Real estate portfolio construction and estimation risk

The use of MPT in the construction real estate portfolios has two serious limitations when used in an ex-ante framework: (1) the intertemporal instability of the portfolio weights and (2) the sharp deterioration in performance of the optimal portfolios outside the sample period used to estimate asset mean returns. Both problems can be traced to wide fluctuations in sample means Jorion (1985). Thus the use of a procedure that ignores the estimation risk due to the uncertain in mean returns is likely to produce sub-optimal results in subsequent periods. This suggests that the consideration of the issue of estimation risk is crucial in the use of MPT in developing a successful real estate portfolio strategy. Therefore, following Eun & Resnick (1988), this study extends previous ex-ante based studies by evaluating optimal portfolio allocations in subsequent test periods by using methods that have been proposed to reduce the effect of measurement error on optimal portfolio allocations.

Portfolio size and the reduction of dispersion: the case of the United Kingdom commercial real estate market

This paper investigates the potential benefits and limitations of equal and value-weighted diversification using as the example the UK institutional property market. To achieve this it uses the largest sample (392) of actual property returns that is currently available, over the period 1981 to 1996. To evaluate these issues two approaches are adopted; first, an analysis of the correlations within the sectors and regions and secondly simulations of property portfolios of increasing size constructed both naively and with value-weighting. Using these methods it is shown that the extent of possible risk reduction is limited because of the high positive correlations between assets in any portfolio, even when naively diversified. It is also shown that portfolios exhibit high levels of variability around the average risk, suggesting that previous work seriously understates the number of properties needed to achieve a satisfactory level of diversification. The results have implications for the development and maintenance of a property portfolio because they indicate that the achievable level of risk reduction depends upon the availability of assets, the weighting system used and the investor’s risk tolerance.

Risk reduction and real estate portfolio size

Despite a number of papers that discuss the advantages of increased size on risk levels in real estate portfolios there is remarkably little empirical evidence based on actual portfolios. The objective of this paper is to remedy this deficiency by examining the portfolio risk of a large sample of actual property data over the period 1981 to 1996. The results show that all that can be said is that portfolios of properties of a large size, on the average, tend to have lower risks than small sized portfolios. More importantly portfolios of a few properties can have very high or very low risk.

Access to the countryside of England and Wales: popular leisure; commodified culture

Risk and uncertainty are, to say the least, poorly considered by most individuals involved in real estate analysis - in both development and investment appraisal. Surveyors continue to express 'uncertainty' about the value (risk) of using relatively objective methods of analysis to account for these factors. These methods attempt to identify the risk elements more explicitly. Conventionally this is done by deriving probability distributions for the uncontrolled variables in the system. A suggested 'new' way of "being able to express our uncertainty or slight vagueness about some of the qualitative judgements and not From its modern origins, associated with the urbanising effect of industrialisation, walking has remained a popular form of outdoor recreation. It has, furthermore, remained an important site of class struggle, with the 'landless' seeking to establish their moral 'citizen' right to roam over open country in contradistinction to the 'landed', who have successfully limited this right to legally-defined public rights of way. In the face of declining farm incomes, however, farmers and landowners have, apparently, modified their attitudes towards public access, but only in return for compensation and management payments under grant schemes such as Countryside Stewardship and the Countryside Premium Scheme. With the Ministry of Agriculture, Fisheries and Food now seeking to extend paid access arrangements to other grant schemes, as part of its response to the European Union's Agri-Environment Regulations, access 'rights' are assuming an increasingly commodified form, thereby questioning, if not undermining, the former citizen claims. For rather than being a benefit of citizenship, the existence of limited, often poorly maintained and inadequately signposted, public rights of way has tied inextricably the extension of legally-enforceable access to the needs of the landowners and farmers. At a time of falling prosperity in agriculture, therefore, they have now exercised their discretion by annexing the populism of consumer culture to reproduce the bourgeois liberal values of the market as a principal determinant of the extension of citizen rights of access to the countryside.

