Traditional portfolio selection models mainly obtain the optimized portfolio ratio by focusing on the prices of financial products. However, investors’ multiple preferences and risk appetites are also significant factors that should be taken into account. In consideration of these two factors simultaneously, we propose a double-hierarchy model in this paper. Specifically, the first hierarchy quantifies investors’ risk appetite based on a historical simulation method and probabilistic preference theory. This hierarchy can be utilized to describe investors’ variable risk (...) appetites and ensure the obtained investment ratios meet investors’ immediate risk requirements. Then, using the cross-efficiency evaluation principle, the optimal investment ratios can be derived by fusing investors’ multiple preferences and risk appetites in the second hierarchy. Lastly, an illustrative example about evaluating the 10 largest capitalized stocks on the Shenzhen Stock Exchange is given to verify the feasibility and effectiveness of our newly proposed model. We make the theoretical contribution to improve the traditional portfolio selection model, especially considering investors’ subjective preferences and risk appetite. Moreover, the proposed model can be practical for assisting investors with their investment strategies in real life. (shrink)

In this note we provide new results of interest in the portfolio choice problem when the risky opportunities are correlated: for a general vector (X 1, X 2,..., X n ) of risky opportunities we give new conditions for stochastic comparison among different portfolios choices and new necessary and sufficient conditions to characterize the portfolio which gives the maximal expected utility.

Green innovation investments have rapidly grown since 2000. Green innovation indexes play important roles and are typically constructed by screening and indexing. However, Nobel Laureate Markowitz emphasizes portfolio selection instead of security selection and accentuates that “A good portfolio is more than a long list of good stocks.” Moreover, the screening-indexing strategies ignore that investors can take green innovation as an additional objective and thus gain additional utility. We consequently construct 3-objective portfolio selection for (...) green innovation in addition to variance and expected return. An efficient frontier of portfolio selection then extends to an efficient surface which is a panorama of the optimal variance, expected return, and expected green innovation. Investors thus fully envisage the trade-offs and enjoy the freedom of choosing preferred portfolios on the surface. In contrast, the screening-indexing strategies inflexibly leave investors with only one point. As the originality, we prove in a theorem that there typically exists a curve on the efficient surface so all portfolios on the curve dominate the green innovation index. We test the dominance by component stocks of China Securities Index 300 and obtain affirmative results out of sample. The results still hold in robustness tests. At last, we classify green innovation into categories, further model the categories by general k -objective portfolio selection, and still illustrate the dominance. Consequently, investors can consider and control each category. (shrink)

This paper presents a novel framework for selecting socially responsible investment (SRI) portfolios. The Hedonic Price Method (HPM) is applied to obtain an evaluation of SRI criteria that is integrated into a multi-objective mathematical programming model. The HPM breaks away from the traditional view that goods are the direct object of utility; on the contrary, it assumes that utility is derived from the properties or characteristics of the goods themselves. As far as the investment decision is concerned, we assume that (...) socially responsible investmentmutual funds (SRI funds) constitute heterogeneous goods. Our approach allows us to obtain a portfolio, the financial performance of which is similar to that which the investor would have reached if he or she had not taken into account social, ethical, and environmental considerations when making his or her investment decisions. This is achieved by designing a two-stage multi-objective mathematical programming procedure. In the first stage, we achieve the maximum level of financial satisfaction that the investor can receive. In the second stage, the portfolio with the best financial–social behavior is built. For the purpose of this second stage, the first stage portfolio is used as a benchmark for the financial performance of a socially responsible portfolio. To apply this methodology, we use portfolios composed of socially responsible and conventional mutual funds domiciled in Spain. (shrink)

This article analyzes investors’ portfolio selection problems in a two-period dynamic model of Knightian uncertainty. We account for the existence of portfolio inertia in this two-period framework. Furthermore, by incorporating investors’ updating behavior, we analyze how observing new information in the first period will affect investors’ behavior. By this analysis, we show that observing new information in the first period will expand portfolio inertia in the second period compared with the case in which observing new information (...) has not been gained in the first period if the degree of Knightian uncertainty is sufficiently large. (shrink)

We analyze the comparative static effects of changes in the means, the standard deviations and the covariance of asset returns in a standard portfolio selection problem when investors have mean variance preferences. Simple and intuitive characterizations in terms of the elasticity of risk aversion are provided.

This study investigates performance of portfolios composed of British socially responsible investments (SRI) stocks. Using the ‘Global-100 Most Sustainable Corporations in the World’ list (known also as ‘Global-100’) to select the SRI companies, we found that, in the period 2000–2010, the returns of the SRI portfolios were on average higher compared with the corresponding returns of the market indexes. The annual average difference in returns of the SRI portfolios (with dividends) was 5.26 % and 5.69 % relative to the FTSE100 (...) and FTSE4GOOD indexes (the total return versions), respectively, but the differences in returns in the whole period, in individual years and in other sub-periods were in most cases not statistically significant. Positive performance of SRI stocks in the whole sample is, however, evidenced by risk-adjusted measures such as the modified Sharpe ratio (MSR) and certainty equivalent (CEQ) returns, as well as by incorporating various levels of transaction costs. Furthermore, a simple trading strategy relying on selection of SRI stocks from the Global-100 list would beat the market indexes in the whole period 2000–2010, even after inclusion of various levels of transaction costs. We also estimated the Fama–French and Carhart multi-factor models and found that the returns of the SRI portfolios cannot be consistently explained by conventional factors other than the market factor. (shrink)

Using a new dataset of environmental, social, and corporate governance company ratings for the European market, this article examines whether socially responsible stock selection adds or destroys value in terms of portfolio performance. From 2004 to 2012, we find the following: Negative screens excluding unrated stocks from a representative European stock universe allow investors to significantly outperform a passive investment in a diversified European stock benchmark portfolio. Additional negative screens based on environmental and social scores neither add (...) nor destroy portfolio value, when cut-off rates are not too high. In contrast, governance screens can significantly increase portfolio performance under similar conditions. Thus, investors in the European stock market can do well while doing good. Because of a loss of diversification, positive screens can cause portfolios to underperform the benchmark. This implies that investors should concentrate on eliminating the worst firms. Our results are robust along several dimensions, namely, choice of performance measure, time, test parametrisation, portfolio weighting scheme, approximation of the risk-free rate, and consideration of transaction costs. (shrink)

