On the impossibility of fair risk allocation

Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to allocate risk satisfying simultaneously the natural requirements of Core Compatibility, Equal Treatment Property and Strong Monotonicity. To obtain the result we characterize the Shapley value on the class of totally balanced games and also on the class of exact games.

Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity

In finance risk capital allocation raises important questions both from theoretical and practical points of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units? We use an axiomatic approach to examine risk capital allocation, that is we call for fundamental properties of the methods. Our starting point is Csóka and Pintér (2011) who show by generalizing Young (1985)'s axiomatization of the Shapley value that the requirements of Core Compatibility, Equal Treatment Property and Strong Monotonicity are irreconcilable given that risk is quantified by a coherent measure of risk. In this paper we look at these requirements using analytic and simulations tools. We examine allocation methods used in practice and also ones which are theoretically interesting. Our main result is that the problem raised by Csóka and Pintér (2011) is indeed relevant in practical applications, that is it is not only a theoretical problem. We also believe that through the characterizations of the examined methods our paper can serve as a useful guide for practitioners.

Resource allocation in multi-user telecommunication networks

This dissertation discussed resource allocation mechanisms in several network topologies including infrastructure wireless network, non-infrastructure wireless network and wire-cum-wireless network. Different networks may have different resource constrains. Based on actual technologies and implementation models, utility function, game theory and a modern control algorithm have been introduced to balance power, bandwidth and customers' satisfaction in the system. ^ In infrastructure wireless networks, utility function was used in the Third Generation (3G) cellular network and the network was trying to maximize the total utility. In this dissertation, revenue maximization was set as an objective. Compared with the previous work on utility maximization, it is more practical to implement revenue maximization by the cellular network operators. The pricing strategies were studied and the algorithms were given to find the optimal price combination of power and rate to maximize the profit without degrading the Quality of Service (QoS) performance. ^ In non-infrastructure wireless networks, power capacity is limited by the small size of the nodes. In such a network, nodes need to transmit traffic not only for themselves but also for their neighbors, so power management become the most important issue for the network overall performance. Our innovative routing algorithm based on utility function, sets up a flexible framework for different users with different concerns in the same network. This algorithm allows users to make trade offs between multiple resource parameters. Its flexibility makes it a suitable solution for the large scale non-infrastructure network. This dissertation also covers non-cooperation problems. Through combining game theory and utility function, equilibrium points could be found among rational users which can enhance the cooperation in the network. ^ Finally, a wire-cum-wireless network architecture was introduced. This network architecture can support multiple services over multiple networks with smart resource allocation methods. Although a SONET-to-WiMAX case was used for the analysis, the mathematic procedure and resource allocation scheme could be universal solutions for all infrastructure, non-infrastructure and combined networks. ^

A Markov chain location-allocation meta-model for hurricane relief

An emergency is a deviation from a planned course of events that endangers people, properties, or the environment. It can be described as an unexpected event that causes economic damage, destruction, and human suffering. When a disaster happens, Emergency Managers are expected to have a response plan to most likely disaster scenarios. Unlike earthquakes and terrorist attacks, a hurricane response plan can be activated ahead of time, since a hurricane is predicted at least five days before it makes landfall. This research looked into the logistics aspects of the problem, in an attempt to develop a hurricane relief distribution network model. We addressed the problem of how to efficiently and effectively deliver basic relief goods to victims of a hurricane disaster. Specifically, where to preposition State Staging Areas (SSA), which Points of Distributions (PODs) to activate, and the allocation of commodities to each POD. Previous research has addressed several of these issues, but not with the incorporation of the random behavior of the hurricane's intensity and path. This research presents a stochastic meta-model that deals with the location of SSAs and the allocation of commodities. The novelty of the model is that it treats the strength and path of the hurricane as stochastic processes, and models them as Discrete Markov Chains. The demand is also treated as stochastic parameter because it depends on the stochastic behavior of the hurricane. However, for the meta-model, the demand is an input that is determined using Hazards United States (HAZUS), a software developed by the Federal Emergency Management Agency (FEMA) that estimates losses due to hurricanes and floods. A solution heuristic has been developed based on simulated annealing. Since the meta-model is a multi-objective problem, the heuristic is a multi-objective simulated annealing (MOSA), in which the initial solution and the cooling rate were determined via a Design of Experiments. The experiment showed that the initial temperature (T0) is irrelevant, but temperature reduction (δ) must be very gradual. Assessment of the meta-model indicates that the Markov Chains performed as well or better than forecasts made by the National Hurricane Center (NHC). Tests of the MOSA showed that it provides solutions in an efficient manner. Thus, an illustrative example shows that the meta-model is practical.

