The Constrained Extremal Distribution Selection Method

Engineering design and policy formulation often involve the assessment of the likelihood of future events commonly expressed through a probability distribution. Determination of these distributions is based, when possible, on observational data. Unfortunately, these data are often incomplete, biased, and/or incorrect. These problems are exacerbated when policy formulation involves the risk of extreme events—situations of low likelihood and high consequences. Usually, observational data simply do not exist for such events. Therefore, determination of probabilities which characterize extreme events must utilize all available knowledge, be it subjective or observational, so as to most accurately reflect the likelihood of such events. Extending previous work on the statistics of extremes, the Constrained Extremal Distribution Selection Method is a methodology that assists in the selection of probability distributions that characterize the risk of extreme events using expert opinion to constrain the feasible values for parameters which explicitly define a distribution. An extremal distribution is then "fit" to observational data, conditional that the selection of parameters does not violate any constraints. Using a random search technique, genetic algorithms, parameters that minimize a measure of fit between a hypothesized distribution and observational data are estimated. The Constrained Extremal Distribution Selection Method is applied to a real world policy problem faced by the U.S. Environmental Protection Agency. Selected distributions characterize the likelihood of extreme, fatal hazardous material accidents in the United States. These distributions are used to characterize the risk of large scale accidents with numerous fatalities.     

Portfolio selection for managerial control

The paper formulates a decision problem where stocks are purchased to maximize the voting power of the portfolio. The statistic representing the voting power is derived from game theoretic solutions namely the “Shapley Value”. The tradeoff between the variance of the portfolio returns and the value of the voting power statistic is explicitly considered.     

Cost-benefit analysis of training— An appraisal

With the phenomenal growth in investment in training, there has been an increasing concern with evaluating the training programmes in terms of their economic efficiency—sometimes adopting the cost-benefit approach. However, since behavioural and psychological factors are so central to training, all evaluative studies have come across the problems of quantifying the costs and benefits. These apart, there are problems in enumerating the spillover and long term effects of training programmes, in assuming a discount rate and in identifying the economic life of the training project.

Recent studies purporting to have used cost-benefit analysis have failed to grapple with a number of issues making them closer to conventional financial appraisals. In this paper the limitations of such evaluations, the difficulties in making a cost-benefit analysis of training investment and its feasibility with varying situations is discussed. The article will amply point out to the corporate decision-maker the problems in using cost-benefit analysis and the training contexts where it is feasible.     

Applying the Partitioned Multiobjective Risk Method (PMRM) to Portfolio Selection

The analysis of risk-return tradeoffs and their practical applications to portfolio analysis paved the way for Modern Portfolio Theory (MPT), which won Harry Markowitz a 1992 Nobel Prize in Economics. A typical approach in measuring a portfolio's expected return is based on the historical returns of the assets included in a portfolio. On the other hand, portfolio risk is usually measured using volatility, which is derived from the historical variance-covariance relationships among the portfolio assets. This article focuses on assessing portfolio risk, with emphasis on extreme risks. To date, volatility is a major measure of risk owing to its simplicity and validity for relatively small asset price fluctuations. Volatility is a justified measure for stable market performance, but it is weak in addressing portfolio risk under aberrant market fluctuations. Extreme market crashes such as that on October 19, 1987 ("Black Monday") and catastrophic events such as the terrorist attack of September 11, 2001 that led to a four-day suspension of trading on the New York Stock Exchange (NYSE) are a few examples where measuring risk via volatility can lead to inaccurate predictions. Thus, there is a need for a more robust metric of risk. By invoking the principles of the extreme-risk-analysis method through the partitioned multiobjective risk method (PMRM), this article contributes to the modeling of extreme risks in portfolio performance. A measure of an extreme portfolio risk, denoted by f(4), is defined as the conditional expectation for a lower-tail region of the distribution of the possible portfolio returns. This article presents a multiobjective problem formulation consisting of optimizing expected return and f(4), whose solution is determined using Evolver-a software that implements a genetic algorithm. Under business-as-usual market scenarios, the results of the proposed PMRM portfolio selection model are found to be compatible with those of the volatility-based model. However, under extremely unfavorable market conditions, results indicate that f(4) can be a more valid measure of risk than volatility.     

