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.

Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal

This comment corrects the errors in the estimation process that appear in Martins (2001). The first error is in the parametric probit estimation, as the previously presented results do not maximize the log-likelihood function. In the global maximum more variables become significant. As for the semiparametric estimation method, the kernel function used in Martins (2001) can take on both positive and negative values, which implies that the participation probability estimates may be outside the interval [0,1]. We have solved the problem by applying local smoothing in the kernel estimation, as suggested by Klein and Spady (1993).

I want you! An experiment studying the selection effect when assigning distributive power.

We study whether selection affects motivation. In our experiment subjects first answer a personality questionnaire. They then play a 3-person game. One of the three players decides between an outside option assigning him a positive amount, but leaving the two others empty-handed and allowing one of the other two players to distribute a pie. Treatments differ in the procedure by which distributive power is assigned: to a randomly determined or to a knowingly selected partner. Before making her decision the selecting player could consult the personality questionnaire of the other two players. Results show that knowingly selected players keep less for themselves than randomly selected ones and reward the selecting player more generously.

Pressure groups and experts in environmental regulation

We study a problem of adverse selection in the context of environmental regulation, where the firm may suffer from a certain degree of ignorance about its own type. In a framework like the construction of a certain infrastructure project, the presence of ignorance about its impact on the environment, can play an important role in the determination of the regulatory policy. First, an optimal contract is constructed for any exogenous level of ignorance. Second, the presence of potentially informed third-parties is studied from the perspective of the regulator, which allows us to analyze the impact on the efficiency of the contract, of the presence of environmentalists and of experts. Then, we obtain some insights on how the problem differs when the degree of ignorance is a choice variable for the firm. We finally use our results to derive policy implications concerning the existing envoronmental regulation, and the potential role of interested parties as information providers.

Self-selection consistent functions

This paper studies collective choice rules whose outcomes consist of a collection of simultaneous decisions, each one of which is the only concern of some group of individuals in society. The need for such rules arises in different contexts, including the establishment of jurisdictions, the location of multiple public facilities, or the election of representative committees. We define a notion of allocation consistency requiring that each partial aspect of the global decision taken by society as a whole should be ratified by the group of agents who are directly concerned with this particular aspect. We investigate the possibility of designing envy-free allocation consistent rules, we also explore whether such rules may also respect the Condorcet criterion.

RECERCAT. El Dipòsit de la Recerca de Catalunya

Seguint la tendència mundial de crear dipòsits institucionals d'accés lliure per recopilar i preservar els documents d'investigació generats en les institucions acadèmiques, el CESCA i el CBUC han posat en funcionament RECERCAT. RECERCAT és un dipòsit cooperatiu de documents digitals que inclou la literatura de recerca de les universitats i dels centres d'investigació de Catalunya, com ara articles encara no publicats (preprints), comunicacions a congressos, informes de recerca, working papers, projectes de final de carrera, memòries tècniques, etc. La comunicació pretén explicar els processos que s'han seguit per posar en marxa aquest projecte: des de la selecció i adaptació del programari amb el que funciona (DSpace), fins als treballs duts a terme per establir les polítiques d'accés, d’introducció de dades, de metadades Dublin Core necessàries per descriure els documents, el tipus de llicència de les Creative Commons sota la qual es troben subjectes els documents, etc.

The Adolpho Lutz collection of Tabanidae: (Diptera): I. The described genera and species, condition of the collection, and selection of lectotypes

A study of the Adolpho Lutz Collection of Tabanidae at the Instituto Oswaldo Cruz and of additional Lutz material at the Instituto Butantan in São Paulo is reported. Of the ninety-four species of Tabanidae validly described by Lutz, type material of eighty-four was recognized, either holotypes, allotypes or syntypes. Lectotypes were selected from among syntype series or remaining specimens and all type material was labelled. Of the ten species of which no type material could be found, neotypes were designated in the case of two species, Erephosis nigricans and Erephosis pseudo-aurimaculata. Types of three species, Chrysops ecuadoriensis, Dichelacera salvadorensis and Esenbeckia nigricorpus are believed to have been in Hamburg and destroyed during the last war. Types of two species, Esenbeckia biscutellata and E. dubia, and additional type material of several others are believed to have been in Montevideo. A request for information about them remains unanswered. Types of the remaining three species, Dichelacera intermedia, Dichelacera laceriascia and Esenbeckia distinguenda could not be found, and it is believed that at least the type of the last species was accidentally destroyed. Three specific of subspecific names proposed by Lutz but palaced by others in synonymy have been revalidated, Acanthocera intermedia, Erephosis brevistria and Esenbeckia fenestrata. Generic placement of two names has been changed, Esenbeckia arcuata ricardoae to Proboscoides, and Selasoma giganteum to Stibasoma. Seven specific names proposed by Lutz appear to be synonyms of earlier names, as follows: Bombylopsis juxtaleonina Lutz and Castro, 1936 = B. leonina Lutz, 1909. Bombylopsis pseudoanalis Lutz, 1909 = B. erythronotata (Bigot, 1892). Esenbeckia fuscipennis var. flavescens Lutz, 1909 = Esenbeckia fuscipennis Wied., 1828. Fidena chrysopyga Lutz and Castro, 1936 = F. atra Lutz and Castro, 1936. Laphriomyia longipalpis Lutz and Castro, 1937 = L. mirabilis Lutz, 1911. Stibasoma semiflavum Lutz, 1915 = St. bicolor Bigot, 1892. Tabanus hesperus Lutz, 1912 = Chlorotabanus (Cryptolylus) innotescens (Walker, 1854). Four Lutz names appear to antedate names proposed by others, viz.: Diachlorus angustifrons Kröber, 1930 and D. ochraceus Kröb., 1928 not Macquart, 1850 = Diachlorus fuscistigma Lutz, 1913. Psalidia fairchildi Barretto, 1950 = dicladocera conspicua Lutz and Neiva, 1914. Fidena pseudo-fulvithorax Kröb., 1931 = Erephopsis flavicrinis Lutz, 1909. Esenbeckia lemniscata Enderlein, 1925 = Esenbeckia clari Lutz, 1909. Some comments on Lutz' system of classification are given together with notes on the genotypes and included species of his genera as revaled by his collection and notes.

