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Portfolios
Kinds of Portfolios Selected AbstractsHEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LÉVY MARKETMATHEMATICAL FINANCE, Issue 4 2010Wing Yan Yip This paper presents hedging strategies for European and exotic options in a Lévy market. By applying Taylor's theorem, dynamic hedging portfolios are constructed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European options, static hedging is implemented. It is shown that perfect hedging can be achieved. Delta and gamma hedging strategies are extended to higher moment hedging by investing in other traded derivatives depending on the same underlying asset. This development is of practical importance as such other derivatives might be readily available. Moment swaps or power jump assets are not typically liquidly traded. It is shown how minimal variance portfolios can be used to hedge the higher order terms in a Taylor expansion of the pricing function, investing only in a risk-free bank account, the underlying asset, and potentially variance swaps. The numerical algorithms and performance of the hedging strategies are presented, showing the practical utility of the derived results. [source] Discussion of "The Riskiness of Large Audit Firm Client Portfolios and Changes in Audit Liability Regimes: Evidence from the U.S. Audit Market",CONTEMPORARY ACCOUNTING RESEARCH, Issue 4 2004MARK L. DeFOND [source] Improved Estimates of Correlation Coefficients and their Impact on Optimum PortfoliosEUROPEAN FINANCIAL MANAGEMENT, Issue 3 2006Edwin J. Elton G11 Abstract To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation coefficients between securities. We find that separately forecasting the average level of pair-wise correlations and individual pair-wise differences from the average improves forecasting accuracy. Furthermore, forming homogenous groups of firms on the basis of industry membership or firm attributes (e.g. size) improves forecast accuracy. Accuracy is evaluated in two ways: First, in terms of the error in estimating future correlation coefficients. Second, in the characteristics of portfolios formed on the basis of each forecasting technique. The ranking of forecasting techniques is robust across both methods of evaluation and the better techniques outperform prior suggestions in the literature of financial economics. [source] Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)EUROPEAN FINANCIAL MANAGEMENT, Issue 1 2002Giovanni Barone-Adesi Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. Correlations are preserved implicitly by our simulation procedure. Options are repriced at each node. Overall results support the adequacy of our framework, but our VaR numbers are too high for swap portfolios at long horizons and too low for options and futures portfolios at short horizons. [source] Portfolios: Possibilities for Addressing Emergency Medicine Resident CompetenciesACADEMIC EMERGENCY MEDICINE, Issue 11 2002Patricia O'Sullivan EdD Portfolios are an innovative approach to evaluate the competency of emergency medicine residents. Three key characteristics add to their attractiveness. First, portfolios draw from the resident's actual work. Second, they require self-reflection on the part of the resident. Third, they are inherently practice-based learning since residents must review and consider their practice in order to begin the portfolio. This paper illustrates five different applications of portfolios. First, portfolios are applied to evaluating specific competencies as part of the training of emergency physicians. While evaluating specific competencies, the portfolio captures aspects of the general competencies. Second, the article illustrates using portfolios as a way to address a specific residency review committee (RRC) requirement such as follow-ups. Third is a description of how portfolios can be used to evaluate resident conferences capturing the competency of practice-based learning and possibly other competencies such as medical knowledge and patient care. Fourth, the authors of the article designed a portfolio as a way to demonstrate clinical competence. Fifth, they elaborate as to how a continuous quality improvement project could be cast within the portfolio framework. They provide some guidance concerning issues to address when designing the portfolios. Portfolios are carefully structured and not haphazard collections of materials. Following criteria is important in maintaining the validity of the portfolio as well as contributing to reliability. The portfolios can enhance the relationship between faculty and residents since faculty will suggest cases, discuss anomalies, and interact with the residents around the portfolio. The authors believe that in general portfolios can cover many of the general competencies specified by the ACGME while still focusing on issues important to emergency medicine. The authors believe that portfolios provide an approach to evaluation commensurate with the self-evaluation skills they would like to develop in their residents. [source] The missing piece: Measuring portfolio salience in Western European parliamentary democraciesEUROPEAN JOURNAL OF POLITICAL RESEARCH, Issue 1 2005JAMES N. DRUCKMAN Portfolios