Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

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.

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.

Moments of Collusion? Close readings of affective, hidden moments within feminist research

This paper addresses affective ‘moments of collusion’ present in feminist research relationships, and contextualises these seemingly personal encounters within a wider systematic framework of the early career researcher and the increasingly neoliberal climate of academia. Focusing on the temporal transition from doctoral research to postdoctorate research positions immediately post-PhD, this paper questions the concept of collusion within (immersive) fieldwork, and examines the delicate and complex question of who is colluding with whom, and for what purpose at different times within the early career academic journey. Specifically, this paper focuses on how the increasing pressures of the neoliberal university play out on our emotions and bodies during fieldwork, an area which still requires attention within the growing critiques of the affects of neo-liberalism in Higher Education. Using personal case studies as springboard for a far wider and important discussion, this paper situates such methodological dilemmas within a broader temporal framework of the increasingly precarious nature of early career academics, where ‘moments of collusion’ may be the only way to keep your head above water.

Higher education, professionalism and skills in the built environment: the impact of the new urban agenda on teaching and learning

In the mid-to-late 1990s, the New Urban Agenda initiated a rethinking of urban development strategies placing a greater focus on regeneration of central urban spaces. The skills and competencies required by urban planners and built environment professionals to successfully implement regeneration schemes tend to differ from those required for greenfield development. The working paper summarises skills and competencies required by urban regeneration practitioners and how they are delivered through public and/or private sector providers at present. The role of the newly established regional Centres of Excellence and the professional bodies of the Built Environment professions in defining skills and educational requirements and providing training are explored. An analysis of supply and demand of skills training reveals that there is a mismatch rather than a lack of provision. The report draws on a conference where research findings were presented and discussed. It concludes with suggestions for improving the skills provision at the local government as well as community level. Skills audits were found useful tools in defining training needs. A set of sample workshop programmes outline flexible, tailor-made approaches guaranteed to address specific and identified needs.

Professionalism and skills enhancement in the built environment: the role of higher education in a changing policy context in England

Since the election of the Labour Government in 1997 there have been a series of policy initiatives emphasising the importance of co-ordinated and integrated approaches to the delivery of urban regeneration and in particular Sustainable Communities. This changing policy context has given rise to a shortage of practitioners with both the technical skills to deliver specific programmes, and more especially the generic skills to work in multi-disciplinary teams in conjunction with partnership-based management boards. This paper discusses the origins of the debate about skills shortages and deficiencies and reviews the main government reports which have advocated a new approach to the provision of skills for community regeneration. It focuses particularly on the work of the Planning Network which was funded by the Centre for Education in the Built Environment (CEBE) to examine the contribution of higher education to the wider skills debate. It concludes by arguing that higher education has an important part to play in the provision of a more appropriate skills set for professional practice within a broader and more inclusive strategy involving all key stakeholders. However, employers also have a major responsibility in ensuring that key skills are maintained and enhanced within their own organisations.

Fairness in assessing group projects: a conceptual framework for higher education

Group projects form a large and possibly growing component of the work undertaken for assessing students in higher education, and especially in post-graduate work in business. Yet the assessments sources, methods and purposes result in an array of combinations that the literature fails to capture in its full complexity. Tutors may be able to assess the work of the group as well as they might the work of any individual. But grades - and degrees - are awarded to individuals. Writers on higher education speak of using self- and peer-assessment as a way of qualifying the evaluation of group work so as to differentiate between individuals. But these commonly used terms - drawn from approaches to assessing individual work - are ambiguous or even misleading in the context of group work. This paper proposes a framework for discussing the assessment of group projects in an effort to help identify how the benefits of group learning and be translated into fairer summative assessments.

Construction studies in higher education and the use of digital technology

The construction industry wants graduate employees skilled in relationship building and information technology and communications (ITC). Much of the relationship building at universities has evolved through technology. Government and the ITC industry fund lobby groups to influence both educational establishments and Government to incorporate more ITC in education _ and ultimately into the construction industry. This influencing ignores the technoskeptics’ concerns about student disengagement through excessive online distractions. Construction studies students (n=64) and lecturers (n=16) at a construction university were surveyed to discover the impact of the use and applications of ITC. Contrary to Government and industry technopositivism, construction students and lecturers preferred hard copy documents to online feedback for assignments and marking, more human interface and less technological substitution and to be on campus for lectures and face-to-face meetings rather than viewing on-screen. ITC also distracted users from tasks which, in the case of students, prevented the development of the concentration and deep thinking which a university education should deliver. The research findings are contrary to the promotions of Government, ITC industry and ITC departments and have implications for construction employers where a renewed focus on human communication should mean less stress, fewer delays and cost overruns.

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.

Parallel languages in the history of language ideology in Norway and the lesson for Nordic higher education

This chapter compares recent policy on the use of English and Norwegian in Higher Education with earlier policies on the relationship between the two standard varieties of Norwegian, and it charts how and why English became a policy issue in Norway. Based on the experience of over a century of language planning, a highly interventionist approach is today being avoided and language policies in the universities of Norway seek to nurture a situation where English and Norwegian may be used productively side-by-side. However, there remain serious practical challenges to be overcome. This paper also builds on a previous analysis (Linn 2010b) of the metalanguage of Nordic language policy and seeks to clarify the use of the term ‘parallelingualism’.