relative earnings and individual union membership in the united kingdom considerable attention has been focused in recent years on the empirical analysis of the effect of trade unions on the structure of earnings such empirical investigation usually entails measurement of the union non union differential in wages or earnings at the level of the individual this involves comparison of the earnings of union members with estimates of what their earnings would be were they not union members or equivalently examination of differences in earnings between individuals comparable with regard to all other relevant characteristics who differ in their union membership alone in the united kingdom all previous attempts at estimation of this differential have used aggregate data at either the industry or occupation level 1 the conventional methodology involves regression of the logarithm of the average wage on either the proportion of workers who are union members or the proportion covered by a collective agreement together with a vector of industry characteristics that are deemed to determine the non union wage however several problems are immediately apparent with this methodology first the model ignores the possibility of variation in the differential across industries which has potentially serious consequences second the vector of other characteristics customarily used is somewhat limited and raises doubts concerning the adequacy of the standardization for what might loosely be termed labour quality third only a sub sample of industries is ever used owing to lack of data those industries excluded are generally smaller in terms of employment that those included if the differential varies with the size of the industry a further bias will be induced all of these problems are either removed or lessened by the use of individual level data for an analysis of their impact at the industry level see geroski and stewart 1981 2 as a result it is now widely accepted that the appropriate way to measure such differentials is to use micro data sets at the level of the individual worker until recently suitable data have not been available for the united kingdom and hence such analysis was not possible this paper presents the first estimates for the united kingdom based on individual level data if the value of the union non union differential were the same for all workers in the unionized sector analysis at the industry level and the individual level would produce similar results however the marshallian laws of derived demand suggest that this will not be the case despite this clear prediction of variation in the differential there has been little systematic investigation of the variation this paper also presents such an analysis since variation in the differential across industries results in aggregation bias in industry level studies such an analysis is of considerable relevance to the evaluation of the evidence from such studies as well as being of interest in its own right the paper is laid out as follows section i presents a method of estimating the union non union differential at the individual level while section ii

women and the union wage gap this paper uses the social change and economic life initiative 1986 data set to provide new estimates for the female union wage gap for britain the joint endogeneity of trade union and full time part time employment status is addressed within the econometric framework of a bivariate sample selection model the mean unconditional union mark up estimate for female full time workers is estimated at 14 6 percent with the comparable estimate for part time female workers estimated at 15 3 percent copyright 1992 by royal economic society

ipssis an integrated multicriteria decision support system for equity portfolio construction and selection abstract a fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria corresponding to the first two moments of return distributions namely the expected return and portfolio variance according to this model and according to most of the portfolio models derived from the stochastic dominance approach the group of portfolios open to comparisons is divided into two parts on the one hand there are the efficient portfolios those that are not dominated by any other portfolio in the group and on the other those that are dominated in other words these models do not solve for one optimal portfolio but rather solve for an efficient set of portfolios among which the investor must choose given his preference system one criticism over these models which has often been addressed both by practitioners and academics is that they fail to embody the objectives of the decision maker dm through the various stages of the decision process our purpose in this article is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios which will take into account the inherent multidimensional nature of the problem while allowing the dm to incorporate his preferences in the decision process the proposed approach which grounds its basis on the field of multiple criteria decision making mcdm and more specifically on multiobjective mathematical programming mmp is implemented in the ipssis integrated portfolio synthesis and selection information system decision support system dss the validity of the proposed approach is tested through an illustrative application in the athens stock exchange ase

assessing the influence of campaign expenditures on voting behavior with a comprehensive electoral market model this paper extends previous single equation econometric modeling efforts of the sales advertising relationship in elections operating within the perspective of the general demand context of voting behavior it develops a comprehensive electoral market model that takes account of potential simultaneous relationships among votes cast campaign expenditures and voting participation turnout the model is estimated using 3sls techniques with aggregate electoral district data from each of eight canadian provincial elections the model appears to yield consistent and therefore generalizable empirical results across the eight election events chief among the empirical results is the expected relationship between campaign efforts and voting behavior own communications efforts as proxied by campaign expenditures have a positive impact on votes received while competitive communications efforts draw votes away from a candidate

work experience earnings and participation evidence from the women and employment survey this paper presents a probit model of labour force participation and a set of earnings equations estimated using data from the 1980 women and employment survey the results of the participation model compare with previous findings and the earnings models give typical results of human capital and job characteristics variables exclusion of the sample selection effect appears to be of importance and a linear piecewise experience variable outperforms the quadratic specification

using portfolio theory to improve resource efficiency of invested capital limited literature provides concrete theory based methods for quantifying the effects of sharing capital this paper describes the potential contribution of portfolio theory to quantify the effects and optimize the employment of capital human tangible financial and service employing capital in a theoretical and quantitative manner in the context of sustainability insights illustrate how portfolio principles can yield benefits including the fulfillment of needs using fewer resources consistent with sustainability in particular pooling assets to meet uncertain demands from different users of an asset pool may yield benefit from diversification effects suggests future research avenues such as the management of high value critical value and expiring resources to support sustainability