constitute an important payoff, not just because they provide access to patronage, but because influence over policy decisions tends to go with control over the key government portfolios. It is easy to discover which and how many portfolios each party holds in any government, but what is missing is accurate measurement of the value or salience of these portfolios. Some attempts have been made to measure portfolio salience, but they have lacked one or more of the following properties: cross-national scope, country-specific measurement, coverage of the full set of postwar portfolios, measurement by multiple experts and measurement at the interval level. In this article, we present a new data contribution: a set of portfolio salience scores that possesses all of these properties for 14 Western European countries derived from an expert survey. We demonstrate the comprehensiveness and reliability of the ratings, and undertake some preliminary analyses that show what the ratings reveal about parliamentary government in Western Europe. [source] Risk-Based Capital and Credit Insurance PortfoliosFINANCIAL MARKETS, INSTITUTIONS & INSTRUMENTS, Issue 1 2010Van Son Lai This paper analyzes the risk-management practices of a vulnerable credit insurer by studying the effects of time-varying correlations, asset risks and loan maturities on the risk-based capital that backs credit insurance portfolios. Since asset correlations may change over a business cycle, we have analyzed these effects by means of a one-factor Gaussian stochastic model as part of an extended contingent claims analysis. Our results show the need to account for cyclical changes to correlations in the pricing of credit insurance. When compared with the reserve of risk-based capital recommended by the Basel II Internal Ratings-Based (IRB) approach, our model provides a better capital buffer against extreme credit losses, especially in times of recession and/or in a risky business environment. Using a risk-adjusted performance metric (RAPM), we find insurers perform better when insuring relatively short-term loans. We also make several policy recommendations on creating a reserve of risk-based capital to protect against possible loan losses. [source] Portfolios of mobility: the movement of expertise in transnational corporations in two sectors , aerospace and extractive industriesGLOBAL NETWORKS, Issue 1 2008JANE MILLAR Abstract This article is about how UK-based transnational corporations source expertise and move highly skilled people among their sites. TNCs rely heavily on their internal labour markets for skills. We examine patterns and trends in the ways that TNCs in two sectors, aerospace and extractives, dynamically orchestrate and deploy their networks of expertise internationally to address the demands of different markets. We chart the types of mobility that exist, identify how and why they are used, and explore some of the institutional, industrial, organizational and technological factors that influence these trends. We show that different types of mobility play distinct roles in organizations. Companies respond to mobility calls from diverse stimuli by linking together mobility options into portfolios of moves that represent negotiated responses to industrial and individual requirements. [source] The impact of portfolios on health professionals' practice: a literature reviewINTERNATIONAL JOURNAL OF PHARMACY PRACTICE, Issue 6 2008Andrzej Jerzy Kostrzewski senior principal pharmacist in education Objectives The purpose of this paper is to review the literature on the use of a portfolio and discuss the evidence for the impact of a portfolio on professional practice, in particular pharmacy practice. Method A literature review was performed using databases from health care and education, namely AMED, BEI, CINAHL, Embase, ERIC, IPA, MedLine, PHARM-LINE, Psycinfo, TIMELIT and ZETOCs, as well as a manual search of relevant journals and documents between 1991 and 2007. The search terms included portfolio, progress files and assessment, and these were linked with pharmacy. Articles were included in the review if they had a focus on the portfolio as a contribution to professional practice. Key findings Portfolios have been used in the education field for over decade. A total of 26 out of 1901 papers were identified which examined portfolios in a post-registration setting. The majority of these publications were from medicine (12), with education (six), pharmacy (five) and nursing (three) making up a small proportion. Portfolios were seen as (a) a tool for use in feedback, (b) a useful trigger for reflection and (c) a link between academic learning and practice. A similar set of findings were seen in the educational context. In addition, a portfolio (a) requires motivation to record and (b) can change behaviour towards colleagues. Conclusions There is still confusion about the meaning of a professional portfolio in health care professions. It is suggested that portfolios should be classified according to a modified system from the teaching profession. The evidence that portfolios can contribute to practice is limited. This review suggests the need for more studies into the impact of portfolios on professional practice, in particular in