estimation methods in portfolio selection and the effectiveness of short sales restrictions uk evidence forecasting the mean returns vector and the covariance matrix is a key feature in implementing portfolio theory the performance of the bayes stein method for forecasting these parameters for use in the markowitz model with and without short sales was compared with that of seven other estimation methods and three alternative portfolio selection techniques this paper represents the first large scale empirical investigation of the usefulness of the bayes stein approach using historical data this data was drawn from the london stock exchange in contrast to earlier studies the relative performance of bayes stein was mixed while it produced reasonable estimates of the mean returns vector there were superior methods e g overall mean for estimating the covariance matrix when short sales were permitted when short sales were prohibited actual portfolio performance was clearly improved although there was little to choose between the various estimation methods

multinational supermarket chains in developing countries does local agriculture benefit there is no consensus in the empirical literature on how entry of multinational supermarket chains affects farmers in developing countries econometric analyses struggle with causality issues and are unclear about the channel of effects we quantify the dynamic effects of supermarket expansion on agriculture within a structural framework that clarifies the adjustment mechanisms involved the model specification allows for endogenous interaction between agricultural productivity and supermarkets choice of suppliers based on numerical simulations two results emerge first we offer a possible interpretation of the conflicting evidence in the empirical literature whether farmers benefit from supermarkets or get stuck in a low productivity trap depends on the extent of local constraints related to production capacity and market access second supply chain development initiated by supermarkets can help farmers escape the low productivity trap while supermarkets face a short run cost to supplier upgrading they gradually gain from more productive local suppliers

does private management of water supply services really increase prices an empirical analysis in spain this paper attempts to explain differences in the average price of domestic water supply services in spain paying special attention to the effects of privatisation of the service on price levels the empirical analysis is based on the application of a treatment effects model on a sample of 53 major urban municipalities this model accounts for the fact that municipalities do not randomly distribute themselves between a group using strictly public ownership and management and a group where all or part of the service has been delegated to a private firm it is found that once this endogeneity is taken into account there seems to be a positive and significant effect of privatisation on water price levels

more on estimation risk and simple rules for optimal portfolio selection for the risk averse investor consideration of estimation risk is important in selecting an expected utility maximizing portfolio it has previously been shown that the composition of the tangency portfolio is unaffected by the recognition of estimation risk if the full covariance model is used alternatively if the market model is used the composition of the tangency portfolio has been shown to be affected by the recognition of estimation risk however as is demonstrated in this paper the effect will generally not be as substantive as previously believed and in many situations can be safely ignored in order to determine the composition and location of an efficient frontier from which an optimal portfolio will be selected the investor must employ estimates of expected returns variances and covariances for the set of securities under consideration if the investor simply treats the estimated parameter values for the securities as true parameter values then estimation risk will have been ignored and as shown by barry 1 and klein and bawa 14 15 a suboptimal portfolio will most likely have been selected bawa brown and klein 6 and klein and bawa 14 discuss the effects of estimation risk on the selection of an optimal portfolio from a set of risky assets and note that the location but not the composition of the efficient frontier changes when estimation risk is recognized if security returns are generated by a stationary multivariate normal distribution for which the investor has a diffuse prior furthermore brown 8 has shown these results to be robust for severe misspecification of the underlying multivariate distribution of returns e g assuming it to be normal when in actuality it is student t with small degrees of freedom this paper is concerned with the effects of estimation risk on the composition of the tangency portfolio derived from a set of risky assets and a risk free asset under the assumption that the investor has a diffuse prior 1 barry 2 bawa and brown 4 and brown 7 have shown analytically that the composition of the tangency portfolio is unaffected by estimation risk if the full covariance model is used chen and brown 10 have expanded upon the work of brown 9 and have argued that if security returns are generated by the market model then the composition of the tangency portfolio will be substantively different when estimation risk is recognized

an empirical analysis of state and private sector provision of water services in africa under pressure from donor agencies and international financial institutions such as the world bank some developing countries have experimented with the privatization of water services this article reviews the econometric evidence on the effects of water privatization in developing economies and presents new results using statistical data envelopment analysis and stochastic cost frontier techniques and data from africa the analysis fails to show evidence of better performance by private utilities than by state owned utilities among the reasons why water privatization could prove problematic in lower income economies are the technology of water provision and the nature of the product transaction costs and regulatory weaknesses