the impact of competition on advertising the case of political campaign expenditures this paper uses constituency level political campaign expenditures to analyze the impact of competition on advertising a theoretical model based on expected utility maximization predicts an uncertain impact of increased competition on campaign spending the direction of this impact is tested using data from the 1979 and 1980 canadian federal elections competition is found to have a positive effect on spending and several other plausible hypotheses of expenditure determination are rejected these include constant spending per voter or per constituency the random allocation of funds and spending based on incumbency ministerial status or the spending of other political parties

seniority earnings and unions this paper uses a new data source to investigate whether wages rise more with seniority in unionized or non unionized workplaces the data distinguish workers who are covered by incremental wage scales with automatic progression by seniority for union workers with seniority scales the union wage differential increases with seniority this is not the case for union workers without seniority scales taking account of this heterogeneity we are able to reconcile previous paradoxical empirical findings the results provide support for discriminating monopoly models of the trade union and have important efficiency and distributional implications

an investigation into the power of insiders in wage determination abstract this paper is concerned with the role of insider forces in wage determination various union and non union models of wage behaviour are considered and they imply that wages are a convex combination of internal and external factors certain union models also imply a degree of hysteresis data on fourteen british production industries reveal that i insider forces are important ii their importance is directly related to both union power and the degree of monopoly in the product market iii the state of the aggregate labour market is also important and iv hysteresis effects arising from insider power are only significant in a small minority of sectors

home bias in equity portfolios inflation hedging and international capital market equilibrium we test whether the home bias in equity portfolios is caused by investors trying to hedge inflation risk the empirical evidence is consistent with this motive only if investors have very high levels of risk tolerance and equity returns are negatively correlated with domestic inflation we then develop a model of international portfolio choice and equity market equilibrium that integrates inflation risk and deadweight costs using this model we estimate the levels of costs required to generate the observed home bias in portfolios consistent with different levels of risk aversion for a level of risk aversion consistent with standard estimates of the domestic equity market risk premium these costs are about a few percent per annum greater than observable costs such as withholding taxes thus the home bias cannot be explained by either inflation hedging or direct observable costs of international investment unless investors have very low levels of risk aversion article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

estimating the probability of trade union membership a study of men and women in britain the paper examines the determinants of the individual decision to unionize for british employees and uses micro data from the 1975 national training survey the unionization probability is estimated separately for manual and non manual men and full time and part time women an interesting finding is that personal characteristics of both men and women generally do not affect the unionization probability this result run counter to the common perception that family responsibilities explain low female trade union density

on the sensitivity of mean variance efficient portfolios to changes in asset means some analytical and computational results tbis paper investigates the sensitivity of meanvariance mv efficientportfolios to changes in the means of individual assets when only a budget constraint is imposed on the investment problem the analytical results indicate that an mv efficient portfolio s weights mean and variance can be extremely sensitive to cbanges in asset means when nonnegativity constraints are also imposed on the problem the computational results confirm that a positively weigbted mv efficient portfolio s weigbts are extremely sensitive to cbanges in asset means but the portfolio s returns are not a surprisingly small increase in the mean of just one asset drives balf the securities from the portfolio yet the portfolio s expected return and standard deviation are virtually uncbanged this paper supersedes should investors hold well diversified portfolios financial support from the natural science and engineering research council of canada is gratefully acknowledged we also acknowledge the most capable assistance of ruth cornale simon ng jean marc potier and frederick shen the paper was presented at simon fraser university and the western finance association meetings in san diego we thank the participants especially stephen brown john herzog john heaney ray koopman and bruce lehmann and the editors jon ingersoll and chester spatt for

on diversification given asymmetry in returns complete diversification is the rational investment strategy for a risk averse individual in a homogeneous securities market who considers only the first two moments of return observed behavior of market participants however demonstrates that the majority of individual investors hold imperfectly diversified portfolios the purpose of the present study is to examine one potential cause for this behavior which does not rely on imperfection in the capital market specifically we show that given the existence of and investor preference for positive skewness a rational investor may hold an optimal limited number of homogeneous risk assets the relationship between the number of risk assets in a portfolio and the total risk of the portfolio has been examined extensively both theoretically and empirically 7 8 16 the general conclusion from these analyses which are set in a mean variance framework is that adding randomly selected and equally weighted risk assets to a portfolio will reduce total risk without affecting return the implication for risk averse investors in a perfect market is that complete diversification is optimal observed behavior of market participants however demonstrates that the majority of individual investors hold imperfectly diversified portfolios in the wharton survey of 1975 in 4 the median number of stocks held was found to be fewer than 4 with 34 percent of the investors holding no more than 2 stocks the two primary studies providing evidence of the undiversified portfolios of individual investors are blume and friend 3 and blume friend and crockett 5 the former analysis was based on a sample of individual income tax returns from 1971 and indicated that considering only dividend paying stocks 34 15 percent of investors sampled held only one stock 50 51 percent held no more than 2 stocks and only 10 72 percent held 10 or more stocks the latter study which included nondividend paying stocks was based on the federal reserve board s 1962 survey of the financial characteristics of consumers the median number of holdings per household was 2 while the average was 3 41 in both 3 and 5 numerous other measures of diversification were employed with the results confirming the conclusion that individual investors are on average highly undiversified the principal theoretical reasons advanced by the authors of these studies relate to the relaxation of assumptions of the standard capital asset