a pharmacy context. [source] Portfolios as developmental assessment toolsINTERNATIONAL JOURNAL OF TRAINING AND DEVELOPMENT, Issue 2 2001Harm H Tillema Portfolios can be valuable tools for development and are in this respect informative evaluation devices for gaining under-standing about individual accomplishments. The portfolio's strongest benefit is probably the insight it provides into performance as well as the way it helps track progress in learning. This study investigates how the portfolio's attribute to proliferate can show acquired competence in a concrete, visible and tangible way. Differences between three types of portfolio were studied. These are the reflective portfolio, the dossier, and the course learning portfolio. It was hypothesised that a developmental use of portfolio would support the portfolio collector best through the functional feedback it provides. The results of the study indicate that the reflective portfolio is an especially effective assessment tool for bringing about performance and learning-related change. The reflective portfolio is particularly suitable for focusing directly on self-determined levels of performance as well as showing recommendations from feedback provided by the portfolio instrument. [source] Diverse Supernatural Portfolios: Certitude, Exclusivity, and the Curvilinear Relationship Between Religiosity and Paranormal BeliefsJOURNAL FOR THE SCIENTIFIC STUDY OF RELIGION, Issue 3 2010Joseph O. Baker Studies have attempted to understand the association between more conventional supernatural (religious) beliefs and practices and less conventional "paranormal" supernatural beliefs. Some have posited that the two comprise incompatible cultural spheres and belief systems, while others have argued that supernatural religious beliefs are "small steps" toward less conventional paranormal views (such as belief in astrology and telekinesis). We build upon recent scholarship outlining a more nuanced, nonlinear relationship between religiosity and paranormal beliefs by identifying a specific niche of believers who are particularly likely to dabble in unconventional supernatural beliefs. Strong believers in the paranormal tend to be characterized by a nonexclusive spiritualist worldview, as opposed to materialist or exclusive religious outlooks. Paranormal believers tend to be characterized by moderate levels of religious belief and practice, and low levels of ideological exclusivity. In general, the relationship between more conventional religiosity and paranormal beliefs is best conceptualized as curvilinear. [source] Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and VolatilityJOURNAL OF ACCOUNTING RESEARCH, Issue 3 2002John Core The costs associated with compiling data on employee stock option portfolios is a substantial obstacle in investigating the impact of stock options on managerial incentives, accounting choice, financing decisions, and the valuation of equity. We present an accurate method of estimating option portfolio value and the sensitivities of option portfolio value to stock price and stock-return volatility that is easily implemented using data from only the current year's proxy statement or annual report. This method can be applied to either executive stock option portfolios or to firm-wide option plans. In broad samples of actual and simulated CEO option portfolios, we show that these proxies capture more than 99% of the variation in option portfolio value and sensitivities. Sensitivity analysis indicates that the degree of bias in these proxies varies with option portfolio characteristics, and is most severe in samples of CEOs with a large proportion of out-of-the-money options. However, the proxies' explanatory power remains above 95% in all subsamples. [source] Mean Reversion in the Short Horizon Returns of UK PortfoliosJOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2001Patricia Chelley-Steeley This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976,1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample. [source] Local Government Portfolios and Regional Growth: Some Combined Dynamic CGE/Optimal Control ResultsJOURNAL OF REGIONAL SCIENCE, Issue 2 2001M.S. Deepak A theoretical policy model is presented that combines regional dynamic CGE modeling and optimal control to explore the role of local government taxation and expenditure in enhancing regional growth. It contributes to the regional CGE literature by explicitly solving for an optimal policy and augments earlier regional optimal control models by adding endogenous optimization of producer and consumer agents in response to endogenously determined prices. Results of three policy regimes are analyzed in terms of gains in the objective function, impacts on income inequality, and sensitivity to model parameterization. [source] Efficient Universal Portfolios for Past-Dependent Target ClassesMATHEMATICAL FINANCE, Issue 2 2003Jason E. Cross We present a new universal portfolio algorithm that achieves almost the same level of wealth as could be achieved by knowing stock prices ahead of time. Specifically the algorithm tracks the best in hindsight wealth achievable within target classes of linearly parameterized portfolio sequences. The target classes considered