Time weighted portfolio optimisation

In estimating the inputs into the Modern Portfolio Theory (MPT) portfolio optimisation problem, it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently this approach is unlikely to perform well in any subsequent period as the data is still reflecting market conditions that are no longer valid. The need for some return-weighting scheme that gives greater weight to the most recent data would seem desirable. Therefore, this study uses returns data which are weighted to give greater weight to the most recent observations to see if such a weighting scheme can offer improved ex-ante performance over that based on un-weighted data.

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.

Paradise postponed? The Department of National Heritage and political hegemony

Established following the Conservative Party's election victory in April 1992, the Department of National Heritage has been heralded as an important stage in the growing recognition of the significance of the leisure industry to Britain. By combining, for the first time, responsibility for sport, tourism, the arts, libraries, heritage, broadcasting and film, and by providing them with Cabinet representation, a unique opportunity has, seemingly, been provided to develop and promote the interests of leisure in Britain. This paper takes the view that although this initiative has been broadly welcomed, there are important inconsistencies which require attention. On the one hand the selection of the portfolio appears somewhat eclectic. On the other hand, it is questionable why such a department should have been developed at all. An inspection of the implicit ideology suggests that rather than the traditional use of the state to promote leisure interests, the introduction of the department signifies a shift to the use of leisure to promote the Government's interests. Thus the new Department of National Heritage is to be used as a central feature in the legitimation of the government's political programme. Rather than emphasising its traditional quasi-welfare role, the new place for leisure and heritage is firmly in the market economy. Whilst a leisured society may be the epitome of post-industrialism, therefore, the citizen rights claim for access to leisure activities can only be secured by engaging with the market. This legitimised construction of post- modern citizenship is at the centre of a new political order where choice has been replaced by means and where the classless paradigm championed by the Prime Minister will be a classlessness of constructed omission.

The timing and selection ability of UK property funds: an empirical investigation

This paper examines the selectivity and market timing performance of a sample of 21 UK property funds over the period Q3 1977 through to Q2 1987. The main finding of which that there is evidence of some superior selectivity performance on the part of UK property funds but that there are few funds who are able to successfully time the market.

Is there a place for property in the multi-asset portfolio?

The case for property has typically rested on the application of modern portfolio theory (MPT), in that property has been shown to offer increased diversification benefits within a multi asset portfolio without hurting portfolio returns especially for lower risk portfolios. However this view is based upon the use of historic, usually appraisal based, data for property. Recent research suggests strongly that such data significantly underestimates the risk characteristics of property, because appraisals explicitly or implicitly smooth out much of the real volatility in property returns. This paper examines the portfolio diversification effects of including property in a multi-asset portfolio, using UK appraisal based (smoothed) data and several derived de-smoothed series. Having considered the effects of de-smoothing, we then consider the inclusion of a further low risk asset (cash) in order to investigate further whether property's place in a low risk portfolio is maintained. The conclusions of this study are that the previous supposed benefits of including property have been overstated. Although property may still have a place in a 'balanced' institutional portfolio, the case for property needs to be reassessed and not be based simplistically on the application of MPT.

An objective, niche-based approach to indicator species selection

1. Species-based indices are frequently employed as surrogates for wider biodiversity health and measures of environmental condition. Species selection is crucial in determining an indicators metric value and hence the validity of the interpretation of ecosystem condition and function it provides, yet an objective process to identify appropriate indicator species is frequently lacking. 2. An effective indicator needs to (i) be representative, reflecting the status of wider biodiversity; (ii) be reactive, acting as early-warning systems for detrimental changes in environmental conditions; (iii) respond to change in a predictable way. We present an objective, niche-based approach for species' selection, founded on a coarse categorisation of species' niche space and key resource requirements, which ensures the resultant indicator has these key attributes. 3. We use UK farmland birds as a case study to demonstrate this approach, identifying an optimal indicator set containing 12 species. In contrast to the 19 species included in the farmland bird index (FBI), a key UK biodiversity indicator that contributes to one of the UK Government's headline indicators of sustainability, the niche space occupied by these species fully encompasses that occupied by the wider community of 62 species. 4. We demonstrate that the response of these 12 species to land-use change is a strong correlate to that of the wider farmland bird community. Furthermore, the temporal dynamics of the index based on their population trends closely matches the population dynamics of the wider community. However, in both analyses, the magnitude of the change in our indicator was significantly greater, allowing this indicator to act as an early-warning system. 5. Ecological indicators are embedded in environmental management, sustainable development and biodiversity conservation policy and practice where they act as metrics against which progress towards national, regional and global targets can be measured. Adopting this niche-based approach for objective selection of indicator species will facilitate the development of sensitive and representative indices for a range of taxonomic groups, habitats and spatial scales.

Automatic near real-time selection of flood water levels from high resolution Synthetic Aperture Radar images for assimilation into hydraulic models: a case study

Flood extents caused by fluvial floods in urban and rural areas may be predicted by hydraulic models. Assimilation may be used to correct the model state and improve the estimates of the model parameters or external forcing. One common observation assimilated is the water level at various points along the modelled reach. Distributed water levels may be estimated indirectly along the flood extents in Synthetic Aperture Radar (SAR) images by intersecting the extents with the floodplain topography. It is necessary to select a subset of levels for assimilation because adjacent levels along the flood extent will be strongly correlated. A method for selecting such a subset automatically and in near real-time is described, which would allow the SAR water levels to be used in a forecasting model. The method first selects candidate waterline points in flooded rural areas having low slope. The waterline levels and positions are corrected for the effects of double reflections between the water surface and emergent vegetation at the flood edge. Waterline points are also selected in flooded urban areas away from radar shadow and layover caused by buildings, with levels similar to those in adjacent rural areas. The resulting points are thinned to reduce spatial autocorrelation using a top-down clustering approach. The method was developed using a TerraSAR-X image from a particular case study involving urban and rural flooding. The waterline points extracted proved to be spatially uncorrelated, with levels reasonably similar to those determined manually from aerial photographs, and in good agreement with those of nearby gauges.

