analyst forecasting errors additional evidence analyst forecasting errors are approximately as large as dreman and berry 1995 documented and an optimistic bias is evident for all years from 1985 through 1996 in contrast to their findings i show that analyst forecasting errors and bias have decreased over time moreover the optimistic bias in quarterly forecasts was absent for sp 2 firms with comparatively large amounts of market capitalization absolute value of earnings forecast and analyst following and 3 firms in certain industries

tax management loss harvesting and hifo accounting virtually all companies and individuals are faced with the management of taxable assets to manage these assets efficiently investors need to be aware of the impact of taxes on investment returns in the study we report in this article we quantified the benefits of loss harvesting and highest in first out hifo accounting by using monte carlo simulations and investigated the robustness of these strategies in various markets and with various cash flows and tax rates we concluded that a market with high stock specific risk low average return and high dividend yield provides more opportunities to harvest losses in addition a steady stream of contributions refreshes a portfolio and allows the benefits of loss harvesting to remain strong over time conversely withdrawals reduce the advantages of realizing losses our findings show that no matter what market environment occurs in the future managing a portfolio in a tax efficient manner gives substantially better after tax performance than a simple i

quantitative analysis of sustainable energy strategies in china this paper conducted quantitative study on china s sustainable energy strategies by using the econometric method gdp growth will be over 6 annually between 2005 and 2030 the continuation of rapid economic growth could result in a lot of difficulties for energy security environment protection and co2 emissions reductions for the sustainable development more comprehensive strategies should be adopted including improvement in energy efficiency with highest priority enhancing development of renewable energy and promoting structural adjustment in transport sector etc at the same time international cooperation such as establishing asia energy and environment agency towards asia community is also an important strategic option

carbon allowance allocation in the transportation industry abstract this study proposes models for projecting reductions in co 2 emissions of 10 20 30 and 40 compared to business as usual bau using a carbon allowance allocation policy and both unimodal and intermodal modes of transportation the results show that for 10 to 80 decreases in free carbon allowance the intermodal ratio increased from 1 01 to 53 44 which led to decreases in carbon emissions and demand ranging from 10 41 to 48 19 and 8 45 to 7 57 respectively when free carbon allowances are decreased the demand for intermodal systems increases accordingly these results suggest that a carbon allowance allocation policy could mitigate transportation carbon emissions with a relatively small negative impact on economic activity

differentiating commitments world wide global differentiation of ghg emissions reductions based on the triptych approach a preliminary assessment in the context of global climate negotiations various approaches have been proposed to distribute commitments regarding greenhouse gas emissions mitigation over different countries one of them is the triptych approach which is a sector approach that accounts for differences in national circumstances such as population size and growth standard of living economic structure and fuel mix in power generation it was successfully applied in the negotiations on differentiation of commitments in the european union in 1997 in this study we aim to see what problems we encounter when applying the approach in a wider geographical context in order to reach this aim we establish a test differentiation of co2 emission reduction obligations for a selection of 48 countries the criteria we apply comprise technical emission reduction options only according to our triptych criteria including the choice for particular growth scenarios and a convergence of co2 emissions in the domestic sectors by the year 2030 the sum of co2 emissions in the 48 countries in 2015 is estimated to increase by 8 over 1990 levels with the criteria used the average reduction objective for the oecd will be somewhere between 10 and 20 for economies in transition to a market economy our calculations indicate on average a reduction between 30 and 50 for the developing countries we established increases varying roughly from 40 to 200 the choice for a particular growth scenario as well as the assumption for the period for the convergence of per capita emissions in the domestic sectors are crucial and may effect the outcome of the calculations to a large extent if these problems can be sufficiently solved the triptych approach can serve as a valuable tool to rank countries in a global differentiation scheme

having your cake and eating it too the before and after tax efficiencies of an extended equity mandate this article shows that extended mandates are especially effective for investors subject to taxes not only is the portfolio more efficiently positioned from a before tax perspective but it also offers significant after tax benefits from both increased loss harvesting and tax arbitrage between tax rates on long and short positions

experimental comparison of impact of auction format on carbon allowance market abstract carbon allowances auctions are a good way to achieve the carbon allowance allocations under international agreements to address global climate change based on an economic experiment this paper compares three possible carbon allowance auction formats uniform price auction discriminatory price auction and english clock auction with heterogeneous bidders coal power plants and gas power plants from four perspectives carbon price auction efficiency demand withholding and fluctuations in power supplies possibilities of collusion among bidders and impacts of allowance banking and penalty price on bidders behaviors under different auction formats are also examined the results show that 1 when there are relatively more bidders and there are no obvious communications between them despite there being some tacit collusion efficiency of english clock auction is greater than the other two formats 2 when there are relatively fewer bidders and there are obvious communications between them explicit collusions are observed under english clock auction in this case discriminatory price auction helps prevent collusion to some extents 3 in the banking scenario more speculations are observed while penalty price exacerbates price volatility

comparisons and combinations of long and long short strategies market neutral long short strategies get their returns from alphas and short rebates long strategies get their returns from alpha and the market differing return and risk sources complicate their comparison partly because of the strong market referenced focus of conventional performance analysis compelling theoretical advantages of active return per unit of active risk suggest that long short strategies are better able to deliver excess return than are conventional institutional long strategies long short strategies even with tiny positive alphas are seen to improve investors efficient frontiers when added to a traditional t bill long portfolio mix mostly because their risk sources are uncorrelated surprisingly the improvement occurs even if long short strategies are sharpe ratio inferior to long strategies these results provide theoretical support for including long short strategies in most investors mix of assets