are more general than the standard constant rebalanced portfolio class and permit portfolio sequences to exhibit a continuous form of dependence on past prices or other side information. A primary advantage of the algorithm is that it is easily computable in a polynomial number of steps by way of simple closed-form expressions. This provides an edge over other universal algorithms that require both an exponential number of computations and numerical approximation. [source] Use of a structured interview to assess portfolio-based learningMEDICAL EDUCATION, Issue 9 2008Vanessa C Burch Context, Portfolio-based learning is a popular educational tool usually examined by document review which is sometimes accompanied by an oral examination. This labour-intensive assessment method prohibits its use in the resource-constrained settings typical of developing countries. Objectives, We aimed to determine the feasibility and internal consistency of a portfolio-based structured interview and its impact on student learning behaviour. Methods, Year 4 medical students (n = 181) recorded 25 patient encounters during a 14-week medical clerkship. Portfolios were examined in a 30-minute, single-examiner interview in which four randomly selected cases were discussed. Six standard questions were used to guide examiners in determining the ability of candidates to interpret and synthesise clinical data gathered during patient encounters. Examiners were trained to score responses using a global rating scale. Pearson's correlation co-efficient, Cronbach's , coefficient and the standard error of measurement (SEM) of the assessment tool were determined. The number of students completing more than the required number of portfolio entries was also recorded. Results, The mean (± standard deviation [SD], 95% confidence interval [CI]) interview score was 67.5% (SD ± 10.5, 95% CI 66.0,69.1). The correlation coefficients for the interview compared with other component examinations of the assessment process were: multiple-choice question (MCQ) examination 0.42; clinical case-based examination 0.37; in-course global rating 0.08, and overall final score 0.54. Cronbach's , coefficient was 0.88 and the SEM was 3.6. Of 181 students, 45.3% completed more than 25 portfolio entries. Conclusions, Portfolio assessment using a 30-minute structured interview is a feasible, internally consistent assessment method that requires less examination time per candidate relative to methods described in published work and which may encourage desirable student learning behaviour. [source] Portfolios as a learning tool in obstetrics and gynaecology undergraduate trainingMEDICAL EDUCATION, Issue 12 2001Kirsti Lonka Context We developed a structured portfolio for medical students to use during their obstetrics and gynaecology undergraduate training. The main objective was to support the learning process of the students. We also wanted feedback information to enhance teaching. Methods The study population consisted of 91 medical students who completed the portfolio during their training course. The portfolio consisted of a 28-page A5-size booklet. The students entered all the clinical procedures they had performed and all the deliveries they had attended. After each group session, they answered questions about what they had learned and evaluated the performance of the teacher. They also indicated their general evaluation of the course and the portfolio itself. The teachers listed the 13 most important skills to be learned during the course. The students were asked to evaluate their own development on a scale of 0,5 before and after the course. A content analysis was performed on all the texts the students produced, and all quantitative variables were coded. Results The amount of text written in the portfolio correlated (P < 0·001, F -value 4·2) with success in the final exam. In addition to acting as a logbook, use of the portfolio enhanced the learning process during the course. Students' attitudes towards the portfolio were mainly positive. Students appreciated the departmental interest in their learning process. Conclusion Portfolios support the personal and professional development of medical students. A portfolio clarifies the learning goals and helps students to monitor how these goals are achieved. A portfolio encourages constant self-reflection. [source] Using Electronic Portfolios for Second Language AssessmentMODERN LANGUAGE JOURNAL, Issue 2009PATRICIA W. CUMMINS Portfolio assessment as developed in Europe presents a learner-empowering alternative to computer-based testing. The authors present the European Language Portfolio (ELP) and its American adaptations, LinguaFolio and the Global Language Portfolio, as tools to be used with the Common European Framework of Reference for languages and the American national standards, which reference the American Council on the Teaching of Foreign Languages proficiency scale. The ELP's characteristic three-part format, consisting of a language passport, a language biography, and a dossier, builds on earlier research on portfolios and second language assessment. The portfolios' qualitative assessment complements other types of quantitative assessment measures. The authors also explore the