Optimal hedging with higher moments

This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

Gene duplication and an accelerated evolutionary rate in 11S globulin genes are associated with higher protein synthesis in dicots as compared to monocots

Background: Seed storage proteins are a major source of dietary protein, and the content of such proteins determines both the quantity and quality of crop yield. Significantly, examination of the protein content in the seeds of crop plants shows a distinct difference between monocots and dicots. Thus, it is expected that there are different evolutionary patterns in the genes underlying protein synthesis in the seeds of these two groups of plants. Results: Gene duplication, evolutionary rate and positive selection of a major gene family of seed storage proteins (the 11S globulin genes), were compared in dicots and monocots. The results, obtained from five species in each group, show more gene duplications, a higher evolutionary rate and positive selections of this gene family in dicots, which are rich in 11S globulins, but not in the monocots. Conclusion: Our findings provide evidence to support the suggestion that gene duplication and an accelerated evolutionary rate may be associated with higher protein synthesis in dicots as compared to monocots.

Higher education as a portfolio investment: students’ choices about studying, term time employment, leisure, and loans

Recent UK changes in the number of students entering higher education, and in the nature of financial support, highlight the complexity of students’ choices about human capital investments. Today’s students have to focus not on the relatively narrow issue of how much academic effort to invest, but instead on the more complicated issue of how to invest effort in pursuit of ‘employability skills’, and how to signal such acquisitions in the context of a highly competitive graduate jobs market. We propose a framework aimed specifically at students’ investment decisions, which encompasses corner solutions for both borrowing and employment while studying.

Social capital and the role of trust in aspirations for higher education

This paper considers the role of social capital and trust in the aspirations for higher education of a group of socially disadvantaged girls. Drawing on data from a longitudinal, ethnographic case study of an underperforming secondary school, the paper considers current conceptualisations of social capital and its role in educational ambitions. The paper concludes by tentatively suggesting that whilst social capital is extremely helpful in explaining differences within groups, trust appears to be a pre-requisite for the investment and generation of social capital, as opposed to the other way around. The paper also suggests that young people are not necessarily dependent on their families for their social capital but are able to generate capital in their own right.

Promoting the use of BaP as a marker for PAH exposure in UK soils

Polycyclic aromatic hydrocarbons (PAHs) are ubiquitous environmental pollutants that frequently accumulate in soils. There is therefore a requirement to determine their levels in contaminated environments for the purposes of determining impacts on human health. PAHs are a suite of individual chemicals, and there is an ongoing debate as to the most appropriate method for assessing the risk to humans from them. Two methods predominate: the surrogate marker approach and the toxic equivalency factor. The former assumes that all chemicals in a mixture have an equivalent toxicity. The toxic equivalency approach estimates the potency of individual chemicals relative to the usually most toxic Benzo(a)pyrene. The surrogate marker approach is believed to overestimate risk and the toxic equivalency factor to underestimate risk. When analysing the risks from soils, the surrogate marker approach is preferred due to its simplicity, but there are concerns because of the potential diversity of the PAH profile across the range of impacted soils. Using two independent data sets containing soils from 274 sites across a diverse range of locations, statistical analysis was undertaken to determine the differences in the composition of carcinogenic PAH between site locations, for example, rural versus industrial. Following principal components analysis, distinct population differences were not seen between site locations in spite of large differences in the total PAH burden between individual sites. Using all data, highly significant correlations were seen between BaP and other carcinogenic PAH with the majority of r2 values > 0.8. Correlations with the European Food Standards Agency (EFSA) summed groups, that is, EFSA2, EFSA4 and EFSA8 had even higher correlations (r2 > 0.95). We therefore conclude that BaP is a suitable surrogate marker to represent mixtures of PAH in soil during risk assessments.

Will greenhouse gas-induced warming over the next 50 years lead to higher frequency and greater intensity of hurricanes?

The use of a high resolution atmospheric model at T106 resolution, for studying the influence of greenhouse warming on tropical storm climatology, is investigated. The same method for identifying the storms has been used as in a previous study by Bengtsson et al. The sea surface temperature anomalies have been taken from a previous transient climate change experiment, obtained with a low resolution ocean-atmosphere coupled model. The global distribution of the storms, at the time when the CO2 concentration in the atmosphere had doubled, agrees in geographical position and seasonal variability with that of the present climate, but the number of storms is significantly reduced, particularly at the Southern Hemisphere. The main reason to this, appear to be connected to changes in the large scale circulation, such as a weaker Hadley circulation and stronger upper air westerlies. The low level vorticity in the hurricane genesis regions is generally reduced compared to the present climate, while the vertical tropospheric wind shear is somewhat increased. Most tropical storm regions indicate reduced surface windspeeds and a slightly weaker hydrological cycle.

RedGloo: Experiences of developing and using an emerging technology in higher education

Student life has change a lot since 2005 when the idea to create a Social Network Service (SNS) for students in the School of Systems Engineering at the University of Reading was conceived and went live in 2006, called RedGloo.

Forecasting VaR using analytic higher moments for GARCH processes

It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the aggregated returns distributions. This paper shows that fast, quasi-analytic GARCH VaR calculations can be based on new formulae for the first four moments of aggregated GARCH returns. Our extensive empirical study compares the Cornish–Fisher expansion with the Johnson SU distribution for fitting distributions to analytic moments of normal and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different financial assets, for the purpose of deriving accurate GARCH VaR forecasts over multiple horizons and significance levels.

Higher Education: Understanding the impact of distance learning mode on user information assimilation and satisfaction

There is increasing pressure to capture of video within Higher Education. Although much research has looked at how communication technologies enhance information transfer during playback of video, consideration of technical issues seems incongruous if we do not consider how presentation mode affects information assimilated by, and satisfaction of, learners with a range of individual differences, and from a range of different backgrounds. This paper considers whether a relationship exists between the media and presentation mode used in recorded content, and the level of information assimilation and satisfaction perceived by learners with a range of individual differences. Results aim to inform learning practitioners whether generic delivery is justified, or whether tailoring content delivery enhances the experience of specific learner groups.

Participation in Higher Education: aspirations, attainment and social background

The recent report of the Milburn Review into Social Mobility highlights the under-representation of young people from lower socio-economic groups in higher education and encourages universities and others to act to remedy this situation as a contribution to greater social mobility. The paper uses data from the Longitudinal Study of Young People in England to examine the relationship between social background, attainment and university participation. The results show that differences in school-level attainment associated with social background are by far the most important explanation for social background differences in university attendance. However, there remains a small proportion of the participation gap that is not accounted for by attainment. It is also the case that early intentions for higher education participation are highly predictive of actual participation. The results suggest that although there may be some scope for universities to act to improve participation by people from less advantaged backgrounds, a much more important focus of action is on improving the school-level achievement of these students.