the efficiency gains of long short investing long short strategies have generated controversy and institutional interest for more than 10 years we analyzed the efficiency gains of long short investing where we defined efficiency as the information ratio of the implemented strategy the optimal portfolio relative to the intrinsic information ratio of the alphas the efficiency advantage of long short investing arises from the loosening of the surprisingly important long only constraint long short and long only managers need to understand the impact of this significant constraint long short implementations offer the most improvement over long only implementations when the universe of assets is large asset volatility is low and the strategy has high active risk the long only constraint induces biases particularly toward small stocks limits the manager s ability to act on upside information by not allowing short positions that could finance long positions and reduces the efficiency of traditional high risk long only strategies relative t

environmental efficiency with multiple environmentally detrimental variables estimated with sfa and dea abstract the objective of this paper is to estimate comprehensive environmental efficiency measures for dutch dairy farms the environmental efficiency scores are based on the nitrogen surplus phosphate surplus and the total direct and indirect energy use of an unbalanced panel of dairy farms we define environmental efficiency as the ratio of minimum feasible to observed use of multiple environmentally detrimental inputs conditional on observed levels of output and the conventional inputs we compare two methods for the calculation of efficiency namely stochastic frontier analysis sfa and data envelopment analysis dea this paper reveals the strengths and weaknesses for estimating environmental efficiency of the methods applied both sfa and dea can estimate environmental efficiency scores the mean technical efficiency scores output oriented sfa 89 dea 78 and the mean comprehensive environmental efficiency scores sfa 80 dea 52 differ between the two methods sfa allows hypothesis testing and the monotonicity hypothesis is rejected for the specification including phosphate surplus dea can calculate environmental efficiency scores for all specifications because regularity is imposed in this method

resource allocation based on efficiency analysis the purpose of this paper is to develop an approach to a resource allocation problem that typically appears in organizations with a centralized decision making environment for example supermarket chains banks and universities the central unit is assumed to be interested in maximizing the total amount of outputs produced by the individual units by allocating available resources to them we will develop an interactive formal approach based on data envelopment analysis dea and multiple objective linear programming molp to find the most preferred allocation plan the units are assumed to be able to modify their production in the current production possibility set within certain assumptions various assumptions are considered concerning returns to scale and the ability of each unit to modify its production plan numerical examples are used to illustrate the approach

slacks based efficiency measures for modeling environmental performance we develop two slacks based efficiency measures for modeling environmental performance on the basis of environmental dea technology of the two measures one is a composite index with a higher discriminating power for modeling economic environmental performance and the other can be used to estimate the impacts of environmental regulations we apply the proposed measures to model the co2 emissions of 30 oecd countries from 1998 to 2002 and present the results obtained

energy and environmental efficiency of china s transportation sectors under the constraints of energy consumption and environmental pollutions abstract the rapid growth of the economy in china has caused many problems for the country particularly the energy shortage and environmental pollution thus establishing a sustainable development of society has attracted considerable attention in recent years in this paper we evaluate the sustainability efficiency in terms of energy usage and environmental impact by using a new equilibrium efficient frontier data envelopment analysis eefdea approach for the first time dea is used in the context of required fixed reductions in both total energy consumption and total environmental pollution which is a realistic context that introduces a zero sum aspect to the problem as part of the analysis the generalized equilibrium efficient frontier eef is constructed based on minimum satisfaction degree maximization of all units considering both minimum and maximum adjustment strategy while most existing studies only minimized the weighted sum reduction finally the sustainability efficiency of transportation sectors of china s 30 main regions is analyzed by using our proposed model the results show that more effective measures should be taken for sustainable development

a literature study for dea applied to energy and environment abstract this study systematically summarizes previous research efforts on data envelopment analysis dea applied to energy and environment in the past four decades including concepts and methodologies on dea environmental assessment industrial developments are very important for all nations in terms of their economic prosperities a problem is that the development produces various pollutions on air water and other types of contaminations all of which are usually associated with our health problems and climate changes thus it is necessary for us to consider how to make a balance between economic success and pollution mitigation to maintain a high level of social sustainability in the world it is widely considered that dea is one of the methodologies to examine the level of sustainability this study examines a recent research trend on dea applications from 1980s to 2010s nowadays many researchers have paid serious attention on how to combat various difficulties in the areas of energy and environment as a result the number of articles on dea applications on energy and environment has dramatically increased particularly after 2000s however it is true that dea has strengths and drawbacks in the applications therefore it is very important for us to carefully use dea for guiding large policy issues and business strategies such as the global warming and climate change an underlying premise of this study is that technology innovation in engineering and natural science may solve various problems by linking it with political and managerial efforts the use of dea provides a methodological linkage among them so enhancing the practicality in mitigating problems due to climate change and environmental pollutions this literature study along with a summary on conceptual and methodological developments provides us with guidelines for our future research works on dea on energy and environment issues

are you risk averse over other people s money decisions with uncertain outcomes are often made by one party in settings where another party bears the consequences whenever an individual is delegated to make decisions that affect others such as in the typical corporate structure does the individual make decisions that reflect the risk preferences of the party bearing the consequences we examine this question in two simple settings lottery choices and sealed bid auctions using controlled laboratory experiments we find that when an individual makes a decision for an anonymous stranger there is a tendency to exhibit less risk aversion this reduction in risk aversion is relative to his or her own preferences and it is also relative to his or her belief about the preferences of others this result has significant implications for the design of contracts between principals and agents