unique affordances offered by electronic portfolios to connect teaching and learning to assessment, discuss the effectiveness of portfolios as an assessment tool, and point to future directions for e-portfolio research and development for language learning. [source] Evaluation: Best evidence on the educational effects of undergraduate portfoliosTHE CLINICAL TEACHER, Issue 3 2010Sharon Buckley Summary Background:, The great variety of portfolio types and schemes used in the education of health professionals is reflected in the extensive and diverse educational literature relating to portfolio use. We have recently completed a Best Evidence Medical Education (BEME) systematic review of the literature relating to the use of portfolios in the undergraduate setting that offers clinical teachers insights into both their effects on learning and issues to consider in portfolio implementation. Methods:, Using a methodology based on BEME recommendations, we searched the literature relating to a range of health professions, identifying evidence for the effects of portfolios on undergraduate student learning, and assessing the methodological quality of each study. Results:, The higher quality studies in our review report that, when implemented appropriately, portfolios can improve students' ability to integrate theory with practice, can encourage their self-awareness and reflection, and can offer support for students facing difficult emotional situations. Portfolios can also enhance student,tutor relationships and prepare students for the rigours of postgraduate training. However, the time required to complete a portfolio may detract from students' clinical learning. An analysis of methodological quality against year of publication suggests that, across a range of health professions, the quality of the literature relating to the educational effects of portfolios is improving. However, further work is still required to build the evidence base for the educational effects of portfolios, particularly comparative studies that assess effects on learning directly. Discussion:, Our findings have implications for the design and implementation of portfolios in the undergraduate setting. [source] Earnings Quality and the Equity Risk Premium: A Benchmark Model,CONTEMPORARY ACCOUNTING RESEARCH, Issue 3 2006Kenton K. Yee Abstract This paper solves a model that links earnings quality to the equity risk premium in an infinite-horizon consumption capital asset pricing model (CAPM) economy. In the model, risk-averse traders hold diversified portfolios consisting of risk-free bonds and shares of many risky firms. When constructing their portfolios, traders rely on noisy reported earnings and dividend payments for information about the risky firms. The main new element of the model is an explicit representation of earnings quality that includes hidden accrual errors that reverse in subsequent periods. The model demonstrates that earnings quality magnifies fundamental risk. Absent fundamental risk, poor earnings quality cannot affect the equity risk premium. Moreover, only the systematic (undiversified) component of earnings-quality risk contributes to the equity risk premium. In contrast, all components of earnings-quality risk affect earnings capitalization factors. The model ties together consumption CAPM and accounting-based valuation research into one price formula linking earnings quality to the equity risk premium and earnings capitalization factors. [source] Accounting Choices and Risk Management: SFAS No. 115 and U.S. Bank Holding Companies,CONTEMPORARY ACCOUNTING RESEARCH, Issue 2 2002Leslie Hodder Abstract This paper provides evidence that regulatory contracts affect firms' accounting choices and risk-management decisions. Specifically, we investigate whether an exogenous shock to regulatory risk induced by Statement of Financial Accounting Standards No. 115, "Accounting for Certain Investments in Debt and Equity Securities" (SFAS 1993), encouraged U.S. banks to deviate from portfolio and risk benchmarks when they adopted the standard. Because we cannot observe relevant benchmarks, we model portfolio and risk decisions as functions of macroeconomic and firm-specific factors using data from a period when regulatory capital was immune to SFAS No. 115 accounting. We examine a sample of 230 publicly traded banks and find that (1) irrespective of adoption timing, banks classified too few securities available for sale (AFS) relative to estimated benchmarks; (2) weaker banks that adopted the standard early classified far more securities as AFS relative to benchmarks; (3) banks altered the size of their securities portfolios along with the levels of interest-rate risk and credit risk as regulatory capital decreased; and (4) the level of interest-rate risk on banks' loan portfolios increased at the time of SFAS No. 115 adoption. We also explore the 1995 Financial Accounting Standards Board (FASB) amnesty when firms could "readopt" SFAS No. 115. We find that banks used the 1995 FASB amnesty to undo strategic initial SFAS No. 115 adoption decisions. Taken together, our findings suggest that SFAS No. 115 caused some of the accounting and economic consequences predicted by bankers, analysts, and academics. [source] Integrated