Sharpe’s ratio is the most widely used index for establishing an order of priority for the portfolios to which the investor has access, and the purpose of this investigation is to verify that Sharpe’s ratio allows decisions to be made in investment portfolios considering different financial market conditions. The research is carried out by autoregressive model of the financial series of returns using Sharpe’s ratio for evaluations looking over the priority of financial assets which the investor can access while observing (...) the effects that can cause autocorrelated series in evaluation measures for financial assets. The results presented in this study confirm the hypothesis proposed in which Sharpe’s ratio allows decisions to be made in the selection of investment portfolios under normal conditions thanks to the definition of a robustness function, whose empirical estimation shows an average 73% explanation of the variance in the degradation of the Spearman coefficient for each of the performance measures; however, given the presence of autocorrelation in the financial series of returns, this similarity is broken. (shrink)

This study examines the extent to which corporate responsibility influences the demand for shares by institutions. The study follows Bushee (Account Rev 73(3):305–333, 1998 ) in categorising institutions as dedicated or transient. The demand for shares is organised according to three factors: a long-term factor, corporate responsibility; a short-term factor, market liquidity; and a time-independent factor, portfolio theory. The rank and importance of the factors for the different types of institutional investor are analysed. For one of two types of (...) dedicated institution, corporate responsibility is as important as portfolio theory in influencing the demand for shares. For all dedicated institutions, corporate responsibility influences the demand for shares more than market liquidity. For two of the three types of transient institution, market liquidity is the most important factor in share selection. For all transient institutions, the least important factor is corporate responsibility. Findings suggest that corporate responsibility positively and significantly influences the demand for shares by dedicated institutions. The discussion considers the extent to which these trends are constitutive of significant shifts in ethicality within the context of institutional investment. Looking at this from within a highly institutionalised Anglo market model, dedicated institutions’ commitment to broader and longer-term concerns could be interpreted as a small but significant step towards a more axiologically informed ethical business practice. Such a form of engagement calls for sensitive attention to a fuller range of features deemed to be relevant to investment decisions, as opposed to more narrow reliance on legislation, codes of practice and fiduciary principles. (shrink)

Web services are self-describing and self-contained modular applications based on the network. With the deepening of web service applications, service consumers have gradually increased their requirements for service functions and service quality. Aiming at how to select the optimal plan from a large number of execution plans with the same function and different QoS characteristics, this paper proposes a web service selection algorithm that supports QoS global optimization and dynamic replanning. The algorithm uses position matrix coding to represent all (...) execution paths and replanning information of the service combination. By calculating the Hamming distance of the service quality between individuals, the quality of the service portfolio is improved. By specifying the total user time limit and implementing a good solution retention strategy, the problem of the impact of algorithm running time on service quality is solved. The experimental results show that the method proposed in this paper is effectively integrated into the development trend of QoS and close to the requester’s needs and can better meet user needs. This algorithm improves the user’s satisfaction with the returned service to a certain extent and improves the efficiency of service invocation. (shrink)

Machine learning methods have been used in multifactor stock strategy for years. This paper uses three machine learning methods and linear regression method to find the most appropriate approach. First, a framework is established and 10 style factors and 30 industry factors are chosen. Second, four methods are used to forecast portfolio returns and compared by predicting returns, successful rate, and Sharpe ratio. Finally, this paper draws conclusion. The main findings are as follows: the support vector regression has the (...) most stable successful rate for predicting, while ridge regression and linear regression have the most unstable successful rate with more extreme cases; algorithm of support vector regression fitting higher-degree polynomials in Chinese A-share market is optimized, compared with the traditional linear regression both in terms of stock return and retracement control; the results of support vector regression significantly outperforming the CSI 500 index prove further. (shrink)

In the past two decades, especially after the financial crisis of 2007–09, the literature for examining the availability of integration between the stock exchanges in developed and developing markets has grown. The importance of this topic stems from the significant implications of the linkage between exchange markets on various decisions taken by interested parties, such as policymakers and investors, in the decisions for portfolio diversification. This study examines the relationship between a developing stock exchange index, Amman Stock Exchange Index, (...) and the number of international indices, including S&P 500, NASDAQ, Nikkei, DAX, CAC, and HSI for 2008-2019. To validate the availability of the linkage between the indices, the author includes various tests of a correlation coefficient, stepwise regression analysis, and artificial neural network. Despite the results indicating that the ANN is more efficient than linear regression in investigating the availability of the relationship between ASEI and international indices, stepwise regression and neural network support this relationship. Furthermore, ANN results revealed that the S&P 500 index and year have the most substantial relationship with ASEI. Our research is theoretically and practically important; policymakers and investors can benefit from our findings. Future studies may explore the effect of different international stock market indices on ASEI or other developing markets. Further studies can use macroeconomic factors to build prediction models for stock market indices. (shrink)

In Emotions, Values & Agency, Christine Tappolet develops a sophisticated, perceptual theory of emotions and their role in wide range of issues in value theory and epistemology. In this paper, we raise three worries about Tappolet's proposal.

This article investigates how the meanvariance efficient frontier defined by sovereign bonds of 20 developed countries is affected by the consideration of socially responsible indicators for countries in investment decision-making. For a global rating of socially responsible performances, we show that it is possible to build portfolios with an increased average rating without significantly harming the risk/return relationship. This result differs when considering sub-ratings related to the environment, social concerns and public governance. The results are good news for responsible investors (...) and suggest that socially responsible portfolios of sovereign bonds can be built without a significant loss of mean-variance efficiency. (shrink)

Motivated by the analysis of a general optimal portfolio selection problem, which encompasses as special cases an optimal consumption and an optimal debt-arrangement problem, we are concerned with the questions of how a personality trait like risk-perception can be formalized and whether the two objectives of utility-maximization and risk-minimization can be both achieved simultaneously. We address these questions by developing an axiomatic foundation of preferences for which utility-maximization is equivalent to minimizing a utility-based shortfall risk measure. Our axiomatization (...) hinges on a novel axiom in decision theory, namely the risk-perception axiom. (shrink)