leverage aversion and portfolio optimality portfolio volatility is the only source of risk in mean variance optimality but it fails to capture all the risks faced by leveraged portfolios these risks include the possibility of margin calls and forced liquidations at adverse prices and losses beyond the capital invested to recognize these risks the authors incorporated leverage aversion into the optimization process and examined the effects of volatility and leverage aversion on optimal long short portfolios

evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice we present new analytical results for the impact of portfolio weight constraints on an investor s optimal portfolio when parameter uncertainty is taken into account while it is well known that parameter uncertainty and imposing weight constraints results in reduced certainty equivalent returns in the general case there are no analytical results in a special case commonly used in the funds management literature we derive analytical expression for the certainty equivalent loss that does not depend on the risk aversion parameter we illustrate our theoretical results using hedge fund data from the perspective of a fund of fund manager our contribution is to formalize the framework to investigate this problem as well as providing tractable analytical solutions that can be implemented using either simulated or asset manager returns

revealing the political decision toward chinese carbon abatement based on equity and efficiency criteria abstract china s economic reform over the past 30 years has allowed the free market to drive economic development however government still plays a key role in the energy sector by allocating energy conservation and emissions abatement how does the government make an equity decision as a tradeoff to market efficiency this is an unanswered question the purpose of this paper is to illustrate the government s preference toward equity and efficiency using the provincial level co 2 intensity allocation data we investigate the political decision that the government made based on the equity and efficiency criteria we find that the equity index plays a more important role than the efficiency index in determining the co 2 intensity target in addition political factors such as social stability are found to be important factors

portfolio optimization with factors scenarios and realistic short positions this paper presents fast algorithms for calculating mean variance efficient frontiers when the investor can sell securities short as well as buy long and when a factor and or scenario model of covariance is assumed currently fast algorithms for factor scenario or mixed factor and scenario models exist but except for a special case of the results reported here apply only to portfolios of long positions factor and scenario models are used widely in applied portfolio analysis and short sales have been used increasingly as part of large institutional portfolios generally the critical line algorithm cla traces out mean variance efficient sets when the investor s choice is subject to any system of linear equality or inequality constraints versions of cla that take advantage of factor and or scenario models of covariance gain speed by greatly simplifying the equations for segments of the efficient set these same algorithms can be used unchanged for the long short portfolio selection problem provided a certain condition on the constraint set holds this condition usually holds in practice

capital asset prices with and without negative holdings prize lecture to the memory of alfred nobel december 7 1990 this abstract was borrowed from another version of this item

effort sharing in ambitious global climate change mitigation scenarios abstract the post 2012 climate policy framework needs a global commitment to deep greenhouse gas emission cuts this paper analyzes reaching ambitious emission targets up to 2050 either 10 or 50 from 1990 levels and how the economic burden from mitigation efforts could be equitably shared between countries the scenarios indicate a large low cost mitigation potential in electricity and industry while reaching low emission levels in international transportation and agricultural emissions might prove difficult the two effort sharing approaches triptych and multistage were compared in terms of equitability and coherence both approaches produced an equitable cost distribution between countries with least developed countries having negative or low costs and more developed countries having higher costs there is however no definitive solution on how the costs should be balanced equitably between countries triptych seems to be yet more coherent than other approaches as it can better accommodate national circumstances last challenges and possible hindrances to effective mitigation and equitable effort sharing are presented the findings underline the significance of assumptions behind effort sharing on mitigation potentials and current emissions the challenge of sharing the effort with uncertain future allowance prices and how inefficient markets might undermine the efficiency of a cap and trade system

modeling undesirable factors in efficiency evaluation abstract data envelopment analysis dea measures the relative efficiency of decision making units dmus with multiple performance factors which are grouped into outputs and inputs once the efficient frontier is determined inefficient dmus can improve their performance to reach the efficient frontier by either increasing their current output levels or decreasing their current input levels however both desirable good and undesirable bad factors may be present for example if inefficiency exists in production processes where final products are manufactured with a production of wastes and pollutants the outputs of wastes and pollutants are undesirable and should be reduced to improve the performance using the classification invariance property we show that the standard dea model can be used to improve the performance via increasing the desirable outputs and decreasing the undesirable outputs the method can also be applied to situations when some inputs need to be increased to improve the performance the linearity and convexity of dea are preserved through our proposal

multilateral productivity comparisons when some outputs are undesirable a nonparametric approach multilateral productivity comparisons of firms producing multiple outputs some of which are undesirable are obtained by making two modifications to the standard farrell approach to efficiency measurement the restriction that production technology satisfy strong disposability of outputs is relaxed to allow for the fact that undesirable outputs may be freely disposable and the efficiency measures are modified to allow for an asymmetric treatment of desirable and undesirable outputs performance measures that satisfy these requirements are calculated as solutions to programming problems the methodology is applied to a sample of mills producing paper and pollutants

betrayal aversion evidence from brazil china oman switzerland turkey and the united states comment in a series of binary choice problems we investigate how a chooser s risk taking changes when others share in their personal risk either equally or unequally we find that when the safe option yields inequality the risky option is taken significantly more often on the other hand the inequality resulting from the risky choice does not affect risk taking we also find that choosers tend to be less risk averse in a one person context compared to when the risk also affects the payoff of another c72 d81 z13

