Volatility timing : how best to forecast portfolio exposures

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility. These include the traditional econometric approach of forming portfolios from forecasts of the covariance matrix, and a novel method, where a time series of optimal portfolio weights are constructed from observed realized volatility and directly forecast. The approach proposed here of directly forecasting portfolio weights shows a great deal of merit. Resulting portfolios are of equivalent economic benefit to a number of competing approaches and are more stable across time. These findings have obvious implications for the manner in which volatility timing is undertaken in a portfolio allocation context.

Implementation of a better choice healthy food and drink supply strategy for staff and visitors in government owned health facilities in Queensland, Australia

Objective The present paper reports on a quality improvement activity examining implementation of A Better Choice Healthy Food and Drink Supply Strategy for Queensland Health Facilities (A Better Choice). A Better Choice is a policy to increase supply and promotion of healthy foods and drinks and decrease supply and promotion of energy-dense, nutrient-poor choices in all food supply areas including food outlets, staff dining rooms, vending machines, tea trolleys, coffee carts, leased premises, catering, fundraising, promotion and advertising. Design An online survey targeted 278 facility managers to collect self-reported quantitative and qualitative data. Telephone interviews were sought concurrently with the twenty-five A Better Choice district contact officers to gather qualitative information. Setting Public sector-owned and -operated health facilities in Queensland, Australia. Subjects One hundred and thirty-four facility managers and twenty-four district contact officers participated with response rates of 48·2 % and 96·0 %, respectively. Results Of facility managers, 78·4 % reported implementation of more than half of the A Better Choice requirements including 24·6 % who reported full strategy implementation. Reported implementation was highest in food outlets, staff dining rooms, tea trolleys, coffee carts, internal catering and drink vending machines. Reported implementation was more problematic in snack vending machines, external catering, leased premises and fundraising. Conclusions Despite methodological challenges, the study suggests that policy approaches to improve the food and drink supply can be implemented successfully in public-sector health facilities, although results can be limited in some areas. A Better Choice may provide a model for improving food supply in other health and workplace settings.

Portfolio selection using artificial intelligence

The application of artificial intelligence in finance is relatively new area of research. This project employed artificial neural networks (ANNs) that use both fundamental and technical inputs to predict future prices of widely held Australian stocks and use these predicted prices for stock portfolio selection over a long investment horizon. The research involved the creation and testing of a large number of possible network configurations and draws conclusions about ANN architectures and their overall suitability for the purpose of stock portfolio selection.

Has portfolio theory got any principles?

Recently, Portfolio Theory (PT) has been proposed for Information Retrieval. However, under non-trivial conditions PT violates the original Probability Ranking Principle (PRP). In this poster, we shall explore whether PT upholds a different ranking principle based on Quantum Theory, i.e. the Quantum Probability Ranking Principle (QPRP), and examine the relationship between this new model and the new ranking principle. We make a significant contribution to the theoretical development of PT and show that under certain circumstances PT upholds the QPRP, and thus guarantees an optimal ranking according to the QPRP. A practical implication of this finding is that the parameters of PT can be automatically estimated via the QPRP, instead of resorting to extensive parameter tuning.

A question of agency : applying Sen’s theory of human capability to the concept of secondary school student career ‘choice’

In this paper, we seek to operationalize Amartya Sen's concept of human capability to guide a scholarly investigation of student career choice capability. We begin by outlining factors affecting youth labour markets in Australia; a prosperous country that is affected by a ‘two-speed’ national economy. We then examine recent government initiatives that have been designed to combat youth unemployment and cyclical disadvantage by enhancing the aspirations and career knowledge of secondary school students. We argue that these policy measures are based on four assumptions: first, that career choice capability is a problem of individual agency; second, that the dissemination of career information can empower students to act as ‘consumers’ in an unequal job market; third, that agency is simply a question of will; and finally, that school education and career advice – as a means to freedom in the space of career development – is of equal quality, distribution and value to an increasingly diverse range of upper secondary school students. The paper concludes by outlining a conceptual framework capable of informing an empirical research project that aims to test these assumptions by measuring and comparing differences between groups in the range of freedom to achieve and, therefore, to choose.

Who struggles most in making a career choice and why?Findings from a cross-sectional survey of highschool students

This paper reports findings from an empirical study examining the influence of student background and educational experiences on the development of career choice capability. Secondary school students attending years 9-12 (N = 706) in New South Wales (NSW), Australia, were invited to participate in an online survey that sought to examine factors influencing their career choices. The survey included questions relating to student demographics, parental occupation, attitudes to school and to learning, student aspirations, and students’ knowledge of the further education or skills required to achieve their desired goal. We found no significant differences in the proportions of students who were “uncertain” of their future career aspirations with respect to their socio-educational background. There were, however, significantly more students struggling with career decision making from an English-speaking background in comparison to households where children spoke a language other than English. Those students were proportionally present in government and non-government schools and had some behavioural and attitudinal characteristics in common.