privatisation in developing countries a review of the evidence and the policy lessons privatisation is widely promoted as a means of improving economic performance in developing countries however the policy remains controversial and the relative roles of ownership and other structural changes such as competition and regulation in promoting economic performance remain uncertain this article reviews the main empirical evidence on the impact of privatisation on economic performance in developing economies the evidence suggests that if privatisation is to improve performance over the longer term it needs to be complemented by policies that promote competition and effective state regulation and that privatisation works best in developing countries when it is integrated into a broader process of structural reform

economies of scale in multi product firms an empirical analysis this paper presents new evidence on scale economies in multiproduct firms previous studies are limited in view of r ecent advances in the theory of the multiproduct firm the water util ity is chosen here as a multiproduct firm providing multiple services to various classes of customers with spatial variation a translog m ultiproduct cost function is estimated based on duality between tran sformation and cost functions the paper analyzes overall as well as product specific scale economies it also discusses ray average cos t curves and derives the m locus which provides useful information on scope economies and the cost minimizing number of firms copyright 1987 by the review of economic studies limited

how different is the efficiency of public and private water companies in asia several studies have compared the efficiency of publicly and privately owned water utilities and reached conflicting conclusions on the impact of ownership on efficiency this article provides further evidence by estimating a stochastic cost frontier for a sample of asian and pacific regional water companies the results show that efficiency is not significantly different in private companies than in public ones

toward a theory of regulation for developing countries following jean jacques laffont s lead the efficient operation and expansion of infrastructures in developing countries is crucial for growth and poverty reduction however recent reforms aimed at improving the performance of these sectors have had limited success evidence suggests that in many instances this was because the traditional regulatory theory relied on by policymakers was not suitable for the institutional context in developing countries this article surveys more recent theoretical work focusing on problems with regulation in these countries at the heart of the survey is the work of jean jacques laffont who in the last decade of his life set about developing a theoretical framework for regulation in developing countries we consider the implications of his work which focused on the key institutional limitations faced in developing countries we then discuss where experience suggests that there are important omissions from this modeling bringing in extensions and alternative approaches pursued by other authors we conclude by summarizing the key ways in which regulatory policy will be different when institutions are weak overall we find that an understanding of the institutional context and its implications are crucial when designing a regulatory framework for developing countries

computing economies of vertical integration economies of scope and economies of scale using partial frontier nonparametric methods abstract so far in the nonparametric literature only full frontier nonparametric methods have been applied to search for economies of scope and scale particularly the data envelopment analysis method dea however these methods present some drawbacks that might lead to biased results this paper proposes a methodology based on more robust partial frontier nonparametric methods to look for scope and scale economies through this methodology it is possible to assess the robustness of these economies and in particular to assess the influence that extreme data or outliers might have on them the influence of the imposition of convexity on the production set of firms was also investigated this methodology was applied to the water utilities that operated in portugal between 2002 and 2008 there is evidence of economies of vertical integration and economies of scale in drinking water supply utilities and in water and wastewater utilities operating mainly in the retail segment economies of scale were found in water and wastewater utilities operating exclusively in the wholesale and in some of these utilities diseconomies of scope were also found the proposed methodology also allowed us to conclude that the existence of some smaller utilities makes the minimum optimal scales go down

information and diversity of analyst opinion this paper examines problems in the use of divergence of analyst opinion as a proxy for estimation risk in empirical studies of security returns and asset pricing models we demonstrate that diversity of opinion can increase even though the amount of private information increases and we show that diversity of opinion may overstate estimation risk if the capital market aggregates the information held by investors we produce empirical results consistent with our conclusions specifically we find that divergence of opinion can produce measures of estimation risk that are inconsistent with a received proxy for estimation risk and with observed common stock returns

production costs inefficiency and source water quality a stochastic cost frontier analysis of canadian water utilities this analysis employs a stochastic cost frontier to estimate relationships between source water quality production costs and cost efficiency in canadian municipal water treatment facilities data for the analysis are obtained primarily from a census of water providers that contains detailed information on operational costs source water quality and treatment technologies results show water quality as measured by turbidity is a significant determinant of production costs the estimated elasticity for turbidity is 0 1 with a 95 confidence interval of 0 06 to 0 14 we find no significant differences in cost efficiency across regions treatment technologies output or turbidity levels