sector decomposition of china s national economic carbon emissions and its policy implication for national ets development abstract uncovering the contributions of each sector s driving factors to the growth of national economic carbon emissions has great significance for china in developing its nationwide emission trading scheme ets the paper applies the index decomposition analysis ida and logarithmic mean divisia index lmdi model to discuss the underlying drivers behind china s national economic carbon emissions during the period 1996 2012 from both sector and factor decomposition perspectives and accordingly offers policy proposals for china s national ets development major conclusions include 1 six heavy industry sectors the transport storage post sector and the construction sector are the largest contributors and hence proposed for incorporation into the ets s coverage 2 the rapid expansion of economic output dominantly increases carbon emissions the design of cap on emissions should allow for a proper increment and establish a new entrant reserve to coordinate economic development 3 as the dynamics of carbon emissions vary markedly across sectors allowance allocation needs to consider the changing sectoral structure of emissions 4 the combined effects of sectoral energy intensity and structure changes largely offset carbon emissions benchmarking is suggested as an ideal allocation mechanism and the setup of sectoral carbon intensity benchmark should synthetically evaluate the potential impacts of related factors 5 manufacturer based manner and carbon offset mechanism are respectively recommended for the initial implementation of carbon trading in the transport storage post sector and the construction sector

fundamentals of efficient factor investing corrected may 2017 combining long only constrained factor subportfolios is generally not a mean variance efficient way to capture expected factor returns for example a combination of four fully invested factor subportfolios low beta small size value and momentum captures less than half e g 40 of the potential improvement over the market portfolio s sharpe ratio in contrast a long only portfolio of individual securities using the same risk model and return forecasts captures most e g 80 of the potential improvement we adapt traditional portfolio theory to more recently popularized factor based investing and simulate optimal combinations of factor and security portfolios using the largest 1 000 common stocks in the us equity market from 1968 to 2015

60 years of portfolio optimization practical challenges and current trends abstract the concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making in light of the 60 year anniversary of harry markowitz s paper portfolio selection we review some of the approaches developed to address the challenges encountered when using portfolio optimization in practice including the inclusion of transaction costs portfolio management constraints and the sensitivity to the estimates of expected returns and covariances in addition we selectively highlight some of the new trends and developments in the area such as diversification methods risk parity portfolios the mixing of different sources of alpha and practical multi period portfolio optimization

the triptych approach revisited a staged sectoral approach for climate mitigation abstract the triptych approach is a method for allocating future greenhouse gas ghg emission reductions among countries under a post 2012 international climate mitigation regime based on technological criteria at the sector level and accounting for structural differences the emission allowances are decomposed according to sectors thereby enabling the link to real world emission reduction strategies to be more concrete the new triptych approach presented here is a refinement of an earlier version in terms of an increased transparency and allowing a delayed participation for developing countries initial participation of developing countries with incentives but no penalties through no lose targets or sustainable development policies and measures for this article we calculated the emission reductions for countries for two technology oriented scenarios which stabilize ghg concentrations at 450 and 550 ppm co 2 eq respectively the reductions are ambitious but nonetheless compatible with existing technical reduction potentials as growth is allowed but efficiency has to be improved

trimability and fast optimization of long short portfolios optimization of long short portfolios through the use of fast algorithms takes advantage of models of covariance to simplify the equations that determine optimality fast algorithms exist for widely applied factor and scenario analysis for long only portfolios to allow their use in factor and scenario analysis for long short portfolios the concept of trimability is introduced the conclusion is that the same fast algorithms that were designed for long only portfolios can be used virtually unchanged for long short portfolio optimization provided the portfolio is trimable which usually holds in practice

tax managed factor strategies we examine the tax efficiency of an indexing strategy and six factor tilts between june 1995 and march 2018 average value added by tax management exceeded 1 50 per year at a 10 year horizon for

regional allocation of co2 emissions allowance over provinces in china by 2020 the mitigation efforts of china are increasingly important for meeting global climate target since the rapid economic growth of china has led to an increasing share in the world s total co2 emissions this paper sets out to explore the approach for realizing china s national mitigation targets submitted to the unfccc as part of the copenhagen accord that is to reduce the intensity of co2 emissions per unit of gdp by 40 45 by 2020 as well as reducing the energy intensity and increasing the share of non fossil fuel consumption through regional allocation of emission allowance over china s provinces since the realization of china s mitigation target essentially represents a total amount emission allowance allocation problem an improved zero sum gains data envelopment analysis optimization model which could deal with the constant total amount resources allocation is proposed in this study by utilizing this model and based on several scenarios of china s economic growth co2 emissions and energy consumption a new efficient emission allowance allocation scheme on provincial level for china by 2020 is proposed the allocation results indicate that different provinces have to shoulder different mitigation burdens in terms of emission intensity reduction energy intensity reduction and share of non fossil fuels increase

the myth of the absolute return investor the notion of absolute return investing is spreading like wildfire many people believe that superior returns can be achieved by managers with strong views and little regard for benchmarks this article attempts to define absolute return investing and figure out whether it exists the conclusion is that all investment returns consist of a beta part representing the correlation of the active portfolio with one or more market benchmarks or normal portfolios and an active alpha part thus all investing is relative return investing in which active returns are earned relative to an appropriate benchmark or mix of benchmarks

