International stock portfolio selection and performance measures recognizing higher moments of return distributions

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)) argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets.^ First, the portfolio selection with skewness is determined using: the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously.^ Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction.^ Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets. ^

Theory of foreign portfolio investment

This dissertation examines one category of international capital flows, private portfolio investments (private refers to the source of capital). There is an overall lack of a coherent and consistent definition of foreign portfolio investment. We clarify these definitional issues.^ Two main questions that pertain to private foreign portfolio investments (FPI) are explored. The first problem is the phenomenon of home preference, often referred to as home bias. Related to this are the observed cross-investment flows between countries that seem to contradict the textbook rendition of private FPI. A description of the theories purporting to resolve the home preference puzzle (and the cross-investment one) are summarized and evaluated. Most of this literature considers investors from major developed countries. I consider--as well--whether investors in less developed countries have home preference.^ The dissertation shows that home preference is indeed pervasive and profound across countries, in both developed and emerging markets. For the U.S., I examine home bias in both equity and bond holdings as well. I find that home bias is greater when we look at equity and bond holdings than equity holdings solely.^ In this dissertation a model is developed to explain home bias. This model is original and fills a gap in the literature as there have been no satisfactory models that handle at the same time both home preference and cross-border holdings in the context of information asymmetries. This model reflects what we see in the data and permits us to reach certain results by the use of comparative statics methods. The model suggests, counter-intuitively, that as the rate of return in a country relative to the world rate of return increases, home preference decreases. In the context of our relatively simple model we ascribe this result to the higher variance of the now higher return for home assets. We also find, this time as intended, that as risk aversion increases, investors diversify further so that home preference decreases.^ The second question that the dissertation deals with is the volatility of private foreign portfolio investment. Countries that are recipients of these flows have been wary of such flows because of their perceived volatility. Often the contrast is made with the perceived absence of volatility in foreign direct investment flows. I analyze the validity of these concerns using first net flow data and then gross flow data. The results show that FPI is not, in relative terms, more volatile than other flows in our sample of eight countries (half were developed countries and the rest were emerging markets).^ The implication therefore is that restricting FPI flows may be harmful in the sense that private capital may not be allocated efficiently worldwide to the detriment of capital poor economies. More to the point, any such restrictions would in fact be misguided. ^

A case study of adults in college who developed an experiential learning portfolio

This single-case study provides a description and explanation of selected adult students' perspectives on the impact that the development of an experiential learning portfolio had on their understanding of their professional and personal lives. The conceptual framework that undergirded the study included theoretical and empirical studies on adult learning, experiential learning, and the academic quality of nontraditional degree programs with a portfolio component. The study employed qualitative data collection techniques of individual interviews, document review, field notes, and researcher journal. A purposive sample of 8 adult students who completed portfolios as a component of their undergraduate degrees participated in the study. The 4 male and 4 female students who were interviewed represented 4 ethnic/racial groups and ranged in age from 32 to 55 years. Each student's portfolio was read prior to the interview to frame the semi-structured interview questions in light of written portfolio documents. ^ Students were interviewed twice over a 3-month period. The study lasted 8 months from data collection to final presentation of the findings. The data from interview transcriptions and student portfolios were analyzed, categorized, coded, and sorted into 4 major themes and 2 additional themes and submitted to interpretive analysis. ^ Participants' attitudes, perceptions, and opinions of their learning from the portfolio development experience were presented in the findings, which were illustrated through the use of excerpts from interview responses and individual portfolios. The participants displayed a positive reaction to the learning they acquired from the portfolio development process, regardless of their initial concerns about the challenges of creating a portfolio. Concerns were replaced by a greater recognition and understanding of their previous professional and personal accomplishments and their ability to reach future goals. Other key findings included (a) a better understanding of the role work played in their learning and development, (b) a deeper recognition of the impact of mentors and role models throughout their lives, (c) an increase in writing and organizational competencies, and (d) a sense of self-discovery and personal empowerment. ^