Selecting volatility forecasting models for portfolio allocation purposes

Techniques for evaluating and selecting multivariate volatility forecasts are not yet understood as well as their univariate counterparts. This paper considers the ability of different loss functions to discriminate between a set of competing forecasting models which are subsequently applied in a portfolio allocation context. It is found that a likelihood-based loss function outperforms its competitors, including those based on the given portfolio application. This result indicates that considering the particular application of forecasts is not necessarily the most effective basis on which to select models.

The Service Portfolio of a BPM Center of Excellence

A key concept for the centralized provision of Business Process Management (BPM) is the Center of Excellence (CoE). Organizations establish a CoE (aka BPM Support Office) as their BPM maturity increases in order to ensure a consistent and cost-effective way of offering BPM services. The definition of the offerings of such a center and the allocation of roles and responsibilities play an important role within BPM Governance. In order to plan the role of such a BPM CoE, this chapter proposes the productization of BPM leading to a set of fifteen distinct BPM services. A portfolio management approach is suggested to position these services. The approach allows identifying specific normative strategies for each BPM service, such as further training or BPM communication and marketing. A public sector case study provides further insights into how this approach has been used in practice. Empirical evidence from a survey with 15 organizations confirms the coverage of this set of BPM services and shows typical profiles for such BPM Centers of Excellence.

Substrate choice of membrane-type 1 matrix metalloproteinase is dictated by tissue inhibitor of metalloproteinase-2 levels

Although tissue inhibitor of metalloproteinase-2 (TIMP-2) is known to be not only an inhibitor of matrix metalloproteinases (MMP) but also a cofactor for membrane-type 1 MMP (MT1-MMP)-mediated MMP-2 activation, it is still unclear how TIMP-2 regulates MMP-2 activation and cleavage of substrates by MT1-MMP. In the present study we examined the levels of cell-surface MT1-MMP, MMP-2 activation and cleavage of MT1-MMP substrates in 293T cells transfected with the MT1-MMP and TIMP-2 genes. Co-expression of TIMP-2 at an appropriate level increased the level of cell-surface MT1-MMP, both the TIMP-2-bound and free forms, and generated processed MMP-2 with gelatin-degrading activity. In contrast, MT1-MMP substrates testican-1 and syndecan-1 were cleaved by the cells expressing MT1-MMP, which was inhibited by TIMP-2 even at levels that stimulate MMP-2 activation. These results suggest that TIMP-2 environment determines MT1-MMP substrate choice between direct cleavage of its own substrates and MMP-2 activation.

A disaggregate discrete choice model of transportation demand by elderly and disabled people in rural Virginia

This paper uses a correlated multinomial logit model and a Poisson regression model to measure the factors affecting demand for different types of transportation by elderly and disabled people in rural Virginia. The major results are: (a) A paratransit system providing door-to-door service is highly valued by transportation-handicapped people; (b) Taxis are probably a potential but inferior alternative even when subsidized; (c) Buses are a poor alternative, especially in rural areas where distances to bus stops may be long; (d) Making buses handicap-accessible would have a statistically significant but small effect on mode choice; (e) Demand is price inelastic; and (f) The total number of trips taken is insensitive to mode availability and characteristics. These results suggest that transportation-handicapped people take a limited number of trips. Those they do take are in some sense necessary (given the low elasticity with respect to mode price or availability). People will substitute away from relying upon others when appropriate transportation is available, at least to some degree. But such transportation needs to be flexible enough to meet the needs of the people involved.

Two dynamic discrete choice estimation problems and simulation method solutions

This paper considers two problems that frequently arise in dynamic discrete choice problems but have not received much attention with regard to simulation methods. The first problem is how to simulate unbiased simulators of probabilities conditional on past history. The second is simulating a discrete transition probability model when the underlying dependent variable is really continuous. Both methods work well relative to reasonable alternatives in the application discussed. However, in both cases, for this application, simpler methods also provide reasonably good results.

Fertility choice, land, and the Malthusian hypothesis

In a standard overlapping generations growth model, with a fixed amount of land and endogenous fertility, the competitive economy converges to a steady state with a zero population growth rate and positive consumption per capita. The Malthusian hypothesis is interpreted as a positive statement about the relationship between population growth and consumption per-capita, when production exhibits diminishing returns to labor and there is a fixed amount of land essential for production. Even when individuals care only about the number of their children and not about their children's welfare, the equilibrium is such that they eventually would choose to have only one child for each adult. Hence, if Malthus's "positive check' on population is the result of the response of optimizing agents to competitively determined prices, Malthus's pessimistic conjecture is not necessarily true, even though his other assumptions hold. -from Authors

Use your freedom of choice : reasons for choosing homeschool in Australia

In Australia, the decision to home educate is becoming increasingly popular (cf. Harding & Farrell, 2003; Townsend, 2012). In spite of its increasing popularity, the reasons home education is chosen by Australian families is under-researched (cf. Jackson & Allan, 2010). This paper reports on a case study that set out to explore the links between families that unschool and the parenting philosophies they follow. In- depth, qualitative interviews were conducted with a group of home education families in one of Australia’s most populated cities. Data were analysed using Critical Discourse Analysis. The analysis revealed that there were links between the parents’ beliefs about home education and their adherence to Attachment Parenting.