Crossovers that link populations with the same vital rates

"In this paper, we consider crossovers of demographic density distributions from...populations that have the same fertility and mortality rates. We focus on observed populations and their associated stationary and stable models, and on proportional distributions of persons, births, deaths and reproductive values....Three different populations were selected to represent a range of demographic behavior. Those populations are Japan 1963, a low mortality, low fertility population; Togo 1961, a high mortality, high fertility population; and the United States 1919-1921, a population whose fertility and mortality are intermediate."     

Circulatory mobility in post-Mao China: temporary migrants in Kaiping county,Pearl River Delta region

"Since the 1980s, it has been possible for the Chinese peasant household to diversify its economic base by making use of its social networks to place members in a distant community as migrant workers. Through a microstudy of 50 such migrants in Kaiping County in the Pearl River Delta region, this article illustrates the interplay between macro, meso, and micro factors in the causes and processes of circulatory mobility in post-Mao China. It is found that Hong Kong's search for cheap labor, the PRC's household registration system, and Kaiping's strong localism provide the context in which migrants and their households have to adjust. The particular behavior pattern of these migrants also bears the stamp of their rational household decision-making processes as well as their feelings of moral obligation toward their kin in their community of origin."     

Sexual victimization and substance abuse in psychiatrically hospitalized adolescents

This article investigates the relationship between substance abuse and sexual abuse in a population of 260 psychiatrically hospitalized adolescents. Seven hypotheses are set forth to test a model that uses parental alcohol abuse, sexual abuse status, and gender as exogenous variables, perceived benefit of alcohol or drugs as an endogenous mediating variable, and substance abuse as the dependent variable. Using these variables, a path model was constructed and revised based on empirical testing. The revised model achieved an adjusted R2 of .38, thus explaining 38 percent of the variance in this sample's abuse of alcohol or drugs. The model suggests that within clinical populations, sexually abused adolescents should be screened for substance abuse, and attention should be given to parental alcohol abuse as well as the degree to which adolescents perceive benefits from their alcohol or drug use.     

A few points concerning the population growth of China's minority nationalities

How the populations of national minorities of China should develop in the future is a major problem that bears on the wealth and power of the homeland and the prosperity and development of the various nationalities themselves. The population of minority nationalities in China totaled only 35.52 million in 1953 and grew to 55.8 million in 1978. The speed of population growth of the different nationalities in different historical periods is closely related to the Party's policy and socioeconomic factors. Attention must be paid to the gap between population growth and the development of the economy, culture, education, health, and medical care as well as to other practical problems existing among the national minorities: 1) a young age structure, 2) early marriage and early reproduction are a widespread practice, 3) economic development still remains at a low level, and 4) cultural and educational level and health and medical care undertakings fall short of actual needs. Due to the serious imbalance between population growth and economic development, the lives of national minority peoples in most regions are still poverty-stricken. Implementing family planning programs among national minorities involves problems of understanding as well as many practical issues. The population growth of national minorities is a vital issue that calls for immediate, extensive, and in-depth research.     

The collective approach to psychiatric practice in the People's Republic of China

This paper describes and analyzes the effects of the dramatic changes of social values in China on the approach to treatment of the mentally ill since the 1949 revolution. It is mainly based on observations, interviews, and experiences in mental hospitals during three recent trips to the People's Republic of China. Attention here is focused on the effects of four new social values on psychiatric practice: first, the value of collective responsibility as reflected in the new program to integrate mental hospitals with the community; second, the application of the value of sharing and "serving the people" to methods of psychiatric therapy; third, the value of "minimization of elitism" as practiced in the role relationships among members of different categories in mental hospitals; and fourth, the reaffirmation of faith in human ability to conquer difficulties, as shown in changes of patients' outlook on life and behavior. Finally, the implications of this alternative approach on our established assumptions and methods of psychiatric therapy in the West are discussed, and the future direction of theoretical formulation is suggested.