international spillovers productivity growth and openness in thailand an intertemporal general equilibrium analysis thailand has experienced economic growth well above world averages for about 40 years it is a challenge to understand the sources of this high growth path and in particular why growth has not slowed down with assumed decreasing returns to capital we develop an intertemporal general equilbrium model separating between agriculture and industry and with open capital market and endogenous productivity growth to analyze the underlying adjustment mechanisms foreign technology spillover embodied in trade is assumed to be the driving force of the productivity growth consistent with available econometric evidence the high growth experience is understood as a transition path with interaction between productivity growth openness and capital investment counterfactual analysis shows how protection may have had serious detrimental effect on growth rate due to productivity and investment slowdown the role of relative prices in constraining growth is investigated inspired by the acemoglu ventura hypothesis of growth slowdown due to terms of trade effect in our setting low elasticity between domestic and exports goods in supply leads to large relative price shifts for domestic goods but promotes investment and growth during transition

optimal portfolio selection under institutional procedures for short selling abstract this study presents and formally justifies a simple ranking approach for optimal portfolio selection under institutional procedures for short selling it also provides economic insights of the explicit solution of the portfolio problem the analysis is applicable to different treatments of the short sale proceeds and any margin deposits in contrast to previous approaches it does not require assumptions that overstate short sale benefits for maintaining analytical tractability and it can easily identify and filter out securities that are undesirable for investing or for short selling thus this study can enhance the usefulness of portfolio modeling for assisting practical investment decisions

learning by doing and learning from others human capital and technical change in agriculture household level panel data from a nationally representative sample of rural indian households describing the adoption and profitability of high yielding seed varieties hyvs associated with the green revolution are used to test the implications of a model incorporating learning by doing and learning spillovers the estimates indicate that i imperfect knowledge about the management of the new seeds was a significant barrier to adoption ii this barrier diminished as farmer experience with the new technologies increased iii own experience and neighbors experience with hyvs significantly increased hyv profitability and iv farmers do not fully incorporate the village returns to learning in making adoption decisions

does a municipal electric s supply of communications crowd out private communications investment an empirical study abstract there are 2007 municipalities across the united states providing electricity service to their constituents of these over 600 provide some sort of communications services to the community an important policy question is whether or not public investment in communications crowds out private investment or whether such investment encourages additional entry by creating wholesale markets and economic growth we test these two hypotheses the crowding out and stimulation hypotheses using a recent dataset for the state of florida we find strong evidence favoring the stimulation hypothesis public investment in communications network increases competitive communications firm entry by a sizeable amount

governance failure rethinking the institutional dimensions of urban water supply to poor households summary this paper applies a conceptual framework of governance failure to an analysis of the institutional dimensions of urban water supply provision to poor households focusing on the case of jakarta data from a household survey archives gis based mapping and interviews are used to document governance failures that create disincentives for utilities to connect poor households and for poor households to connect the paper concludes by suggesting that the debate over the relative merits of public and private provision has diverted attention from the pressing issue of governance reform and by raising the question of whether household provision of networked water supply by monopolistic providers whether public or private is universally feasible given the current water supply policy norms

capital accumulation and economic growth the case of the retail food industry in developing countries the share of resources allocated to food marketed through supermarkets and their marketing channels has grown at an unprecedented rate in developing countries during the 1990s this expansion has caused some resources to depart traditional channels differences in the relative capital intensity of the modern marketing channels in contrast to the traditional channels is shown to explain at least part of this evolution as the process of economic growth and capital deepening even when the food share of total expenditures declines in this case incomplete markets and policy distortions can exacerbate the effects of adjustment in traditional agriculture placing a greater need

short selling and efficient sets the effect of short selling on the composition and location of the efficient set has been analyzed in a variety of ways however the situation typically facing investors where the initial margin requirement is less than 100 percent and the riskfree interest rate that is paid on the short proceeds is less than the rate paid on initial margin has not previously been considered the elton gruber padberg algorithm 1976 1978 subject to certain modifications is shown here to be capable of identifying the efflcient set under such conditions when harry markowitz 1952 developed the notion of efficient sets as a method of identifying an investor s optimal portfolio he did so in a setting where short selling was prohibited since then the effect of short selling on the composition and location of the efficient set has been considered in a variety of ways for example lintner 1965 suggested that short sales be treated from the perspective of a broker dealer where an amount of money equal to the short proceeds must be put up as initial margin with the short seller receiving riskfree interest on both the short proceeds and the margin alternatively black 1972 and merton 1972 assumed that the short seller did not have to put up any initial margin and that the short seller actually got the use of the short proceeds more recently dyl 1975 has assumed that the short seller must put up initial margin that is less than the short proceeds but receives no interest on either the margin or short proceeds this paper is concerned with the generation of efficient sets where short selling is allowed but with certain restrictions attached to it referred to hereafter as restricted short selling in particular initial margin is required but can be met by depositing interest bearing securities with the brokerage firm where the short seller s account is kept furthermore the model allows the short seller to earn interest on the short proceeds accordingly the model