money and votes reconsidered congressional elections 1972 1982 the evolution of congressional campaign finance over the past decade is characterized by steady growth in campaign spending and other notable changes in campaign finance practices the main purpose of the research reported here was to determine whether these changes have altered the effects of campaign spending on election outcomes this required reexamination of auxiliary questions concerning how sending effects operate and can be measured it also required facing the limits of what analysis of aggregate campaign spending data can tell us about money in elections replication of ols and 2sls analyses of campaign spending effects produced solidly consistent results over the six congressional elections held between 1972 and 1982 taken at face value the evidence is overwhelming that the challenger s level of spending has a strong impact on the vote whereas that of the incumbent has virtually no impact at all but the evidence remains open to doubt on two grounds one is the probable inadequacy of the 2sls model or perhaps any possible model leaving the issue of simultaneity bias unsettled if bias remains the estimates exaggerate the electoral effects of the challenger s campaign expenditures the issue cannot be resolved with more of the same data but rather requires data of a different sort surveys taken over the course of a sample of campaigns would do the trick meanwhile i think it would be foolish to make policy on the assumption that bias is in fact substantial the greatest likelihood remains that restrictions on campaign money will have the general effect of hurting challengers jacobson 1979 the other doubtful albeit equally stable finding is that incumbents do not gain votes by spending in campaigns no incumbent seems to believe it and there is at least circumstantial evidence from for example the 1982 elections that their skepticism is quite justified if so the problem lies in the limits of what aggregate data of the kind analyzed here can tell us few incumbents do not spend heavily when they are strongly challenged if both candidates spend beyond the point needed to become thoroughly familiar to voters then the substance of the campaigns the contents of campaign messages become the dominant factors incumbents may need to spend money in order to change the message as new circumstances arise to frame new issues that would help them most or damage them least to win the battle of establishing the real issues like nonincumbents sitting members may sometimes need to spend beyond a certain threshold to remain competitive but nearly all of them do so when the necessity arises so aggregate spending data are largely uninformative how the money is spent rather than how much is what matters the two most notable developments in congressional campaign finance have opposing implications national party organizations particularly the republican have assumed an increasingly important role in financing campaigns greater central control leads to a more efficient distribution of the party s collective campaign resources which among other things promises to raise the overall level of electoral competition it also leads to more coordinated campaigning with greater emphasis on national themes and programs thus it should foster more cooperation and loyalty among fellow partisans in congress but pacs have also grown in numbers and in financial importance because most concentrate on gaining access to incumbents they do little to make elections more competitive because they usually pursue narrowly defined interests their influence fragments the congress and weakens party coalitions in this and other ways parties and pacs are natural rivals the most consequential decisions taken in the next round in campaign finance policy will be those which affect the relative importance of parties and pacs see u s congress 1984 for comments on this and other current campaign finance issues

unions wages and productivity some evidence from uk engineering firms estimates of union wage and productivity effects are derived using primary micro level panel data for a sample of firms in the uk engineering industry union wage differentials of the order of 10 are suggested from the results whereas union productivity impacts appear to be non linear with respect to union density

note naive diversification and portfolio risk a note a number of authors have used the portfolio standard deviation to model the risk reduction advantages of naive diversification other authors have pointed out that when risk is modelled by the portfolio s variance the modelling process becomes much simpler and is computationally more efficient in this note we derive an exact parametric relationship between portfolio standard deviation and size and thus highlight the dangers of using the standard deviation in conjunction with o l s regression techniques to model the risk reduction advantages of naive diversification it is then shown that past empirical studies which have used this methodology are deficient