Liquidity risk arises from the inability to unwind or hedge trading positions at the prevailing market prices. The risk of liquidity is a wide and complex topic as it depends on several factors and causes. While much has been written on the subject, there exists no clear-cut mathematical description of the phenomena and typical market risk modeling methods fail to identify the effect of illiquidity risk. In this paper, we do not propose a definitive one either, but we attempt to (...) derive novel mathematical algorithms for the dynamic modeling of trading volumes during the closeout period from the perspective of multiple-asset portfolio, as well as for financial entities with different subsidiary firms and multiple agents. The robust modeling techniques are based on the application of initial-value-problem differential equations technique for portfolio selection and risk management purposes. This paper provides some crucial parameters for the assessment of the trading volumes of multiple-asset portfolio during the closeout period, where the mathematical proofs for each theorem and corollary are provided. Based on the new developed econophysics theory, this paper presents for the first time a closed-form solution for key parameters for the estimation of trading volumes and liquidity risk, such as the unwinding constant, half-life, and mean lifetime and discusses how these novel parameters can be estimated and incorporated into the proposed techniques. The developed modeling algorithms are appealing in terms of theory and are promising for practical econophysics applications, particularly in developing dynamic and robust portfolio management algorithms in light of the 2007–2009 global financial crunch. In addition, they can be applied to artificial intelligence and machine learning for the policymaking process, reinforcement machine learning techniques for the Internet of Things data analytics, expert systems in finance, FinTech, and within big data ecosystems. (shrink)

This study examines whether differences in financial performance exist for investment trusts which base their portfolio selection primarily on an ethical screen, compared to indexes which incorporate a broader spectrum of investments. Results indicate that on a risk-adjusted basis there is an insignificant difference in the financial performance of these trusts against three common market benchmarks. However as to the extent of the directional effect, there does exist slightly superior financial performance by ethical trusts against their respective industry (...) average indexes, but an underperformance against a smaller company's index and the market as a whole. The lack of a distinct advantage in the short to medium term for applying an ethical screen, may in part be due to the recent development of ethical investments in Australia. Stronger performances by older ethical investment trusts may indicate superior returns are more likely to occur over a longer term. (shrink)

The paper argues for the need for Ukrainian companies' intellectual capital strategy development which, in turn, will significantly improve their efficiency and transfer to a new level of functioning. In this study we prove the dominance of intellectual capital strategy in the structure of modern enterprises' strategic portfolio. The authors have determined the following strategies for intellectual capital's development: as a means of achieving the objectives of the company, aimed at creation and efficient use of its intellectual resources; a (...) comprehensive program of action and the system of qualitative and quantitative measurement of replenish and upgrade the components of intellectual capital in accordance with the objectives of its development; a detailed comprehensive plan to ensure competitive advantage through interaction and balanced growth of all structural elements of intellectual capital. The article focuses on the multi-purposive nature of intellectual capital, which necessitates the formation of its portfolio strategies with different combinations of subordination. The main focus of the article is made on generalization and systematization types of expansion strategies for the development of intellectual capital by various classification features to justify the selection of strategies for optimal portfolio. In the proposed typology the following strategies are figured out: in terms of implementing the strategy ; the nature management ; the source of ; the method of obtaining ; the degree of change components ; the nature of the growth process ; by type of business process management ; the nature of use ; the type of innovation behavior ; a competitive position ; the object management ; the structure of intellectual capital. The analysis of the essential characteristics of intellectual capital strategies considered in the classification is made. The emphasis is put on dialectical, flexible sensemaking of presented strategies typologies, taking into consideration the fact of evolution strategies, weave and matrix blending of different classifications in practice. We exemplify our arguments by presenting various functional strategies that make implementation possible using classifications identified in intellectual capital's strategies. Additionally, it is substantiated that the primary, landmark system of classification for all other approaches is classification strategies based on intellectual capital structure. It is therefore proposed to use provided in the article systematization framework as a methodological basis for a comprehensive understanding of the prospects for improvement and use of firms' intellectual capital. (shrink)

In lieu of an abstract, here is a brief excerpt of the content:The Journal of Aesthetic Education 37.3 (2003) 21-40 [Access article in PDF] Unifying the Curriculum with an Art Exhibition:In the American Grain Terry Barrett This is an account of a whole-school faculty designing and teaching a five-month whole-school curriculum based on an exhibit of modern American art, In the American Grain, in a public school in the Pacific Northwest, grades 6-12. This account is a case-study of a successful (...) attempt of teachers, students, and administrators at one school, in one time and place, unifying the whole curriculum by having an art exhibit at the center of learning. The account is given through many voices, especially those of the students in the school who participated in the curriculum, and the teachers who invented it. I served the school as a faculty advisor and thus the telling is in the voice of a participant-observer but I rely heavily on the experiences of the participants and their ways of telling. The students and teachers are unabashedly enthused about what they were able to accomplish in teaching and learning, and are eager to share their experiences with other learningcommunities. This account begins with a short history of the recently founded school and an overview of its curricular mission. It proceeds with students telling about projects they did and their experiences of the curriculum, which evolved around In the American Grain; teachers talking about their experiences with the curriculum; and the founding principal's responses to the curriculum. It ends with my observations and conclusions. I hope that this account might encourage other educators to initiate their own attempts at school reform by placing the arts at the center of the curriculum. The School Vancouver School of Arts and Academics opened in September of 1996 with 525 middle and high school students (grades 6-11 with 12th grade added the following year) in a renovated building originally constructed as a high school in 1928. 2 The school has a new theater, recording studio, rehearsal rooms, and art studios. The school is dedicated to "the dual mission [End Page 21] of academic rigor and artistic excellence," with an evolving curriculum in which all areas of study (math, science, language arts, and social studies) and a full spectrum of arts disciplines (music, theater, dance, moving imagery, literature, and visual arts) are focused around artistic themes taught through interdisciplinary approaches. 3All students attend the school full-time. The mornings are devoted to "academics," subjects that are team-taught to "core groups" of students of combined grades (6-7-8, 9-10, 11-12) and the afternoons consist of three hours of arts instruction in elected classes of mixed-age students. There are four teachers for each core of about 100 students. Teaching and learning is project-based, interdisciplinary, on an art-centered school theme pre-selected for the year by the faculty. In selecting its theme for a year, the faculty follows the state of Washington's pattern for social studies concentrating one year on world history, the next on United States history, and the next on state history. The faculty also privileges an art form for the year: year one is visual arts; year two, music; year three drama; and so forth. Theme-related projects are conducted by students working individually or in small groups of two to three, and are usually teacher-suggested at the junior high level and student-initiated at the senior high level.Students enroll from all areas of the Vancouver school district and neighboring districts. 4 Students and their parents are interviewed and students are selected for the school on the basis of a demonstrated interest in the arts, not on portfolios or auditions, nor on the basis of special designations such as "gifted and talented." Most of the students are from working-class families, and most students graduating from the school go on to college.All faculty members applied to teach at the school, and all have personal interest and expertise in one or more art forms. For example, Mr... (shrink)