parameter based decision making under estimation risk an application to futures trading this study shows how the standard portfolio model of futures trading should be modified when there is less than perfect information about the relevant parameters estimation risk the standard and the optimal decision rules for futures trading in the presence of estimation risk are compared and discussed an operational model of futures trading for use under estimation risk is advanced in the presence of relevant prior and sample information the model can be used to optimally blend both types of information many of the contributions of economic theory to the study of financial markets involve the use of parameters that are assumed known or estimable by the economic agents examples include the risk premium coefficient 18 and the security market lines that underlie the capital asset pricing model the volatility measures required for option pricing and the minimum variance hedge ratio and expected basis used to construct portfolios of futures contracts and cash positions generally it is left to practitioners to provide estimates of these parameters which are then directly substituted for the actual parameter values of the theoretical model whenever textbooks demonstrate how these parameters can be estimated there is usually a cookbook formula provided that requires some relatively straightforward analysis of the relevant data e g marshall 1989 chapters 6 and 7 cox and rubinstein 1985 chapter 6 the problems with the procedure described above are twofold first the theory has been slow to acknowledge that the practical application of the model almost always involves parameter estimates generally the additional risk of not knowing the true parameters is completely neglected second practitioners or the market participants will often have some type of nonsample information such as insider information or subjective priors that seems relevant for decision making however this potentially important information is ignored altogether when only sample data are used to obtain the parameter estimates

costs of nitrogen runoff for rural water utilities a shadow cost approach this paper explores the interactions among scale and density economies productive efficiency water quality and customer characteristics and their impact on the costs of delivering treated drinking water implicit benefits of nitrogen abatement are also derived and hypothesis tests concerning their hypothesized drivers are conducted key findings are that nitrogen removal costs increase with rising raw water nitrogen concentration coming from agricultural activities and that network density and system size matter in determining average total costs of community water systems merging water systems to take advantage of scale economies may be difficult due to the heterogeneity of the sector however

estimation risk and simple rules for optimal portfolio selection elton gruber and padberg egp 6 7 have recently simplified the process of constructing optimal portfolios by developing simple criteria for optimal portfolio selection which do not involve use of mathematical programming their simple decision rules permit one to determine easily which securities to include in an optimal portfolio and how much to invest in each however in practical applications of theoretical models sample estimators are usually treated as if they were true values of unknown parameters as a result the effect of the standard errors of sample estimators on decision rules are completely ignored bawa brown and klein 1 have shown that what is optimal in the absence of estimation risk is not necessarily optimal or even approximately optimal in the presence of estimation risk moreover brown 4 examined optimal portfolio choice under uncertainty for various portfolio selection procedures the diffuse bayes rule the markowitz certainty equivalent ce rule the aggregation ce rule and the equal weight rule 1 and found that the diffuse bayes rule uniformly dominates the markowitz ce rule in repeated samples for the quadratic utility case as the sample size increases the bayes rule becomes superior to the aggregation ce and the equal weight rules in addition the result holds even where the probability distribution of returns is seriously misspecified thus brown s 4 study has clearly indicated that without taking estimation risk into account portfolio selection rules other than the bayes rule can lead investors to select suboptimal portfolios this paper shows by using the single index model for the return generating process that the simple decision rules for optimal portfolio selection derived by elton gruber and padberg 7 are not identical under the bayesian and the traditional methods of analysis 2 moreover in the case where short sales are not

the effects of consolidation amongst japanese water utilities a hedonic cost function analysis in many parts of the world water is supplied by very small local undertakings in recent years there has been a move to consolidation of these utilities in a number of countries this paper look

a dynamic general equilibrium model of industrialization when manufactures are unnecessary abstract a dynamic general equilibrium model of industrialization is presented that conforms with some of the stylized facts regarding the development process without appeal to non convexities rather we explicitly distinguish between sectoral outputs on the basis of necessity primary sector outputs are essential for survival whereas manufactures are not the model supports both the push and pull hypotheses of the origins of industrialization exact numerical analyses of transition paths for both of these industrialization scenarios are presented

