Follow the leader if you can, hedge if you must

Follow-the-Leader (FTL) is an intuitive sequential prediction strategy that guarantees constant regret in the stochastic setting, but has poor performance for worst-case data. Other hedging strategies have better worst-case guarantees but may perform much worse than FTL if the data are not maximally adversarial. We introduce the FlipFlop algorithm, which is the first method that provably combines the best of both worlds. As a stepping stone for our analysis, we develop AdaHedge, which is a new way of dynamically tuning the learning rate in Hedge without using the doubling trick. AdaHedge refines a method by Cesa-Bianchi, Mansour, and Stoltz (2007), yielding improved worst-case guarantees. By interleaving AdaHedge and FTL, FlipFlop achieves regret within a constant factor of the FTL regret, without sacrificing AdaHedge’s worst-case guarantees. AdaHedge and FlipFlop do not need to know the range of the losses in advance; moreover, unlike earlier methods, both have the intuitive property that the issued weights are invariant under rescaling and translation of the losses. The losses are also allowed to be negative, in which case they may be interpreted as gains.

Freedom of information implications of information sharing networks for critical infrastructure protection

Protection of “critical infrastructure” has become a major issue for govern- ments worldwide. Yet in Australia, as in many other countries, including the United States, an estimated 90% of critical infrastructure is privately owned or operated commercially – in other words, critical infrastructure protection is not the exclusive domain of government. As a result, information sharing between government and the private sector has become a vitally important component of effective risk management. However, establishing effective arrangements of this kind between the public and private sector needs to take account of existing regimes of access and public disclosure which relate to government-held documents; in particular, that which is established by freedom of information (FOI) legislation. This article examines the extent to which the current Commonwealth FOI regime is likely to act as an impediment to the private sector operators of critical infrastructure participat- ing in government-operated information sharing arrangements. By examining developments in other jurisdictions, principally the United States, the article considers whether amendments to the current Australian FOI regime are necessary to ensure effective participation, consistent with the underlying object and purpose of FOI.

Principles of investments

"Emphasises asset allocation while presenting the practical applications of investment theory. The authors concentrate on the intuition and insights that will be useful to students throughout their careers as new ideas and challenges emerge from the financial marketplace. It provides a good foundation to understand the basic types of securities and financial markets as well as how trading in those markets is conducted. The Portfolio Management section is discussed towards the end of the course and supported by a web-based portfolio simulation with a hypothetical $100,000 brokerage account to buy and sell stocks and mutual funds. Students get a chance to use real data found in the Wall Street Survivor simulation in conjunction with the chapters on investments. This site is powered by StockTrak, the leading provider of investment simulation services to the academic community. Principles of Investments includes increased attention to changes in market structure and trading technology. The theory is supported by a wide range of exercises, worksheets and problems."--publisher website Contents: Investments: background and issues -- Asset classes and financial markets -- Securities markets -- Managed funds and investment management -- Risk and return: past and prologue -- Efficient diversification -- Capital asset pricing and arbitrage pricing theory -- The efficient market hypothesis -- Bond prices and yields -- Managing bond portfolios -- Equity valuation -- Macroeconomic and industry analysis -- Financial statement analysis -- Investors and the investment process -- Hedge funds -- Portfolio performance evaluation.

Cohabitation, marriage, and divorce in a model of match quality

The objective of this research is to further our understanding of how and why individuals enter and leave coresidential relationships. We develop and estimate an economic model of nonmarital cohabitation, marriage, and divorce that is consistent with current data on the formation and dissolution of relationships. Jovanovic's (Journal of Political Economy 87 (1979), 972-90) theoretical matching model is extended to help explain household formation and dissolution behavior. Implications of the model reveal what factors influence the decision to start a relationship, what form this relationship will take, and the relative stability of the various types of unions. The structural parameters of the model are estimated using longitudinal data from a sample of female high school seniors from the United States. New numerical methods are developed to reduce computational costs associated with estimation. The empirical results have interesting interpretations given the structural model. They show that a significant cause of cohabitation is the need to learn about potential partners and to hedge against future bad shocks. The estimated parameters are used to conduct several comparative dynamic experiments. For example, we show that policy experiments changing the cost of divorce have little effect on relationship choices.

Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold

This paper employs a VAR-GARCH model to investigate the return links and volatility transmission between the S&P 500 and commodity price indices for energy, food, gold and beverages over the turbulent period from 2000 to 2011. Understanding the price behavior of commodity prices and the volatility transmission mechanism between these markets and the stock exchanges are crucial for each participant, including governments, traders, portfolio managers, consumers, and producers. For return and volatility spillover, the results show significant transmission among the S&P 500 and commodity markets. The past shocks and volatility of the S&P 500 strongly influenced the oil and gold markets. This study finds that the highest conditional correlations are between the S&P 500 and gold index and the S&P 500 and WTI index. We also analyze the optimal weights and hedge ratios for commodities/S&P 500 portfolio holdings using the estimates for each index. Overall, our findings illustrate several important implications for portfolio hedgers for making optimal portfolio allocations, engaging in risk management and forecasting future volatility in equity and commodity markets. © 2013 Elsevier B.V.

Financial Reserves : A Necessary Condition for Not-for-Profit Sustainability?

Should not-for-profit (NFP) organisations hold reserves to hedge uncertainty and protect mission delivery? This chapter outlines the nature and contxt of NFP reserves. many would accept that actors within NFP organisations have a broad accountability to ensure sustinability where an appropriate mission exists, and that sustinability is assisted or ensured through the purposeful accumulation of reserves. This chapter examins current relevant literature on reserves, reviews various approaches to reserves accumulation across jurisdictions and reports what is known about practice. We highlight the tension faced by NFP organisations, balancing mission spending against the need to hedge uncertainty. We investigate the role of reserves, and how an appropriate level is determined to ensure a NFP board's accountability for organisational sustinability. This issue is particularly significant in the period following the global financial crisis, and while practitioner interest is evident, there has been little academic attention paid to the topic of NFP reserves, and 'very few [articles] have even forcused on related topics' (Calabrese, 2011, p. 282).

Open problem: Shifting experts on easy data

A number of online algorithms have been developed that have small additional loss (regret) compared to the best “shifting expert”. In this model, there is a set of experts and the comparator is the best partition of the trial sequence into a small number of segments, where the expert of smallest loss is chosen in each segment. The regret is typically defined for worst-case data / loss sequences. There has been a recent surge of interest in online algorithms that combine good worst-case guarantees with much improved performance on easy data. A practically relevant class of easy data is the case when the loss of each expert is iid and the best and second best experts have a gap between their mean loss. In the full information setting, the FlipFlop algorithm by De Rooij et al. (2014) combines the best of the iid optimal Follow-The-Leader (FL) and the worst-case-safe Hedge algorithms, whereas in the bandit information case SAO by Bubeck and Slivkins (2012) competes with the iid optimal UCB and the worst-case-safe EXP3. We ask the same question for the shifting expert problem. First, we ask what are the simple and efficient algorithms for the shifting experts problem when the loss sequence in each segment is iid with respect to a fixed but unknown distribution. Second, we ask how to efficiently unite the performance of such algorithms on easy data with worst-case robustness. A particular intriguing open problem is the case when the comparator shifts within a small subset of experts from a large set under the assumption that the losses in each segment are iid.

Recruiting/hiring of older workers

This chapter reviews five key components of the recruitment process with regard to an aging workforce. First, targeted recruitment entails that organizations understand the needs, preferences, and strengths of older workers. Second, the recruitment message should communicate job and organizational characteristics that are attractive to older jobseekers. Third, the recruitment source should be consistent with the mediayse and job-search behaviors of older jobseekers. Fourth, the characteristics and behaviors of recruiters play an essential role in the recruitment of older applicants. Finally, organizations need to convey an attractive image of themselves as employers for older workers. Throughout the chapter, best practices are contrasted with available research evidence, and directions for future research are outlined.

Leading Digital Transformation: Building Technology and Information Governance Capability in Boards of Directors and the C-Suite

Information and technology and its use in organisation transformation presents unprecedented opportunities and risks. Increasingly, the Governance of Enterprise Information and Technology (GEIT) competency in the board room and executive is needed. Whether your organization is small or large, public, private or not for profit or whether your industry is not considered high-tech, IT is impacting your sector – no exceptions. But there is a skill shortage in boards: GEIT capability is concerningly low. This capability is urgently needed across the board, including those directors who come from finance, legal, marketing, operations and HR backgrounds. Digital disruption also affects all occupations. Putting in place a vision will help ensure emergency responses will meet technology-related duty of care responsibilities. When GEIT-related forward thinking and planning is carried out at the same time that you put your business strategy and plan in place, your organization has a significantly increased chance of not only surviving, but thriving into the future. Those organizations that don’t build GEIT capability risk joining the growing list of once-leading firms left behind in the digital ‘cloud of smoke’. Those organizations that do will be better placed to reap the benefits and hedge against the risks of a digital world. This chapter provides actionable, research-based considerations and processes for boards to use, to build awareness, knowledge and skills in governing technology-related organization strategy, risk and value creation.