In lieu of an abstract, here is a brief excerpt of the content:The Journal of Aesthetic Education 37.3 (2003) 21-40 [Access article in PDF] Unifying the Curriculum with an Art Exhibition:In the American Grain Terry Barrett This is an account of a whole-school faculty designing and teaching a five-month whole-school curriculum based on an exhibit of modern American art, In the American Grain, in a public school in the Pacific Northwest, grades 6-12. This account is a case-study of a successful (...) attempt of teachers, students, and administrators at one school, in one time and place, unifying the whole curriculum by having an art exhibit at the center of learning. The account is given through many voices, especially those of the students in the school who participated in the curriculum, and the teachers who invented it. I served the school as a faculty advisor and thus the telling is in the voice of a participant-observer but I rely heavily on the experiences of the participants and their ways of telling. The students and teachers are unabashedly enthused about what they were able to accomplish in teaching and learning, and are eager to share their experiences with other learningcommunities. This account begins with a short history of the recently founded school and an overview of its curricular mission. It proceeds with students telling about projects they did and their experiences of the curriculum, which evolved around In the American Grain; teachers talking about their experiences with the curriculum; and the founding principal's responses to the curriculum. It ends with my observations and conclusions. I hope that this account might encourage other educators to initiate their own attempts at school reform by placing the arts at the center of the curriculum. The School Vancouver School of Arts and Academics opened in September of 1996 with 525 middle and high school students (grades 6-11 with 12th grade added the following year) in a renovated building originally constructed as a high school in 1928. 2 The school has a new theater, recording studio, rehearsal rooms, and art studios. The school is dedicated to "the dual mission [End Page 21] of academic rigor and artistic excellence," with an evolving curriculum in which all areas of study (math, science, language arts, and social studies) and a full spectrum of arts disciplines (music, theater, dance, moving imagery, literature, and visual arts) are focused around artistic themes taught through interdisciplinary approaches. 3All students attend the school full-time. The mornings are devoted to "academics," subjects that are team-taught to "core groups" of students of combined grades (6-7-8, 9-10, 11-12) and the afternoons consist of three hours of arts instruction in elected classes of mixed-age students. There are four teachers for each core of about 100 students. Teaching and learning is project-based, interdisciplinary, on an art-centered school theme pre-selected for the year by the faculty. In selecting its theme for a year, the faculty follows the state of Washington's pattern for social studies concentrating one year on world history, the next on United States history, and the next on state history. The faculty also privileges an art form for the year: year one is visual arts; year two, music; year three drama; and so forth. Theme-related projects are conducted by students working individually or in small groups of two to three, and are usually teacher-suggested at the junior high level and student-initiated at the senior high level.Students enroll from all areas of the Vancouver school district and neighboring districts. 4 Students and their parents are interviewed and students are selected for the school on the basis of a demonstrated interest in the arts, not on portfolios or auditions, nor on the basis of special designations such as "gifted and talented." Most of the students are from working-class families, and most students graduating from the school go on to college.All faculty members applied to teach at the school, and all have personal interest and expertise in one or more art forms. For example, Mr... (shrink)

Public companies in the US stock market must annually report their activities and financial performances to the SEC by filing the so-called 10-K form. Recent studies have demonstrated that changes in the textual content of the corporate annual filing can convey strong signals of companies’ future returns. In this study, we combine natural language processing techniques and network science to introduce a novel 10-K-based network, named Lazy Network, that leverages year-on-year changes in companies’ 10-Ks detected using a neural network embedding (...) model. The Lazy Network aims to capture textual changes derived from financial or economic changes on the equity market. Leveraging the Lazy Network, we present a novel investment strategy that attempts to select the least disrupted and stable companies by capturing the peripheries of the Lazy Network. We show that this strategy earns statistically significant risk-adjusted excess returns. Specifically, the proposed portfolios yield up to 95 basis points in monthly five-factor alphas, outperforming similar strategies in the literature. (shrink)

Stochasticity and ambiguity are two aspects of uncertainty in economic problems. In the case of investments in risky assets, this uncertainty is manifested in the uncertainty of future returns. On the contrary, the complexity of the economic phenomenon itself and the ambiguity inherent in human thinking and judgment are characterized by indistinct boundaries. For the same problem, research from different perspectives can often provide us with more comprehensive and systematic information. Currently, the expected value of return or the variance representing (...) risk is still used as a rational investment criterion for both single-stage portfolios and multistage portfolios. However, in general, the greater the expected return of an investor, the greater the risk he should take. Different investors have different requirements for profitability, but regardless of their expected return, they always hope to find a set of portfolios that maximize the probability of achieving the expected rate of return. In this paper, after analyzing the development of portfolio investment theory research, we take fuzzy information processing as the entry point and systematically discuss the theory and methods of fuzzy modeling of portfolio investment decision-making from the perspective of fuzziness around the portfolio investment decision-making process. The results of the empirical analysis show that the existence of basis constraints affects investors’ investment strategies as well as their final returns, but there is a limit to the influence of basis constraints on portfolio performance, and investors can obtain optimal investment returns by selecting a reasonable number of securities to form a portfolio based on the characteristics of different securities. (shrink)

This paper examines the normative ideas flowing from the contemporary theories that make up the New Finance. These theories include the Irrelevance Theorem, Efficient Market Hypothesis, Capital Asset Pricing Model, Options Pricing Model, and Agency Theory. The behavioral consequences that would ensue if everyone took the normative precepts of the New Finance seriously are subjected to a Kantian analysis to determine their ethical implications. It is concluded that the corporate world in the New Finance is a place where the firm (...) can select any operating and financial strategies that it wishes, and the investors will respond immediately through a combination of homemade portfolio diversification, clever option positions, and carefully constructed agency relationships, all of which results in a pervasive nihilism. Recommendations are offered on how these features of the New Finance might be avoided or moderated. (shrink)