returns to scale and damages to scale under natural and managerial disposability strategy efficiency and competitiveness of petroleum firms environmental assessment recently becomes a major policy issue all over the world this study discusses how to use data environment analysis dea for environmental assessment for planning corporate strategy and international competitiveness an important feature of dea environmental assessment is that it classifies outputs into desirable good and undesirable bad outputs because all private and public entities produce not only desirable outputs but also undesirable outputs as a result of their production activities this study proposes the two types of output unification for dea environmental assessment by using a non radial model one of the two output unifications is that it considers a decrease in an input vector along with a decrease in the vector of undesirable outputs this type of unification is referred to as natural disposability the other unification considers an increase in an input vector but a decrease in the vector of undesirable outputs this type of strategy is referred to as managerial disposability both unifications increase the vector of desirable outputs after developing the two concepts on disposability this study theoretically explores how to measure returns to scale rts under natural disposability and damages to scale dts under managerial disposability to document the practicality of the proposed approach this study applies it to compare the performance of national oil firms with that of international oil companies this study identifies four important findings on the petroleum industry first national oil companies outperform international oil companies in the unified efficiency under natural disposability second international oil companies outperform national oil companies in the unified efficiency under managerial disposability third national oil firms exhibit a mixed result on rts while international oil firms exhibit decreasing rts finally both national and international oil companies exhibit increasing dts implying that all oil firms need to decrease their operational sizes for improving their environmental performance on co2 emission as an alternative strategy the result suggests that they need to introduce technology innovation e g clean air technology into their business operations the technology based strategy has more practicality than the size reduction in their operations

how can china reach its co2 intensity reduction targets by 2020 a regional allocation based on equity and development in late 2009 the chinese government committed to cut its carbon dioxide emissions per unit of gross domestic product gdp by 40 to 45 of 2005 levels by 2020 this has raised the issue of how to allocate the co2 reduction target regionally to meet the national reduction target to meet this objective the following aspects may be taken into consideration equity principles common but differentiated responsibilities intensity reduction target fulfillment and economic difference and reduction potential among provinces this paper selects per capita gdp accumulated fossil fuel related co2 emissions and energy consumption per unit of industrial added value as indicators for emission reduction capacity responsibility and potential respectively based on these three indicators a comprehensive index is developed and an intensity allocation model constructed as decision makers may have different preferences when allocating the reduction burden we allocate different weights to the indicators analyzing the results using cluster analysis the following aspects may also be considered together with the national regional development strategy to determine how to share the burden the reduction potential of various regions implementation potential of the plans and promotion of a highly efficient low carbon economic development model

on the social dimension of time and risk preferences an experimental study when explaining risk taking intertemporal allocation and distributing behavior economists rely on risk time and other regarding preferences but offer no guidance on how these three crucial aspects are interrelated we report on an experiment exploring such interrelation for this sake we compare evaluations of several prospects each of which allocates certain or risky and immediate or delayed payoffs to the actor and to another participant we find that individuals are selforiented as to social allocation of risk and delay and other regarding with respect to expected payoffs jel c91 d63 d81 there is ample empirical evidence that people do not behave rationally when rationality implies maximization of one s own material rewards to gain flexibility economists have taken into account nonlinear evaluation of material rewards e g in the familiar form of utility of money functions as well as social utilities including other regarding concerns like altruism as in andreoni and miller 2002 inequality aversion as in fehr and schmidt 1999 and bolton and ockenfels 2000 or quasi maximin preferences as in charness and rabin 2002 undeniably this provides a rich toolbox for neoclassical repair which allows aligning rational choice predictions with empirical data on decision behavior nonetheless this toolbox may be

in defense of portfolio optimization what if we can forecast author response we thank richard o michaud david n esch and robert o michaud for their interest in our paper in their letter they suggest that our results are inconsistent with the canonical literature beca

an empirical evaluation of tax loss harvesting alpha advances in financial technology have made tax loss harvesting more feasible for retail investors than such strategies were in the past we evaluated the magnitude of this tax alpha with the use

emission allowances and mitigation costs of china and india resulting from different effort sharing approaches to meet ambitious global climate targets mitigation effort in china and india is necessary this paper presents an analysis of the scientific literature on how effort sharing approaches affect emission allowances and abatement costs of china and india we find that reductions for both china and india differ greatly in time across and within approaches and between concentration stabilisation targets for china allocated emission allowances in 2020 are substantially below baseline projections moreover they may be below 2005 emission levels particularly for low concentration targets below 490 ppm co2 eq effort sharing approaches based on allocating reduction targets lead to relatively lower reductions for china than approaches that are based on allocating emission allowances for 2050 emission allowances for china are 50 80 below 2005 levels for low concentration targets with minor differences between approaches still mitigation costs of china including emissions trading remain mostly below global average according to literature chinese emission allowances peak before 2025 2030 for low concentration targets india s emission allowances show high increases compared to 2005 levels if emission trading is allowed financial revenues from selling credits might compensate mitigation costs in most approaches even for low concentration targets india s emission allowances peak around 2030 2040 for all concentration targets c 2012 elsevier ltd all rights reserved