the role of environmental factors in water utilities technical efficiency empirical evidence from spanish companies this article computes input specific scores of technical efficiency for a sample of water utilities located in the southern spanish region of andalusia in addition differences in efficiency between different operating environments are investigated concerning the debate about ownership and efficiency we find that privately owned companies outperform public utilities in their management of labour furthermore technical efficiency is found to be greater among firms located in highly populated areas and for utilities providing water services to tourist municipalities finally no empirical evidence supporting the greater technical efficiency of consortia of water utilities a managerial strategy strongly encouraged by regional politicians is found

the performance of german water utilities a semi parametric analysis germany s water supply industry is characterized by a multitude of utilities and widely diverging prices possibly resulting from structural differences beyond the control of firms management but also from inefficiencies in this article we use data envelopment analysis and stochastic frontier analysis to determine the utilities technical efficiency te scores based on cross sectional data from 373 public and private water utilities in 2006 we find large differences in te scores even after accounting for significant structural variables like network density share of groundwater usage and water losses

can corporate social responsibility resolve the sanitation question in developing asian countries abstract the existing state of sanitation in developing asian countries fails to deliver a level of service that is adequate for meeting the human right to a standard of living consistent with dignity and health or for sustaining the capacity for future generations to have access to clean water resources and healthy ecosystems we argue that translating the current neo centralised technologies and institutional arrangements mainstreamed by industrialised countries would not resolve the problem in the context of developing countries instead it is necessary to leap frog to the emerging technological and institutional arrangements that are responsive to current needs and contexts and to potential risks the sustainability focus and often decentralised technologies of this emergent stage in sanitation present many opportunities for new actors to enter the urban sanitation industry at the same time there are many barriers to entry particularly from the perspective of conventional business management focused on increasing shareholder value we propose that perspectives from the corporate social responsibility discourse have the potential to provide both the pull for seizing the business opportunity for profit while serving social needs and the push to overcome the barriers in order to serve a wider social purpose for corporations the wealth of nations at least as reported in ubiquitous gdp terms has greatly increased through the activities of corporations driven by a profit motive but the increased poverty injustice and ecosystem degradation that have resulted from economic activity suggest that corporations perhaps ought to have regard for broader concerns beyond shareholder value we explore how the alternative relational view of a corporation as a metaphorical person within society who adopts a moral code consistent with both buddhist economics and adam smith s philosophy may facilitate profitable corporations that provide better economic ecological and social outcomes in serving the need for sustainable sanitation services in developing asian countries

market and cost structure in the u s beef packing industry a plant level analysis a resurgence of consolidation in the u s meat packing industry in the past few decades has stimulated academic and policy debate issues raised include the role of cost economies in driving these patterns and the effects on the agricultural sector cattle producers from market power here plant level cost and revenue data for u s beef packing plants are used to estimate a cost based model incorporating cattle and output market pricing behavior the robust results indicate little market power exploitation in either the cattle input or beef output markets and that any apparent evidence is counteracted by cost efficiencies such as utilization and scope economies copyright 2001 oxford university press

supermarkets wholesalers and tomato growers in guatemala the article shows the asset related determinants and the impacts of the participation of small farmers in supermarkets versus traditional market channels in guatemala compared to farmers selling only to the traditional market channels farmers selling to supermarket channels are larger but are in the upper tier of the small farmer category have more capital and are much more specialized in commercial horticulture in general and in tomatoes in particular while they have higher yields they also have higher input use including use of chemicals in fact they severely overuse pesticides and fungicides moreover these greater input expenditures mean that their profit rates are roughly similar to those of farmers in the traditional market channel supermarket channel farmers prefer the more demanding wholesale supermarket channel because it offers lower risks and lower transaction costs to market a variety of quality grades of tomatoes all year long in turn the supermarkets who do not buy direct but rather source from a few specialized dedicated wholesalers rely on this year round supply lower transaction costs and consistency of quality

efficiency in the public and private french water utilities prospects for benchmarking this article uses a data envelopment analysis dea and a stochastic frontier analysis sfa to assess the relative technical efficiency of 177 decision making units in the french water supply sector in 2009 water utilities can be directly managed by the local authorities or contracted out and then managed by a private operator the use of a three stage model mixing dea and sfa enables us to dissociate managerial inefficiencies from the structural inefficiencies and statistical noise after having taken the environmental variables into account we find that private management are on average slightly less efficient than public management an explanation to this performance gap can be different resource management