Environmental and Financial Performance Metrics for Investment Analysis and Portfolio ManagementCORPORATE GOVERNANCE, Issue 3 2007Simon Thomas This paper introduces a new measure, based on a study by Trucost and Dr Robert Repetto, combining external environmental costs with established measures of economic value added, and demonstrates how this measure can be incorporated into financial analysis. We propose that external environmental costs are relevant to all investors: universal investors are concerned about the scale of external costs whether or not regulations to internalise them are likely; mainstream investors need to understand external costs as an indication of future regulatory compliance costs; and SRI investors need to evaluate companies on both financial and social performance. The paper illustrates our new measure with data from US electric utilities and illustrates how the environmental exposures of different fund managers and portfolios can be compared. With such measures fund managers can understand and control portfolio-wide environmental risks, demonstrate their environmental credentials quantitatively and objectively and compete for the increasing number of investment mandates that have an environmental component. [source] Redesigning Corporate Governance Structures and Systems for the Twenty First CenturyCORPORATE GOVERNANCE, Issue 3 2001Robert A.G. Monks How a corporation is governed has become in recent years an increasingly important element in how it is valued by the market place. McKinsey & Company in June 2000 published the results of an Investor Opinion Survey of attitudes about the corporate governance of portfolio companies. The survey gathered responses about investment intentions from over 200 institutions who together manage approximately $3.25 trillion in assets. Ranging from 17 per cent in the US and Britain to over 27 per cent in Venezuela, investors placed a specific premium on what was called "Board Governance". To put this into perspective, consider how greatly sales would have to increase, expenses be cut and margins improved to achieve a comparable impact on value. "For purposes of the survey, a well governed company is defined as having a majority of outside directors on the board with no management ties; holding formal evaluations of directors; and being responsive to investor requests for information on governance issues. In addition, directors hold significant stockholdings in the company, and a large proportion of directors' pay is in the form of stock options." This correlation of governance with market value by one of the most respected consulting companies in the world creates the foundations of a new language for management accountability. McKinsey has great credibility as a value-adding advisor to corporate managements. Governance is not a cause or a theology for McKinsey; it is an important element in the value of an enterprise. By getting the opinion of what we call Global Investors with portfolios of holdings on every continent, McKinsey has importantly impacted the cost of capital for all corporations henceforth. Admittedly, McKinsey's criteria of "board governance" are blunt. "Every organization attempting to accomplish something has to ask and answer the following question," writes Harvard Business School professor Michael C. Jensen in the introduction to his recent working paper: "What are we trying to accomplish? Or, put even more simply: When all is said and done, how do we measure better versus worse? Even more simply: How do we keep score... . I say long-term market value to recognize that it is possible for markets not to know the full implications of a firm's policies until they begin to show up.... Value creation does not mean succumbing to the vagaries of the movements in a firm's values from day to day. The market is inevitably ignorant of many of our actions and opportunities, at least in the short run...". Surprisingly little attention is paid to what we all intuitively know, that talented people are not entirely motivated by financial compensation. Directors therefore must pay special attention to creating an appropriate environment for stimulating optimum management performance. [source] Ethical investment and the incentives for corporate environmental protection and social responsibilityCORPORATE SOCIAL RESPONSIBILITY AND ENVIRONMENTAL MANAGEMENT, Issue 4 2003Iulie Aslaksen This paper addresses some interrelated questions regarding ethical investments: does ethical screening provide any incentives for improved social responsibility within firms? Are ethical screened portfolios competitive compared with conventional funds with respect to risk-adjusted return? Does the risk-adjusted return of a screened portfolio depend on the screening strategy applied? Considering ethical screening as a kind of segmentation of the equity market, it is shown that screening might create incentives for changes in firms' behaviour. The strength of this incentive depends on the relative share of screened portfolios, which in turn partially depends on the financial performance of the screened portfolios. While some theoretical arguments suggest that screening imposes a handicap compared with conventional portfolios, the empirical