environmental assessment by dea radial measurement u s coal fired power plants in iso independent system operator and rto regional transmission organization abstract the economic concept of weak and strong disposability on undesirable outputs dominated the previous discussions on dea data envelopment analysis radial measurement for environmental assessment this study reexamines the economic concept from the perspective of corporate strategies on how to adapt a regulation change on undesirable outputs the economic concept of disposability conventionally accepted by production economists is replaced by natural and managerial disposability in this study the natural disposability implies an environmental strategy that a firm attempts to decrease an input vector to reduce a vector of undesirable outputs given the decreased input vector the firm attempts to increase a vector of desirable outputs as much as possible this type of strategy indicates negative adaptation meanwhile the managerial disposability indicates an opposite strategy by increasing the input vector this disposability expresses an environmental strategy by which a firm considers a regulation change on undesirable outputs as a new business opportunity a firm attempts to improve its unified operational and environmental performance by utilizing new technology and or new management the strategy indicates positive adaptation considering the two types of disposability this study discusses how to measure unified efficiency under natural and managerial disposability by dea radial models to document the practicality of the proposed dea environmental assessment this study applies it to compare the performance of u s coal fired power plants under isos rtos independent system operators regional transmission organizations with that of the other power plants not belonging to any organization this study identifies two empirical findings one of the two findings is that the latter coal fired power plants outperform the former power plants belonging to isos rtos in terms of three efficiency measures this result indicates that isos and rtos do not provide an effective coordination for coal fired power plants at the level that can be found in the other power plants the other finding is that there is technological improvement in the operation of coal fired power plants

consensus expectations and international equity returns numerous studies of u s markets have shown that stock selection models have been able to isolate securities that earn returns above those predicted by a simple market model models examining the relation between analyst expectations and returns have been particularly useful unexpected earnings changes in analysts earnings per share forecasts the number of analysts revising their forecasts all these measures have been found to be useful in predicting abnormal returns in u s equity markets at least two of these measures changes in analysts eps forecasts and the number of analysts changing their forecasts are also related to abnormal returns in several international markets

tiered gasoline pricing a personal carbon trading perspective abstract this paper proffers a tiered gasoline pricing method from a personal carbon trading perspective an optimization model of personal carbon trading is proposed and then an equilibrium carbon price is derived according to the market clearing condition based on the derived equilibrium carbon price this paper proposes a calculation method of tiered gasoline pricing then sensitivity analyses and consumers surplus analyses are conducted it can be shown that a rise in gasoline price or a more generous allowance allocation would incur a decrease in the equilibrium carbon price making the first tiered price higher but the second tiered price lower it is further verified that the proposed tiered pricing method is progressive because it would relieve the pressure of the low income groups who consume less gasoline while imposing a greater burden on the high income groups who consume more gasoline based on these results implications limitations and suggestions for future studies are provided

a note on coupled lotteries we study the impact of coupling a decision maker s lottery payoffs to those of a peer on the preferred level of risk by means of a lab experiment compared to the benchmark where the lotteries are paid off individually symmetrically coupled payoffs increase the willingness to take risks whereas asymmetrically coupled payoffs have the opposite effect moreover subjects with persistent choices in the different conditions behave more risk averse than subjects with non persistent behavior

allocating fixed costs and resources via data envelopment analysis abstract in this paper we show that data envelopment analysis dea can be viewed as maximising the average efficiency of the decision making units dmus in an organisation building upon this we present dea based models for a allocating fixed costs to dmus and b allocating input resources to dmus simultaneous to allocating input resources output targets are also decided for each dmu numeric results are presented for a number of example problems taken from the literature

characterizing an equitable allocation of shared costs a dea approach abstract in many applications to which dea could be applied there is often a fixed or common cost which is imposed on all decision making units this would be the case for example for branches of a bank which can be accessed via the numerous automatic teller machines scattered throughout the country a problem arises as to how this cost can be assigned in an equitable way to the various dmus in this paper we propose a dea approach to obtain this cost allocation which is based on two principles invariance and pareto minimality it is shown that the proposed method is a natural extension of the simple one dimensional problem to the general multiple input multiple output case

disaggregating energy use cap among china s provinces the 2015 paris climate change negotiations represents the most ambitious worldwide effort to date to combat climate change as the largest energy consumer and carbon emitter china pledges 60 65 cut in carbon intensity below 2005 levels by 2030 to accelerate china s climate efforts china has also committed to cap its primary energy use at 4 8 billion tons of coal equivalent in 2020 this paper proposes an equitable and efficient scheme to disaggregate this national goal among provinces a three step disaggregation procedure is proposed which takes into account the initial allocation national redistribution and inter provincial adjustment first this study allocates the incremental energy quota taking 2010 as the base year second part of the energy quota is set aside by the central government for redistribution purposes while an incremental energy quota index comprising equity and efficiency criteria is used for initial allocation among provinces finally historical efforts and inter provincial energy flows are considered for inter provincial adjustment this disaggregation scheme is flexible and can be easily extended to allocation and management of other resource and environmental targets the empirical findings can assist decision makers in identifying which provinces are likely to over consume the energy quota relative to the proposed allocation and which provinces are likely to perform better in energy conservation moreover the results show that the energy cap set for 2020 is unachievable without further action market based instruments such as an energy allowance trading market are strongly recommended to achieve the energy use target in an equitable and cost effective manner

a tripartite equilibrium for carbon emission allowance allocation in the power supply industry abstract in the past decades there has been a worldwide multilateral efforts to reduce carbon emissions in particular the cap and trade mechanism has been regarded as an effective way to control emissions this is a market based approach focused on the efficient allocation of initial emissions allowances based on the grandfather allocation method this paper develops an alternative method derived from boltzmann distribution to calculate the allowances further with fully considering the relationship between the regional authority power plants and grid company a three level multi objective model for carbon emission allowance allocations in the power supply industry is presented to achieve tripartite equilibrium the impacts on electricity output carbon emissions and carbon intensity of the allocation method allocation cap and emission limits are assessed the results showed that the greatest impact was seen in the emission limits rather than the allocation cap or allocation method it also indicated that to effectively achieve reduction targets it is necessary to allocate greater allowances to lower carbon intensity power plants these results demonstrated the practicality and efficiency of the proposed model in seeking optimal allocation policies