Experimental determination of effects of water depth on Nymphaea odorata growth, morphology and biomass allocation

Growth, morphology and biomass allocation in response to water depth was studied in white water lily,Nymphaea odorata Aiton. Plants were grown for 13 months in 30, 60 and 90 cm water in outdoor mesocosms in southern Florida. Water lily plant growth was distinctly seasonal with plants at all water levels producing more and larger leaves and more flowers in the warmer months. Plants in 30 cm water produced more but smaller and shorter-lived leaves than plants at 60 cm and 90 cm water levels. Although plants did not differ significantly in total biomass at harvest, plants in deeper water had significantly greater biomass allocated to leaves and roots, while plants in 30 cm water had significantly greater biomass allocated to rhizomes. Although lamina area and petiole length increased significantly with water level, lamina specific weight did not differ among water levels. Petiole specific weight increased significantly with increasing water level, implying a greater cost to tethering the larger laminae in deeper water. Lamina length and width scaled similarly at different water levels and modeled lamina area (LA) accurately (LAmodeled = 0.98LAmeasured + 3.96, R2 = 0.99). Lamina area was highly correlated with lamina weight (LW = 8.43LA − 66.78, R2 = 0.93), so simple linear measurements can predict water lily lamina area and lamina weight. These relationships were used to calculate monthly lamina surface area in the mesocosms. Plants in 30 cm water had lower total photosynthetic surface area than plants in 60 cm and 90 cm water levels throughout, and in the summer plants in 90 cm water showed a great increase in photosynthetic surface area as compared to plants in shallower water. These results support setting Everglades restoration water depth targets for sloughs at depths ≥45 cm and suggest that in the summer optimal growth for white water lilies occurs at depths ≥75 cm.

Tip Allocation: A Compliance Study tor Restaurants

Survey research of the commercial food service industry with regard to tips and tip allocation revealed that 50 percent of restaurateurs require that employees report a minimum amount or percentage of sales and over 50 percent which allocate tips report them as employee income. The authors discuss these results and point out other problems.

Interoperable resource brokering with policy-based provisioning and job allocation

The increasing needs for computational power in areas such as weather simulation, genomics or Internet applications have led to sharing of geographically distributed and heterogeneous resources from commercial data centers and scientific institutions. Research in the areas of utility, grid and cloud computing, together with improvements in network and hardware virtualization has resulted in methods to locate and use resources to rapidly provision virtual environments in a flexible manner, while lowering costs for consumers and providers. ^ However, there is still a lack of methodologies to enable efficient and seamless sharing of resources among institutions. In this work, we concentrate in the problem of executing parallel scientific applications across distributed resources belonging to separate organizations. Our approach can be divided in three main points. First, we define and implement an interoperable grid protocol to distribute job workloads among partners with different middleware and execution resources. Second, we research and implement different policies for virtual resource provisioning and job-to-resource allocation, taking advantage of their cooperation to improve execution cost and performance. Third, we explore the consequences of on-demand provisioning and allocation in the problem of site-selection for the execution of parallel workloads, and propose new strategies to reduce job slowdown and overall cost.^

The market value implications of pension asset allocation

Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm, the pricing multiples on pension liabilities are significantly larger than those on non-pension liabilities. The only pension costs significantly associated with firm value are actual rate of return and interest expense. In my second essay, I investigate the role of accruals in predicting future cash flows, extending the Barth et al. (2001a) model of the accrual process. Using market value of equity as a proxy for cash flows, the results of this study suggest that aggregate accounting amounts mask how the components of earnings affect investors' ability to predict future cash flows. Disaggregating pension earnings components and accruals results in an increase in predictive power. During the 2008-2009 financial crisis, however, investors placed a greater (and negative) weight on the incremental information contained in the individual components of accruals. The inferences are robust to alternative specifications of accruals. Finally, in my third essay I investigate how investors view under-funded plans. On average, investors: view deficits arising from under-funded plans as belonging to the firm; reward firms with fully or over-funded pension plans; and encourage those funds with unfunded pension plans to become funded. Investors also encourage conservative pension asset allocations to mitigate firm risk, and smaller firms are perceived as being better able to handle the risk associated with underfunded plans. During the financial crisis of 2008-2009 underfunded status had a lower negative association with market value. In all three models, there are significant differences in pre- and post- SFAS 158 periods. These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

