the effectiveness of targeted wage subsidies for hard to place workers targeted wage subsidies paid to employers are an important element of active labour market policies in germany this article uses propensity score matching to investigate their effect on the employment and unemployment rates of subsidized hard to place workers in a first scenario we estimate the average treatment effect of a subsidy on previously unemployed individuals a second scenario analyses the effects of a subsidy on employment probabilities conditional on taking up employment the third scenario investigates the additional effect of a subsidy on individuals who have participated in a short term training measure beforehand summing up and in line with the literature the results show that subsidies have a favourable effect on the employment prospects of participants

estimation of high frequency volatility an autoregressive conditional duration approach we propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration acd model called the acd icv method we compare the daily volatility estimated using the acd icv method against several versions of the realized volatility rv method including the bipower variation rv with subsampling the realized kernel estimate and the duration based rv our monte carlo results show that the acd icv method has lower root mean squared error than the rv methods in almost all cases considered this article has online supplementary material

do wage subsidies increase employment in subsidized firms this paper examines whether subsidized jobs have contributed to employment in subsidized firms or have merely substituted for non subsidized ones the data set is an unbalanced panel of some 31 000 firms that are followed annually between 1995 and 2002 the analysis is based on difference in differences which is adjusted by regression and matching methods the results indicate that wage subsidies stimulate employment and that the magnitude of the effect is as aimed i also found that subsidies have no sizeable effects on non subsidized firms

testing and valuing dynamic correlations for asset allocation we evaluate alternative models of variances and correlations with an economic loss function we construct portfolios to minimize predicted variance subject to a required return it is shown that the realized volatility is smallest for the correctly specified covariance matrix for any vector of expected returns a test of relative performance of two covariance matrices is based on work of diebold and mariano the method is applied to stocks and bonds and then to highly correlated assets on average dynamically correct correlations are worth around 60 basis points in annualized terms but on some days they may be worth hundreds

portfolio optimization when asset returns have the gaussian mixture distribution abstract in this paper we consider a portfolio optimization problem where the underlying asset returns are distributed as a mixture of two multivariate gaussians these two gaussians may be associated with distressed and tranquil market regimes in this context the sharpe ratio needs to be replaced by other non linear objective functions which in the case of many underlying assets lead to optimization problems which cannot be easily solved with standard techniques we obtain a geometric characterization of efficient portfolios which reduces the complexity of the portfolio optimization problem

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

on estimating market microstructure noise variance abstract we study the market microstructure noise variance estimation of high frequency stock prices based on the hansen and lunde 2006 approach we propose estimates using subsampling method at different time scales we conduct a monte carlo study to compare our method against others in the literature our results show that our proposed estimates have lower absolute mean error and root mean squared error and their performance is quite stable at different time scales

do wage subsidies provide a stepping stone to employment for recent college graduates evidence from a randomized experiment in jordan abstract this study examines the impact of a randomized experiment in jordan in which female community college graduates were assigned to receive a wage subsidy voucher the wage voucher led to a 38 percentage point increase in employment in the short run but the average effect is much smaller and no longer statistically significant after the voucher period has expired the extra job experience gained as a result of the wage subsidy does not provide a stepping stone to new jobs for these recent graduates which appears to be due to productivity levels not rising above a binding minimum wage

assisting the transition from workfare to work a randomized experiment randomly sampled workfare participants in a welfare dependent region of argentina were given a voucher that entitled an employer to a sizable wage subsidy a second sample also received the option of skill training while a third sample formed the control group the authors analyze the effects of this scheme on participants employment and income using double difference and instrumental variables methods to deal with potential experimental biases including selective compliance with the randomized assignment the authors find that compared with the control group voucher recipients had a significantly higher probability of employment though their current incomes were no higher the impact was largely confined to women and younger workers labor supply effects appear to have been important however training had no significant impact the experiment was cost effective in reducing the government s welfare spending since take up of the subsidy by employers was low

alternative approaches to evaluation in empirical microeconomics four alternative but related approaches to empirical evaluation of policy interventions are studied social experiments natural experiments matching methods and instrumental variables in each case the necessary assumptions and the data requirements are considered for estimation of a number of key parameters of interest these key parameters include the average treatment effect the treatment on the treated and the local average treatment effect some issues of implementation and interpretation are discussed drawing on the labour market programme evaluation literature

