Single period Markowitz portfolio selection, performance gauging and duality: a variation on Luenberger's shortage function

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

On an upper bound for the arithmetic self-intersection number of the dualizing sheaf on arithmetic surfaces

Vegeu el resum a l'inici del document del fitxer adjunt

Intermediate asymptotics beyond homogeneity and self-similarity: long time behavior for [formula]

"Vegeu el resum a l'inici del document del fitxer adjunt."

Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal

This comment corrects the errors in the estimation process that appear in Martins (2001). The first error is in the parametric probit estimation, as the previously presented results do not maximize the log-likelihood function. In the global maximum more variables become significant. As for the semiparametric estimation method, the kernel function used in Martins (2001) can take on both positive and negative values, which implies that the participation probability estimates may be outside the interval [0,1]. We have solved the problem by applying local smoothing in the kernel estimation, as suggested by Klein and Spady (1993).

Choosing how to choose: self-stable majority rules and constitutions

Constitutional arrangements affect the decisions made by a society. We study how this effect leads to preferences of citizens over constitutions; and ultimately how this has a feedback that determines which constitutions can survive in a given society. Constitutions are stylized here, to consist of a voting rule for ordinary business and possibly different voting rule for making changes to the constitution. We deffine an equilibrium notion for constitutions, called self-stability, whereby under the rules of a self-stable constitution, the society would not vote to change the constitution. We argue that only self-stable constitutions will endure. We prove that self-stable constitutions always exist, but that most constitutions (even very prominent ones) may not be self-stable for some societies. We show that constitutions where the voting rule used to amend the constitution is the same as the voting rule used for ordinary business are dangerously simplistic, and there are (many) societies for which no such constitution is self-stable rule. We conclude with a characterization of the set of self-stable constitutions that use majority rule for ordinary business.

I want you! An experiment studying the selection effect when assigning distributive power.

We study whether selection affects motivation. In our experiment subjects first answer a personality questionnaire. They then play a 3-person game. One of the three players decides between an outside option assigning him a positive amount, but leaving the two others empty-handed and allowing one of the other two players to distribute a pie. Treatments differ in the procedure by which distributive power is assigned: to a randomly determined or to a knowingly selected partner. Before making her decision the selecting player could consult the personality questionnaire of the other two players. Results show that knowingly selected players keep less for themselves than randomly selected ones and reward the selecting player more generously.

Dietary modulation of plasma antioxidant deficiencies: effect of mediterranean diet

Estudi elaborat a partir d’una estada al National Research Institute for Food and Nutrition, Itàlia, des de novembre del 2006 fins a febrer del 2007. La capacitat antioxidant total (TAC) en plasma pot ser un bon biomarcador del estat antioxidant dels humans. Prenent les mostres de dos projectes diferents de recerca s’ha mesurat la TAC mitjançant el FRAP (ferric reductant antioxidant potencial) i el TRAP (total radical-trapping antioxidant parameter ). D’una banda el PREDIMED, és un estudi prospectiu aleatoritzat i controlat, amb una cohort d’ individus sense patología vascular coneguda, però amb un alt risc de patir-la. En aquest es valora la utilitat d’una intervenció dietética del tipus mediterrània en la prevenció primària de la malaltia cardiovascular. L’altre és el de biodisponibilitat en humans dels metabòlits dels polifenols presents en els solubles de cacau, un estudi crònic (28 dies) on es vol mesurar la influència de la llet en l’absorció dels polifenols del cacau, en voluntaris amb elevat risc de sofrir patologia cardiovascular.

Entry and market selection of firms: a laboratory study

We study competition in experimental markets in which two incumbents face entry by three other firms. Our treatments vary with respect to three factors: sequential vs. block or simultaneous entry, the cost functions of entrants and the amount of time during which incumbents are protected from entry. Before entry incumbents are able to collude in all cases. When all firms' costs are the same entry always leads consumer surplus and profits to their equilibrium levels. When entrants are more efficient than incumbents, entry leads consumer surplus to equilibrium. However, total profits remain below equilibrium, due to the fact that the inefficient incumbents produce too much and efficient entrants produce too little. Market behavior is satisfactory from the consumers' standpoint, but does not yield adequate signals to other potential entrants. These results are not affected by whether entry is simultaneous or sequential. The length of the incumbency phase does have some subtle effects.

Mediterranean diet changes during the nutritional transition in Spain

En este trabajo analizaremos en primer lugar la presencia i la importancia de los alimentos que caracterizan la dieta mediterránea en los sistemas alimentarios españoles del siglo XIX. Veremos como evoluciona esta presencia y el su peso a la dieta dentro del proceso de transición nutricional moderna española, contemplando dos períodos: desde finales del XIX hasta la década de 1930, y la segunda mitad del XX, períodos caracterizados por un aumento de la ingesta de alimentos, cereales y patatas primer, y de productos de origen animal después, y por la progresiva convergencia con las dietes de les sociedades desarrolladas, que diluirían o minimizarían progresivamente las características diferenciales mediterráneos. Situaremos los cambios que se producen a España en el contexto europeo, i finalmente, analizaremos en que medida, en la etapa inicial, la dieta seguida se ajustaba a les necesidades de la población y a la dieta actualmente recomendada, y si se produjeron cambios significativos en el curso de la transición alimentaria.

Wealth constraints, skill prices or networks: what determines emigrant selection?

The productive characteristics of migrating individuals, emigrant selection, affect welfare. The empirical estimation of the degree of selection suffers from a lack of complete and nationally representative data. This paper uses a new and better dataset to address both issues: the ENET (Mexican Labor Survey), which identifies emigrants right before they leave and allows a direct comparison to non-migrants. This dataset presents a relevant dichotomy: it shows on average negative selection for Mexican emigrants to the United States for the period 2000-2004 together with positive selection in Mexican emigration out of rural Mexico to the United States in the same period. Three theories that could explain this dichotomy are tested. Whereas higher skill prices in Mexico than in the US are enough to explain negative selection in urban Mexico, its combination with network effects and wealth constraints is required to account for positive selection in rural Mexico.

New evidence on emigrant selection

This paper examines the extent to which Mexican emigrants to the United States are negatively selected, that is, have lower skills than individuals who remain in Mexico. Previous studies have been limited by the lack of nationally representative longitudinal data. This one uses a newly available household survey, which identifies emigrants before they leave and allows a direct comparison to non-migrants. I find that, on average, US bound Mexican emigrants from 2000 to 2004 earn a lower wage and have less schooling years than individuals who remain in Mexico, evidence of negative selection. This supports the original hypothesis of Borjas (AER, 1987) and argues against recent findings, notably those of Chiquiar and Hanson (JPE, 2005). The discrepancy with the latter is primarily due to an under-count of unskilled migrants in US sources and secondarily to the omission of unobservables in their methodology.

The causal relationship between Individual’s choice behavior and self-reported satisfaction: the case of residential mobility in the EU

One of the most persistent and lasting debates in economic research refers to whether the answers to subjective questions can be used to explain individuals’ economic behavior. Using panel data for twelve EU countries, in the present study we analyze the causal relationship between self-reported housing satisfaction and residential mobility. Our results indicate that: i) households unsatisfied with their current housing situation are more likely to move; ii) housing satisfaction raises after a move, and; iii) housing satisfaction increases with the transition from being a renter to becoming a homeowner. Some interesting cross-country differences are observed. Our findings provide evidence in favor of use of subjective indicators of satisfaction with certain life domains in the analysis of individuals’ economic conduct.