The future returns for property required by UK pension funds: the BHS data

Previous studies of the place of Property in the multi-asset portfolio have generally relied on historical data, and have been concerned with the supposed risk reduction effects that Property would have on such portfolios. In this paper a different approach has been taken. Not only are expectations data used, but we have also concentrated upon the required return that Property would have to offer to achieve a holding of 15% in typical UK pension fund portfolios. Using two benchmark portfolios for pension funds, we have shown that Property's required return is less than that expected, and therefore it could justify a 15% holding.

The acrylamide problem: a plant and agronomic science issue.

Acrylamide, a chemical that is probably carcinogenic in humans and has neurological and reproductive effects, forms from free asparagine and reducing sugars during high-temperature cooking and processing of common foods. Potato and cereal products are major contributors to dietary exposure to acrylamide and while the food industry reacted rapidly to the discovery of acrylamide in some of the most popular foods, the issue remains a difficult one for many sectors. Efforts to reduce acrylamide formation would be greatly facilitated by the development of crop varieties with lower concentrations of free asparagine and/or reducing sugars, and of best agronomic practice to ensure that concentrations are kept as low as possible. This review describes how acrylamide is formed, the factors affecting free asparagine and sugar concentrations in crop plants, and the sometimes complex relationship between precursor concentration and acrylamide-forming potential. It covers some of the strategies being used to reduce free asparagine and sugar concentrations through genetic modification and other genetic techniques, such as the identification of quantitative trait loci. The link between acrylamide formation, flavour, and colour is discussed, as well as the difficulty of balancing the unknown risk of exposure to acrylamide in the levels that are present in foods with the well-established health benefits of some of the foods concerned. Key words: Amino acids, asparagine, cereals, crop quality, food safety, Maillard reaction, potato, rye, sugars, wheat.

Role of mammalian lignans in the prevention and treatment of prostate cancer

Prostate cancer is poised to become the most prevalent male cancer in the Western world. In Japan and China, incidence rates are almost 10-fold less those reported in the United States and the European Union. Epidemiological data suggest that environmental factors such as diet can significantly influence the incidence and mortality of prostate cancer. The differences in lifestyle between East and West are one of the major risk factors for developing prostate cancer. Traditional Japanese and Chinese diets are rich in foods containing phytoestrogenic compounds, whereas the Western diet is a poor source of these phytochemicals. The lignan phytoestrogens are the most widely occurring of these compounds. In vitro and in vivo reports in the literature indicate that lignans have the capacity to affect the pathogenesis of prostate cancer. However, their precise mechanism of action in prostate carcinogenesis remains unclear. This article outlines the possible role of lignans in prostate cancer by reviewing the current in vitro and in vivo evidence for their anticancer activities. The intriguing concept that lignans may play a role in the prevention and treatment of prostate cancer over the lifetime of an individual is discussed.

Forecasting extinction risk of ectotherms under climate warming: an evolutionary perspective

1. It has been postulated that climate warming may pose the greatest threat species in the tropics, where ectotherms have evolved more thermal specialist physiologies. Although species could rapidly respond to environmental change through adaptation, little is known about the potential for thermal adaptation, especially in tropical species. 2. In the light of the limited empirical evidence available and predictions from mutation-selection theory, we might expect tropical ectotherms to have limited genetic variance to enable adaptation. However, as a consequence of thermodynamic constraints, we might expect this disadvantage to be at least partially offset by a fitness advantage, that is, the ‘hotter-is-better’ hypothesis. 3. Using an established quantitative genetics model and metabolic scaling relationships, we integrate the consequences of the opposing forces of thermal specialization and thermodynamic constraints on adaptive potential by evaluating extinction risk under climate warming. We conclude that the potential advantage of a higher maximal development rate can in theory more than offset the potential disadvantage of lower genetic variance associated with a thermal specialist strategy. 4. Quantitative estimates of extinction risk are fundamentally very sensitive to estimates of generation time and genetic variance. However, our qualitative conclusion that the relative risk of extinction is likely to be lower for tropical species than for temperate species is robust to assumptions regarding the effects of effective population size, mutation rate and birth rate per capita. 5. With a view to improving ecological forecasts, we use this modelling framework to review the sensitivity of our predictions to the model’s underpinning theoretical assumptions and the empirical basis of macroecological patterns that suggest thermal specialization and fitness increase towards the tropics. We conclude by suggesting priority areas for further empirical research.