public versus private water delivery a hedonic cost approach automotive news 1967 almanac detroit slocum publishing co 1967 bucklin louis p competition and evolution in the distributive trades englewood cliffs new jersey prentice hall 1972 federal trade commission annual line of business report 1974 washington ftc 1981a processed annual line of business report 1975 washington ftc 1981b processed guth louis a robert a schwartz and david k whitcomb the use of buyer concentration ratios in tests of oligopoly models this review 58 nov 1976 488 491 jeifreys james b the distribution of consumer goods new york cambridge university press 1950 lilly digest indianapolis ely lilly and co 1976 martin stephen advertising concentration and profitability the simultaneity problem belljournal 10 autumn 1979 639 647 national petroleum news fact book 1976 new york mcgraw hill 1976 ncr expenses in retail business dayton ohio ncr undated but about 1966 and about 1976 strickland allyn d and leonard w weiss advertising concentration and price cost margins journal of political economy 84 oct 1976 1109 1123 u s department of commerce bureau of economic analysis the detailed input output structure of the u s economy 1972 volume 1 the use and make of commodities by industries washington d c government printing office 1979 u s treasury department internal revenue service statistics of income source book 1972 processed ward t s the distribution of consumer goods structure and performance new york cambridge university press 1973 weiss leonard w the geographic size of markets in manufacturing this review 54 aug 1972 245 257 case studies in american industry new york john wiley and sons 1980

municipal water supply and sewage treatment costs prices and distortions municipal water supply and sewage treatment utilities in ontario canada are studied in order to establish their costs of supply and evaluate their pricing practices prices charged to residential and commercial customers are found to be only one third and one sixth of the estimated marginal cost for water supply and sewage treatment respectively for example the average price to residential customers is 0 32m superscript 3 while the estimated marginal cost is 0 87 m superscript 3 the estimated cost parameters are combined with estimated residential and nonresidential demands functions in order to calculate approximate welfare losses that arise from overconsumption

driving forces for consolidation or fragmentation of the us water utility industry a cost function approach with endogenous output abstract this paper empirically analyzes the structure of the us water industry using a multiproduct flexible cost function model with the amount of water delivered to final consumers recognized as endogenous the cross sectional econometric analysis focuses on measures of cost economies in water production and their variation with network characteristics the estimates reveal considerable scale economies in terms of volume particularly for small utilities that tend to have less output density these economies are however counteracted by simultaneous increases in customers and service area size especially for large utilities overall our results indicate that consolidation of small utilities might generate cost efficiencies depending on the concurrent expansion of the network but consolidation of already large utilities without corresponding increases in output density is not likely to be cost effective

the effect of forest land use on the cost of drinking water supply a spatial econometric analysis forest land use is often associated with the protection of water resources from contamination and the reduced cost of drinking water supply this study attempted to measure the value of the forest on the quality of water resources from a contingent market namely drinking water supply by estimating variations in drinking water costs as a function of variations in land uses spatial correlations were taken into account because of the use of different geographical scales i e water service area and land uses and the potential existence of organizational and technological spillovers between water services we found a significant negative effect of forest land use on water costs we found no evidence of spatial spillovers concerning the management regime but did find that factors related to the scarcity of resources in neighboring water services have an impact on water costs

differential information and security market equilibrium we propose a simple model of equilibrium asset pricing in which there are differences in the amounts of information available for developing inferences about the returns parame ters of alternative securities in contrast with earlier work we show that parameter uncer tainty or estimation risk can have an effect upon market equilibrium under reasonable conditions securities for which there is relatively little information are shown to have relatively higher systematic risk when that risk is properly measured ceteris paribus the initially very limited model is shown to be robust with respect to relaxation of a number of its principal assumptions we provide theoretical support for the empirical examination of at least three proxies for relative information period of listing number of security returns observations available and divergence of analyst opinion

a note on simple criteria for optimal portfolio selection using sharpe s 7 single index model elton gruber and padberg egp 4 5 have established some simple ranking criteria for optimal portfolio selection a further extension has been made by chen and brown 2 and alexander and resnick 1 to incorporate the risk associated with the estimation of input parameters this note explores the economic rationale underlying the portfolio formation process based on the single index model in so doing we seek to enhance the intuitive appeal of the simplified portfolio criteria developed in the above studies to practitioners to this end we restate the egp solution with short sales allowed as

