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.

Celebrity Capital in the Political Field: Russell Brand’s migration from stand-up comedy to Newsnight

Our case study of charismatic celebrity comedian Russell Brand’s turn to political activism uses Bourdieu’s field theory to understand the process of celebrity migration across social fields. We investigate how Brand’s capital as a celebrity performer, storyteller and self-publicist translated from comedy to politics. To judge how this worked in practice, we analysed the comedic strategies used in his stand-up show Messiah Complex and undertook a conversational analysis of his notorious interview with Jeremy Paxman on the British Broadcasting Corporation (BBC)’s flagship current affairs programme Newsnight. We argue that Brand was able to secure political legitimacy by creatively constituting himself as an authentic anti-austerity spokesperson for the disenfranchised left in United Kingdom. In order to do so, he repurposed his celebrity capital to political ends and successfully deployed the cultural and social capitals he had developed as a celebrity comedian to secure widespread engagement with his media performances.

Brief response to Ashton and colleagues regarding Fractionating Human Intelligence

Ashton and colleagues concede in their response (Ashton, Lee, & Visser, in this issue), that neuroimaging methods provide a relatively unambiguous measure of the levels to which cognitive tasks co-recruit dif- ferent functional brain networks (task mixing). It is also evident from their response that they now accept that task mixing differs from the blended models of the classic literature. However, they still have not grasped how the neuroimaging data can help to constrain models of the neural basis of higher order ‘g’. Specifically, they claim that our analyses are invalid as we assume that functional networks have uncorrelated capacities. They use the simple analogy of a set of exercises that recruit multiple muscle groups to varying extents and highlight the fact that individual differences in strength may correlate across muscle groups. Contrary to their claim, we did not assume in the original article (Hampshire, High- field, Parkin, & Owen, 2012) that functional networks had uncorrelated capacities; instead, the analyses were specifically designed to estimate the scale of those correlations, which we referred to as spatially ‘diffuse’ factors

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.