Lyme borreliosis in the UK: ecology and risks to domestic animals and man

The different associations of Borrelia burgdorferi sensu lato spirochaetes with their natural reservoir hosts and tick vectors are slowly being unravelled. This review discusses the interactions of different genospecies of Lyme borreliosis spirochaetes and their differing tick vectors, vertebrate reservoirs and 'accidental hosts'. Particular reference is made to spirochaete-host interactions and occurrence of pathological consequences. Attention is focused on the unique prevalence of enzoonotic cycles in operation within the UK. Risk factors for acquiring Lyme borreliosis in man are discussed. (C) 2001 Lippincott Williams & Wilkins.

Ruthenium mediated C–H activation of benzaldehyde thiosemicarbazones: Synthesis, structure and, spectral and electrochemical properties of the resulting complexes

Reaction of five 4R-benzaldehyde thiosemicarbazones (R = OCH3, CH3, H, Cl and NO2) with [ Ru(PPh3)(3)(-CO)(H) Cl] in refluxing methanol in the presence of a base (NEt3) affords complexes of two different types, viz. 1-R and 2-R. In the 1-R complexes the thiosemicarbazone is coordinated to ruthenium as a dianionic tridentate C,N,S-donor via C-H bond activation. Two triphenylphosphines and a carbonyl are also coordinated to ruthenium. The tricoordinated thiosemicarbazone ligand is sharing the same equatorial plane with ruthenium and the carbonyl, and the PPh3 ligands are mutually trans. In the 2-R complexes the thiosemicarbazone ligand is coordinated to ruthenium as a monoanionic bidentate N, S-donor forming a four-membered chelate ring with a bite angle of 63.91(11)degrees. Two triphenylphosphines, a carbonyl and a hydride are also coordinated to ruthenium. The coordinated thiosemicarbazone ligand, carbonyl and hydride constitute one equatorial plane with the metal at the center, where the carbonyl is trans to the coordinated nitrogen of the thiosemicarbazone and the hydride is trans to the sulfur. The two triphenylphosphines are trans. Structures of the 1-CH3 and 2-CH3 complexes have been determined by X-ray crystallography. All the complexes show intense transitions in the visible region, which are assigned, based on DFT calculations, to transitions within orbitals of the thiosemicarbazone ligand. Cyclic voltammetry on the complexes shows two oxidations of the coordinated thiosemicarbazone on the positive side of SCE and a reduction of the same ligand on the negative side.

Credit risk in covered bonds

Covered bonds are a promising alternative for prime mortgage securitization. In this paper, we explore risk premia in the covered bond market and particularly investigate whether and how credit risk is priced. In extant literature, yield spreads between high-quality covered bonds and government bonds are often interpreted as pure liquidity premia. In contrast, we show that although liquidity is important, it is not the exclusive risk factor. Using a hand-collected data set of cover pool information, we find that the credit quality of the cover assets is an important determinant of covered bond yield spreads. This effect is particularly strong in times of financial turmoil and has a significant influence on the issuer's refinancing cost.