This article examines the theoretical motivations underlying the conflicting beliefs in support of and against responsible investment and presents unique quantitative evidence to illustrate how such conflicting logics produce a curvilinear relationship between screening intensity and two measures of risk. First, I argue that, whereas limiting the investable universe by using RI screening criteria increases the risk specific to the portfolio, very high screening intensity can reduce this risk. This is due to the fact that information benefits enable fund (...) managers to be more selective, allowing them to select less risky firms. Second, by drawing on behavioral studies, I argue that this same curvilinear relationship occurs when examining the flow of money coming in and out of a fund. That is, high RI screening makes ethical investors “stickier” and less likely to pull money out of a fund because they are attracted to its ethical properties. I test my hypotheses using a data set of all known European RI screening equity mutual funds. I generally find strong support for both hypotheses. This has an important implication for investors: For high screening intensity and meaningful RI practices, RI is associated with a significant risk reduction. (shrink)

In this paper, a new FEPA portfolio forecasting model is based on the EMD decomposition method. The model is based on the special empirical modal decomposition of financial time series, principal component analysis, and artificial neural network to model and forecast for nonlinear, nonstationary, multiscale complex financial time series to predict stock market indices and foreign exchange rates and empirically investigate this hot area in financial market research. The combined forecasting model proposed in this paper is based on the (...) idea of decomposition-reconstruction synthesis, which effectively improves the model’s prediction of internal financial time series. In this paper, we select the CSI 300 Index and foreign exchange rate as the empirical market and data and establish seven forecasting models to make predictions about the short-term running trend of the closing price. The interval EMD decomposition algorithm is introduced in this paper, considering both high and low prices to be contained in the input and output. By analyzing the closing price, high and low prices of the stock index at the same time, the volatility of this interval time series of the index and its trend can be better captured. (shrink)

Place mouse over image continent. 2.1 (2012): 36–39. From an ethical and political perspective, people and property can hardly be separated. Indeed, the modern political subject – that is, the individual, the person, the self, the autonomous actor, the rational self-interest maximizer, etc. – has taken shape in and through the elaboration, institutionalization, and enactment of that which rightfully belongs to it. This thread can be traced back perhaps most directly to Locke’s notion that the origin of the political state (...) occurs when people rise above the state of nature by ceding the power to prosecute offenses. The rule of law begins then with a defense of the right to property. People become subjects by adhering to the social contract, which they do by deferring the defense of their own property to the state. In this light, the response of the United States federal government to the financial crisis of 2008 appears to many as a breach of the social contract. The chant “banks got bailed out, we got sold out” states the claim plainly. Why exactly did some subjects (e.g., the banks) have their property defended by the state (i.e., through the variety of programs including TARP, the discount window at the US Federal Reserve, etc.), when other subjects (e.g., homeowners) found themselves without protection of their property rights, forced to default on mortgage debts and face dispossession? Even if the rhetoric about “too big to fail” can be believed, and the collapse of the financial system would lead to negative consequences for people who had little or no connection to the activities that brought it about, such consequences need not call into question the notion that everyone stands equally before the law. To occupy, then, appears as a form of civil disobedience, an intentional, retaliatory breach of the social contract by those who feel that they have lost the support of the state to which they ceded their power as sovereign agents. The visible and the invisible The violation of property rights of people who have recognition, protection and power under the law destabilizes their very status as citizens and tests the limit of democracy. Does the financial system force the dematerialized victimization of individuals? Do people become numbers, or worse still, percentages of unemployed, tranches of defaulted mortgages and foreclosures? Are they perhaps instead disenfranchised prospectively from the privileged position occupied by virtual entities and actors such as those involved in the derivatives markets, always already exiled back into the physical, visible realm? The line of conflict appears to be drawn between invisibility/absence/deferral and visibility/presence/realization. The demonstrators occupy an excess property of those subjects, namely, the banks and financial elite, who did receive recognition and protection under the law. By domesticating this excess property, rendering its invisibility visible within the political economy, the protesters raise a new form of threat to the hegemonic order. To occupy, then, involves a rejection of the order under which the “99%” have been subjected to erasure. The occupation seeks creatively to establish a new means of communication and law for its subjects. In the face of an existing power structure that is increasingly disenfranchising the majority of people while consolidating nodes of power and influence, the “occupation”, or the work of the Occupy movement, involves seizing a space that refuses the rules of the existing, allegedly corrupt sovereign state. This refusal of governance extends even to include a steadfast refusal to articulate a strategy, to formulate a list of demands, to converse with the sovereign power on the grounds of its own conventions, to put forth a leader, to resolve the ambiguity of the movement into a discreet identity, face, or voice. Do these tactics provide a resolution to the problem that was its genesis? Not in such a direct and easily resolved manner, but it remains difficult to imagine a direct and simple resolution to the problematic of the breach of the social contract. The ambiguity of the situation has generated significant interest within the broader populace, though many people sympathetic to the cause appear to be frustrated because the movement has not simply put forward a short list of concrete demands, or even a set of leaders and spokespeople, much less a resolution. And yet, this lack of coherence appears as a resolution of a problem generic to protest movements in the past, where individual leaders can be removed or discredited, and lists of demands can be co-opted by others holding more political power. Meanwhile, the ambiguity has compelled imitations on a global scale, with the Occupy Wall Street participants consciously taking actions that can be replicated by anyone anywhere without significant cost. These actions have taken place not in a peripheral location such as a parking lot in New Jersey, but instead close to the centers of power and governance, adjacent to Wall Street, close to the White House, on college campuses, etc. This spontaneous archipelago of protests becomes an irritant, a negation of the accepted order of protests, but when the protesters themselves move outside of their encampments, they are escorted by the police, constantly monitored and maintained so that a permanent state of paranoid persecution takes hold. To occupy, occupying, occupation – these actions involve a variable degree of danger – are you willing to step into a different space, where the rule of law is unclear and evolving? Are you presenting yourself as a representative of the majority, the 99%? Who has a sense of belonging to the 99%? This previously invisible population becomes a focal point of political power, garners increasing public support, infects the public dialogue. The government recognizes this population by forcing it from the occupied space, removing the element of possession of property. It is at this point of conflict, in the struggle to hold the physical property, where the greatest friction and violence occurs. Scaling the rule of law While occupied, the property calls for a redress of grievances, a restoration of the rule of law. The Occupy movement does not select and put forward individuals or leaders, it puts forward places – the occupied property represents the point of conflict, not the individual. And it is this very property that the government then tries to reclaim. The movement remains faceless, anonymous, uncounted, or rather counted only as a mass, the self-labeled mass of 99%. These spaces are like refugee camps or favelas, but constructed to unite the political life and private life of the protesters. This objective is presented as a tactical necessity, as all other means of protest and communication have failed, leaving only the option of seizing, holding, occupying a property. But to what end, exactly? Can anyone deliberately return to the prior social contract, embrace, affirm, and govern in strict accordance with the earlier relationship to property, following the logic of Locke’s arguments? In this respect, the contemporary crisis indicates a new, transitional phase in the way that property operates, or rather, in the balance between real and virtual value. The roots of the crisis lay in the massive overvaluation of property caused by lax lending practices, as more people were encouraged to borrow more money, which drove up the prices of property. At the same time, these individual properties, these mortgages for homes actual families lived in and worked to support, were bundled into securities that could be bought, sold, and speculated on. The reduction of a physical house or piece of real estate to an almost incalculably small element in an investment vehicle appears as a scaling of the hedge that radically diminishes the value of any individually owned property. Moreover, a number of recently-innovated financial products allow investors to hedge in new ways, to deliberately spread risk around a portfolio in hopes of bringing returns even when the individual mortgage defaults. At the level of the ‘free’ market, these virtual negative valuations are designed to balance the physical positive valuation, though many of the biggest lenders are now being investigated for controlling both sides of this valuation, the positive and the negative, to facilitate both the creation and failure of the investments and to profit from both. The ability to benefit from both the negative and positive value of an investment is a result of a technologically enabled capacity to operate within a complex field. These layered and scaled investment vehicles and the simultaneous negation of their value together represent a commingling of the virtual and physical existence that is both complex and multiple. The valuation of a virtual property has tremendous power to change the valuation of the physical - either injecting it with or depriving it of funds, pumping in or draining life and energy. This situation has roots of its own – the notion of property advanced e.g., throughout the enclosure movement in Britain was, from the outset, an imposition of virtuality (i.e., the concept of law, the institutions associated with ownership, etc.) on the physical reality of land. 1 The difference today is that technological trading platforms combined with innovations within the financial services industry have enabled the reduction of each individual property receiving or losing value in scale to an almost atomic level. In turn, the number of properties held simultaneously and valued as a massive, multiple wholes – i.e., the derivatives market in mortgage-backed securities – is a new phenomenon made possible through the application of similar technologies and institutional structures. And those actors who can trade in these layers of complexity can then profit from the new phase of disassociation of the virtual and the physical – unconcerned with and operating at such a virtual distance from the individual residing physically on a particular piece of real estate that they no longer feel the tug of the physical tying them back to the physical, operating literally as in a video game, in a virtually distanced world. What can or should be done about this situation? Answers lie outside the scope of this current essay, but merit consideration in the near future… NOTE 1) Hernando de Soto has emphasized this dimension by empirically demonstrating its non-existence in many countries in The Mystery of Capital. (shrink)