market structure and the demand for unionized labor frequently the separate branches of economics grow up with far too little cross fertilization as a consequence research and results taken for granted in one field are all too frequently ignored in another such is the case with the three decades of work done on pricing behavior within a vertical stream of production the general conclusion of this work is that input monopolies will not alter their price in response to alterations in downstream market structure it is surprising that this work carried out in industrial organization has not received more attention from those studying union wage behavior this is especially so given that several of the more popular models of union behavior are similar to those we impute to the neoclassical monopoly the failure to draw on this work has resulted in several confusions in the contemporary study of unions this paper builds from the work on input pricing to demonstrate that in a very wide variety of cases the elasticity of derived demand for labor is completely invariant to product market structure in addition the specific conditions sufficient for this invariance to hold true are identified such a demonstration is important for discriminating between models of union behavior which assume bargaining along the labor demand curve and models which assume bargaining off the demand curve indeed the demonstration reveals the likely inadequacy of the labor demand curve model the logic for this conclusion is three tiered first demand curve models predict that wages will depend crucially on the elasticity of labor demand second measures of industrial concentration are usually significant in wage equations a result thought in harmony with the elasticity emphasis of demand curve models but third as will be shown market structure will typically not affect the labor demand elasticity this suggests that the conventional interpretation of the second point is wrong and casts doubt on the explanatory power of demand curve models in general while a variety of specific models of union behavior share the characteristic of bargaining along the demand curve these models are tied together by the assumption that unions choose the wage and firms respond with the employment level thus whether one assumes that unions maximize the wage bill collective rents or some explicit objective function of wage and employment

union wage differentials in the face of changes in the economic and legal environment this paper examines changes in union wage differentials in britain between 1980 and 1984 on the basis of two comparable establishment level data sets this period saw considerable economic and legislative change with potential effects on the outcomes of collective bargaining despite these changes the mean differential has little change between these two years and what there is is attributable to compositional changes such as the shift away from the manufacturing sector and the downward shift in the establishment size distribution the impact of the changes in unemployment and union coverage that took place is found to be minimal copyright 1991 by the london school of economics and political science

beating the market with small portfolios evidence from brazil abstract optimal portfolios with a restriction on the number of assets also referred to as cardinality constrained portfolios have been receiving attention in the literature due to its popularity among market practitioners and retail investors in most cases however the interest is in proposing efficient optimization methods to solve the problem with little or no attention to the characteristics of the resulting portfolio such as risk adjusted performance and turnover we address this question by implementing a tractable reformulation of the cardinality constrained version of the minimum variance portfolio we analyze the out of sample performance of cardinality constrained portfolios according to alternative criteria and check the robustness of the results for portfolios with alternative number of assets and under alternative re balancing frequencies our empirical application for the brazilian equities market shows that cardinality constrained minimum variance portfolios with very few assets e g 3 stocks can deliver statistically lower portfolio risk and higher sharpe ratios in comparison to the market index similar results are obtained for constrained portfolios with 5 and 10 assets and under daily weekly and monthly re balancing frequencies our evidence indicates that it is possible to obtain better risk adjusted performance with fewer securities in the portfolio by using an improved allocation scheme

to be unionized or not to be a case for cost raising strategies under cournot oligopoly abstract this paper analyses the decision by firms under cournot oligopoly as to recognize unions in order to gain market power despite higher costs considering classical models of union firm bargaining namely right to manage rtm and efficient bargaining eb we show that for a sufficiently low level of union power eb firms might adopt cost raising strategies this theoretical prediction is compatible with some empirical evidence in favour of eb and adds to the theoretical finding that eb might dominate rtm under unionized cournot nash oligopoly it also suggests closer antitrust scrutiny as whether unions can provide cartel like services to oligopoly firms allowing them to distort product market competition at the expense of consumers

unemployment in britain male unemployment in britain has risen from around 2 per cent in the 1950s to around 17 per cent in 1985 see figure 1 the figures are for male unemployment because there is no consistent series for women 1 even more remarkably unemployment has fallen in only three years out of the last twenty 1973 1978 and 1979 to account for this we need a model that explains both changes in the natural or non accelerating inflation rate of unemployment nairu and deviations from it we use a three equation supply side model centred on the labour market this has two main features the first concerns the determination of employment in the short run the labour demand function that we use cuts through the fruitless debate now raging especially in europe as to whether current unemployment is classical or keynesian according to the classical view employment is too high because real wages are too high according to the keynesian view real wages are not binding and unemployment is high because the product market does not clear with prices too high relative to nominal demand the whole debate is set in the framework of perfect competition yet in perfect competition prices are set by impersonal forces and it is not clear what could possibly stop prices clearing the market it is much more reasonable to think of prices as being set by imperfectly competitive firms existing prices being the best they can think of given the demand they face in this context firms demand for labour will depend on both the real product wage and the level of real aggregate demand this is the demand function we estimate and it conforms both to common sense and to the data however this does not imply that employment can be made to grow without limit by pumping up real demand for in the medium term when price surprises are eliminated our model determines three variables employment real wages and real demand on the basis of three equations an employment equation a price equation and a wage equation thus in the medium term there is a natural level of employment and corresponding to this a natural level of real aggregate demand the second key feature of our model concerns the medium term determination of unemployment in the medium term the planned mark up of wages over prices in wage settlements must be consistent with the mark up of prices over wage costs in employers pricing behaviour for if wage setters try to set real product wages higher than is consistent with employers pricing behaviour this generates ever increasing inflation thus the key to understanding unemployment in the medium term is the behaviour of wage setters if events occur that push them towards too high real wages then unemployment has to rise to offset these influences we shall call these influences wage pressure variables or push factors and they are clearly crucial in understanding unemployment the variables here include the social security system employment protection

