mixed integer programming approaches for index tracking and enhanced indexation we consider the problem of reproducing the performance of a stock market index but without purchasing all of the stocks that make up the index index tracking we also consider the problem of out performing the index enhanced indexation we present mixed integer linear programming formulations of these problems our formulations include transaction costs a constraint limiting the number of stocks that can be purchased and a limit on the total transaction cost that can be incurred as our formulations of these problems are mixed integer linear programs we can use a standard solver cplex numeric results are presented for eight data sets drawn from major markets the largest of these data sets involves over 2000 stocks

an analysis of life satisfaction in albania an heteroscedastic ordered probit model approach this paper uses the nationally representative albanian living standards measurement study survey from 2005 to investigate the determinants of life satisfaction in common with much of the existing empirical literature that models life satisfaction or subjective well being this paper exploits an ordered probit model in contrast to the existing literature however the current study places an important emphasis on regression model evaluation diagnostic testing revealed a number of econometric model deficiencies but the explicit incorporation of a variance function into the ordered probit model resolved all detected problems the tenor of the key findings generally reflects that found in the literature on the determinants of life satisfaction for both advanced capitalist and transitional economies however a number of additional themes with a strong albanian dimension were interrogated in particular our study revealed evidence of long memories among albanian respondents with respect to the collapse of that country s notorious pyramid schemes and the scarring effects of the episode continue to impact on life satisfaction even with the passage of almost eight years a sizeable effect for communal level criminal activity on life satisfaction was also detected in addition our econometric estimates also provided some empirical insights on the monetary value of friendship and the costs of children

business models for model businesses lessons from renewable energy entrepreneurs in developing countries against the background of mounting research suggesting entrepreneurship as a means of increasing the uptake of renewable energy technologies rets in developing countries this paper presents the findings of an exploratory investigation into the business models used by renewable energy entrepreneurs in such countries forty three entrepreneurs were interviewed in 28 developing countries and secondary information about country and regional conditions was analysed we chose the business model canvas as an analytical tool and the findings shed new light on established renewable energy business types three different types of businesses were identified consultants distributors and integrators yet there is also some overlap between these types these business types appeared to parallel the life cycle progression of the business but this requires further research a key component of the study was to assess whether the types of businesses were related to country level conditions to assess the impact of regional differences these comparisons revealed consistencies between country level characteristics and the entrepreneurs choice of business model conclusions suggest that different regions may support certain business models more than others due to differing levels of government interest in renewables governance and policy support and the relative ease of doing business

on exact and approximate stochastic dominance strategies for portfolio selection abstract one recent and promising strategy for enhanced indexation is the selection of portfolios that stochastically dominate the benchmark we propose here a new type of approximate stochastic dominance rule which implies other existing approximate stochastic dominance rules we then use it to find the portfolio that approximately stochastically dominates a given benchmark with the best possible approximation our model is initially formulated as a linear program with exponentially many constraints and then reformulated in a more compact manner so that it can be very efficiently solved in practice this reformulation also reveals an interesting financial interpretation we compare our approach with several exact and approximate stochastic dominance models for portfolio selection an extensive empirical analysis on real and publicly available datasets shows very good out of sample performances of our model

state dependence and heterogeneity in health using a bias corrected fixed effects estimator this paper considers the estimation of a dynamic ordered probit of self assessed health status with two fixed effects one in the linear index equation and one in the cut points the two fixed effects allow us to robustly control for heterogeneity in unobserved health status and in reporting behaviour even though we can not separate both sources of heterogeneity the contributions of this paper are twofold first it contributes to the literature that studies the determinants and dynamics of self assessed health measures second this paper contributes to the recent literature on bias correction in nonlinear panel data models with fixed effects by applying and studying the finite sample properties of two of the existing proposals to our model the most direct and easily applicable correction to our model is not the best one and has important biases in our sample sizes

optimal portfolio selection and dynamic benchmark tracking abstract this paper analyzes different approaches to portfolio selection when the requirement to portfolio performance is formulated relative to a given benchmark for example it may be desirable to track a market index as closely as possible we develop several portfolio selection algorithms based on different perceptions of risk and different risk target measures ranging from the traditional variance to the more modern value at risk in a dynamic setting we address the issue of optimal portfolio rebalancing we develop an algorithm for determining whether or not to rebalance a given portfolio based on transaction costs and new information about market conditions our approaches are tested on a set of stock data from the oslo stock exchange

an evolutionary heuristic for the index tracking problem abstract index tracking is a popular form of passive fund management the index tracking problem is the problem of reproducing the performance of a stock market index but without purchasing all of the stocks that make up the index our formulation of the problem explicitly includes transaction costs associated with buying or selling stocks and a limit on the total transaction cost that can be incurred our formulation also includes a constraint limiting the number of stocks that can be purchased an evolutionary heuristic population heuristic is presented for the solution of the index tracking problem reduction tests are also presented computational results are presented for five data sets drawn from major world markets these data sets are made publicly available for use by other workers

