Filter-based dispersion-managed versatile ultrafast fibre laser

We present the operation of an ultrafast passively mode-locked fibre laser, in which flexible control of the pulse formation mechanism is readily realised by an in-cavity programmable filter the dispersion and bandwidth of which can be software configured. We show that conventional soliton, dispersion- managed (DM) soliton (stretched-pulse) and dissipative soliton mode-locking regimes can be reliably targeted by changing the filter’s dispersion and bandwidth only, while no changes are made to the physical layout of the laser cavity. Numerical simulations are presented which confirm the different nonlinear pulse evolutions inside the laser cavity. The proposed technique holds great potential for achieving a high degree of control over the dynamics and output of ultrafast fibre lasers, in contrast to the traditional method to control the pulse formation mechanism in a DM fibre laser, which involves manual optimisation of the relative length of fibres with opposite-sign dispersion in the cavity. Our versatile ultrafast fibre laser will be attractive for applications requiring different pulse profiles such as in optical signal processing and optical communications.

A DEA-based incentives system for centrally managed multi-unit organisations

In multi-unit organisations such as a bank and its branches or a national body delivering publicly funded health or education services through local operating units, the need arises to incentivize the units to operate efficiently. In such instances, it is generally accepted that units found to be inefficient can be encouraged to make efficiency savings. However, units which are found to be efficient need to be incentivized in a different manner. It has been suggested that efficient units could be incentivized by some reward compatible with the level to which their attainment exceeds that of the best of the rest, normally referred to as “super-efficiency”. A recent approach to this issue (Varmaz et. al. 2013) has used Data Envelopment Analysis (DEA) models to measure the super-efficiency of the whole system of operating units with and without the involvement of each unit in turn in order to provide incentives. We identify shortcomings in this approach and use it as a starting point to develop a new DEA-based system for incentivizing operating units to operate efficiently for the benefit of the aggregate system of units. Data from a small German retail bank is used to illustrate our method.

Reviewing the hedge funds literature I:hedge funds and hedge funds' managerial characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to managerial characteristics (a companion piece covers the return and risk management characteristics of HFs). It classifies, the current HF literature, suggesting which critical problems have been “solved” and which problems have not been yet adequately addressed. It also discusses the effects of past financial regulation and the prospects for the effect of new financial regulation on the HF industry and its performance and risk management practices, and suggests new avenues for research. Furthermore, it highlights the importance of managerial characteristics for HF performance, and the successes and the shortfalls to date in developing more sophisticated HF-related risk management tools.

Reviewing the hedge funds literature II:hedge funds' returns and risk management characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.

Recent advances in hedge funds' performance attribution:performance persistence and fundamental factors

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent innovative studies that examine the size, age, performance fees and other factors to give a 360° view of hedge funds' performance attribution. Small funds, younger funds and funds with high performance fees all outperform the opposite. Long lockup period funds tend to outperform short lockups and domiciled funds tend to outperform offshore funds. This is the first survey of recent innovative and challenging studies into hedge funds' performance attribution, and it should be particularly useful to investors trying to choose between hedge funds.