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.

Explaining Variation in Organizational Change: The Reform of Human Resource Management in the European Commission and the OECD

In this article we investigate the reforms of human resource management in the European Commission and the OECD by analyzing comparatively to what extent both organizations have adjusted their respective structures towards the ideal type of the so-called New Public Management (NPM). The empirical findings show that reforms towards NPM are more pronounced in the Commission than in the OECD. These findings are surprising for two reasons: First, it seems rather paradoxical that the OECD as central promoter of NPM at the international level lags behind the global trend when it comes to reforming its own structures. Second, this result is in contradiction with theoretical expectations, as they can be derived from theories of institutional isomorphism. To nevertheless account for the surprising results, it is necessary to modify and complement existing theories especially with regard to the scope conditions of their causal mechanisms.

Link between microstructure and properties in new metallurgical concepts for very low loss non-oriented electrical steel

The influence of chemistry and soaking temperature (maximal temperature of the continuous annealing) on the final properties of non-oriented electrical steels has been studied. With this objective two different studies have been performed. First the Mn, Ni and Cr content of a low loss electrical steel composition has been modified. An intermediate content and a high content of each element has been added in order to study the influence of this components on the magnetic looses, grain size and texture. Secondly the influence of the soaking temperature on magnetic properties, grain size and oxidation in four grades of non-oriented electrical steels (Steel A, B, C and D) was studied.

Annual variation in the biochemical composition of newly hatched larvae of Maja brachydactyla in captivity

Quality of newly hatched larvae (NHL) of Maja brachydactyla in captivity has been characterized throughout the year to evaluate their availability for mass production. Spawning took place every month and NHL were collected and analyzed to estimate individual dry weight (DW) and proximate biochemical composition (protein, carbohydrate and lipids). Lipid class, fatty acid composition, amino acid profile, mineral and vitamins A, E and C contents were analyzed seasonally. NHL obtained throughout the year are a potential source for aquaculture purposes, since the increment in the relative protein and lipid (especially phospholipids and n-3 PUFA) content might compensate the decrease in DW of larvae hatched from broodstock kept during one year in captivity. However, the decrease in vitamins A and E as well as in certain essential amino acids (Lys, Val, and His) and trace elements (Cu and Fe) of NHL at the end of the year might be indicative of a nutritional deficiency in broodstock diets.

Friction Stir Processing : a new microstructure improvement technique

In the present work, microstructure improvement using FSP (Friction Stir Processing) is studied. In the first part of the work, the microstructure improvement of as-cast A356 is demonstrated. Some tensile tests were applied to check the increase in ductility. However, the expected results couldn’t be achieved. In the second part, the microstructure improvement of a fusion weld in 1050 aluminium alloy is presented. Hardness tests were carried out to prove the mechanical propertyimprovements. In the third and last part, the microstructure improvement of 1050 aluminium alloy is achieved. A discussion of the mechanical property improvements induced by FSP is made. The influence of tool traverse speed on microstructure and mechanical properties is also discussed. Hardness tests and recrystallization theory enabled us to find out such influence

Minimum price variations, time priority and quotes dynamics

We analyze the impact of a minimum price variation (tick) and timepriority on the dynamics of quotes and the trading costs when competitionfor the order flow is dynamic. We find that convergence to competitiveoutcomes can take time and that the speed of convergence is influencedby the tick size, the priority rule and the characteristics of the orderarrival process. We show also that a zero minimum price variation is neveroptimal when competition for the order flow is dynamic. We compare thetrading outcomes with and without time priority. Time priority is shownto guarantee that uncompetitive spreads cannot be sustained over time.However it can sometimes result in higher trading costs. Empiricalimplications are proposed. In particular, we relate the size of thetrading costs to the frequency of new offers and the dynamics of theinside spread to the state of the book.

The importance of intraespeciphic variation in the taxonomy of marine nematodes: The case of Terschellingia longispiculata Wieser & Hopper 1967 (Nematoda, Linhomoeidae)

In the presentstudy, the priority of taxonomic characters of cephalic region of Terschellingialongispiculata over those of the tail and reproductive system is discussed.Four morphological varieties of the species are established based on variationsof the tail and reproductive system. The problem of considering only changes inthe posterior region for determination of some species is posed. From this,studies on important populations must be done for the establishment of newspecies based on one of these characters, but taken together with characters inother regions such as the cephalic.

Spatial and temporal variation of natural toxicity in cnidarians, bryozoans and tunicates in Mediterranean caves

The natural toxicity of cnidarians, bryozoans and tunicates in two caves was assessed using the Microtox® technique in spring and autumn. One cave was located in the Cabrera Archipelago (Balearic Islands) and the other in the Medes Islands (Catalan littoral). The organisms analysed were good representatives of the coverage of each Phylum in the communities; however, these Phyla are less abundant than sponges which are the dominant group in these caves. Seventy-one percent of the species of cnidarians and bryozoans analysed were toxic in one of the caves, communities or seasons, which indicates the relevance of bioactive species in these groups. The tunicate Lissoclinum perforatum was the most toxic species. Although all three Phyla had some highly toxic species, a common pattern that related the caves, communities and seasons was not found. Seasonal variation of toxicity in cnidarians and bryozoans was higher in the Cabrera than in the Medes cave. Moreover, variation in toxicity either between communities or between seasons was a common trait for most cnidarians and bryozoans, whereas tunicates remained toxic throughout communities and seasons.