wage determination in britain is there a local dimension church a and hutchinson g 1989 wage determination in britain is there a local dimension reg studies 23 289 300 this study presents an empirical regression analysis of wage determination in the five labour markets of motherwell preston reading torquay and the london borough of newham the data source is a newly available questionnaire survey of approximately 1 000 establishments undertaken in 1984 5 the explanatory variables include the plant s size ownership industrial type three proxies for labour quality the proportion of youths the proportion of females and the proportion of part time workers and a union recognition dummy variable the results discuss the relative importance of both national and local influences on pay levels church a et hutchinson g 1989 la determination des salaires en grande bretagne est ce qu il y a un optique local reg studies 23 289 300 cet article presente une analyse empirique de regression de la determination des salaires dans cinq bassins d empl

multicriteria decision aid in financial management abstract the financial decisions of an organization are usually included in the context of optimization concerning a long term period there are decisions related to the optimal allocation of funds and decisions related to the optimal financial structure in the short term case the decisions are related to the optimization of stocks cash accounts receivable current liabilities etc the financial theory analyzes these decisions mainly from an optimal point of view the optimal character of such decisions has led researchers to propose operations research techniques to solve the problems that are inherent in such decisions this paper examines the contribution of multicriteria analysis in solving financial decision problems in a realistic context the paper also includes an extensive bibliography on the subject

multiple criteria decision making combined with finance a categorized bibliographic study abstract this paper provides a categorized bibliography on the application of the techniques of multiple criteria decision making mcdm to problems and issues in finance a total of 265 references have been compiled and classified according to the methodological approaches of goal programming multiple objective programming the analytic hierarchy process etc and to the application areas of capital budgeting working capital management portfolio analysis etc the bibliography provides an overview of the literature on mcdm combined with finance shows how contributions to the area have come from all over the world facilitates access to the entirety of this heretofore fragmented literature and underscores the often multiple criterion nature of many problems in finance

the employer size wage gap evidence for britain university of edinburgh and university of sussexfinal version received 5 may 1992 this paper presents estimates for the employer plant size wage gap for britain using anordered probit model selectivity corrected wage equations are estimated for three plant sizecategories in a comparison between plants with more than 500 workers and those with lessthan 100 a wage gap estimate of over 17 per cent is detected the wage effects of unionizationin plants with more than 500 workers is reported as insignificant in contrast to evidenceprovided by idson and feaster 1990 for the united states no evidence of non randomsorting of workers across plant size is detected

fuzzy multi period portfolio selection with different investment horizons abstract this paper considers a fuzzy multi period portfolio selection problem with v shaped transaction cost compared with the traditional studies assuming that assets have the same investment horizon we handle the practical but complicated situation in which assets have different investment horizons within the framework of credibility theory a mean variance model is formulated with the objective of maximizing the terminal return under the total risk constraint over the whole investment alternatively a variation is given by minimizing the total risk under the terminal return constraint a fuzzy simulation based genetic algorithm fsga is designed and three numerical examples are given to illustrate the effectiveness of the proposed approach

how many stocks make a diversified portfolio we show that a well diversified portfolio of randomly chosen stocks must include at least 30 stocks for a borrowing investor and 40 stocks for a lending investor this contradicts the widely accepted notion that the benefits of diversification are virtually exhausted when a portfolio contains approximately 10 stocks we also contrast our result with the levels of diversification found in studies of individuals portfolios

the trade union wage gap in britain some new estimates abstract new estimates of the union non union wage gap in britain derived from household data are reported the results about 12 for manual and about 4 for non manual workers expand upon the tentative conclusions of the few earlier similar british studies

data envelopment analysis of mutual funds based on second order stochastic dominance abstract although data envelopment analysis dea has been extensively used to assess the performance of mutual funds mf most of the approaches overestimate the risk associated to the endogenous benchmark portfolio this is because in the conventional dea technology the risk of the target portfolio is computed as a linear combination of the risk of the assessed mf this neglects the important effects of portfolio diversification other approaches based on mean variance or mean variance skewness are non linear we propose to combine dea with stochastic dominance criteria thus in this paper six distinct dea like linear programming lp models are proposed for computing relative efficiency scores consistent in the sense of necessity with second order stochastic dominance ssd the aim is that being ssd efficient the obtained target portfolio should be an optimal benchmark for any rational risk averse investor the proposed models are compared with several related approaches from the literature

long term global market correlations the correlation structure of the world equity markets varied considerably over the past 150 years and was high during periods of economic integration we decompose diversification benefits into two parts one component due to variation in the average correlation across markets and a another component due to the variation in the investment opportunity set from this we infer that periods of globalization have both benefits and drawbacks for international investors globalization expands the opportunity set but as a result the benefits from diversification rely increasingly on investment in emerging markets