the empirical minimum variance hedge decision making under unknown true parameters estimation risk is discussed along with bayes and parameter certainty equivalent pce criteria bayes criterion incorporates estimation risk in a manner consistent with expected utility maximization the pce method which is the most commonly used is not consistent with expected utility maximization bayes criterion is employed to solve for the minimum variance hedge ratio empirical application of bayes minimum variance hedge ratio is addressed and illustrated simulations shoe that discrepancies between prior and sample parameters may lead to substantial differences between bayesian and pce minimum variance hedges

private sector participation and performance of urban water utilities in china abstractin the early 1990s china began opening its urban water sector to nonstate capital to meet increasing urban water demand by 2007 more than 30 of large and medium urban water utilities had attracted private sector participation psp of which two thirds have a majority of nonstate shareholders to understand the factors that drive psp in urban water supply and to answer the key policy question of how psp has affected water utility performance we assemble and analyze a unique data set consisting of 208 urban water utilities servicing more than 300 million urban residents from 1998 to 2007 we find that a utility s profitability and liability level and a host city s road infrastructure in the prior year play important roles in driving private investors both to enter and to withdraw from the sector it is further found that psp utilities and mainly those with majority nonstate shareholders have made substantial cost savings through employment downsizing and cutting managerial expenses which le

the causes and consequences of wal mart s growth wal mart is the largest company in the world yet little is known about its economic impact this essay discusses what is known about wal mart s competitive advantage and its economic impact on local communities as well as the national and global economy and highlights the open questions to be addressed by future research

consistency in performance rankings the peru water sector regulators can utilize a number of alternative methodologies for comparing firm efficiency but these approaches need to be robust to be accepted by stakeholders this study evaluates the consistency of water utility performance rankings for peruvian water utilities the results indicate that data envelopment analysis dea and stochastic frontier analysis sfa yield similar rankings in this case in addition the techniques have comparable success for identifying the best and worst performing utilities however these rankings based on sophisticated statistical techniques are not highly correlated with those developed by the peruvian water regulator sunass this result does not invalidate the performance rankings obtained by the regulator since those rankings are based on more dimensions of utility performance however they illustrate the importance of developing sound techniques for identifying weak utilities improvements in sector performance require that benchmarking be given greater attention t

following up on smallholder farmers and supermarkets in kenya in many developing countries supermarkets are expanding rapidly this affects farmers marketing options previous studies have analyzed welfare effects of smallholder participation in supermarket channels from a static perspective using cross section data we develop a conceptual framework and use panel data to better understand participation and impact dynamics the analysis focuses on vegetable producers in kenya participation in supermarket channels is associated with income gains however many farmers have dropped out of the supermarket channel due to various constraints the initial income gains cannot be sustained when returning to the traditional market organizational support may be needed to avoid widening income disparities

measuring the technical efficiency of municipal water suppliers the role of environmental factors this paper extends the multistage procedure set out by fried schmidt and yaisawarng 1999 to examine the importance of environmental factors when assessing the technical efficiency of water agencies however following simar and wilson s 2007 critique of multistage efficiency analyses the paper uses a bootstrapping approach in order to have consistent inference data are from a cross section of municipal water agencies in ontario canada during 1996 the main findings are that environmental factors explain some of the observed variation in efficiency scores and that water agencies relative efficiency scores are changed substantially after controlling for environmental factors

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

domestic regulation and the wto the case of water services in developing countries n recent years the interface between domestic regulation and trade liberalisa tion in services has received increasing attention in public policy debate inboth developed and developing countries trade in services to a much greaterextent than trade in goods is affected by a variety of domestic regulations whichmay in uence the effects of trade and investment liberalisation mattoo andsauve 2002 and 2003 many services particularly those provided by utilities ornetwork industries are characterised by various forms of market imperfection and regulation is needed in order to ensure a certain level of quality of service toprotect consumers or to protect the environment understandably governmentshave been concerned to retain national autonomy in regulation policy and havebeen wary of agreeing to commit themselves to common international rules inthis area as part of the uruguay round the general agreement on trade in services gats entered into force on 1 january 1995 with a set of binding rules anddisciplines to promote liberalisation of services trade and investment ows thewto ministerial declaration at doha in november 2001 agreed to negotiationson the reduction or elimination of tariff and non tariff barriers for environmentalgoods and services as part of the negotiations on trade in services within thegats framework wto 2001

