Preferred family size is first measured by Coombs scale, allowing us to capture latent desired number of children and then categorized into three categories (low, medium and high). Women’s preferred family size is estimated using ordered logistic regression. We find that the family size preferences are not associated with mother’s fertility but with mother’s education. Mother-in-law’s desired number of grandchildren is positively associated with women’s preferred family size. However, when the woman has higher education than her mother-in-law, her preferred family size gets smaller, suggesting that education provides women with greater autonomy in their decision-making on childbearing.