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.

Clean Development Mechanism and Sustainable Development: a discussion on the link between the CDM and Sustainable Development, an analysis of the current status of the CDM portfolio, and an multicriteria evaluation of the effects of additional incentives in order to foster broad local Sustainable Development dividends from the CDM projects

vegeu resum en el fitxer adjunt a l'inici del treball de recerca

The biophysical perspective of a middle income economy: material flows in Mexico

We analyse natural resource use dynamics in the Mexican economy during the last three decades. Despite low and uneven economic growth, the extraction and use of materials in the Mexican economy has continuously increased during the last 30 years. In this period, population growth rather than economic growth was the main driving force for biophysical growth. In addition, fundamental changes have taken place in the primary sectors, in manufacturing, and in household consumption and these are reflected in an increasing emphasis on the use of fossil fuels and construction materials. Mexico’s economy has been strongly influenced by international trade since the country commenced competing in international markets. In the 1970s, Mexico mainly exported primary resources. This pattern has changed and manufactured goods now have a much greater importance due to a boom in assembling industries. In contrast with other Latin American countries, Mexico has achieved a diversification of production, moving towards technology-intensive products and a better mix in its export portfolio. However, crude oil exports still represent the single most important export good. Mexico’s material consumption is still well below the OECD average but is growing fast and the current resource use patterns may well present serious social and environmental problems to the medium and long term sustainability of Mexico’s economy and community. Information on natural resource use and resource productivity could provide valuable guidance for economic policy planning in Mexico.

Disentangling the effects of key innovations on the diversification of Bromelioideae (bromeliaceae).

The evolution of key innovations, novel traits that promote diversification, is often seen as major driver for the unequal distribution of species richness within the tree of life. In this study, we aim to determine the factors underlying the extraordinary radiation of the subfamily Bromelioideae, one of the most diverse clades among the neotropical plant family Bromeliaceae. Based on an extended molecular phylogenetic data set, we examine the effect of two putative key innovations, that is, the Crassulacean acid metabolism (CAM) and the water-impounding tank, on speciation and extinction rates. To this aim, we develop a novel Bayesian implementation of the phylogenetic comparative method, binary state speciation and extinction, which enables hypotheses testing by Bayes factors and accommodates the uncertainty on model selection by Bayesian model averaging. Both CAM and tank habit were found to correlate with increased net diversification, thus fulfilling the criteria for key innovations. Our analyses further revealed that CAM photosynthesis is correlated with a twofold increase in speciation rate, whereas the evolution of the tank had primarily an effect on extinction rates that were found five times lower in tank-forming lineages compared to tank-less clades. These differences are discussed in the light of biogeography, ecology, and past climate change.

The regional electricity generation mix in Scotland: A portfolio selection approach

Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be “inefficient” in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost.

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

The complex history of the olive tree: from Late Quaternary diversification of Mediterranean lineages to primary domestication in the northern Levant.

The location and timing of domestication of the olive tree, a key crop in Early Mediterranean societies, remain hotly debated. Here, we unravel the history of wild olives (oleasters), and then infer the primary origins of the domesticated olive. Phylogeography and Bayesian molecular dating analyses based on plastid genome profiling of 1263 oleasters and 534 cultivated genotypes reveal three main lineages of pre-Quaternary origin. Regional hotspots of plastid diversity, species distribution modelling and macrofossils support the existence of three long-term refugia; namely the Near East (including Cyprus), the Aegean area and the Strait of Gibraltar. These ancestral wild gene pools have provided the essential foundations for cultivated olive breeding. Comparison of the geographical pattern of plastid diversity between wild and cultivated olives indicates the cradle of first domestication in the northern Levant followed by dispersals across the Mediterranean basin in parallel with the expansion of civilizations and human exchanges in this part of the world.

Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

'Next generation' biogeography: towards understanding the drivers of species diversification and persistence

The drivers of species diversification and persistence are of great interest to current biogeography, especially in those global biodiversity hotspots' harbouring most of Earth's animal and plant life. Classical multispecies biogeographical work has yielded fascinating insights into broad-scale patterns of diversification, and DNA-based intraspecific phylogeographical studies have started to complement this picture at much finer temporal and spatial scales. The advent of novel next-generation sequencing (NGS) technologies provides the opportunity to greatly scale up the numbers of individuals, populations and species sampled, potentially merging intraspecific and interspecific approaches to biogeographical inference. Here, we outline these prospects and issues by using the example of an undisputed hotspot, the Cape of southern Africa. We outline the current state of knowledge on the biogeography of species diversification within the Cape, review the literature for phylogeographical evidence of its likely drivers and mechanisms, and suggest possible ways forward based on NGS approaches. We demonstrate the potential of these methods and current bioinformatic issues with the help of restriction-site-associated DNA (RAD) sequencing data for three highly divergent species of the Restionaceae, an important plant radiation in the Cape. A thorough understanding of the mechanisms that facilitate species diversification and persistence in spatially structured, species-rich environments will require the adoption of novel genomic and bioinformatic tools in biogeographical studies.

Acute Hospital Portfolio Year 3 Regional Summary (PDF 1153 KB)

February 2006 - report providing an overview of the performance of the Northern Ireland Trusts

Acute Hospital Portfolio - Catering Services in Northern Ireland Regional Summary (PDF 105 KB)

March 2003 - sets out the main findings from the study and key conclusions

Acute Hospital Portfolio - Accicent & Emergency in Northern Ireland Regional Summary (PDF 80 KB)

October 2003 - main findings arising from the study and the key conclusions

Acute Hospital Portfolio - Day Surgery in Northern Ireland Regional Summary (PDF 80 KB)

October 2003 - main findings arising from the study and the key conclusions