Higher education as a portfolio investment: students’ choices about studying, term time employment, leisure, and loans

Recent UK changes in the number of students entering higher education, and in the nature of financial support, highlight the complexity of students’ choices about human capital investments. Today’s students have to focus not on the relatively narrow issue of how much academic effort to invest, but instead on the more complicated issue of how to invest effort in pursuit of ‘employability skills’, and how to signal such acquisitions in the context of a highly competitive graduate jobs market. We propose a framework aimed specifically at students’ investment decisions, which encompasses corner solutions for both borrowing and employment while studying.

Effects of organic and conventional fertiliser treatments on host selection by the aphid parasitoid Diaeretiella rapae

The type and quantity of fertilizer supplied to a crop will differ between organic and conventional farming practices. Altering the type of fertilizer a plant is provided with can influence a plant’s foliar nitrogen levels, as well as the composition and concentration of defence compounds, such as glucosinolates. Many natural enemies of insect herbivores can respond to headspace volatiles emitted by the herbivores’ host plant in response to herbivory. We propose that manipulating fertilizer type may also influence the headspace volatile profiles of plants, and as a result, the tritrophic interactions that occur between plants, their insect pests and those pests’ natural enemies. Here, we investigate a tritrophic system consisting of cabbage plants, Brassica oleracea, a parasitoid, Diaeretiella rapae, and one of its hosts, the specialist cabbage aphid Brevicoryne brassicae. Brassica oleracea plants were provided with either no additional fertilization or one of three types of fertilizer: Nitram (ammonium nitrate), John Innes base or organic chicken manure. We investigated whether these changes would alter the rate of parasitism of aphids on those plants and whether any differences in parasitism could be explained by differences in attractivity of the plants to D. rapae or attack rate of aphids by D. rapae. In free-choice experiments, there were significant differences in the percentage of B. brassicae parasitized by D. rapae between B. oleracea plants grown in different fertilizer treatments. In a series of dual-choice Y-tube olfactometry experiments, D. rapae females discriminated between B. brassicae-infested and undamaged plants, but parasitoids did not discriminate between similarly infested plants grown in different fertilizer treatments. Correspondingly, in attack rate experiments, there were no differences in the rate that D. rapae attacked B. brassicae on B. oleracea plants grown in different fertilizer treatments. These findings are of direct relevance to sustainable and conventional farming practices.

Charles Darwin's liberalism in 'Natural Selection as affecting civilised nations'

This article reassesses 'Natural Selection as affecting Civilised Nations': a thirteen-page section in the first volume of The Descent of Man (1871) often assumed to be problematic for those who wish to emphasize Darwin's liberal credentials. For hismost virulent critics the section connects Darwin to eugenics and the Nazi Holocaust. Even his admirers tend to view it as symptomatic of Darwin succumbing to a more conservative politics. This article demonstrates, through a delineation of the intellectual context and a close reading of key passages, that in fact 'Natural Selection as affecting Civilised Nations' confirmed, rather than abandoned, Darwin's liberalism.

The gender gap in real estate sales: negotiation skill or agent selection?

This study examines differences in net selling price for residential real estate across male and female agents. A sample of 2,020 home sales transactions from Fulton County, Georgia are analyzed in a two-stage least squares, geospatial autoregressive corrected, semi-log hedonic model to test for gender and gender selection effects. Although agent gender seems to play a role in naïve models, its role becomes inconclusive as variables controlling for possible price and time on market expectations of the buyers and sellers are introduced to the models. Clear differences in real estate sales prices, time on market, and agent incomes across genders are unlikely due to differences in negotiation performance between genders or the mix of genders in a two-agent negotiation. The evidence suggests an interesting alternative to agent performance: that buyers and sellers with different reservation price and time on market expectations, such as those selling foreclosure homes, tend to select agents along gender lines.

Effect of triclosan or a phenolic farm disinfectant on the selection of antibiotic-resistant Salmonella enterica

Objective: To determine the effect of growth of five strains of Salmonella enterica and their isogenic multiply antibiotic-resistant (MAR) derivatives with a phenolic farm disinfectant or triclosan (biocides) upon the frequency of mutation to resistance to antibiotics or cyclohexane. Methods: Strains were grown in broth with or without the biocides and then spread on to agar containing ampicillin, ciprofloxacin or tetracycline each at 4x MIC or agar overlaid with cyclohexane. Incubation was for 24 and 48 h and the frequency of mutation to resistance was calculated for strains with and without prior growth with the biocides. MICs were determined and the presence of mutations in the acrR and marR regions was determined by sequencing and the presence of mutations in gyrA by light-cycler analysis, for a selection of the mutants that arose. Results: The mean frequency of mutation to antibiotic or cyclohexane resistance was increased similar to10- to 100-fold by prior growth with the phenolic disinfectant or triclosan. The increases were statistically significant for all antibiotics and cyclohexane following exposure to the phenolic disinfectant (P less than or equal to 0.013), and for ampicillin and cyclohexane following exposure to triclosan (P less than or equal to 0.009). Mutants inhibited by >1 mg/L ciprofloxacin arose only from strains that were MAR. Reduced susceptibility to ciprofloxacin (at 4x MIC for parent strains) alone was associated with mutations in gyrA. MAR mutants did not contain mutations in the acrR or marR region. Conclusions: These data renew fears that the use of biocides may lead to an increased selective pressure towards antibiotic resistance.