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.

Circulation of private notes during a currency shortage

This paper provides a search theoretical model that captures two phenomena that have characterized several episodes of monetary history: currency shortages and the circulation of privately issued notes. As usual in these models, the media of exchange are determined as part of the equilibrium. We characterize all the different equilibria and specify the conditions under which there is a currency shortage and/or privately issued notes are used as means of payment. There is multiplicity of equilibria for the entire parameter space, but there always exist an equilibrium in which notes circulate, either alone or together with coins. Hence, credit is a self-fulfilling phenomenon that depends on the beliefs of agents about the acceptability and future repayment of notes. The degree of circulation of coins depends on two crucial parameters, the intrinsic utility of holding coins and the extent with which it is possible to find exchange opportunities in the market.

The role of Mexico in the first oil shortage: 1918-1922, an international perspective

In 1921 Mexico produced a quarter of world s petroleum, making the country the secondlargest producer in the world, but by 1930 it only accounted for 3 per cent of world sproduction. To date the discussion has mostly relied on events taking place in Mexico forexplaining the decline of the industry. Very little attention has been placed todevelopments in petroleum industry elsewhere, except Venezuela. Practically noattention has been paid to the reasons for the rise of oil output in Mexico. This neglectsthe massive changes taking place in the petroleum industry worldwide during the GreatWar years and its aftermath, and overall ignores the shortage of oil that occurred in theworld s markets between 1918-1921. These are crucial events in order to understand theearly rise of the Mexican oil industry and set the basis for a better understanding of thesubsequent sudden decline.

Treballadores, conflictivitat laboral i moviment obrer durant el franquisme a l'àrea de Barcelona

Dins del desenvolupament de la tesi “Treballadores, conflictivitat laboral i moviment obrer durant el franquisme a l’àrea de Barcelona”, aquesta recerca ha tractat d'omplir un buit a les investigacions sobre l'actuació de les dones contra el franquisme, interrelacionant la seva participació en protestes laborals i al moviment obrer, especialment a Comissions Obreres (CCOO). Per portar a terme la investigació, s'ha consultat documentació procedent de les organitzacions antifranquistes, de la policia i del Sindicat Vertical franquista, a part d'entrevistes a dones que van participar a la conflictivitat laboral i al moviment obrer durant el franquisme. S'ha iniciat la redacció de la tesi doctoral, que es presentarà el 2008. A partir de les fonts estudiades s'ha pogut constatar la importància de la participació de les dones a les protestes laborals entre 1946 i 1956, amb un escàs paper de les organitzacions antifranquistes. Posteriorment, la presència de dones a les protestes laborals va disminuir. A més, inicialment van estar poc presents a les CCOO. A partir de 1969 el nombre de dones militants a CCOO va augmentar, al igual que la proporció de dones implicades a la conflictivitat laboral. No obstant això, van ser escasses les dones a les estructures organitzatives de CCOO i les reivindicacions pròpies de les treballadores rarament van estar presents a les plataformes reivindicatives durant el franquisme.

“Un fol anar don es en fol venguz”: idas y venidas del desconocido Engles

Investigación elaborada a partir de una estancia en la Facoltà di Lettere e filosofia de la Università degli Studi dell'Aquila entre los meses de octubre del 2006 y marzo del 2007. Engles es uno de los trovadores occitanos de los siglos XII y XIII más misteriosos i desconocidos. Ante la falta de datos históricos o documentales, la única vía que queda es intentar descubrir las posibilidades comunicativas de los textos literarios que mencionan a Engles cuando son leídos en conjunto, como parte de un mismo grupo temático en torno a este personaje enigmático. De hecho, haciendo una lectura de este tipo, resulta evidente que parte de la información que podemos deducir hoy en día de Engles pudo haber sido, en cierto modo, alterada; o, como mínimo, leída erróneamente a lo largo del tiempo. Por ello resultan contradictorias las conclusiones que se derivan de la información que existe de él. Parte del problema es que a la falta de información archivística se suma la escasez del corpus de textos relacionados con Engles; y, sin embargo, a pesar de lo escaso en números, resulta de gran interés informativo. Partiendo del estudio de algunas de estas menciones, el artículo intenta establecer un diálogo coherente entre todos los textos, buscando dilucidar quién fue el misterioso Engles.