spatial effects in econometric practice in environmental and resource economics this paper reviews some methodological and practical issues that arise in the use of spatial econometric techniques in empirical research in environmental and resource economics the focus is on four issues that do not always receive sufficient attention in applied work the statistical implications of using spatially interpolated values in the rhs of models the issue of spatial scale and spatial aggregation the conceptualization of spatial variation in a continuous or discrete space and the modeling of dependence as simultaneous or conditional spatial effects in econometric practice in environmental and resource economics introduction recent years have seen a tremendous increase in the application of geographic information systems and spatial analysis in the social sciences in general goodchild et al 2000 and in applied research in environmental and resource economics in particular bockstael 1996 such research is often characterized by the need to combine data obtained from different sources using different sample designs aggregation conventions and reporting frequencies for example economic variables such as house and land values and the type and volume of agricultural production are collected by means of censuses and surveys designed to accurately portray the distribution of the variable in the population of interest this population pertains to economic agents or aggregates thereof which are typically conceptualized as discrete distinct objects but rarely envisaged in an explicit spatial context in contrast environmental characteristics are often obtained from physical measurements that result from an underlying spatial sampling design examples are satellite imagery used to estimate land use and land cover and readings from sensors at fixed air and water quality monitoring stations the sampling design used for these measures may be optimized to estimate the distribution of the physical phenomenon such as air quality as a spatial continuum or field but has little connection to the framework used to collect economic information in addition neither economic nor physical data collection necessarily matches the spatial scale of the phenomenon under study such as the geographic extent of a market this is a level of complexity that goes well beyond the traditional micro macro distinction in economic analysis the scale mismatch and the inherent need to integrate data from various

portfolio analysis using single index multi index and constant correlation models a unified treatment in this study a simple common algorithm which is applicable to seven models is proposed for optimal portfolio selection disallowing short sales of risky securities the models considered in the analysis consist of a single index model four multi index models and two constant correlation models unlike the previous approach the proposed algorithm does not require explicit ranking of securities therefore it is particularly useful for two multi index models with orthogonal indices which do not provide any ranking criterion also because of its algorithmic efficiency as demonstrated in a simulation study on models with multiple groups the approach here can enhance their usefulness in portfolio analysis in a series of publications elton and gruber 2 and elton gruber and padberg hereafter egp 3 8 have considered extensively portfolio optimization problems using a variety of index models and constant correlation models these models are sharpe s 12 single index model cohen and pogue s 1 multi index model in the diagonal form a multi index model with orthogonal indices 8 a constant correlation model with a single group 3 and a constant correlation model with multiple groups 7 hereafter sim mim di mim or ccm s and ccm m respectively using these models egp have developed some ranking procedures to reach optimal portfolios disallowing short sales of risky securities all securities in each group are ranked according to their performance as measured by a ratio of excess return to risk they are sequentially added to feasible portfolios following the ranking hierarchy until the optimal portfolio is reached for models where explicit ranking criteria can be established the egp approach is easy to implement and it clearly explains why a security belongs or does not belong to a portfolio besides the above models it is also applicable to cohen and pogue s 1 multi index model in the covariance form hereafter mim co however it does not work well for models lacking appropriate criteria to rank securities in order to overcome ranking difficulties in mim or egp 8 have introduced a market portfolio with zero residual risk to establish an alternative ranking criterion unfortunately as egp have indicated this causes internal inconsistency in the analysis in the present study a simple algorithm for optimal portfolio selection disal

hedging supply risks an optimal water portfolio although water supply diversification has been proposed as a solution to dwindling water reserves the optimal mix of natural and manufactured sources of water remains largely unexplored we develop a dynamic portfolio model of water supply that hedges against the supply risks from all potential water sources by taking into account the size of water reserves uncertainties of water flows as well as differences in supply costs the optimal portfolio shares for an existing water supply system are derived and compared with the observed contributions to total water stock revealing unexploited hedging opportunities between various naturally occurring water sources as well as a general over reliance on manufactured water the optimal solution implies that future supply augmentations should target natural sources of water ahead of manufactured water it is estimated that the optimization of the water supply portfolio for a medium sized city results in annual cost savings of up to 463 million

a water supply cost model incorporating spatial variables this paper presents new evidence on scale economies in multi product firms previous studies are limited in view of recent advances in the theory of the multi product firm the water utility is chosen here as a multi product firm providing multiple