DSpace Collection:https://dspace.lboro.ac.uk/2134/30972017-07-22T19:05:29Z2017-07-22T19:05:29ZDo commodities make effective hedges for equity investors?Olson, EricVivian, Andrew J.Wohar, Mark E.https://dspace.lboro.ac.uk/2134/258362017-07-20T11:00:43Z2017-01-01T00:00:00ZTitle: Do commodities make effective hedges for equity investors?
Authors: Olson, Eric; Vivian, Andrew J.; Wohar, Mark E.
Abstract: The purpose of this paper is to evaluate whether commodities are effective hedges for equity holders. We employ three different methodologies to calculate time varying hedge ratios. First, we examine time-varying hedge ratios and how much portfolio risk can be reduced relative to a long position in the S&P 500. We calculate hedge ratios from realized variances and covariances; second, we estimate a recursive multivariate GARCH (BEKK) model and calculate the hedge ratios from the estimated covariances; and thirdly, we calculate the hedge ratios by estimating recursive OLS regressions. The results of our paper are very clear. First, commodities are not effective hedges for the S&P 500. Equity market investors and asset managers looking for a way to manage and reduce portfolio risk will be well advised to search for alternative hedges for the S&P 500 than commodities. Second, our results do not support the claim that commodities were a good hedge for the equity market during the financial crisis.
Description: This paper is closed access until 8th January 2019.2017-01-01T00:00:00ZCapturing preferences for inequality aversion in decision supportKarsu, OzlemMorton, AlecArgyris, Nikolaoshttps://dspace.lboro.ac.uk/2134/258312017-07-20T09:52:41Z2017-01-01T00:00:00ZTitle: Capturing preferences for inequality aversion in decision support
Authors: Karsu, Ozlem; Morton, Alec; Argyris, Nikolaos
Abstract: We investigate the situation where there is interest in ranking distributions (of income, of wealth, of health, of service levels) across a population, in which individuals are considered preferentially indistinguishable and where there is some limited information about social preferences. We use a natural dominance relation, generalized Lorenz dominance, used in welfare comparisons in economic theory. In some settings there may be additional information about preferences (for example, if there is policy statement that one distribution is preferred to another) and any dominance relation should respect such preferences. However, characterising this sort of conditional dominance relation (specifically, dominance with respect to the set of all symmetric increasing quasiconcave functions in line with given preference information) turns out to be computationally challenging. This challenge comes about because, through the assumption of symmetry, any one preference statement (“I prefer giving $100 to Jane and $110 to John over giving $150 to Jane and $90 to John”) implies a large number of other preference statements (“I prefer giving $110 to Jane and $100 to John over giving $150 to Jane and $90 to John”; “I prefer giving $100 to Jane and $110 to John over giving $90 to Jane and $150 to John”). We present theoretical results that help deal with these challenges and present tractable linear programming formulations for testing whether dominance holds between any given pair of distributions. We also propose an interactive decision support procedure for ranking a given set of distributions and demonstrate its performance through computational testing.
Description: This paper is closed access until 10th July 2019.2017-01-01T00:00:00ZMGNREGA, power politics, and computerization in Andhra PradeshMasiero, SilviaMaiorano, Diegohttps://dspace.lboro.ac.uk/2134/258202017-07-19T10:34:42Z2017-01-01T00:00:00ZTitle: MGNREGA, power politics, and computerization in Andhra Pradesh
Authors: Masiero, Silvia; Maiorano, Diego
Abstract: The link between e-governance and accountability of state administrations for service provision has been problematized in the literature to date. However, little is known about its application to anti-poverty programmes, of which public workfare schemes are an increasingly important subset. In this paper we fill the gap with a study of MGNREGA, India’s largest workfare scheme, as it is being computerized in the southern state of Andhra Pradesh. A state-level information system was devised to ensure transparency of transactions, and hence combat the illicit diversion of the programme’s funds to non-entitled recipients. But while doing so, the system carries a policy of centralization, which concentrates decision-making power in the hands of a limited set of actors rather than distributing it across the programme’s stakeholders. In particular the Field Assistants, appointed officials responsible for the village-level management of the scheme, have direct control on the information inputted in the system, which reinforces their position of authority rather than challenging it in favor of greater empowerment of wageseekers. Furthermore, wage payments are traced by the information system till they reach the disbursement agencies, but are prone to capture in the “last mile” where workers collect their salaries, which results in greater vulnerability for them. As a result, MGNREGA workers are constructed by the new information system as sheer beneficiaries rather than active participants in the programme, which concurs to crystallizing existing power structures rather than resulting in wageseekers’ empowerment. Lessons are drawn for other states currently computerizing their social safety nets.
Description: This paper is closed access until 3rd January 2019.2017-01-01T00:00:00ZCompetitive two-agent scheduling with deteriorating jobs on a single parallel-batching machineTang, LixinZhao, XiaoliLiu, JiyinLeung, Joseph Y.-T.https://dspace.lboro.ac.uk/2134/257222017-07-06T14:59:34Z2017-01-01T00:00:00ZTitle: Competitive two-agent scheduling with deteriorating jobs on a single parallel-batching machine
Authors: Tang, Lixin; Zhao, Xiaoli; Liu, Jiyin; Leung, Joseph Y.-T.
Abstract: We consider a scheduling problem in which the jobs are generated by two agents and have time-dependent proportional-linear deteriorating processing times. The two agents compete for a common single batching machine to process their jobs, and each agent has its own criterion to optimize. The jobs may have identical or different release dates. The batching machine can process several jobs simultaneously as a batch and the processing time of a batch is equal to the longest of the job processing times in the batch. The problem is to determine a schedule for processing the jobs such that the objective of one agent is minimized, while the objective of the other agent is maintained under a fixed value. For the unbounded model, we consider various combinations of regular objectives on the basis of the compatibility of the two agents. For the bounded model, we consider two different objectives for incompatible and compatible agents: minimizing the makespan of one agent subject to an upper bound on the makespan of the other agent and minimizing the number of tardy jobs of one agent subject to an upper bound on the number of tardy jobs of the other agent. We analyze the computational complexity of various problems by either demonstrating that the problem is intractable or providing an efficient exact algorithm for the problem. Moreover, for certain problems that are shown to be intractable, we provide efficient algorithms for certain special cases.
Description: This paper is closed access until 26th May 2019.2017-01-01T00:00:00Z