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.

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).

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.

Self-selection consistent functions

This paper studies collective choice rules whose outcomes consist of a collection of simultaneous decisions, each one of which is the only concern of some group of individuals in society. The need for such rules arises in different contexts, including the establishment of jurisdictions, the location of multiple public facilities, or the election of representative committees. We define a notion of allocation consistency requiring that each partial aspect of the global decision taken by society as a whole should be ratified by the group of agents who are directly concerned with this particular aspect. We investigate the possibility of designing envy-free allocation consistent rules, we also explore whether such rules may also respect the Condorcet criterion.

Estudi de la resposta immune enfront de Neospora caninum

S’investiga la resposta immune que té lloc en la infecció experimental de les vedelles gestants amb Neospora caninum a les 3, 6 i 9 setmanes postinfecció, amb especial interès en els teixits placentaris. Donada la importancia que tenen les citoquines en la resposta immune a la infecció, s’ha posat a punt les tècniques de RT-PCR a temps real per a l’estudi de l’expressió génica de citoquines del boví. En una fase posterior s’ha estudiat la dinàmica dels anticossos durant l’experiment, la transmissió transplacentària mitjançant l’anàlisi de la presència de DNA parasitari en teixits, la relació entre la producció de IFN-gamma en fluids fetals i, els avortaments i la trasmissió transplacentària i, finalment, el patró de citoquines, amb èmfasi en la interfase materno-fetal.

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.

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.

Measuring intergenerational earnings mobility in Spain: a selection-bias-free approach

This paper analyses intergenerational earnings mobility in Spain correcting for different selection biases. We address the co-residence selection problem by combining information from two samples and using the two-sample two-stage least square estimator. We find a small decrease in elasticity when we move to younger cohorts. Furthermore, we find a higher correlation in the case of daughters than in the case of sons; however, when we consider the employment selection in the case of daughters, by adopting a Heckman-type correction method, the diference between sons and daughters disappears. By decomposing the sources of earnings elasticity across generations, we find that the correlation between child's and father's occupation is the most important component. Finally, quantile regressions estimates show that the influence of the father's earnings is greater when we move to the lower tail of the offspring's earnings distribution, especially in the case of daughters' earnings.

Pathology and immune response of the blue mussel (Mytilus edulis L.) after an exposure to the harmful dinoflagellate Prorocentrum minimum

The harmful dinoflagellate Prorocentrum minimum has different effects upon various species of grazing bivalves, and these effects also vary with life-history stage. Possible effects of this dinoflagellate upon mussels have not been reported; therefore, experiments exposing adult blue mussels, Mytilus edulis, to P. minimum were conducted. Mussels were exposed to cultures of toxic P. minimum or benign Rhodomonas sp. in glass aquaria. After a short period of acclimation, samples were collected on day 0 (before the exposure) and after 3, 6, and 9 days of continuous-exposure experiment. Hemolymph was extracted for flow-cytometric analyses of hemocyte, immune-response functions, and soft tissues were excised for histopathology. Mussels responded to P. minimum exposure with diapedesis of hemocytes into the intestine, presumably to isolate P. minimum cells within the gut, thereby minimizing damage to other tissues. This immune response appeared to have been sustained throughout the 9-day exposure period, as circulating hemocytes retained hematological and functional properties. Bacteria proliferated in the intestines of the P. minimum-exposed mussels. Hemocytes within the intestine appeared to be either overwhelmed by the large number of bacteria or fully occupied in the encapsulating response to P. minimum cells; when hemocytes reached the intestine lumina, they underwent apoptosis and bacterial degradation. This experiment demonstrated that M. edulis is affected by ingestion of toxic P. minimum; however, the specific responses observed in the blue mussel differed from those reported for other bivalve species. This finding highlights the need to study effects of HABs on different bivalve species, rather than inferring that results from one species reflect the exposure responses of all bivalves.

Experimental exposure of the blue mussel (Mytilus edulis, L.) to the toxic dinoflagellate Alexandrium fundyense: Histopathology, immune responses, and recovery

Mussels (Mytilus edulis) were exposed to cultures of the toxic dinoflagellate Alexandrium fundyense or the non-toxic alga Rhodomonas sp. to evaluate the effects of the harmful alga on the mussels and to study recovery after discontinuation of the A. fundyense exposure. Mussels were exposed for 9 days to the different algae and then all were fed Rhodomonas sp. for 6 more days. Samples of hemolymph for hemocyte analyses and tissues for histology were collected before the exposure and periodically during exposure and recovery periods. Mussels filtered and ingested both microalgal cultures, producing fecal pellets containing degraded, partially degraded, and intact cells of both algae. Mussels exposed to A. fundyense had an inflammatory response consisting of degranulation and diapedesis of hemocytes into the alimentary canal and, as the exposure continued, hemocyte migration into the connective tissue between the gonadal follicles. Evidence of lipid peroxidation, similar to the detoxification pathway described for various xenobiotics, was found; insoluble lipofuchsin granules formed (ceroidosis), and hemocytes carried the granules to the alimentary canal, thus eliminating putative dinoflagellate toxins in feces. As the number of circulating hemocytes in A. fundyense-exposed mussels became depleted, mussels were immunocompromised, and pathological changes followed, i.e., increased prevalences of ceroidosis and trematodes after 9 days of exposure. Moreover, the total number of pathological changes increased from the beginning of the exposure until the last day (day 9). After 6 days of the exposure, mussels in one of the three tanks exposed to A. fundyense mass spawned; these mussels showed more severe effects of the toxic algae than non-spawning mussels exposed to A. fundyense. No significant differences were found between the two treatments during the recovery period, indicating rapid homeostatic processes in tissues and circulating hemocytes.

Are Dictators Immune to Human Rights Shaming?

This paper examines whether human rights naming and shaming destabilizes the rule of authoritarian leaders. We argue that human rights shaming can destabilize autocratic leaders by signaling international disapproval to elites in the targeted country, increasing their capacity to replace the incumbent. In personalist regimes, shaming increases the risk of irregular exit because regime elite do not have a means to peacefully replace the incumbent. Shaming campaigns also decrease foreign aid and international trade in personalist regimes, denying the leader access to resources to pay his coalition – further destabilizing his rule. In non-personalist regimes where parties or the military allow elites to peacefully replace incumbents, human rights shaming increases the risk of regular turnover of power, but has little effect on the risk of irregular exit or international flows of aid and trade. These findings have implications for understanding when and where shaming campaigns are likely to reduce or deter repression.

Selection bias and unobservable heterogeneity applied at the wage equation of European married women

This paper utilizes a panel data sample selection model to correct the selection in the analysis of longitudinal labor market data for married women in European countries. We estimate the female wage equation in a framework of unbalanced panel data models with sample selection. The wage equations of females have several potential sources of.