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

what is challenging renewable energy entrepreneurs in developing countries this paper cumulates the findings from a review of the challenges faced by renewable energy entrepreneurs in developing countries to date research that could facilitate the success of renewable energy entrepreneurs in the world s developing regions has been fragmented across two main bodies of literature management specifically entrepreneurship and renewable energy by conducting a qualitative review of the extant literature i propose that the findings from both bodies of research may be distilled to six 6 key challenges inadequate access to institutional finance the price of renewable energy technologies rets the lack of skilled labour underdeveloped physical infrastructure and logistics power dominance of incumbents inadequate government or policy support through this research i not only advance a unified conceptualisation of the challenges faced by renewable energy entrepreneurs in developing countries but also highlight a number of the revealed opportunities for future research

an institutional framework for the development of sustainable and competitive power market in pakistan abstract pakistan is continuously striving for sustainable and competitive power market under the comprehensive power sector reform program pakistan shifted its power market from monopoly model to single buyer model by unbundling water and power development authority wapda and establishing national transmission and dispatch company ntdc current severe power situation in the country is triggering the government of pakistan gop to accelerate the implementation of intended reform program and to readily undertake next planned transformation i e from single buyer model to wholesale market model this research endeavors the future dynamics of power market after the structural spin off by pre assessment of upcoming wholesale power market market power of both public and private electricity generators has been computed using 8 largest firm concentration ratio herfindahl hirschman index hhi and residual supply index rsi the findings suggest that future power market will function with non existence of market power except in the periods of peak electricity demand and maximum hydro generation furthermore insufficient installed capacities and underutilization of public thermal units may enable some players to exercise market power for sustainable and competitive power market an empirically supported framework has been proposed based on the analysis the framework proposes utilization of huge available renewable energy potential for future which will protect the whole infrastructure from market power it recommends respective roles and responsibilities for the smooth transition among market models the framework will be supportive in terms of successful and smooth transition from single buyer model to wholesale market model and potential of wind solar biogas to be properly explored and utilized to reduce energy gap

optimal construction and rebalancing of index tracking portfolios abstract index funds aim to track the performance of a financial index such as e g the standard poor s 500 index index funds have become popular because they offer attractive risk return profiles at low costs the index tracking problem considered in this paper consists of rebalancing the composition of the index fund s tracking portfolio in response to new market information and cash deposits and withdrawals from investors such that the index fund s tracking accuracy is maximized in a frictionless market maximum tracking accuracy is achieved by investing the index fund s entire capital in a tracking portfolio that has the same normalized value development as the index in the presence of transaction costs which reduce the fund s capital one has to manage the trade off between transaction costs and similarity in terms of normalized value developments existing mathematical programing formulations for the index tracking problem do not optimize this trade off explicitly which may result in substantial transaction costs or tracking portfolios that differ considerably from the index in terms of normalized value development in this paper we present a mixed integer linear programing formulation with a novel optimization criterion that directly considers the trade off between transaction costs and similarity in terms of normalized value development in an experiment based on a set of real world problem instances the proposed formulation achieves a considerably higher tracking accuracy than state of the art formulations

performance replication of the spot energy index with optimal equity portfolio selection evidence from the uk us and brazilian markets abstract this paper reproduces the performance of a geometric average spot energy index by investing only in a subset of stocks from the dow jones composite average the ftse 100 and bovespa composite indexes and in two pools that include only energy sector stocks from the us and the uk respectively daily data are used and the index tracking problem for passive investment is addressed with two evolutionary algorithms the differential evolution algorithm and the genetic algorithm the performance of the suggested investment strategy is tested under three different scenarios buy and hold quarterly and monthly rebalancing accounting for transaction costs where necessary

index tracking model downside risk and non parametric kernel estimation abstract in this paper we propose an index tracking model with the conditional value at risk cvar constraint based on a non parametric kernel npk estimation framework in theory we demonstrate that the index tracking model with the cvar constraint is a convex optimization problem we then derive npk estimators for tracking errors and cvar and thereby construct the npk index tracking model monte carlo simulations show that the npk method outperforms the linear programming lp method in terms of estimation accuracy in addition the npk method can enhance computational efficiency when the sample size is large empirical tests show that the npk method can effectively control downside risk and obtain higher excess returns in both bearish and bullish market environments