portfolio frontiers with restrictions to tracking error volatility and value at risk abstract asset managers are often given the task of restricting their activity by keeping both the value at risk var and the tracking error volatility tev under control however these constraints may be impossible to satisfy simultaneously because var is independent of the benchmark portfolio the management of these restrictions is likely to affect portfolio performance and produces a wide variety of scenarios in the risk return space the aim of this paper is to analyse various interactions between portfolio frontiers when risk managers impose joint restrictions upon tev and var specifically we provide analytical solutions for all the intersections and we propose simple numerical methods when such solutions are not available finally we introduce a new portfolio frontier

scenario analysis of china s emissions pathways in the 21st century for low carbon transition china s growing demand for energy and its dependence on coal has seen its carbon emissions increase more than 50 since 2000 within the debate about mitigating global climate change there is mounting pressure for emerging economies like china to take more responsibility for reducing their carbon emissions within a post 2012 international climate change policy framework for china this leads to fundamental questions about how feasible it is for the country to shift away from its recent carbon intensive pattern of growth this paper presents some general results of scenarios that have been developed to investigate how china might continue to develop within a cumulative carbon emissions budget the results show how changes in the key sectors of the chinese economy could enable china to follow four different low carbon development pathways each of which complies with a cumulative emissions constraint each scenario reflects different priorities for governmental decision making infrastructure investments and social preferences having compared the key features of each scenario the paper concludes with some implications for chinese government policy

olympic ranking based on a zero sum gains dea model abstract it is usual to rank the participant countries in the olympic games in accordance with the number of medals they have won an alternative ranking is suggested in this paper this ranking is based on each country s ability to win medals in relation to its available resources this is an efficiency that can be measured with the help of data envelopment analysis dea for which two models exist the traditional dea model that takes into account variable returns to scale and a dea model based on the premise that the sum of the gains is zero constant sum of outputs it is the latter that is developed in this paper

how variation in signal quality affects performance the information coefficient ic the correlation between forecasted and realized return is a popular measure of signal quality as shown in this article variation in ic is an important source of active risk and ic variation has an effect on optimal portfolio structure contrary to popular belief the ability to take short positions in equity portfolios does not necessarily lead to superior performance managers who can maintain a stable ic over time will benefit from short extensions but managers who have an unstable ic may see their performance deteriorate from increased short positions

the tax benefits of separating alpha from beta long only active investment strategies have an inherent flaw investors pay capital gains taxes on market related gains as well as on the alpha created by separating alpha and beta taxes can be r

on the optimality of long short strategies we consider the optimality of portfolios not subject to short selling constraints and derive conditions that a universe of securities must satisfy for an optimal active portfolio to be dollar neutr

stackelberg nash cournot equilibria characterizations and computations the supply side of an oligopolistic market supplying a homogeneous product noncooperatively is modeled in this market there is one leader and n followers the followers operate under the cournot assumption of zero conjectural variation and are accordingly called cournot firms the leader called a stackelberg firm specifically takes into account the reaction of the cournot firms to its output for this situation we study the behavior and implications of the joint cournot reaction curve as generated by plausible economic market assumptions in particular we study the existence and uniqueness of a stackelberg nash cournot equilibrium in addition we prescribe an efficient algorithm to determine a set of equilibrating output quantities for the firms

misery loves company social regret and social interaction effects in choices under risk and uncertainty abstract extensive field evidence shows individuals decisions in settings involving uncertainty depend on their peers decisions one hypothesized cause of peer group effects is social interaction effects an individual s utility from an action is enhanced by others taking the same action we employ a series of controlled laboratory experiments to study the causes of peer effects in choice under uncertainty we find strong peer group effects in the laboratory our design allows us to rule out social learning social norms group affiliation and complementarities as possible causes for the observed peer group effects leaving social interaction effects as the likely cause we use a combination of theory and empirical analysis to show that preferences including social regret are more consistent with the data than preferences including a taste for conformity we observe spillover effects as observing another s choice of one risky gamble makes all risky gambles more likely to be chosen

20 myths about long short popular conceptions of long short investing are distorted by a number of myths many of which appear to result from viewing long short from a conventional investment perspective long short portfolios differ fundamentally from long only portfolios in construction in the measurement of their risk and return and in their implementation costs furthermore long short portfolios allow greater flexibility in security selection asset allocation and overall plan structure

illiquidity position limits and optimal investment for mutual funds we study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity we provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy we show that the optimal trading boundaries are increasing in both the lower and the upper position limits we find that position limits can affect current trading strategy even when they are not currently binding and other seemingly intuitive trading strategies can be costly we also examine the optimal choice of position limits

portfolio constraints and the fundamental law of active management active portfolio management is typically conducted within constraints that do not allow managers to fully exploit their ability to forecast returns constraints on short positions and turnover for example are fairly common and materially restrictive other constraints such as market capitalization and value growth neutrality with respect to the benchmark or economic sector constraints can further restrict an active portfolio s composition we derive ex ante and ex post correlation relationships that facilitate the performance analysis of constrained portfolios the ex ante relationship is a generalized version of a previously developed fundamental law of active management and provides an important strategic perspective on the potential for active management to add value the ex post correlation relationship represents a practical decomposition of performance into the success of the return prediction process and the noise associated with portfolio constraints we verify the accuracy of these relati