Allocation of Biomass and Net Primary Productivity of Mangrove Forests along Environmental Gradients in the Florida Coastal Everglades, USA

Vegetation patterns of mangroves in the Florida Coastal Everglades (FCE) result from the interaction of environmental gradients and natural disturbances (i.e., hurricanes), creating an array of distinct riverine and scrub mangroves across the landscape. We investigated how landscape patterns of biomass and total net primary productivity (NPPT), including allocation in above- and below-ground mangrove components, vary inter-annually (2001–2004) across gradients in soil properties and hydroperiod in two distinct FCE basins: Shark River Estuary and Taylor River Slough. We propose that the allocation of belowground biomass and productivity (NPPB) relative to aboveground allocation is greater in regions with P limitation and permanent flooding. Porewater sulfide was significantly higher in Taylor River (1.2 ± 0.3 mM) compared to Shark River (0.1 ± 0.03 mM) indicating the lack of a tidal signature and more permanent flooding in this basin. There was a decrease in soil P density and corresponding increase in soil N:P from the mouth (28) to upstream locations (46–105) in Shark River that was consistent with previous results in this region. Taylor River sites showed the highest P limitation (soil N:P > 60). Average NPPT was double in higher P environments (17.0 ± 1.1 Mg ha−1 yr−1) compared to lower P regions (8.3 ± 0.3 Mg ha−1 yr−1). Root biomass to aboveground wood biomass (BGB:AWB) ratio was 17 times higher in P-limited environments demonstrating the allocation strategies of mangroves under resource limitation. Riverine mangroves allocated most of the NPPT to aboveground (69%) while scrub mangroves showed the highest allocation to belowground (58%). The total production to biomass (P:B) ratios were lower in Shark River sites (0.11 yr−1); whereas in Taylor River sites P:B ratios were higher and more variable (0.13–0.24 yr−1). Our results suggest that the interaction of lower P availability in Taylor River relative to Shark River basin, along with higher sulfide and permanent flooding account for higher allocation of belowground biomass and production, at expenses of aboveground growth and wood biomass. These distinct patterns of carbon partitioning between riverine and scrub mangroves in response to environmental stress support our hypothesis that belowground allocation is a significant contribution to soil carbon storage in forested wetlands across FCE, particularly in P-limited scrub mangroves. Elucidating these biomass strategies will improve analysis of carbon budgets (storage and production) in neotropical mangroves and understanding what conditions lead to net carbon sinks in the tropical coastal zone.

Coevolutionary Feedbacks between Female Mating Interval and Male Allocation to Competing Sperm Traits Can Drive Evolution of Costly Polyandry

Acknowledgments We thank A. B. Duthie, S. Losdat, and M. E. Wolak for useful discussions and comments and the European Research Council for funding. We also thank the two reviewers, whose suggestions greatly improved the manuscript.

Coevolutionary Feedbacks between Female Mating Interval and Male Allocation to Competing Sperm Traits Can Drive Evolution of Costly Polyandry

Acknowledgments We thank A. B. Duthie, S. Losdat, and M. E. Wolak for useful discussions and comments and the European Research Council for funding. We also thank the two reviewers, whose suggestions greatly improved the manuscript.

NYPD tactical patrol force during Crown Heights demonstration

General note: Title and date provided by Bettye Lane.

Allocation universelle et libertarisme

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

An allocation Malmquist index with an application in the China securities industry

This paper proposes an allocation Malmquist index which is inspired by the work on the non-parametric cost Malmquist index. We first show that how to decompose the cost Malmquist index into the input-oriented Malmquist index and the allocation Malmquist index. An application in corporate management of the China securities industry with the panel data set of 40 securities companies during the period 2005–2011 shows the practicality of the propose model.