simulating and calibrating diversification against black swans abstract an investor concerned with the downside risk of a black swan only needs a small portfolio to reap the benefits from diversification this matches actual portfolio sizes but does contrast with received wisdom from mean variance analysis and intuition regarding fat tailed distributed returns the concern for downside risk and the fat tail property of the distribution of returns can explain the low portfolio diversification a simulation and calibration study is used to demonstrate the relevance of the theory and to disentangle the relative importance of the different effects

portfolio diversification and systemic risk in interbank networks abstract this paper contributes to a growing literature on the ambiguous effects of risk diversification in our model banks hold claims on each other s liabilities that are marked to market on the individual financial leverage of the obligor the probability of systemic default is determined using a passage problem approach in a network context and banks are able to internalize the network externalities of contagion through their holdings banks do not internalize the social costs to the real economy of a systemic default of the banking system we investigate the optimal diversification strategy of banks in the face of opposite and persistent economic trends that are ex ante unknown to banks we find that the optimal level of risk diversification may be interior or extremal depending on banks exposure the external assets and that a tension arises whereby individual incentives favor a banking system that is over diversified with respect to the level of diversification that is desirable in the social optimum

mrs thatcher s economic policies 1979 1987 mrs thatcher s economic policies 1979 87 kent matthews and patrick minford mrs thatcher inherited a weak economy whose poor performance she attributed to policies of cosy consensus lax discipline high inflation and pervasive inefficiency these she sought to banish forever the authors stress the astuteness with which this radical programme was pursued rather than launching an immediate and grand assault on all fronts mrs thatcher picked off enemies one by one each victory consolidating her position for the next attack only when inflation was clearly under control could more radical supply side measures be introduced matthews and minford argue that the recession of 1980 81 was caused not by tight domestic demand but by external and supply side shocks subsequently tight monetary and fiscal policy did have powerful effects both in achieving rapid inflation reduction and in holding unemployment above its equilibrium level once serious supply side policies were introduced they had a significant effect on productivity growth and on the equilibrium rate of unemployment matthews and minford conclude that the latter was halved between 1981 and 1986 by which date it stood at 1 6 million or roughly half of actual unemployment whilst unemployment may slowly fall towards its equilibrium level the authors do not recommend fiscal or monetary expansion to accelerate this adjustment rather they advocate further supply side measures and deregulation to help markets achieve this transition

optimal mean variance portfolio selection using cauchy schwarz maximization fund managers highly prioritize selecting portfolios with a high sharpe ratio traditionally this task can be achieved by revising the objective function of the markowitz mean variance portfolio model and then resolving quadratic programming problems to obtain the maximum sharpe ratio portfolio this study presents a closed form solution for the optimal sharpe ratio portfolio by applying cauchy schwarz maximization and the concept of kuhn tucker conditions an empirical example is used to demonstrate the efficiency and effectiveness of the proposed algorithms moreover the proposed algorithms can also be used to obtain the optimal portfolio containing large numbers of securities which is not possible or at least is complicated via traditional quadratic programming approaches

markowitz revisited social portfolio engineering abstract in recent years socially responsible investing has become a popular subject with both private and institutional investors at the same time a number of scientific papers have been published on socially responsible investments sris covering a broad range of topics from what actually defines sris to the financial performance of sri funds in contrast to non sri funds in this paper we revisit markowitz portfolio selection theory and propose a modification allowing to incorporate not only asset specific return and risk but also a social responsibility measure into the investment decision making process applied in an a posteriori fashion the model results in a three dimensional capital allocation plane illustrating the complete set of feasible optimal portfolios it enables investors to custom tailor their asset allocations and incorporate all personal preferences regarding return risk and social responsibility in an empirical analysis with a data set of over 6000 international companies including the complete universe of social responsibility rated stocks we find that investors opting to maximize the social impact of their investments do indeed face a statistically significant decrease in expected returns however the social responsibility risk optimal portfolio yields a statistically significant higher social responsibility rating than the return risk optimal portfolio

specification induced uncertainty in the estimation of trade union wage differentials from industry level data at a more specific level the paper is concerned with the estimation of union non union wage differentials from industry level data for the uk manufacturing sector metcalf 1977 reviewing the evidence from such industry level studies concludes that they suggest that a figure of 20 per cent may not be dreadfully in error for the average earnings differential received by manual workers who are covered by a collective agreement a more recent study at the individual level for union membership stewart 1983 suggests that a figure of below 10 per cent may be more appropriate however metcalf s summary figure remains representative of the industrylevel evidence this paper concentrates on two particular problems inherent in these industry level studies and in studies in other areas using such cross section data the first of these concerns the potential industry specificity of parameter values in the case of union wage differentials the marshallian laws of derived demand provide theoretical grounds for expecting the differential to vary across industries failure to take proper account of this will in general result in biased estimation even of the average differential in addition interpreting the estimated average differential as if it were that to be found in a typical industry may be a highly misleading representation of the impact of collective bargaining on the wage structure section i of this paper is concerned with this inter industry variation in the differetial and in particular with modelling how the differential varies with the extent of coverage in the industry our finding is that there is a large inter industry variation in the differential with the average being made up of a large differential in a small group of industries and a much smaller and insignificant differential in the majority of industries in such circumstances the estimated average differential is not representative of that prevailing in either group