impacts of removing fuel import subsidies in nigeria on poverty abstract the petroleum sector contributes substantially to the nigerian economy however the potential benefits are diminished due to the existence of significant subsidies on imports of petroleum products subsidies on imported petroleum products are considered to be an important instrument for keeping fuel prices and hence the cost of living low the costs of these subsidies however has risen dramatically in recent years due to increased volatility in world petroleum and petroleum product prices and increased illegal exportation of subsidized petroleum products into neighboring countries removing the subsidy on fuel is one of the most contentious socio economic policy issues in nigeria today in this paper an economy wide framework is used to identify the impact of removing the fuel subsidy on the nigerian economy and investigates how alternative policies might be used to meet socio economic objectives related to fuel subsidies the results show that while a reduction in the subsidy generally results in an increase in nigerian gdp it can have a detrimental impact on household income and in particular on poor households accompanying the subsidy reduction with income transfers aimed at poor households or domestic production of petroleum products can alleviate the negative impacts on household income

health income and relative deprivation evidence from the bhps it is believed that income affects health directly but it is argued that indirect income effects due to relative deprivation may be equally important this paper investigates these relationships using parametric and semiparametric panel data models which ameliorate problems of misspecification and unobservable heterogeneity by allowing for a flexible functional form of income we ensure that coefficients on relative deprivation variables are not an artefact of a highly non linear relationship between health and income the results provide strong evidence for the impact of income on self reported measures of health for men and women these results are robust across a range of techniques and are resilient to the inclusion of measures of relative deprivation the parametric results for relative deprivation largely reject its influence on health although there is some evidence of an effect in the semiparametric models

energy policy for low carbon development in nigeria a leap model application this paper applied a scenario based analysis to explore nigeria s future energy demand supply and associated ghg emissions from 2010 to 2040 using the long range energy alternative planning leap model the impact of different energy policies are analysed for the nigerian energy system by considering four scenarios the reference scenario ref the low carbon moderate scenario lcm the low carbon advanced scenario lca and the green optimistic scenario go by considering aggressive energy policies and strategies from lcm to lca and even more aggressive options in the go scenario we find that under the ref scenario energy demand is expected to reach 3 075 pj and a corresponding increase in ghg emissions of 201 2 mt co2e by 2040 more aggressive policy intervention by the nigerian government as in the go scenario would lead to a decrease in energy demand 2 249 pj and ghg emissions 124 4 mt co2e in 2040 a cost benefit and energy system analysis were also carried out in the study

sustainable energy development in nigeria current status and policy options abstract sustainable energy development focuses on maintaining the provision of energy in a manner that can enhance the short medium and long term economic development of a country the provision of sustainable energy requires the development and implementation of technologies that can improve the energy situation of a given country such as renewable energy energy efficient technologies and the proper use of conventional energy resources to achieve this effective energy policy options must be instigated that can adjust to changing circumstances in nigeria the development of sustainable clean modern energy is an immense challenge as is the proper use of the country s conventional energy resources this is as due to the lack of effective support policies and poor participation by the government in clean energy development the energy situation in nigeria could be improved by the provision of adequate energy policy options designed to augment existing energy policies this study critically reviews the current status of energy resources in nigeria and the associated policies important policies unavailable under current government strategies are proposed and prioritised based on their likelihood of success in short medium and long term among the most important policies based on priorities are policies to address crude oil theft complete deregulation of the petroleum subsectors utilisation of associated gases creation of favourable business climate for private investors increase attraction for foreign direct investment in clean energy technology renewable portfolio standards development introduction of tendering schemes use of efficient fuel stoves development of demand side bidding and energy efficiency standard law we believe that these proposed policy options could improve the sustainable development of nigeria s energy resources

life cycle schooling and dynamic selection bias models and evidence for five cohorts of american males this paper examines an empirical regularity found in many societies that family influences on the probability of transiting from one grade level to the next diminish at higher levels of education we examine the statistical model used to establish the empirical regularity and the intuitive behavioral interpretation often used to rationalize it we show that the implicit economic model assumes myopia the intuitive interpretive model is identified only by imposing arbitrary distributional assumptions onto the data we produce an alternative choice theoretic model with fewer parameters that rationalizes the same data and is not based on arbitrary distributional assumptions

towards achieving energy for sustainable development in nigeria the importance of energy availability in the economic growth social and political development of every nation cannot be overemphasized affordable and reliable energy availability is the precondition for sustainable development sustainable development calls for an efficient reliable and decentralized energy economy based on local and clean energy sources in which the price paid by the consumer will reflect the real cost of energy products to the economy there is clear evidence that nigeria is blessed with abundant resources of fossil fuels as well as renewable energy resources the major challenge is inefficient utilization of energy in the country there is no doubt that the present power crisis afflicting nigeria will persist unless the government diversifies her energy sources and adopt new available technologies to reduce energy wastages and save cost this study examines the perspective of energy efficiency and renewable energy in the making of strategies for a sustainable development in nigeria such strategies involve energy savings on the demand side efficiency improvements in the energy production and replacement of fossil fuels by various sources of renewable energy factors that need to be considered in the shift to its sustainable energy future are examined in this article

