Robust portfolio planning in the presence of market anomalies

In this study, a short-term portfolio modeling formulation is developed using existing anomalies as a single determinant for daily Istanbul Stock Exchange National 100 Composite Index (ISE) and US dollars (USD) returns in a Robust optimization (RO) framework. Using anomalies in planning within an RO framework establishes a balance between risk seeking and risk averse behaviors, as generating profit from anomalies is risky and RO enables to settle down the extreme risk seeking behavior. Applications of the model using various data sets result in real profit generation such that terminal wealth figures increase considerably more than Wholesale Price Index (WPI). This study demonstrates that RO is a viable approach to make use of anomaly information for short-term profits.     

Reproducing authoritarian neoliberalism in Turkey: urban governance and state restructuring in the shadow of executive centralization

ABSTRACT

The implosion of popular struggles against the erosion of economic and democratic rights in the Middle East has thrown into sharp relief the co-constitutive character of neoliberal reforms and authoritarian state practices. This article zooms in on this relationship, and traces the consolidation of a core component of authoritarian statisms by examining how the ruling AKP government in Turkey has facilitated executive centralization. This process refers to a form of state restructuring whereby key decision-making powers are increasingly concentrated in the hands of the central government while democratic avenues to contest government policies are curtailed through legal and administrative reforms, and the marginalization of dissident social forces. I unpack the mechanisms of executive centralization in Turkey by exploring the transformation of urban governance under AKP rule, which has promoted a spectacular degree of state-led commodification of land and housing while simultaneously recentralizing key decision-making powers. The investigation demonstrates that executive centralization in urban governance has paved the way for the swift implementation of contested urban transformation projects marked by a non-participatory approach to urban ‘renewal’, the reconfiguration of the state’s redistributive function vis-à-vis low-income households, and a tendency to exacerbate existing patterns of inequalities in the housing market.     

Authoritarian neoliberalism: trajectories of knowledge production and praxis

ABSTRACT

This introduction to the special issue takes as its point of departure three centres of gravity that have shaped the study of neoliberalism but have also established barriers to further progress in these debates. By promoting an intersectional materialist research agenda which challenges extant ideational, modernist and empiricist tendencies in scholarship on neoliberalism, the essay contextualizes the special issue articles by outlining and clarifying key aspects of our understanding of authoritarian neoliberalism. In particular, we reflect on themes related to conceptualization and periodization, which are of importance for both this special issue but also for broader questions of knowledge production and praxis. Through doing so, we argue that there are two distinct yet connected trajectories within the research agenda on authoritarian neoliberalism: one which focuses on the intertwinement of authoritarian statisms and neoliberal reforms; and another which traces various lineages of transformation of key societal sites in capitalism (e.g. states, households, workplaces, urban spaces). Recognition of this spectrum of authoritarian neoliberal practices is important as it helps us uncover how inequalities of power are produced and reproduced in capitalist societies, and pushes us to consider more fully how other worlds can be made possible. Nevertheless, it is affirmed that we must remain open to what an emancipatory society might look like, and what struggles would be most appropriate, in and across various socio-spatial contexts.     

Assortative Matching with Explicit Search Costs

In this paper, I analyze a decentralized search and matching economy with transferable utility composed of heterogeneous agents. I explore whether Becker's assortative matching result generalizes to an economy where agents engage in costly search. In an economy with explicit additive search costs, complementarities in joint production (supermodularity of the joint production function) lead to assortative matching. This is in contrast to previous literature, which had shown that in a search economy with discounting, assortative matching may fail even when the joint production function is supermodular.     

A comparison of different procedures for principal component analysis in the presence of outliers

Principal component analysis (PCA) is a popular technique that is useful for dimensionality reduction but it is affected by the presence of outliers. The outlier sensitivity of classical PCA (CPCA) has caused the development of new approaches. Effects of using estimates obtained by expectation–maximization – EM and multiple imputation – MI instead of outliers were examined on the artificial and a real data set. Furthermore, robust PCA based on minimum covariance determinant (MCD), PCA based on estimates obtained by EM instead of outliers and PCA based on estimates obtained by MI instead of outliers were compared with the results of CPCA. In this study, we tried to show the effects of using estimates obtained by MI and EM instead of outliers, depending on the ratio of outliers in data set. Finally, when the ratio of outliers exceeds 20%, we suggest the use of estimates obtained by MI and EM instead of outliers as an alternative approach.