election campaign resource allocation this paper examines an electoral competition model where a candidate allocates his campaign efforts resources on two competing projects prior to election a candidate is congruent if his objective is consistent with the wishes of his constituents and there is no potential political shirking we show that a congruent candidate needs not exert any efforts towards successful implementation prior to election however a less than perfectly congruent candidate must exert efforts prior to election in equilibrium two campaign resource allocation strategies emerge 1 concentrate resources on one project and 2 allocate resources evenly across both projects we discuss potential inefficiencies that are resulted by these allocation strategies

vector forecasting and dynamic portfolio selection empirical efficiency of recursive multiperiod strategies abstract in the paper we present a dynamic portfolio selection system the system combines recent results from the domains of time series analysis portfolio theory and multiperiod linear programming under uncertainty the performance of the decision support system is tested empirically against a dynamic super criterion defined in the study we demonstrate that suitable combination of ex ante and ex post information with initial balances for the planning horizon yields better portfolio efficiency through time than a strategy relying purely on ex ante information the system was programmed on abo academy s vax 8800 computer mainly in fortran with access to the imsl library and ifps optimum

unionism and employment behaviour although there exists a large literature on the effects of trade unions upon wages there is no published work that uses microeconomic data on establishments to examine the employment consequences of unionism this paper addresses this issue with a recent british data set and shows that even after the addition of a substantial set of control variables there is a strong association between poor employment performance and the presence of trade unions the union employment growth differential is estimated at approximately 3 percent per annum copyright 1991 by royal economic society

portfolio optimization under lower partial moments in emerging electricity markets evidence from turkey abstract optimization of the electricity markets under modern portfolio theory has a crucial role for financial decision makers power suppliers in deregulated electricity markets need to optimize their generation capacities and bidding strategies so as to effectively participate in bilateral contract and spot markets market players have to deal with continuously changing electricity prices in competitive electricity market environment during their daily routine system operations electricity not like the others is a unique product service and cannot be stored economically however it should be generated and consumed simultaneously in addition to all power suppliers face with fuel price water regime delivery and network risks in view of the scene described above prudent decision making methodologies are of critical importance to maximize profit while minimizing managing risks this paper presents a comprehensive comparison of mean variance down side and semi variance methods for optimization in electricity markets and the corresponding methodologies to maximize the return while minimizing risk real turkish day ahead market data set between december 2009 and december 2012 is used in numerical calculations generation cost data of hydraulic plants lignite coal fired thermal power plants and natural gas combined cycle power plants are taken into consideration in the course of optimization evaluations in the present of real data these methods can also be applied to renewable energy generation types these three methods were able to be applied to all case scenarios effectively and produced efficient frontiers optimal minimal portfolios and utility functions successfully the results have revealed that the methods significantly provide decisions for power suppliers with different risk aversion levels and for various instruments to maximize the profit while minimizing the associated market risks and to meet generation obligations consequently financial optimization under lower partial moments constraints would give notable results in analyzing the efficient frontiers for electricity markets in turkey

an mcdm approach to portfolio optimization abstract we propose a model for portfolio optimization extending the markowitz mean variance model based on cooperation with standard and poor s we use five specific objectives related to risk and return and allow consideration of individual preferences through the construction of decision maker specific utility functions and an additive global utility function numerical results using customized local search simulated annealing tabu search and genetic algorithm heuristics show that problems of practically relevant size can be solved quickly

union membership collective bargaining coverage and the trade union mark up for britain abstract this paper estimates the union mark up using british general household survey data the wage gap is decomposed both for the mean and the variance of the earnings distribution the results indicate that the union mark up is larger than previously estimated and that structural effects account for a major part of the differences that are found in the earnings distributions of covered union members covered non unionists and uncovered non unionists

the impact of campaign spending on votes in multiparty elections abstract the impact of candidate campaign spending on votes and abstention in multiparty elections is estimated from the specification of a structural model of voter behavior this model accounts for the endogeneity of campaign spending as well as the heterogeneity in voter preferences empirical results are estimated from aggregate actual election data the results demonstrate the importance of spending during the campaign period and voter heterogeneity with respect to these expenditures the own and cross expenditure vote share elasticity estimates reveal that political campaign spending not only redistributes voters across parties but also decreases the size of the abstaining group of the electorate

