oalib
Search Results: 1 - 10 of 100 matches for " "
All listed articles are free for downloading (OA Articles)
Page 1 /100
Display every page Item
Ex Post Efficient Set Mathematics  [PDF]
Christopher Adcock
Journal of Mathematical Finance (JMF) , 2013, DOI: 10.4236/jmf.2013.31A019
Abstract:

This paper considers efficient set mathematics for the case where the covariance matrix of asset returns is assumed known but ex ante the vector of expected returns is replaced by an estimated or forecast value. It is shown that the ex post mean and variance differ from the standard results. Consequently the maximum Sharpe ratio portfolio also differs from the standard result. However, even with uncertainty about the vector of expected returns, subject to the assumptions made about the joint distribution of actual returns and estimated mean returns, ex post Sharpe ratio maximisers hold the ex post market portfolio. The properties of the zero beta portfolio are similar to the standard results leading to a capital market line. The ex post Capital Asset Pricing Model incorporates an intercept and the betas are not the same as those computed ex ante. The results are illustrated with an example.

 

Structure and complexity of ex post efficient random assignments  [PDF]
Haris Aziz,Simon Mackenzie,Lirong Xia,Chun Ye
Computer Science , 2014,
Abstract: In the random assignment problem, objects are randomly assigned to agents keeping in view the agents' preferences over objects. A random assignment specifies the probability of an agent getting an object. We examine the structural and computational aspects of ex post efficiency of random assignments. We first show that whereas an ex post efficient assignment can be computed easily, checking whether a given random assignment is ex post efficient is NP-complete. Hence implementing a given random assignment via deterministic Pareto optimal assignments is NP-hard. We then formalize another concept of efficiency called robust ex post efficiency that is weaker than stochastic dominance efficiency but stronger than ex post efficiency. We present a characterization of robust ex post efficiency and show that it can be tested in polynomial time if there are a constant number of agent types. It is shown that the well-known random serial dictatorship rule is not robust ex post efficient. Finally, we show that whereas robust ex post efficiency depends solely on which entries of the assignment matrix are zero/non-zero, ex post efficiency of an assignment depends on the actual values.
Determinantes do spread bancário ex post no mercado brasileiro
José Alves Dantas,Otavio Ribeiro de Medeiros,Lucio Rodrigues Capelletto
Revista de Administra??o Mackenzie , 2012,
Abstract: A rentabilidade dos bancos é geralmente considerada um fator relevante para garantir a solidez do sistema financeiro, reduzindo os riscos associados aos eventos de insolvência nesse setor. No Brasil, porém, tem havido discuss es quanto aos lucros das institui es financeiras que atuam no país, centradas no argumento de que tais lucros seriam supostamente muito elevados, onerando demasiadamente o setor produtivo. Por isso, diversos estudos têm avaliado a estrutura, a evolu o e os determinantes do spread bancário, que é considerada a principal variável responsável pelos lucros supostamente anormais. Do ponto de vista metodológico, essas pesquisas têm se concentrado em investigar o spread ex ante das opera es com recursos livres e têm utilizado fatores macroecon micos como variáveis independentes. Este estudo busca identificar variáveis determinantes do spread bancário ex post, privilegiando variáveis explanatórias específicas das institui es, vale dizer, microecon micas. Na literatura sobre determinantes do spread bancário ex post no Brasil, foi identificado apenas um trabalho anterior, o qual apresentou resultados pouco representativos, devido a um problema de micronumerosidade. Para evitar tal problema, este estudo utiliza dados dos balancetes de janeiro/2000 a outubro/2009 de institui es bancárias com carteira de crédito ativa. Utilizando um modelo de regress o com dados em painel dinamico, s o testadas nove hipóteses, constatando-se que o nível de spread ex post tem rela o significativa e: 1. Positiva com o risco de crédito da carteira, com o grau de concentra o do mercado de crédito e com o nível de atividade da economia; 2. negativa com a participa o relativa da institui o no mercado de crédito. Por outro lado, n o foram encontradas rela es estatisticamente relevantes entre o spread ex post e: o nível de cobertura das despesas administrativas pelas receitas de presta es de servi os; a origem do capital de controle da institui o, isto é, nacional versus estrangeiro e estatal versus privado; a taxa básica de juros da economia; a volatilidade do Ibovespa.
Ex-Post Equilibrium and VCG Mechanisms  [PDF]
Rakefet Rozen,Rann Smorodinsky
Computer Science , 2012,
Abstract: Consider an abstract social choice setting with incomplete information, where the number of alternatives is large. Albeit natural, implementing VCG mechanisms may not be feasible due to the prohibitive communication constraints. However, if players restrict attention to a subset of the alternatives, feasibility may be recovered. This paper characterizes the class of subsets which induce an ex-post equilibrium in the original game. It turns out that a crucial condition for such subsets to exist is the existence of a type-independent optimal social alternative, for each player. We further analyze the welfare implications of these restrictions. This work follows work by Holzman, Kfir-Dahav, Monderer and Tennenholtz (2004) and Holzman and Monderer (2004) where similar analysis is done for combinatorial auctions.
Willingness to pay for rapid diagnostic tests for the diagnosis and treatment of malaria in southeast Nigeria: ex post and ex ante
Benjamin SC Uzochukwu, Obinna E Onwujekwe, Nkoli P Uguru, Maduka D Ughasoro, Ogochukwu P Ezeoke
International Journal for Equity in Health , 2010, DOI: 10.1186/1475-9276-9-1