performance attribution and the fundamental law the reported study operationalized the fundamental law of active management in the context of a factor based performance attribution system the system incorporates factor payoffs in the linear regression framework that many portfolio managers and external reviewers use to judge what is being rewarded in the market the study indicates that parameters of the fundamental law can be used to approximate and interpret the results of the regression based performance attribution system the procedure is illustrated by the use of security holdings returns and factor exposure data for two portfolios benchmarked to the s p 500 index for april 1995 to march 2004

a note on market neutral portfolio selection abstract long short equity strategies allow investors to benefit potentially from both undervalued and overvalued securities the present study develops a normative portfolio model under the practical conditions that a market neutral strategy entails the offsetting long and short equity holdings are established jointly and without any constraints by the underlying market index while accurately capturing institutional procedures for short selling the model contains the analytical and economic properties as required for a ranking approach to filter out any undesirable securities under consideration in view of its practical features the analysis should be of interest to practitioners for assisting their long short investment decisions

optimizing tracking error constrained portfolios active portfolios subject to tracking error te constraints are the typical setup for active managers tasked with outperforming a benchmark the risk and return relationship of such constrained po

planning carbon emission trading for beijing s electric power systems under dual uncertainties in this study a full infinite interval stochastic mixed integer programming fimp method is developed for planning carbon emission trading cet under dual uncertainties fimp has advantages in uncertainty reflection and policy analysis particularly when the input parameters are provided as crisp and functional intervals as well as probabilistic distributions the developed fimp is applied to a real case study for managing carbon dioxide co2 emissions with trading scheme of beijing s electric power system eps electric power industry is one of the major sources of co2 emission in china it is essential to accumulate relevant experience to provide a reliable basis for establishing a regional or national cet market so as to prepare for docking with the international market this is the first attempt to introduce cet scheme into beijing s eps to mitigate co2 emissions the solutions for energy supply electricity generation carbon quota allocation and capacity expansion are obtained they cannot only be used for formulating co2 reduction policies and assessing the associated economic implications in purchasing emission permits or bearing economic penalties but also facilitate analyzing various policies when pre regulated electricity generation plans and pre defined co2 emission schemes are violated

on the strategic behavior of large investors a mean variance portfolio approach abstract one key assumption of markowitz s model is that all traders act as price takers in this paper we extend this mean variance approach in a setting where large investors can move prices instead of having an individual optimization problem we find the investors nash equilibrium and redefine the efficient frontier in this new framework we also develop a simplified application of the general model with two assets and two investors to shed light on the potential strategic behavior of large and atomic investors our findings validate the claim that large investors enhance their portfolio performance in relation to perfect market conditions besides we show under which conditions atomic investors can benefit in relation to the standard setting even if they have not total influence on their eventual performance the two investors two assets setting allows us to quantify performance and do sensitivity analysis regarding investors market power risk tolerance and price elasticity of demand finally for a group of well known etfs we empirically show how price variations change depending on the volume traded we also explain how to set up and use our model with real market data

the role of responsibility in strategic risk taking we explore play between groups where one member of each 2 person group dictates the play of that group and is therefore responsible for the payoff of the other group member we compare this to play when the game is the same but each person is playing only for herself consistent with the principle of responsibility alleviation described by charness charness g 2000 responsibility and effort in an experimental labor market journal of economic behavior and organization 42 375 384 we find that a sense of responsibility for the welfare of others has an effect while the issue of responsibility does not appear to influence the decisions of 2 3 of the population almost 90 percent of the remaining 1 3 of the population plays a less risky strategy when choosing for a group than when playing only for herself

dea approach for unified efficiency measurement assessment of japanese fossil fuel power generation this study discusses a new dea data envelopment analysis approach to measure the unified operational and environmental efficiency of energy firms it is widely known that they produce not only desirable good outputs e g electricity but also undesirable bad outputs e g co2 as a result of their plant operations the proposed approach incorporates an output separation desirable and undesirable outputs for the performance evaluation of energy firms in addition to the output separation this study separates inputs into energy and non energy inputs consequently the proposed approach incorporates not only the output separation but also the input separation within a computational framework of dea non radial measurement this study compares the proposed approach with other previous dea approaches used for the performance evaluation of energy firms after the methodological comparison this study applies the proposed approach for measuring the unified efficiency of japanese fossil fuel power generation this empirical study confirms that the implementation of kyoto protocol 2005 has not been effective on the unified efficiency of japanese fossil fuel power generation during the observed period 2004 2008 although the empirical result is inconsistent with the current japanese environmental policy under kyoto protocol it contains policy implications for guiding the future direction of japanese environmental policy on the electric power industry

non parametric frontier approach to modelling the relationships among population gdp energy consumption and co2 emissions abstract in this paper a non parametric approach based in data envelopment analysis dea is proposed as an alternative to the kaya identity a k a impact this frontier method identifies and extends existing best practices population and gdp are considered as input and output respectively both primary energy consumption and greenhouse gas ghg emissions are considered as undesirable outputs several linear programming models are formulated with different aims namely a determine efficiency levels b estimate maximum gdp compatible with given levels of population energy intensity and carbonization intensity and c estimate the minimum level of ghg emissions compatible with given levels of population gdp energy intensity or carbonization index the united states of america case is used as illustration of the proposed approach