The Catalan countries project (1931-1939)

In the evolution of Catalan nationalism, as much politician as cultural, the period of II Spanish Republic (1931-1939) was essential. The obtaining of the Statute of Autonomy (1931-1932) supposed the beginning of a stage of expansion in multiple aspects. One of them were the contacts with the Catalanists nuclei of the rest of the cultural space of Catalan language in which, at that time, it would begin to call Catalan Countries (Balearic Islands, Valencian Country, Andorra, Rosselló, to l'Alguer). On Those Collaborations between cultural organizations, political and particular parties Catalonia always will be the model to follow. The Increasing connections will be visualized on press, as well as on cultural celebrations, policy of parties and Constituent Courts. This evolution will be cut by the Franco victory in the Civil War in 1939.

Entry and market selection of firms: a laboratory study

We study competition in experimental markets in which two incumbents face entry by three other firms. Our treatments vary with respect to three factors: sequential vs. block or simultaneous entry, the cost functions of entrants and the amount of time during which incumbents are protected from entry. Before entry incumbents are able to collude in all cases. When all firms' costs are the same entry always leads consumer surplus and profits to their equilibrium levels. When entrants are more efficient than incumbents, entry leads consumer surplus to equilibrium. However, total profits remain below equilibrium, due to the fact that the inefficient incumbents produce too much and efficient entrants produce too little. Market behavior is satisfactory from the consumers' standpoint, but does not yield adequate signals to other potential entrants. These results are not affected by whether entry is simultaneous or sequential. The length of the incumbency phase does have some subtle effects.

Trypanosoma cruzi: strain selection by diferent schedules of mouse passage of an initially mixed infection

From an initial double infection in mice, established by simultaneous and equivalent inocula of bloodstream forms of strains Y and F of Trypanosoma cruzi, two lines were derived by subinoculations: one (W) passaged every week, the other (M) every month. Through biological and biochemical methods only the Y strain was identified at the end of the 10th and 16th passages of line W and only the F strain at the 2nd and 4th passages of line M. The results illustrate strain selection through laboratory manipulation of initially mixed populations of T. cruzi.

Indicadors de pressió ambiental a les platges de Menorca: prova pilot (IPAPM'pp)

L’augment del turisme experimentat des de principis dels anys 70 a l’illa de Menorca (Illes Balears, Espanya) ha provocat un impacte sobre les seves platges, el seu principal atractiu turístic. Molts d’aquests impactes s’incrementen durant la temporada alta, compresa entre els mesos de maig a octubre. L’objectiu principal d’aquest projecte és l’elaboració d’un sistema d’indicadors de pressió ambiental útils per a l’anàlisi de les platges. La zona objecte d’estudi de la prova-pilot, correspon a les platges del sud-oest de Menorca, aquestes cales són les que actualment es troben sotmeses a una major pressió. Es tracta de catorze platges tipificades en tres categories (A, B, C) segons les característiques del tipus d’espai on es troben situades. Són les platges de: Cala Degollador, Cala Blanca, Cala’n Bosch, Son Xoriguer, Son Saura-Es Banyul, Son Saura-Bellavista, Es Talaier, Cala Turqueta, Cala Macarelleta, Cala Macarella, Cala Galdana, Cala Mitjana, Cala Trebalúger i Cala Escorxada. Partint d’un treball bibliogràfic, s’ha realitzat una selecció de mig centenar d’indicadors potencials dels quals catorze han format part dels IPAPM’pp, mitjançant l’elaboració d’una anàlisi multicriteri. Per a cada un dels IPAPM’pp s’ha desenvolupat una metodologia amb les corresponents fitxes individuals descriptives per al seu seguiment temporal. En aquest primer estudi, l’indicador que presenta un nombre de valors no acceptables en una major proporció de platges, és l’indicador 3. Índex de valoració de les mesures de conservació del sistema natural, seguit de l’indicador 6. Superfície subsistema sorra per usuari. El 2006, les platges de tipologia A, presenten un major percentatge positiu de les variables dels indicadors. Les platges de tipologia B i C presenten un percentatge menor d’acceptabilitat dels valors dels indicadors.

Orientation of the snail Biomphalaria straminea (Dunker, 1848) in response to light in a situation of selection

The behavioral response of Biomphalaria straminea to light was evaluted in terms of location of the snail in a Y-shaped aquarium in a situation of selection and of the rate (cm/hour) and direction of locomotion under homogeneous 9vertical) or differential (horizontal) lighting upon only one arm of the aquarium. The light source consisted of daylight fluorescent lamps with a spectrum close to that of natural light, with illumination varying from 28 to 350 lux. Analysis of the data showed that all animals, whether in groups or isolated, were attracted to light, although the time needed to approach the light source was 50% shorter for the former than for the latter. The rate of locomotion of B. straminea was 35% higher than observed in B. glabrata and 51% higher than that observed in B. tenagophila studied under similar conditions. The results are discussed in terms of social factors and geographical distribution of the three species.