evidence does not suggest that screened portfolios systematically under-perform conventional portfolios. Copyright © 2003 John Wiley & Sons, Ltd and ERP Environment. [source] Accelerating botulism therapeutic product development in the Department of Defense,DRUG DEVELOPMENT RESEARCH, Issue 4 2009Andrea M. Stahl Abstract Coordinated small-molecule drug discovery research efforts for the treatment of botulism by the public sector, especially the U.S. Department of Defense (DoD) and Department of Health and Human Services (DHHS), began in the 1990s and represent a significant resource investment. Organization of an effective botulism therapeutic drug program, however, presents formidable technical and logistical challenges. Seven distinct BoNT serotypes are known, each representing a different target. Moreover, BoNT exerts its action inside peripheral cholinergic neurons, and some serotypes may persist functionally within nerve cells for weeks or months. Clinical botulism occurs infrequently, and the effectiveness of prolonged mechanical ventilation to treat poisoning further limits experimental drug testing. The efficacy of experimental compounds must be extrapolated from disparate cell- or tissue-based or rodent models. Numerous compounds with moderate efficacy in experimental laboratory assays have been reported, but may not possess the necessary safety, efficacy, and pharmacokinetic profile to support therapeutic development. To mitigate these challenges, we propose product development tools to assist in management of the BoNT portfolio and to clearly define the desired therapeutic product. Establishing a target product profile (TPP) is proposed to guide public sector managers toward critical aspects of the desired therapeutic product. Additional product development tools to assist in shaping research portfolios and to inform decisions regarding lead candidates to pursue are also discussed. Product development tools that facilitate the characterization of the ideal therapeutic product, and assist in the maintenance of a robust portfolio, will ameliorate the inherent financial risk in drug development for treating BoNT intoxication. Drug Dev Res 70:303,326, 2009. Published 2009 Wiley-Liss, Inc. [source] Correlation model for spatially distributed ground-motion intensitiesEARTHQUAKE ENGINEERING AND STRUCTURAL DYNAMICS, Issue 15 2009Nirmal Jayaram Abstract Risk assessment of spatially distributed building portfolios or infrastructure systems requires quantification of the joint occurrence of ground-motion intensities at several sites, during the same earthquake. The ground-motion models that are used for site-specific hazard analysis do not provide information on the spatial correlation between ground-motion intensities, which is required for the joint prediction of intensities at multiple sites. Moreover, researchers who have previously computed these correlations using observed ground-motion recordings differ in their estimates of spatial correlation. In this paper, ground motions observed during seven past earthquakes are used to estimate correlations between spatially distributed spectral accelerations at various spectral periods. Geostatistical tools are used to quantify and express the observed correlations in a standard format. The estimated correlation model is also compared with previously published results, and apparent discrepancies among the previous results are explained. The analysis shows that the spatial correlation reduces with increasing separation between the sites of interest. The rate of decay of correlation typically decreases with increasing spectral acceleration period. At periods longer than 2,s, the correlations were similar for all the earthquake ground motions considered. At shorter periods, however, the correlations were found to be related to the local-site conditions (as indicated by site Vs30 values) at the ground-motion recording stations. The research work also investigates the assumption of isotropy used in developing the spatial correlation models. It is seen using the Northridge and Chi-Chi earthquake time histories that the isotropy assumption is reasonable at both long and short periods. Based on the factors identified as influencing the spatial correlation, a model is developed that can be used to select appropriate correlation estimates for use in practical risk assessment problems. Copyright © 2009 John Wiley & Sons, Ltd. [source] The Rise of a Global Infrastructure Market through Relational InvestingECONOMIC GEOGRAPHY, Issue 1 2009Morag Torrance abstract Infrastructure assets around the world are shifting from public to private ownership. This article investigates how institutional investors are investing beyond their traditional financial and geographic borders and are increasingly serving as owners of infrastructure assets. It shows how infrastructure assets have specific geographies of information embedded in their investment returns and discusses the growing interest of institutional investors in investing in the infrastructure landscape. While infrastructure investments are considered globally, opportunities depend on the availability of specialist information in the region of investment. The article demonstrates that the