hedging diffusion processes by local risk minimization with applications to index tracking abstract this paper extends the local risk minimization criterion for hedging contingent claims as introduced in follmer and sondermann hedging of non redundant contingent claims in hildenbrand w mas colell a eds contributions to mathematical economics elsevier science north holland amsterdam pp 205 223 follmer and schweizer hedging of contigent claims under incomplete information in davis m elliot r eds applied stochastic analysis stochastic monographs vol 5 gordon and breach london new york pp 389 414 and schweizer option hedging for semimartingales stochastic processes and their applications 37 339 363 to the hedging of entire stochastic processes and determines the necessary and sufficient conditions under which this is possible the results are then applied to the problem of stock index tracking to obtain simple criteria for selecting the optimal set of assets with which to form tracker portfolios and to derive a value at risk type measure for the set of assets used

gender race pay and promotion in the british nursing profession estimation of a generalized ordered probit model we analyse job grading within the uk national health service nursing profession using 1994 survey data we start from the ordered probit model for which we develop and apply appropriate specification tests threshold constancy and covariate exogeneity are rejected with important consequences for estimates of the influence of gender ethnicity training and career interruptions we find little evidence of disadvantage for females relative to males but significant differences in speed of promotion between ethnic groups implying non negligible differences in lifetime earnings copyright 2000 john wiley sons ltd

can the nigerian biofuel policy and incentives 2007 transform nigeria into a biofuel economy abstract nigeria s economy is largely dependent on petroleum yet the country is suffering from fuel supply shortages in response to the transportation fuel supply difficulties in nigeria the country released the nigerian biofuel policy and incentives in 2007 to create favorable investment climate for the entrance of nigeria into the biofuel sector the paper assessed the progress made thus far by nigeria 4 years after the nigerian biofuel was released in an attempt to answer the question whether the policy is adequate to transform nigeria into a biofuel economy the study found that little progress has been made which includes commencement of the construction of 20 bioethanol factories installation of biofuel handling facilities at two depots mosimi and atlas cove and selection of retail outlets for biofuel conventional fuel mix the site construction of the announced biofuel projects is now slow and other progress is marginal we therefore conclude that the nigerian biofuel policy is unlikely to transform nigeria into a biofuel economy unless the government revert and refocus on biofuel and include additional financial incentives such as grants and subsidy to complement the tax waivers income import duty vat loans and insurance cover contained in the policy

biogas energy use in nigeria current status future prospects and policy implications abstract industrial revolution brought coal a fossil fuel to the forefront of the global energy scene this was later overtaken by another fossil fuel crude oil and natural gas is trying fast to take over the dominant role in the world energy supply mix the increasing world wide awareness and concern about the environmental impacts of fossil fuels coupled with the oil price shocks of the early 1970s and late 1980s and likely future price hikes have lent enormous weight to a switch to renewable energy sources this paper therefore looks at biogas renewable energy use in nigeria a country which is fossil fuels rich and an oil exporting nation in order to contain the uncertainty usually associated with structural transformation of the economy typical of a developing country like nigeria a three scenario analysis has been adopted to examine the future prospects of biogas in the country while a generated energy from biogas would range between 5 0 171 0 1012 j in the period 2000 2030 under a moderate ambitious biogas technology programme some constraints may hinder this realization these include economic technical and socio cultural constraints recommendations to overcome these constraints and make biogas technology penetrate even more than already projected into the rural communities and poor urban households have been suggested part of the envisaged benefits of biogas use to the national economy includes the avoidable co2 emissions if biogas displaces kerosene at least between 357 60 952 tons of co2 per annum would be avoided

heterogeneity in ordered choice models a review with applications to self assessed health discrete variables that have an inherent sense of ordering across outcomes are commonly found in large data sets available to many economists and are often the focus of research however assumptions underlying the standard ordered probit which is usually used to analyse such variables are not always justified by the data this study provides a review of the ways in which the ordered probit might be extended to account for additional heterogeneity differing from other reviews in scope application and relevance in economic settings a series of issues pertaining to choices of variables and the economic assumptions underlying each model are discussed in the context of measuring the underlying health of respondents the models are applied to a wave of the household income and labour dynamics in australia survey in order to check the appropriateness of such assumptions in an applied context

dynamic hedging of synthetic cdo tranches with spread risk and default contagion the paper is concerned with the hedging of credit derivatives in particular synthetic cdo tranches in a dynamic portfolio credit risk model with spread risk and default contagion the model is constructed and studied via markov chain techniques we discuss the immunization of a cdo tranche against spread and event risk in the markov chain model and compare the results with market standard hedge ratios obtained in a gauss copula model in the main part of the paper we derive model based dynamic hedging strategies and study their properties in numerical experiments