assessing market microstructure effects via realized volatility measures with an application to the dow jones industrial average stocks transaction prices of financial assets are contaminated by market microstructure effects this is particularly relevant when estimating volatility using high frequency data in this article we assess statistically the effect of microstructure noise on volatility estimators and test the hypothesis that its variance is independent of the sampling frequency we provide evidence based on the dow jones industrial average stocks we find that noise has a statistically significant effect on volatility estimators at frequencies of 2 3 min or higher the independently and identically distributed specification with constant variance seems to be a plausible model for microstructure noise except for ultra high frequencies

labor market analysis and labor policymaking in the nation s capital the author who served as chief economist checo at the u s department of labor in 2011 and 2012 discusses her work in the department and the nature of government policy making in the areas of labor and employment she lauds the extent to which policy making in the department is based on empirical evidence and economic analysis and says greater interaction between the department and academic economists who can provide such evidence and analysis would be beneficial she offers figures on the ongoing labor market effects of the 2008 financial crisis and ensuing recession and discusses the department s efforts to address problems including long term unemployment and the problems of african american and hispanic workers

a possibilistic mean semivariance entropy model for multi period portfolio selection with transaction costs abstract this paper deals with a multi period portfolio selection problem with fuzzy returns a possibilistic mean semivariance entropy model for multi period portfolio selection is presented by taking into account four criteria viz return risk transaction cost and diversification degree of portfolio in the proposed model the return level is quantified by the possibilistic mean value of return the risk level is characterized by the lower possibilistic semivariance of return and the diversification degree of portfolio is measured by the originally presented possibilistic entropy furthermore a hybrid intelligent algorithm is designed to obtain the optimal portfolio strategy finally the comparison analysis between the possibilistic entropy model and the proportion entropy model is provided by two numerical examples to illustrate the efficiency of the proposed approaches and the designed algorithm

why don t eligible firms claim hiring subsidies the role of job duration i introduction for over 30 yr the u s government has encouraged the hiring of disadvantaged workers by allowing firms with qualified workers to claim federal tax credits the work opportunity tax credit wotc and welfare to work tax credit wtw are available to firms that hire certain workers from a number of target groups such as welfare recipients young food stamp recipients young workers from economically depressed areas and ex felons despite substantial labor market participation by these groups only a small percentage of firms claim the subsidies for which they qualify for example wisconsin microdata suggest that employers left an estimated 8 million unclaimed for qualified welfare and food stamp recipients in 2001 in the same year employers claimed less than 2 million for workers in these target groups because wisconsin only accounts for about 2 of the u s population and 2 of all wotc wtw certifications unclaimed benefits nationwide are likely to be worth over 400 million per year moreover low participation in employer subsidy programs is not a new phenomenon but has persisted for decades in a variety of similar programs why do firms leave these subsidies unclaimed possible explanations for this puzzle include lack of information discomfort with involvement in government programs or low benefits from participation relative to administrative costs in this study i examine the merits of the last explanation in particular i investigate the potential role of worker hours requirements which tightly link subsidy rates to the job duration of qualified employees such requirements have been a standard feature of targeted employer tax credit programs since the 1970s in the period i study 1999 2002 a firm qualifies for the wotc only if an eligible worker remains employed for at least 120 h and the subsidy rate increases if the worker exceeds 400 h the wtw credit requires a minimum of 400 h of work however workers in this category can qualify for the wotc if they do not meet this hours requirement a firm must apply for the tax credits at the time it hires a qualified worker even though the firm will only be permitted to claim a subsidy if the worker s hours exceed the threshold this combination of up front costs and uncertain benefits might discourage some firms from participating understanding the potential role of hours requirements in the participation decision may provide needed insight into firms continually low interest in employer subsidies in this article i examine the relationship between a firm s wotc wtw participation and the distribution of its eligible workers job durations which is a key determinant of potential benefits i use a unique set of wisconsin administrative data which links the state s wotc wtw job records containing hourly wage data to their corresponding unemployment insurance records containing total earnings data this allows me to conduct the first examination to my knowledge of the distribution of job durations in hours for subsidy certified workers 1 i then compare this distribution with an estimate of the hours distribution for other wotc wtw eligible workers whose employers did not apply for the credits a reasonable explanation for these firms nonparticipation may be that they would have gained little from the subsidy program if firms form expectations based on their typical hours distribution then i expect to see higher participation among firms with stronger distributions that is with more workers in the higher subsidy brackets i estimate the average fixed cost of firm participation in wotc and then using a probit model in which i control for relevant covariates i analyze the relationship between firms worker hour distributions and their participation in the wotc wtw although this relationship is interesting it does not necessarily imply a causal effect of hours on participation if as theory would predict participating firms maximize wotc wtw benefits by intentionally increasing workers job duration after the participation decision has already been made