"He completed the assignment in two phases: The photographs made during the first phase capture the natural ruggedness of the terrain and establish its relationship to the developed neighboring enclaves. Those made during the second phase not only record the actual construction process but also reveal Deal's personal perspective on the qualities of light and the creation of form. Represented in this book as a selection from the resulting portfolio, Topos, a Greek word meaning place, site, position, and (...) occasion - Deal's artistic legacy to the Gerry Center."--BOOK JACKET. (shrink)

Islamic equity funds are subject to the screening criteria for stock selection imposed by the principles of Islamic jurisprudence. Equities must pass three basic screens: revenue source, business activity, and financial factors to be included in an Islamic fund. However, screening criteria are not universal especially for the financial factors. One can use financial ratios based on either the book-value of total assets or the market-value of equity for screening of stocks. This may not only result in a different (...) portfolio composition but also entail diverse rebalancing and monitoring costs. The performance of 29 Islamic equity indices versus conventional indices from four major international index providers using different Shari’ah screening criteria are analyzed in a single as well as in a multi-equation framework. The use of a multi-equation framework has the added advantage of utilizing the information content of different screening criteria adopted by different index providers. The empirical findings suggest that the difference in screening criteria does not significantly affect the performance of IEIs. Returns deviation, if any, stems from the relative riskiness of the IEI as compared with the relevant benchmark. Work needs to done to streamline the quantitative screening criteria to avoid confusion among the investing public. (shrink)

This paper examines how corporate social responsibility (CSR) is implemented through social partnerships. Drawing on previous literature and case study research, it presents a conceptual model of the process of implementation. An exploratory case study of the social responsibility partnership programme at the Union of European Football Associations (UEFA) has been conducted. The case study draws on interview data and documentary sources of evidence gathered from UEFA and the six partner organisations that comprise its CSR portfolio. The conceptual model (...) identifies three stages of the implementation process (selection, design, management), with partnership evaluation being an ongoing process during all three. The latter consists of two elements, namely project and process evaluation. A key finding is the lack of process evaluation due to a high degree of inter-personal trust. The conceptual model adds to the growing body of research on the implementation of social partnerships and CSR. This paper is also the first to empirically explore the process of CSR implementation through social partnerships in the football sector. (shrink)

This paper examines how corporate social responsibility (CSR) is implemented through social partnerships. Drawing on previous literature and case study research, it presents a conceptual model of the process of implementation. An exploratory case study of the social responsibility partnership programme at the Union of European Football Associations (UEFA) has been conducted. The case study draws on interview data and documentary sources of evidence gathered from UEFA and the six partner organisations that comprise its CSR portfolio. The conceptual model (...) identifies three stages of the implementation process (selection, design, management), with partnership evaluation being an ongoing process during all three. The latter consists of two elements, namely project and process evaluation. A key finding is the lack of process evaluation due to a high degree of inter‐personal trust. The conceptual model adds to the growing body of research on the implementation of social partnerships and CSR. This paper is also the first to empirically explore the process of CSR implementation through social partnerships in the football sector. (shrink)