The teacher portfolio as a vehicle for reflective practice

This qualitative case study was limited to an eighteen-hour workshop on “Constructing a Reflective Teacher Portfolio.” The study was conducted at the Nova Center, a research and development school, in the Broward County Public School System. Six participants took part in the study. The study examined the process used by the participants as they constructed their portfolios, explored the reflective aspect of their construction, and investigated the impact that constructing a portfolio had on them and their work. ^ Data was gathered using interviews, observations, and artifacts. Content analysis and the combined frameworks of Van Manen (1977), Smyth (1989), and Pugach and Johnson (1990) were used to examine the data. The data indicates that the portfolios and workshop were not as effective as anticipated in encouraging the participants to examine their work. The following themes emerged as a result of this study: (a) teachers begin constructing their portfolios by gathering material that represents past successes; (b) examining philosophies of education, writing a personal narrative and sharing with colleagues stimulates reflective practice; (c) teachers have difficulty expressing their personal beliefs about education; (d) creating a reflective portfolio is a constructivist process that encourages divergent products; (e) teachers initially do not recognize a strong connection between constructing a portfolio and improving their work; and (f) constructing a portfolio may be an inside-out approach to educational reform. ^ Recommendations were presented to improve the workshop, specifically focusing on teachers examining their practices and learning from students' work. Additional study is needed to evaluate the influence of these changes in the workshop. ^

The impact of bandwidth in structured interviewing and criterion stability in predicting and assessing manager performance across transition and maintenance stages

The current study examined the role of three important components in the use of structured employment interviewing in performance prediction: construct bandwidth, observed communication skill, and the stability/dynamicity of performance criteria over time. A matched sample of 242 hospitality managers was derived from a field data set provided by a large hospitality management organization. Interview data and two years of performance appraisal data were provided. Bandwidth analysis demonstrated only minimal differences in prediction between matched predictor-criterion pairs compared with predictor to overall aggregate ratings (unmatched). The communication skill analysis revealed that this interviewer rated observation significantly predicted a number of the individual performance dimensions as well as overall performance over time. Of the five interview items, the strongest overall predictor of performance was interviewer rated communication skill. The stability/dynamicity analyses demonstrated the performance criteria to be generally stable over the two year period examined, which provides support for the long held notion that performance criteria is stabile over time. However, there were two exceptions. The interview dimension customer service orientation had shifting relationships over time with four of the criteria over the two year period. The performance criteria employee development also demonstrated some instability in its relationships with predictors. Thus, some evidence of dynamicity in performance criteria was revealed. Interestingly, both of the most noteworthy findings in the study involved items that were rated differently than the others in the study. The rated interview item communication skill and the rated performance criteria client satisfaction were ratings that involved a more direct level of observation. Additional analyses also revealed evidence of a general factor of performance. These two themes are more fully covered in the discussion.

A comprehensive portfolio construction under stochastic environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. ^ A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: (a) increase the efficiency of the portfolio optimization process, (b) implement large-scale optimizations, and (c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. ^ The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. ^ The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH). ^

Essays of strategic alliance portfolio configuration—Its performance properties, strategic antecedents and consequential effects on multinational firms' continuing foreign expansion

This dissertation focused on an increasingly prevalent phenomenon in today's global business environment—strategic alliance portfolio. Building on resource-based view, resource dependency theory and real options theory, this dissertation adopted a multi-dimensional perspective to examine the performance implications, strategic antecedents of alliance portfolio configuration, and its strategic effects on firms' decision-making on their continuing foreign expansion. The dissertation consisted of three interrelated essays, each of which dealt with a specific research question. In the first essay I applied a two-dimensional construct that embraces both alliance relations' and alliance partners' attributes to illustrate alliance portfolio configuration. Based on this framework, a longitudinal study was conducted attempting to explore the performance properties of alliance portfolio configuration. The results revealed that alliance diversity and partner diversity have different relative contributions to firms' economic performance. The relationship between alliance portfolio configuration and firm performance was shaped by degree of multinationality in a curvilinear pattern. The second essay attempted to identify the firm level driving forces of alliance portfolio configuration and how these forces interacting with firms' internationalization influence firms' strategic choices on alliance portfolio configuration. The empirical results indicated that past alliance experience, slack resource and firms' brand images are three critical determinants shaping alliance portfolios, but those shaping relationships are conditioned by firms' multinationality. The third essay primarily employed real options theory to build a conceptual framework, revealing how country-, alliance portfolio-, firm-, and industry level factors and their interactions influence firms' strategic decision-making on post-entry continuing expansion in foreign markets. The two empirical studies were resided in global hospitality and travel industries and use panel data to test the relevant theoretical models. Overall, the dissertation advanced and enriched the theoretical domain of alliance portfolio. It particularly shed valuable insights on three fundamental questions in the domain of alliance portfolio research, namely "if and how alliance portfolios contribute to firms' economic performance"; "what determines the appearance of alliance portfolios”; and "how alliance portfolios affect firms' strategic decision-making". This dissertation also extended the international business and strategic management research on service multinationals' foreign expansion and performance.

Manager-Customer Relationship in Food Service Commissary Operations

Documented reports of day-to-day decision-making in food service tend to emphasize technical aspects. However, this view does not represent completely the decision-making process managers go through. The author reports on the effect of the manager-customer relationship in decision-making by managers.