notes a reformulation of a mean absolute deviation portfolio optimization model the purpose of this note is to present a reformulation of the model presented by konno and yamazaki 1991 in their paper it was claimed that under the assumption that there is no upper limit on the investment in an asset the number of nonzero assets in the optimal portfolio is at most 2t 2 where t is the number of time periods in the data base used to approximate the parameters of the return distributions of the assets the formulation we present which is shown to be equivalent to that of konno and yamazaki has a bound of t 2 on the number of nonzero assets in the optimal portfolio

the union wage effect in late nineteenth century britain this paper gives a historical dimension to the impact of trade unions on earnings by estimating the union wage effect in britain between 1889 90 using data from the us commissioner of labour survey conducted at that time the determinants of union status are also investigated in terms of profit estimation using individual characteristics which may be correlated with union membership the results of this first stage are used in the computation of selectivity corrected estimates of the union wage effect it is found that the effect of union membership on earnings at this time was in the order of 15 20 for a range of different skill levels

marginal conditional stochastic dominance this paper introduces the concept of marginal conditional stochastic dominance mcsd which states the conditions under which all risk averse individuals when presented with a given portfolio prefer to increase the share of one risky asset over that of another mcsd rules also answer the question of whether all risk averse individuals include a new asset in their portfolio when assets returns are correlated mcsd criteria are expressed in terms of the probability distributions of the assets and of the underlying portfolio an empirical application of mcsd is provided using stocks traded on the new york stock exchange mcsd rules are used to show that in the long run one cannot assert that the market portfolio is inefficient

the share price puzzle we document substantial variation in the prices of common stocks in u s markets due to firms selecting particular price ranges for their shares cross sectional evidence indicates that variables consistent with merton s model of capital market equilibrium explain roughly two thirds of this variation in share prices in addition measures of trading range and share price appreciation predict stock splits and the investor base of firms that split their stock increases compared to other firms we conclude that firms manage share price levels to increase the value of the firm

estimation risk in portfolio selection the mean variance model versus the mean absolute deviation model konno and yamazaki konno h k yamazaki 1992 mean absolute deviation portfolio optimization model and its applications to tokyo stock market management sci 39 519 531 propose the mean absolute deviation mad model as an alternative to the mean variance mv model they claim it retains all the positive features of the mv model saves the investor computing time and does not require the covariance matrix this paper shows that ignoring the covariance matrix results in greater estimation risk that outweighs the benefits in both models estimation error is more severe in small samples small observations relative to the number of assets and for investors with high risk tolerance the mv model s lower estimation risk is most striking in small samples and for investors with a low risk tolerance

the asset allocation decision and investor heterogeneity a puzzle abstract this paper examines portfolio allocation decisions for a large sample of demographically diverse survey respondents in light of finance theory and the recommendations of financial advisors we investigate whether asset allocation decisions vary for respondents who differ across several dimensions including gender home ownership age net worth and psychological orientation sample respondents decisions are consistent with popular advice and finance theory we find that only age affects the mix of risky securities when we consider the allocation of total portfolio assets to equity all individual characteristics except age matter psychological orientation contributes to our ability to explain asset allocation decisions

financial planning for the multinational corporation with multiple goals this paper presents a methodology for analyzing the financing problems raised by uncertain exchange rates and the various barriers to free capital flows the stochastic goal programming model developed allows a way to improve the efficiency with which alternative combinations of corporate strategies various environmental assumptions and financing mechanisms can be evaluated

a comparison of mad and cvar models with real features abstract in this paper we consider two different mixed integer linear programming models for solving the single period portfolio selection problem when integer stock units transaction costs and a cardinality constraint are taken into account the first model has been formulated by using the maximization of the worst conditional expectation as objective function the second model is based on the maximization of the safety measure corresponding to the mean absolute deviation extensive computational results are provided to compare the financial characteristics of the optimal portfolios selected by the two models on real data from european stock exchange markets some simple heuristics are also introduced that provide efficient and effective solutions when an optimal integer solution cannot be found in a reasonable amount of time

open shop unions and product market competition in this paper we analyse the impact of changes in product market competition on wage outcomes in the presence of an open shop union with less than full union membership product market competition is shown to aect not only a unionised rm s pro ts but also its payoin the event of a dispute in contrast to the pre diction of the standard model increases in product market competition may now increase wage levels the model is therefore able to accommodate the mixed empir ical ndings regarding the impact of product market competition on union wages

non gaussian diversification when size matters abstract classical portfolio theory informs investors that they should have a large number of assets in their portfolios in order to diversify risk we show that the non gaussian features of stock return distribution may not allow for this risk protection in times of crisis moreover we demonstrate empirically that if investors are risk averse and consider higher order moments they have numerous incentives not to diversify their portfolios fully this is caused by the evolution of both large losses and asymmetry of returns when the numbers of assets in a portfolio change