Proposta d'ecoetiqueta per nuclis rurals de muntanya: prova pilot a Araós

Per poder avaluar ambientalment els nuclis rurals s’ha observat una manca d’indicadors per les etapes de planificació, construcció i ús d’aquests. Aquest article, presenta una proposta d’ecoetiqueta per a nuclis rurals de muntanya. S’ha realitzat una prova pilot al nucli d’Araós, el qual pertany al municipi d’Alins, situat dins el Parc Natural de l’Alt Pirineu (Catalunya). S’han desenvolupat 30 indicadors, 15 d’obligat compliment i 15 optatius en els vectors d’aigua, atmosfera, autosuficiència, energia, mobilitat, paisatge, residus, serveis i ús del sòl. S’ha verificat de forma positiva l’aplicació de l’ecoetiqueta al nucli pilot. Els resultats indiquen no compliment a causa dels vectors aigua, atmosfera, energia i ús del sòl.

Beyond the first steps: Sustaining Health OER Initiatives in Ghana

The introduction of open educational resources (OER) in two Ghanaian universities through a grant-funded project was embraced with a lot of enthusiasm. The project started on a high note and the Colleges of Health Sciences in the two universities produced a significant number of e-learning materials as health OER in the first year. Growing challenges such as faculty time commitments, technological and infrastructural constraints, shortage of technical expertise, lack of awareness beyond the early adopters and non-existent system for OER dissemination and use set in. These exposed the fact that institutional policy and integration was essential to ensure effective implementation and sustainability of OER efforts. Informed by the early OER experiences at the two institutions, this paper proposes that institutions in low resource settings perhaps need to pay close attention to awareness creation, initiative structuring, funding, capacity building, systemization for scalability and motivation if OER sustainability is to be achieved.

Portafolio selection with skewness: a comparison of methods and a generalized two fund separation result

This contribution compares existing and newly developed techniques for geometrically representing mean-variances-kewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage function on the other hand. Moreover, we explain the working of these different methodologies in detail and provide graphical illustrations. Inspired by these illustrations, we prove a generalization of the well-known two fund separation theorem from traditionalmean-variance portfolio theory.

Bubbly collateral and economic activity

This paper develops a model of the bubbly economy and uses it to study the effects of bailoutpolicies. In the bubbly economy, weak enforcement institutions do not allow firms to pledge futurerevenues to their creditors. As a result, "fundamental" collateral is scarce and this impairs the intermediationprocess that transforms savings into capital. To overcome this shortage of "fundamental"collateral, the bubbly economy creates "bubbly" collateral. This additional collateral supports anintricate array of intra- and inter-generational transfers that allow savings to be transformed intocapital and bubbles. Swings in investor sentiment lead to fluctuations in the amount of bubblycollateral, giving rise to bubbly business cycles with very rich and complex dynamics.Bailout policies can affect these dynamics in a variety of ways. Expected bailouts provideadditional collateral and expand investment and the capital stock. Realized bailouts reduce thesupply of funds and contract investment and the capital stock. Thus, bailout policies tend to fosterinvestment and growth in normal times, but to depress investment and growth during crisis periods.We show how to design bailout policies that maximize various policy objectives.

Trade-off between formal and informal care in Spain

The remarkable growth of older population has moved long term care to the front ranks of the social policy agenda. Understanding the factors that determine the type and amount of formal care is important for predicting use in the future and developing long-term policy. In this context we jointly analyze the choice of care (formal, informal, both together or none) as well as the number of hours of care received. Given that the number of hours of care is not independent of the type of care received, we estimate, for the first time in this area of research, a sample selection model with the particularity that the first step is a multinomial logit model. With regard to the debate about complementarity or substitutability between formal and informal care, our results indicate that formal care acts as a reinforcement of the family care in certain cases: for very old care receivers, in those cases in which the individual has multiple disabilities, when many care hours are provided, and in case of mental illness and/or dementia. There exist substantial differences in long term care addressed to younger and older dependent people and dependent women are in risk of becoming more vulnerable to the shortage of informal caregivers in the future. Finally, we have documented that there are great disparities in the availability of public social care across regions.

Causes of subcontracting: Evidence from panel data on construction firms

This paper examines factors explaining subcontracting decisions in the construction industry. Rather than the more common cross-sectional analyses, we use panel data to evaluate the influence of all relevant variables. We design and use a new index of the closeness to small numbers situations to estimate the extent of hold-up problems. Results show that as specificity grows, firms tend to subcontract less. The opposite happens when output heterogeneity and the use of intangible assets and capabilities increase. Neither temporary shortage of capacity nor geographical dispersion of activities seem to affect the extent of subcontracting. Finally, proxies for uncertainty do not show any clear effect.