Productivity: A Review For The Hospitality Manager

Hospitality managers have a number of methods available to them to enhance employee productivity. The author discusses five major concepts that can lead to successful results in the hospitality industry.

The Front Office Manager: Key To Hotel Communications

The Front Office Manager: Key to Hotel Communications is a written study by Denney G. Rutherford, Department of Hotel and Restaurant Administration, College of Business and Economics at Washington State University. In it he initially observes, “Since the front office manager is usually viewed as the key to the efficient and orderly operation of a hotel, the author has researched the job and activities of this individual in an attempt to provide data about an area which he says was "intuitively known" but never "empirically explored." “Current literature implies that the activities of the front office are so important to the daily operations of the hotel that it occupies a preeminent position among other departments,” Rutherford says. He also references, Gray and Liguori, who describe the front office as: “the nerve center of the hote1,” echoing an early work by Heldenbrand indicating that it “becomes a sort of listening post for management.” The quotes are cited. The primary stage of the article relies on a seven-page, two-part questionnaire, which was used to collect data regarding the FOM – front office manager - position. Even though the position is considered a crucial one, it seems there is a significant lack of pragmatic data regarding it. Rutherford graphs the studies. Good communication skills are imperative. “Other recent research has suggested that the skills of effective communication are among the most vital a manager at any level can bring to his/her endeavors in the service industries,” Rutherford notes. He provides a detailed – front office communications model – to illustrate the functions. In, Table 4, for example - Office Manager as Facilitator – Rutherford provides Likert Rating Scale values for a comprehensive list of front office tasks. Rutherford informs you that the communicative skills of a front office manager flow across the board, encompassing variables from guest relation exchanges to all the disparate components of employee relations. Not withstanding and compared to technical knowledge, such as computer and fiscal skills, Rutherford suggests: “The most powerful message derived from analysis of the data on the FOM's job is that communication in its various forms is clearly central to the successful mission of the front office.”

Drugs In the Workplace: A Manager's Guide

Drugs in the workplace is a growing problem that threatens a valuable human resource - the employee. Managers in the hospitality industry can take a proactive stance in meeting the problem head on. The authors discuss what managers can do.

Competencies of a Recreational Food Service Manager

Recreational food service is a newly-identified industry segment. It represents over 3 percent of the total industry and has its own specific competency requirements, in addition to core food service management competency needs. The education, training, and development needs for professionals in this industry segment have not as yet been ascertained. This article is an effort to establish a benchmark for future research in this area.

Manager's Perceptions of Alcohol Server Staffing and Training Methods

Over-consumption of alcoholic beverages is a concern of managers of hotels and motels with a club/lounge, restaurant, and tavern. The authors surveyed members of two industry associations in Oklahoma to ascertain alcohol server training methods and managers' perception of the value of such programs.

Age Differences among Female Sex Workers in the Philippines: Sexual Risk Negotiations and Perceived Manager Advice

Consistent condom use among high risk groups such as female sex workers (FSWs) remains low. Adolescent female sex workers are especially at higher risk for HIV/STI infections. However, few published studies have compared the sexual risk negotiations among adolescent, emerging adult, and older age groups or the extent a manager’s advice about condom use is associated with an FSW’s age. Of 1,388 female bar/spa workers surveyed in the southern Philippines, 791 FSW who traded sex in the past 6 months were included in multivariable logistic regression models. The oldest FSWs (aged 36–48) compared to adolescent FSWs (aged 14–17) were 3.3 times more likely to negotiate condoms when clients refused condom use. However, adolescent FSWs received more advice from their managers to convince clients to use condoms or else to refuse sex, compared to older FSWs. Both adolescent and the oldest FSWs had elevated sexually transmitted infections (STIs) and inconsistent condom use compared to other groups. Having a condom rule at the establishment was positively associated with condom negotiation. Factors such as age, the advice managers give to their workers, and the influence of a condom use rule at the establishment need to be considered when delivering HIV/STI prevention interventions.

Manager's Perspectives on the Provision of Healthy Meals in Resort Hotels

This research aimed to understand hotel managers’ attitudes toward the provision of healthy meals. The study deployed a mailing survey to assess the managers’ perceptions. A closed-ended questionnaire was developed evaluating the role of healthy food choices in Mediterranean resort hotels. The findings showed that (1) atmosphere in the restaurant, (2) appealing display of food, and (3) eating habits and lifestyle were more important than personal health when selecting a meal. In addition, this study suggested that the managers were not ready to promote healthy eating because their customers would have been critical of this new service concept