are classical experiments needed for manpower policy the critical element that distinguishes classical experiments from all other modes of analysis is the random assignment of treatment to enrollees in a study this paper examines the major methodological advantages of random assignment for the purpose of estimating the effectiveness of current manpower policy it also reviews the claimed methodological and ethical objections to experiments the main valid objection to an experiment is neither methodological nor ethical it is the experiment s cost in relation to that of nonexperimental methods of analysis the authors argue that the offsetting gain from experimentation is the inherent reliability of experimental estimates of treatment effects the paper offers a simple framework for deciding whether the improved reliability of treatment effect estimates is worth the added cost of experimentation it concludes with an assessment of the actual value of experiments for evaluating current manpower policies

are targeted wage subsidies harmful evidence from a wage voucher experiment this paper presents the results of a controlled experiment designed to test the effectiveness of a targeted wage subsidy program such programs are intended to increase the employment of target group workers by offering employers reimbursement for part of those workers wages in the dayton ohio experiment however job seekers given experimental vouchers identifying them to employers as eligible for a generous wage subsidy were significantly less likely to find employment than were job seekers without vouchers the author speculates that the vouchers had a stigmatizing effect and provided a screening device with which employers discriminated against economically disadvantaged workers

spatial versus social mismatch the aim of this paper is to provide a new mechanism based on social interactions explaining why distance to jobs can have a negative impact on workers labor market outcomes especially ethnic minorities building on granovetter s idea that weak ties are superior to strong ties for providing support in getting a job we develop a model in which workers who live far away from jobs choose to have less connections to weak ties because of the lack of good public transportation in the us it is costly both in terms of time and money to commute to business centers to meet other types of people who can provide other source of information about jobs if distant minority workers mainly rely on their strong ties who are more likely to be unemployed there is then little chance for them of escaping unemployment it is therefore the separation in both the social and physical space that prevents ethnic minorities from finding a job

evaluating the employment impact of a mandatory job search program this paper exploits area based piloting and age related eligibility rules to identify treatment effects of a labor market program the new deal for young people in the u k a central focus is on substitution displacement effects and on equilibrium wage effects the program includes extensive job assistance and wage subsidies to employers we find that the impact of the program significantly raised transitions to employment by about 5 percentage points the impact is robust to a wide variety of nonexperimental estimators however we present some evidence that this effect may not be as large in the longer run jel j18 j23 j38

portfolio selection in stochastic markets with hara utility functions in this paper we consider the optimal portfolio selection problem where the investor maximizes the expected utility of the terminal wealth the utility function belongs to the hara family which includes exponential logarithmic and power utility functions the main feature of the model is that returns of the risky assets and the utility function all depend on an external process that represents the stochastic market the states of the market describe the prevailing economic financial social political and other conditions that affect the deterministic and probabilistic parameters of the model we suppose that the random changes in the market states are depicted by a markov chain dynamic programming is used to obtain an explicit characterization of the optimal policy in particular it is shown that optimal portfolios satisfy the separation property and the composition of the risky portfolio does not depend on the wealth of the investor we also provide an explicit construction of the optimal wealth process and use it to determine various quantities of interest the return risk frontiers of the terminal wealth are shown to have linear forms special cases are discussed together with numerical illustrations

asset allocation with correlation a composite trade off abstract we assess the ability of minimum variance portfolio allocation strategies accounting for time varying correlation between assets to provide performance benefits relative to an equally weighted portfolio prior to transaction costs correlation based strategies emphatically outperform the equally weighted benchmark this finding is strongest for short horizon correlation forecasts and attributed to dynamic correlation as opposed to variance forecasts thus estimation error is not found to be the primary obstacle to successful portfolio optimization rather frequent rebalancing and associated transaction costs pose a significant challenge limiting portfolio turnover through short selling restrictions and greater rebalancing error tolerance results in regular outperformance of the correlation based strategies even for large transaction costs taken together these findings provide evidence of a trade off between optimal portfolio performance forecasting horizon rebalancing frequency and transaction costs