Can adherence to dietary guidelines address excess caloric intake? An empirical assessment for the UK

The facilitation of healthier dietary choices by consumers is a key element of government strategies to combat the rising incidence of obesity in developed and developing countries. Public health campaigns to promote healthier eating often target compliance with recommended dietary guidelines for consumption of individual nutrients such as fats and added sugars. This paper examines the association between improved compliance with dietary guidelines for individual nutrients and excess calorie intake, the most proximate determinant of obesity risk. We apply quantile regressions and counterfactual decompositions to cross-sectional data from the National Diet and Nutrition Survey (2000-01) to assess how excess calorie consumption patterns in the UK are likely to change with improved compliance with dietary guidelines. We find that the effects of compliance vary significantly across different quantiles of calorie consumption. Our results show that compliance with dietary guidelines for individual nutrients, even if successfully achieved, is likely to be associated with only modest shifts in excess calorie consumption patterns. Consequently, public health campaigns that target compliance with dietary guidelines for specific nutrients in isolation are unlikely to have a significant effect on the obesity risk faced by the population.

Neural processing of reward and punishment in young people at increased familial risk of depression

Background Abnormalities in the neural representation of rewarding and aversive stimuli have been well-described in patients with acute depression, and we previously found abnormal neural responses to rewarding and aversive sight and taste stimuli in recovered depressed patients. The aim of the present study was to determine whether similar abnormalities might be present in young people at increased familial risk of depression but with no personal history of mood disorder. Methods We therefore used functional magnetic resonance imaging to examine the neural responses to pleasant and aversive sights and tastes in 25 young people (16–21 years of age) with a biological parent with depression and 25 age- and gender-matched control subjects. Results We found that, relative to the control subjects, participants with a parental history of depression showed diminished responses in the orbitofrontal cortex to rewarding stimuli, whereas activations to aversive stimuli were increased in the lateral orbitofrontal cortex and insula. In anterior cingulate cortex the at-risk group showed blunted neural responses to both rewarding and aversive stimuli. Conclusions Our findings suggest that young people at increased familial risk of depression have altered neural representation of reward and punishment, particularly in cortical regions linked to the use of positive and negative feedback to guide adaptive behavior.

The role of anomalous SST and surface fluxes over the Southeastern North Atlantic in the explosive development of windstorm Xynthia

In late February 2010 the extraordinary windstorm Xynthia crossed over Southwestern and Central Europe and caused severe damage, affecting particularly the Spanish and French Atlantic coasts. The storm was embedded in uncommon large-scale atmospheric and boundary conditions prior to and during its development, namely enhanced sea surface temperatures (SST) within the low-level entrainment zone of air masses, an unusual southerly position of the polar jet stream, and a remarkable split jet structure in the upper troposphere. To analyse the processes that led to the rapid intensification of this exceptional storm originating close to the subtropics (30°N), the sensitivity of the cyclone intensification to latent heat release is determined using the regional climate model COSMO-CLM forced with ERA-Interim data. A control simulation with observed SST shows that moist and warm air masses originating from the subtropical North Atlantic were involved in the cyclogenesis process and led to the formation of a vertical tower with high values of potential vorticity (PV). Sensitivity studies with reduced SST or increased laminar boundary roughness for heat led to reduced surface latent heat fluxes. This induced both a weaker and partly retarded development of the cyclone and a weakening of the PV-tower together with reduced diabatic heating rates, particularly at lower and mid levels. We infer that diabatic processes played a crucial role during the phase of rapid deepening of Xynthia and thus to its intensity over the Southeastern North Atlantic. We suggest that windstorms like Xynthia may occur more frequently under future climate conditions due to the warming SSTs and potentially enhanced latent heat release, thus increasing the windstorm risk for Southwestern Europe.

Accounting for risk aversion in repeated prisoners’ dilemma games: an experimental test

We apply experimental methods to study the role of risk aversion on players’ behavior in repeated prisoners’ dilemma games. Faced with quantitatively equal discount factors, the most risk-averse players will choose Nash strategies more often in the presence of uncertainty than when future profits are discounted in a deterministic way. Overall, we find that risk aversion relates negatively with the frequency of collusive outcomes.