Microstructure and secondary phases in coevaporated CuInS2 films: Dependence on growth temperature and chemical composition

The microstructure of CuInS2-(CIS2) polycrystalline films deposited onto Mo-coated glass has been analyzed by Raman scattering, Auger electron spectroscopy (AES), transmission electron microscopy, and x-ray diffraction techniques. Samples were obtained by a coevaporation procedure that allows different Cu-to-In composition ratios (from Cu-rich to Cu-poor films). Films were grown at different temperatures between 370 and 520-°C. The combination of micro-Raman and AES techniques onto Ar+-sputtered samples has allowed us to identify the main secondary phases from Cu-poor films such as CuIn5S8 (at the central region of the layer) and MoS2 (at the CIS2/Mo interface). For Cu-rich films, secondary phases are CuS at the surface of as-grown layers and MoS2 at the CIS2/Mo interface. The lower intensity of the MoS2 modes from the Raman spectra measured at these samples suggests excess Cu to inhibit MoS2 interface formation. Decreasing the temperature of deposition to 420-°C leads to an inhibition in observing these secondary phases. This inhibition is also accompanied by a significant broadening and blueshift of the main A1 Raman mode from CIS2, as well as by an increase in the contribution of an additional mode at about 305 cm-1. The experimental data suggest that these effects are related to a decrease in structural quality of the CIS2 films obtained under low-temperature deposition conditions, which are likely connected to the inhibition in the measured spectra of secondary-phase vibrational modes.

Effects of prior hydrogenation on the structure and properties of thermally nanocrystallized silicon layers

Nanocrystalline silicon layers have been obtained by thermal annealing of films sputtered in various hydrogen partial pressures. The as-deposited and crystallized films were investigated by infrared, Raman, x-ray diffraction, electron microscopy, and optical absorption techniques. The obtained data show evidence of a close correlation between the microstructure and properties of the processed material, and the hydrogen content in the as-grown deposit. The minimum stress deduced from Raman was found to correspond to the widest band gap and to a maximum hydrogen content in the basic unannealed sample. Such a structure relaxation seems to originate from the so-called "chemical annealing" thought to be due to Si-H2 species, as identified by infrared spectroscopy. The variation of the band gap has been interpreted in terms of the changes in the band tails associated with the disorder which would be induced by stress. Finally, the layers originally deposited with the highest hydrogen pressure show a lowest stress-which does not correlate with the hydrogen content and the optical band gap¿and some texturing. These features are likely related to the presence in these layers of a significant crystalline fraction already before annealing.

Random-field Potts model with dipolarlike interactions: Hysteresis avalanches and microstructure

A model for the study of hysteresis and avalanches in a first-order phase transition from a single variant phase to a multivariant phase is presented. The model is based on a modification of the random-field Potts model with metastable dynamics by adding a dipolar interaction term truncated at nearest neighbors. We focus our study on hysteresis loop properties, on the three-dimensional microstructure formation, and on avalanche statistics.

Microstructure of highly oriented, hexagonal, boron nitride thin films grown on crystalline silicon by radio frequency plasma-assisted chemical vapor deposition

We present a high‐resolution electron microscopy study of the microstructure of boron nitride thin films grown on silicon (100) by radio‐frequency plasma‐assisted chemical vapor deposition using B2H6 (1% in H2) and NH3 gases. Well‐adhered boron nitride films grown on the grounded electrode show a highly oriented hexagonal structure with the c‐axis parallel to the substrate surface throughout the film, without any interfacial amorphous layer. We ascribed this textured growth to an etching effect of atomic hydrogen present in the gas discharge. In contrast, films grown on the powered electrode, with compressive stress induced by ion bombardment, show a multilayered structure as observed by other authors, composed of an amorphous layer, a hexagonal layer with the c‐axis parallel to the substrate surface and another layer oriented at random

Anomalous crystallization of hydrogenated amorphous silicon during fast heating ramps

Thermal crystallization experiments carried out using calorimetry on several a-Si:H materials with different microstructures are reported. The samples were crystallized during heating ramps at constant heating rates up to 100 K/min. Under these conditions, crystallization takes place above 700 C and progressively deviates from the standard kinetics. In particular, two crystallization processes were detected in conventional a-Si:H, which reveal an enhancement of the crystallization rate. At100 K/min, such enhancement is consistent with a diminution of the crystallization time by a factor of 7. In contrast, no systematic variation of the resulting grain size was observed. Similar behavior was also detected in polymorphous silicon and silicon nanoparticles, thus showing that it is characteristic of a variety of hydrogenated amorphous silicon materials.