low-risk, geographically varied returns match the diversification objectives of pension fund portfolios. Relational investing is important in implementing strategies for investing in the infrastructure, since the bidding on and ensuing ownership and management of infrastructure assets around the world require a combination of financial, legal, and technical expertise. The article addresses three distinct economic geography literatures: the geography of finance, pension fund research, and emerging debates on "relational geometries." [source] Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach,ECONOMIC NOTES, Issue 3 2004Annalisa Di Clemente In this work, we present a methodology for measuring and optimizing the credit risk of a loan portfolio taking into account the non-normality of the credit loss distribution. In particular, we aim at modelling accurately joint default events for credit assets. In order to achieve this goal, we build the loss distribution of the loan portfolio by Monte Carlo simulation. The times until default of each obligor in portfolio are simulated following a copula-based approach. In particular, we study four different types of dependence structure for the credit assets in portfolio: the Gaussian copula, the Student's t-copula, the grouped t-copula and the Clayton n-copula (or Cook,Johnson copula). Our aim is to assess the impact of each type of copula on the value of different portfolio risk measures, such as expected loss, maximum loss, credit value at risk and expected shortfall. In addition, we want to verify whether and how the optimal portfolio composition may change utilizing various types of copula for describing the default dependence structure. In order to optimize portfolio credit risk, we minimize the conditional value at risk, a risk measure both relevant and tractable, by solving a simple linear programming problem subject to the traditional constraints of balance, portfolio expected return and trading. The outcomes, in terms of optimal portfolio compositions, obtained assuming different default dependence structures are compared with each other. The solution of the risk minimization problem may suggest us how to restructure the inefficient loan portfolios in order to obtain their best risk/return profile. In the absence of a developed secondary market for loans, we may follow the investment strategies indicated by the solution vector by utilizing credit default swaps. [source] The Macroeconomic Implications of Regulatory Capital Adequacy Requirements for Korean BanksECONOMIC NOTES, Issue 1 2000G. Choi The capital adequacy requirement, combined with the flight to quality, contributed to a drastic credit slowdown and a sharp recession in Korea in the aftermath of the financial crisis. Since most banks were placed under the strengthened capital adequacy constraints, they reduced loans to firms with high credit risks. As a result, bank-dependent small and medium-sized enterprises (SMEs) were badly hit, and eventually demand for bank loans fell. The reduction in loans was most visible among banks with poor capital adequacy, yet the overall change in bank portfolios had a disproportionately large negative influence on financial conditions for SMEs. In conclusion, the banks' response to capital adequacy requirements resulted in changes in the loan/bond ratio which, in turn, reduced loans to SMEs and caused a sharp cut in production. The resulting contraction in SME production created a polarized industrial structure and a chronic depression in the traditional sectors of the economy. The introduction of capital adequacy requirements (CARs) in the wake of financial crisis worsened conditions for SMEs and weakened the validity of the CARs that were mainly necessitated by successive failures among larger firms. [source] Financial dollarization: evaluating the consequencesECONOMIC POLICY, Issue 45 2006Eduardo Levy Yeyati SUMMARY Financial dollarization The presence in residents' portfolio of foreign-currency assets and liabilities (or ,financial dollarization') has been alleged to influence monetary policy in developing economies and, especially, to cause debtors' insolvency in the aftermath exchange rate depreciations (the ,balance sheet effect'). The abundant and influential literature on these implications, however, contrasts sharply with the scarcity of empirical work aimed at confirming or refuting them. Using a new database, this paper assesses the evidence on the determinants of financial dollarization and tests whether its empirical effects on monetary and financial stability and on economic performance are consistent with theoretical predictions. It finds that financially dollarized economies display a more unstable demand for money, a greater propensity to suffer banking crises after a depreciation of the local currency, and slower and more volatile output growth, without significant gains in terms of domestic financial depth. The results indicate that active de-dollarization policies may be advisable for the many economies, including Central and Eastern European ones, where foreign-currency denominated assets and liabilities are important in residents' financial portfolios. , Eduardo Levy Yeyati [source] | ||||||||||||||||||||||||||||||||||||||||||||||