Rest's hypothesis that the components of morality (i.e., sensitivity, reasoning, motivation, and implementation) are distinct from one another was tested using evidence from a dental ethics curriculum that uses well-validated measures of each component. Archival data from five cohorts (n = 385) included the following: (1) transcribed responses to a measure of ethical sensitivity collected at the end of the third year; (2) pre- and post-test moral judgment scores; (3) pre- and post-test motivation scores; and (4) implementation scores – performance (...) on eight cases completed during the third and fourth years. Because the ethical sensitivity test had been scored by multiple raters, and interrater reliability did not meet acceptable standards, 120 portfolios were randomly selected from the five cohorts and responses were rescored prior to analysis. Correlations among the measures were low, ranging from −.08 to.34, supporting Rest's contention that the processes are distinct from one another and competence in one does not predict competence in another. The findings have implications for moral and character education programs. (shrink)

Comparing estimates of the cost-effectiveness of human immunodeficiency virus (HIV) interventions can help communities select an HIV prevention portfolio to meet local needs efficiently. The authors developed a spreadsheet tool to estimate the relative cost-effectiveness of 26 HIV prevention interventions. HIV prevalence of the population at risk and the cost per person reached were the two most important factors determining cost-effectiveness. In low-prevalence populations, the most cost-effective interventions had a low per-person cost. Among the most cost-effective interventions overall were (...) showing videos in sexually transmitted disease clinics and raising alcohol taxes. (shrink)

It is generally assumed that common stock investors are exclusively interested in earning the highest level of future cash-flow for a given amount of risk. This view suggests that investors select a well-diversified portfolio of securities to achieve this goal. Accordingly, it is often assumed that investors are unwilling to pay a premium for corporate behavior which can be described as socially-responsible.Recently, this view has been under increasing attack. According to the Social Investment Forum, at least 538 institutional investors (...) now allocate funds using social screens or criteria. In addition, Alice Tepper Marlin, president of the New York-based Council on Economic Priorities has recently estimated that about $600 billion of invested funds are socially-screened (1992). (shrink)

With the continuous development of the stock market, designing a reasonable risk identification tool will help to solve the irrational problem of investors. This paper first selects the stocks with the most valuable investment value in the future through the random forest algorithm in the nine-factor model and then analyzes them by using the higher-order moment model to find that different investors’ preferences will make the weight of the portfolio change accordingly, which will eventually make the optimal return and (...) risk set of the composition of the portfolio change. The risk identification system designed in this paper can provide an effective risk identification tool for investors and help them make rational judgments. (shrink)

Multiple-choice questions have an undeserved reputation for only being able to test student recall of basic facts. In fact, well-crafted mechanically gradable questions can measure very sophisticated cognitive skills, including those engaged at the highest level of Benjamin Bloom’s taxonomy of outcomes. In this article, I argue that multiple-choice questions should be a part of the diversified assessment portfolio for most philosophy courses. I present three arguments broadly related to fairness. First, multiple-choice questions allow one to consolidate subjective decision (...) making in a way that makes it easier to manage. Second, multiple-choice questions contribute to the diversity of an evaluation portfolio by balancing out problems with writing-based assessments. Third, by increasing the diversity of evaluations, multiple-choice questions increase the inclusiveness of the course. In the course of this argument I provide examples of multiple-choice questions that measure sophisticated learning and advice for how to write good multiple-choice questions. (shrink)

Are there any business decisions that do not have an ethical dimension? Who decides that a decision is unethical? What impact does ethics have in today’s business environment? The case focuses on the development of Hawaii’s first public-private venture capital fund by three very different entities: the State of Hawaii economic development corporation; a US mainland-based private equity investment firm; and a partnership of two serial entrepreneurs. The case uses a progressive disclosure format so students only read and analyze the (...) actions and ethical issues that occur at a specific point in time: creation of the venture capital fund; selection of startups to be included in the fund’s investment portfolio; and public reaction to decisions and actions by the fund. The case frames the issues confronted at each point as ethical dilemmas. Analysis includes answering questions and formulating recommendations or solutions to each dilemma. (shrink)

With the rapid development of the market economy, there are more and more projects in the financial industry, and their complexity and technical requirements are getting higher and higher. The development of computer technology has promoted the birth of robot consultants, and it is of great significance to use robot consultants to manage and supervise financial industry projects. In order to further analyze the development and supervision of robo-advisors under the digital inclusive financial system, this paper uses complex systems and (...) clustering algorithms as technical support to carry out research. First, the traditional K-means algorithm is used to select the initial clustering center, to improve the noise and outlier processing capabilities, and to build a data mining system based on the improved algorithm. Then, a product design model for robo-advisors is built and the risks of robo-advisors are analyzed from three aspects: technology, market, and law. Analyzing the performance of the improved K-means algorithm, in the operation of the experimental dataset B, the accuracy of the clustering result after 6 iterations reached 97.08%, which shows that the algorithm has good performance. During the trial operation of the data mining system, the four types of customers of financial institutions were accurately clustered, and it was concluded that the main type of customers who brought benefits to financial institutions was high-income customers accounting for 10.75%. Robo-advisory product models are used to build five risk-level investment portfolios and conduct risk backtests. Except for the growth and income portfolio, other portfolios have consistently outperformed the performance benchmark during the analyzed time period. Running the research system of this paper in a financial institution, comparing the capital budget before and after the operation, found that the system can improve the accuracy of the budget and reduce the risk of the robo-advisor for the financial institution. (shrink)