Impact of fisheries on activity, diet and predatory interactions between yellow-legged and Audouin's gulls breeding at the Chafarinas Is.

Interactions between yellow-legged Larus cachinnans and Audouin´s Larus audouinii gulls and fisheries operating around the Chafarinas Islands, located 4.5 km off the Moroccan Mediterranean coast, are reviewed. At the Chafarinas archipelago two distinct types of fisheries operate: trawlers and purse seines. Gulls take advantage of both fisheries. They scavenge trawler discards and congregate around shoals of fish attracted to the surface by the purse-seine lamps. When both trawlers and purse-seine boats are in operation, the diet of both gull species is similar, with epipelagic fish accounting for over 60% of the biomass, partially collected in association with the purse-seine fishery. When only trawlers operated yellow-legged gulls, but not Audouin´s gulls, augmented their diet mainly with human waste from refuse dumps, suggesting that competition for food between the two species is mainly limited to the periods when resources made available by fishery activities are abundant. Likewise, when only trawlers operated, there was an increase in the predation pressure on eggs and chicks of Audouin´s gulls. In particular, during the week of celebrations for the holy lamb festival when neither fishery operated, egg losses of Audouin´s gull increased dramatically, suggesting that severe food shortage caused by the cessation of fishing can result in an increased predation pressure by yellow-legged gulls, affecting Audouin´s gull productivity. These results suggest a novel socio-ecological link between gulls, fisheries and local feasts.

Effect of refuge supplement on Audouin's gull chick survival

One of the main threats to Audouin´s gull (Larus audouinii) at Chafarinas Islands is predation on eggs and chicks by the yellow-legged gull (Larus cachinnans). During the 1999 and 2000 breeding seasons we tested the effects of supplementary refuge availability on chick survival. Well before the laying period, nine adjacent enclosures were erected inside Audouin´s gull´s breeding grounds and some of them were supplied with artificial refuges. Our results showed significantly greater chick survival in the enclosures with artificial refuges than in control ones. In 2000, an overall lower breeding success of Audouin´s gull and a dilution of the refuge effect were observed. These results were probably related to food-shortage that year. We suggest that, along with other factors, an increase in refuge availability may significantly enhance Audouin´s gull chick survival.

Effect of refuge supplement on Audouin's gull chick survival

One of the main threats to Audouin´s gull (Larus audouinii) at Chafarinas Islands is predation on eggs and chicks by the yellow-legged gull (Larus cachinnans). During the 1999 and 2000 breeding seasons we tested the effects of supplementary refuge availability on chick survival. Well before the laying period, nine adjacent enclosures were erected inside Audouin´s gull´s breeding grounds and some of them were supplied with artificial refuges. Our results showed significantly greater chick survival in the enclosures with artificial refuges than in control ones. In 2000, an overall lower breeding success of Audouin´s gull and a dilution of the refuge effect were observed. These results were probably related to food-shortage that year. We suggest that, along with other factors, an increase in refuge availability may significantly enhance Audouin´s gull chick survival.

A Secure and Anonymous Cooperative Sensing Protocol for Cognitive Radio Networks

Spectrum is an essential resource for the provision of mobile services. In order to control and delimit its use, governmental agencies set up regulatory policies. Unfortunately, such policies have led to a deficiency of spectrum as only few frequency bands are left unlicensed, and these are used for the majority of new emerging wireless applications. One promising way to alleviate the spectrum shortage problem is adopting a spectrum sharing paradigm in which frequency bands are used opportunistically. Cognitive radio is the key technology to enable this shift of paradigm.Cognitive radio networks are self-organized systems in which devices cooperate to use those spectrum ranges that are not occupied by licensed users. They carry out spectrum sensing in order to detect vacant channels that can be used for communication. Even though spectrum sensing is an active area of research, an important issue remains unsolved: the secure authentication of sensing reports. Not providing security enables the input of false data in the system thus empowering false results. This paper presents a distributed protocol based on wireless physical layer security, symmetric cryptography and one-way functions that allows determining a final sensing decision from multiple sources in a quick and secure way, as well as it preserves users¿ privacy.