Higher-order moments in the theory of diversifying and portfolio composition

This paper examines the role of higher-order moments in portfolio choice within an expected-utility framework. We consider two-, three-, four- and five-parameter density functions for portfolio returns and derive exact conditions under which investors would all be optimally plungers rather than diversifiers. Through comparative statics we show the importance of higher-order risk preference properties, such as riskiness, prudence and temperance, in determining plunging behaviour. Empirical estimates for the S&P500 provide evidence for the optimality of diversification.

Multivariate Appoximations to Portfolio Return Distribution

This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram-Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of the density parameters, including the correlation coefficients. The procedure involves consistent estimates even under density misspecification and solves the so-called ‘curse of dimensionality’ of multivariate modelling. Furthermore, the use of a MGC distribution represents a flexible and general approximation to the true distribution of portfolio returns and accounts for all its empirical regularities. An application of such procedure is performed for a portfolio composed of three European indices as an illustration. The MM estimation of the MGC (MGC-MM) is compared with the traditional maximum likelihood of both the MGC and multivariate Student’s t (benchmark) densities. A simulation on Value-at-Risk (VaR) performance for an equally weighted portfolio at 1% and 5% confidence indicates that the MGC-MM method provides reasonable approximations to the true empirical VaR. Therefore, the procedure seems to be a useful tool for risk managers and practitioners.

Pure higher-order effects in the portfolio choice model

This paper examines the effects of higher-order risk attitudes and statistical moments on the optimal allocation of risky assets within the standard portfolio choice model. We derive the expressions for the optimal proportion of wealth invested in the risky asset to show they are functions of portfolio returns third- and fourth-order moments as well as on the investor’s risk preferences of prudence and temperance. We illustrate the relative importance that the introduction of those higher-order effects have in the decision of expected utility maximizers using data for the US.

Reputation performance: a portfolio selection approach

This paper introduces a normative view on corporate reputation strategic management. Reputation performance is conceptualised as the outcome of complex processes and social interactions and the lack of a holistic reputation performance management framework is identified. In an attempt to fill this gap, a portfolio-based approach is put forward. Drawing on the foundations of modern portfolio theory we create a portfolio-based reputation management algorithmic model where reputation components and priorities are weighted by decision makers and shape organisational change in an attempt to formulate a corporate reputation strategy. The rationale of this paper is based on the foundational consideration of organisations as choosing he optimal strategy by seeking to maximise their reputation performance while maintaining organisational stability and minimising organisational risk.

Reputation Performance: a portfolio selection approach

This paper introduces a normative view on corporate reputation management; an algorithmic model for reputation-driven strategic decision making is proposed and corporate reputation is conceptualized as influenced by a selection among organizational priorities. A portfolio-based approach is put forward; we draw on the foundations of portfolio theory and we create a portfolio-based reputation management model where reputation components and priorities are weighted by decision makers and shape organizational change in an attempt to formulate a corporate reputation strategy. The rationale of this paper is based on the foundational consideration of organizations as choosing the optimal strategy by seeking to maximize performance on corporate reputation capital while maintaining organizational stability and minimizing organizational risk.

Lyophilisation of influenza, rabies and Marburg lentiviral pseudotype viruses for the development and distribution of a neutralisation-assay based diagnostic kit

Pseudotype viruses (PVs) are chimeric, replication-deficient virions that mimic wild-type virus entry mechanisms and can be safely employed in neutralisation assays, bypassing the need for high biosafety requirements and performing comparably to established serological assays. However, PV supernatant necessitates -80°C long-term storage and cold-chain maintenance during transport, which limits the scope of dissemination and application throughout resource-limited laboratories. We therefore investigated the effects of lyophilisation on influenza, rabies and Marburg PV stability, with a view to developing a pseudotype virus neutralisation assay (PVNA) based kit suitable for affordable global distribution. Infectivity of each PV was calculated after lyophilisation and immediate reconstitution, as well as subsequent to incubation of freeze-dried pellets at varying temperatures, humidities and timepoints. Integrity of glycoprotein structure following treatment was also assessed by employing lyophilised PVs in downstream PVNAs. In the presence of 0.5M sucrose-PBS cryoprotectant, each freeze-dried pseudotype was stably stored for 4 weeks at up to 37°C and could be neutralised to the same potency as unlyophilised PVs when employed in PVNAs. These results confirm the viability of a freeze-dried PVNA-based kit, which could significantly facilitate low-cost serology for a wide portfolio of emerging infectious viruses.

Ulster PD Scheme: Using e-portfolios and professional conversations to evidence recognition claims

Vicky Davies and Sarah Maguire are Professional Development Managers at the University of Ulster. They have many years of experience in delivering and assessing Higher Education Academy claims for recognition via accredited provision for new teaching staff and post-graduate students. More recently they led the development of the University of Ulster’s Professional Development Scheme http://www.ulster.ac.uk/centrehep/pds/ . The core elements of the PD Scheme are the production of an e-portfolio and an assessed professional conversation. This workshop will explore the learning they have acquired through developing this process and piloting it with applicants. You will have the opportunity to discuss this and to identify any transferability to your own practice.

Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model

In this study, we propose a new semi-nonparametric (SNP) density model for describing the density of portfolio returns. This distribution, which we refer to as the multivariate moments expansion (MME), admits any non-Gaussian (multivariate) distribution as its basis because it is specified directly in terms of the basis density’s moments. To obtain the expansion of the Gaussian density, the MME is a reformulation of the multivariate Gram-Charlier (MGC), but the MME is much simpler and tractable than the MGC when positive transformations are used to produce well-defined densities. As an empirical application, we extend the dynamic conditional equicorrelation (DECO) model to an SNP framework using the MME. The resulting model is parameterized in a feasible manner to admit two-stage consistent estimation and it represents the DECO as well as the salient non-Gaussian features of portfolio return distributions. The in- and out-of-sample performance of a MME-DECO model of a portfolio of 10 assets demonstrate that it can be a useful tool for risk management purposes.

Task Competency in the Rights Analytic: Mental Health and the Justification for Rights and Duties

The paper concerns the moral status of persons for the purposes of rights-holding and duty-bearing. Developing from Gewirth’s argument to the Principle of Generic Consistency (PGC) and Beyleveld et al.’s Principle of Precautionary Reasoning, I argue in favour of a capacity-based assessment of the task competencies required for choice-rights and certain duties (within the Hohfeldian analytic). Unlike other, traditional, theories of rights, I claim that precautionary reasoning as to agentic status holds the base justification for rights-holding. If this is the basis for generic legal rights, then the contingent argument must be used to explain communities of rights. Much in the same way as two ‘normal’ adult agents may not have equal rights to be an aeroplane pilot, not all adults hold the same task competencies in relation to the exercise of the generic rights to freedom derived from the PGC. In this paper, I set out to consider the rights held by children, persons suffering from mental illness and generic ‘full’ agents. In mapping the developing ‘portfolio’ of rights and duties that a person carries during their life we might better understand the legal relations of those who do not ostensibly fulfil the criteria of ‘full’ agent.