Purpose As an enabler of environmental sustainability, Green information technology has become an emerging topic of interest in both academic and business communities. Despite its importance, confusions exist in the content and scope of Green IT practice. The purpose of this paper is to provide an overview of the current state of Green IT practice. Design/methodology/approach First 14 widely accepted Green IT practice topics were identified from prior research and a taxonomy was developed to categorize them. Using the content analysis (...) method, these topics were examined in the sustainability reports of 30 IT companies in 2014 Fortune 500. A quantity–quality portfolio framework was developed and applied to measure and assess the Green IT practices of the selected samples. Findings Currently, the Green IT practice is still in its infancy. Both research and practice attention are now focusing on IT’s direct impacts and enabling impacts, while overlooking the systemic impacts, on natural environment. The possible reasons for the current state and the recommendations for future research and practice are provided. Originality/value Theoretically, this paper identified 14 widely accepted Green IT practice topics and developed a taxonomy for categorizing them. The taxonomy and topics provide a theoretical basis for future examination on Green IT practice-related issues. Practically, the findings of this paper provide guidelines for Green IT practice and directions for both Green IT developers and adopters in their decision-making. (shrink)

Forest ecosystems provide a suite of goods and services, including wood products as well as an array of ecosystem services and other non-timber goods and services. Despite an increasing emphasis on managing forests as holistic systems providing a portfolio of goods and services, silvicultural research has focused on maximizing production of commodities, particularly wood products. Although there has been investment in understanding how silviculture affects wildlife habitat, water resources, recreation, and other non-timber objectives, the emphasis has been on understanding (...) these impacts as side-effects of a silviculture predicated on the production of wood. Commoditization theory provides a lens through which to understand the selection pressures that drive this emphasis on wood production. This article briefly reviews the historical role of commoditization in influencing how modern American silviculture has developed and highlights research needed to create silvicultural knowledge useful in managing for both commodity and noncommodity products. (shrink)

Sweetpotato-pig production is an important system that generates income, utilizes unmarketable crops, and provides manure for soil fertility maintenance. This system is widely practiced from Asia to Africa, with many local variations. Within this system, pigs are generally fed a low nutrient-dense diet, yielding low growth rates and low economic efficiency. Our project in Vietnam went through a process of situation analysis, participatory technology development (PTD), and scaling up over a seven-year period to improve sweetpotato-pig production and to disseminate developed (...) technologies. The situation analysis included a series of pig production assessments in several provinces in northern and southern Vietnam, and pig supply-market chain identification was conducted in 13 provinces. The analysis of these studies informed the project of the following: (1) appropriate locations for our activities; (2) seasonal available feedstuff and farmers’ feeding practices; (3) market fluctuation and requirements; and (4) feeding and management improvement needs based on which the subsequent phase of PTD was designed. The PTD involved a limited number of farmers participating in sweetpotato varietal selection, sweetpotato root and vine silage processing, seasonal feeding combination, and pig feeding with balanced crop-feed diet and silage. Six years of multi-location and multi-season sweetpotato selection resulted in a few promising varieties that yielded up to 75% more dry matter and have since been formally released. The most significant results of silage processing and feeding trials include improved growth, higher feeding efficiency, increased year-round local feedstuff, and considerable labor reduction from eliminated cooking and vine cutting. Once these technologies were developed, a farmer-to-farmer training model was designed for scaling up the adoption and impact. Farmer trainers from seven communes in seven provinces received training in these technologies. In turn, they undertook the responsibility of training other farmers on sweetpotato selection, processing, and feeding. An impact study was also administered to monitor and evaluate (M&E) the dissemination process and to document the impact of the new technologies and farmer-to-farmer training model on pig growth and farmer income generation. The results showed that both participating and non-participating farmers have taken up the technologies, although the former demonstrates higher rates of adoption than the latter. The participants also generated more income and saved more labor from the adoption of the technologies. While the scaling up and M&E activities are on-going, the project has since broadened from a sweetpotato-pig system perspective to a pig-cropfeed system perspective based on farmers’ needs. It has included other crop feeds such as cassava and peanut stems in the research portfolio. New technologies based on on-going PTD will continuously be incorporated into the future training curriculum. (shrink)

Funding agencies and large public scientific institutions are increasingly using the term “research portfolio” as a means of characterizing their research. While portfolios have long been used as a heuristic for managing corporate R&D, they remain ill-defined in a science policy context where research is aimed at achieving societal outcomes. In this article we analyze the discursive uses of the term “research portfolio” and propose some general considerations for their application in science policy. We explore the use of (...) the term in private R&D and related scholarly literature in existing science policy practices, and seek insight in relevant literature in science policy scholarship. While the financial analogy can in some instances be instructive, a simple transposition from the world of finance or of corporate R&D to public research is problematic. However, we do identify potentially fruitful uses of portfolio analysis in science policy. In particular, our review suggests that the concept of research portfolio can indeed be a useful analytical instrument for tackling complex societal challenges. Specifically, the strands of scholarship identified suggest that the use of research portfolio should: i) recognize the diversity of research lines relevant for a given societal challenge, given the uncertainty and ambiguity of research outcomes; ii) examine the relationships between research options of a portfolio and the expected societal outcomes; and iii) adopt a systemic perspective to research portfolios – i.e. examine a portfolio as a functional whole, rather than as the sum of its parts. We argue that with these considerations, portfolio-driven approaches may foster social inclusion in science policy decisions, help deliberation between “alternative” portfolios to tackle complex societal challenges, as well as promote cost-effectiveness and transparency. (shrink)

Les photos de ce portfolio ont été prises par Philippe Carta, Julien Goetz, Francis Guermann, Bernard Muscat et Michel Noirez. Projecteur et enrouleur 35 mm mobiles installés dans le vestibule de l’Opéra-Théâtre pour la projection de Moïse et Aaron – 24 mars 2011. Avant la projection de Moïse et Aaron, Jean-Marie Straub, debout face à l’écran de l’Opéra-Théâtre, vérifie la qualité de l’image et du son. François Narboni et Régine Palucci présentent Moïse et Aaron. A...

ABSTRACT Constitutive panpsychism is the doctrine that macro-level consciousness—that is, consciousness of the sort possessed by certain composite things such as humans—is built out of irreducibly mental features had by some or all of the basic physical constituents of reality. On constitutive panpsychism, changes in macro-level consciousness amount to changes in either the way that micro-conscious entities ‘bond’ or the way that micro-conscious qualities ‘blend’. I pose the ‘Selection Problem’ for constitutive panpsychism—the problem of explaining how high-level functional states (...) of the brain ‘select’ micro-conscious qualities for bonding or blending. I argue that there are no empirically plausible solutions to this problem. (shrink)