Abstract: WTP for RDT for Malaria was assessed by the contingent valuation method using a bidding game approach in rural and urban communities in southeast Nigeria. The ex post WTP was assessed at the health centers on 618 patients immediately following diagnosis of malaria with RDT and the ex ante WTP was assessed by household interviews on 1020 householders with a prior history of malaria.For the ex ante WTP, 51% of the respondents in urban and 24.7% in rural areas were willing to pay for RDT. The mean WTP (235.49 naira) in urban is higher than WTP (182.05 Naira) in rural areas. For the ex post WTP, 89 and 90.7% of the respondents in urban and rural areas respectively were WTP. The mean WTP (372.30 naira) in urban is also higher than (296.28 naira) in rural areas. For the ex post scenario, the lower two Social Economic Status (SES) quartiles were more willing to pay and the mean WTP is higher than the higher two SES while in the ex ante scenario, the higher two SES quartiles were more WTP and with a higher WTP than the lower two SES quartile. Ex ante and ex post WTP were directly dependent on costs.The ex post WTP is higher than the ex ante WTP and both are greater than the current cost of RDTs. Urban dwellers were more willing to pay than the rural dwellers. The mean WTP should be considered when designing suitable financial strategies for making RDTs available to communities.Malaria is highly endemic in Nigeria and it remains one of the major public health problem in Nigeria and a leading cause of morbidity and mortality in the country [1]. With a prevalence rate of 919/100,000, it accounts for 40% of disease burden reported at the public health facilities, 30% of all childhood deaths and 11% of maternal deaths. The loss to the economy as a direct result of malaria infections has been estimated as 132 billion Naira (US$1.01 billion at an exchange rate of 130 Naira = US$1.00) [2].In most endemic countries, the diagnosis and treatment of malaria has traditionally relied on
Implicazioni della regolazione dei mercati dei derivati sulle materie prime negli USA e nell’Unione Europea  [cached]
Jayati Ghosh
Moneta e Credito , 2011,
Abstract: Implicazioni della regolazione dei mercati dei derivati sulle materie prime negli USA e nell’Unione EuropeaAbstract: The argument for effective financial regulation to curb financial activity and associated volatility in primary commodity markets is now more compelling than ever, in the context of the renewed increase in food prices. However, as in much other financial regulation, the devil is in the detail. This paper considers recent patterns in global food markets and discusses some of the implications of recent moves to regulate financial activity in commodity futures markets in the US and the EU. Specific regulatory issues are considered and alternative strategies are considered.
Impact of the Curriculum Reform on Problem Solving Ability in Chemistry: An Ex Post Facto Study on Chemistry Education Students
DA Kidanemariam
African Journal of Chemical Education , 2012,
Abstract: An ex post facto study was conducted to examine the effect of the curriculum reform on 60 Dilla University chemistry education students’ problem solving ability. The study shows that the curriculum reform that shifted university introductory courses of the old curriculum into preparatory school levels in the new curriculum significantly hampered students’ problem solving ability.
Globalizzazione, stabilità e mercati finanziari  [cached]
PAUL A. VOLCKER
Moneta e Credito , 2009,
Abstract: Articolo originariamente pubblicato in Moneta e Credito, vol. 51, suppl. n.201, marzo 1998, pp. 149-155.
Ex post facto authorisation in south african environmental assessment legislation: A critical review
R Paschke, J Glazewski
Potchefstroom Electronic Law Journal/Potchefstroomse Elektroniese Regsblad , 2006,
Abstract: One of the fundamental tenets underlying environmental assessment both internationally and in South Africa is that it is anticipatory in nature in that it is essentially an evaluation of the effects likely to arise from a major project or other action significantly affecting the natural or artificial environment. Environmental impact assessment (EIA) is therefore a systematic and integrative process for considering possible impacts prior to a decision being taken on whether or not a proposal should be given approval to proceed. This article argues that the current legislative basis for environmental assessment in South Africa, namely Part V of the Environment Conservation Act 73 of 1998 (ECA) and regulations made under it, reflects this philosophy. It argues that the phenomenon of ex post facto or retrospective environmental authorisation is ultra vires and thus not permissible under the current legislative regime. Finally the article outlines and assesses the environmental assessment regime under the National Environmental Management Act 107 of 1998 (NEMA) and recent amendments to it under the NEMA Amendment Act 8 of 2004, which will in future govern the environmental assessment process. The amending Act introduces a new section 24G into the anticipated environmental assessment regime which will permit ex post facto or retrospective environmental authorisation. The authors argue that this is an unwelcome development which will militate against the purposes underlying environmental assessment.
Ex post facto authorisation in South African environmental assessment legislation: a critical review  [PDF]
R Paschke,J Glazewski
Potchefstroom Electronic Law Journal/Potchefstroomse Elektroniese Regsblad , 2006,
Abstract: One of the fundamental tenets underlying environmental assessment both internationally and in South Africa is that it is anticipatory in nature in that it is essentially an evaluation of the effects likely to arise from a major project or other action significantly affecting the natural or artificial environment. Environmental impact assessment (EIA) is therefore a systematic and integrative process for considering possible impacts prior to a decision being taken on whether or not a proposal should be given approval to proceed. This article argues that the current legislative basis for environmental assessment in South Africa, namely Part V of the Environment Conservation Act 73 of 1998 (ECA) and regulations made under it, reflects this philosophy. It argues that the phenomenon of ex post facto or retrospective environmental authorisation is ultra vires and thus not permissible under the current legislative regime. Finally the article outlines and assesses the environmental assessment regime under the National Environmental Management Act 107 of 1998 (NEMA) and recent amendments to it under the NEMA Amendment Act 8 of 2004, which will in future govern the environmental assessment process. The amending Act introduces a new section 24G into the anticipated environmental assessment regime which will permit ex post facto or retrospective environmental authorisation. The authors argue that this is an unwelcome development which will militate against the purposes underlying environmental assessment.
Page 1 /100
Display every page Item


Home
Copyright © 2008-2017 Open Access Library. All rights reserved.