When does ‘All Eggs in One Risky Basket’ Make Sense?

In an important paper comparing expected utility and mean-variance analysis, Feldstein (1969) examined a simple portfolio problem involving just two assets, one riskless and one risky. He concluded there could easily be ‘plunging’, that is, investment in the risky asset alone. His background assumptions were that the risky asset’s yield was log normally distributed and that the investor’s attitude to risk was expressible by a logarithmic utility. We look at how conclusions are affected by choice of distribution and utility function. While conclusions can depend on choice of distribution, they are remarkably robust to choice within the range of plausible positive distributions. In contrast, conclusions are sensitive to choice of utility function and we find the key determinant to be how much the investor’s relative risk aversion differs from unity and in what direction. Based on historical stock market returns, our analysis implies that the prevalence of diversification that is observed is consistent with a relative risk aversion coefficient of about 2.5.

Measuring the Magnetic Polarizability Tensor of Non-Symmetrical Metallic Objects

The Magnetic Polarizability Tensor (MPT) is a representative electromagnetic property of a metallic object, which depends on the size, material, shape, and excitation frequency of the object. The MPT can be used to describe the response of metal detector systems and improve target classification performance in applications utilizing electromagnetic induction spectroscopy. However, for target characterization, a library of possible target objects needs to be created which can be used for training machine learning classifiers. To supplement and benchmark our existing library of simulated and measured MPT object characterizations, it is necessary to be able to measure object characterizations accurately and efficiently. This paper describes a novel method utilizing a truncated icosahedron shaped manipulator and procedure to measure MPT characterizations of non-symmetrical, irregular objects. This new method allows the measurement of the MPT of any appropriately sized object. The method also ensures the MPT characterizations are measured quickly and are well posed, without sacrificing accuracy. Performance of the method is validated by comparing experiment results acquired using the new method with experiment results acquired using a slower method for symmetrical objects as well as synthetic results generated using a commercial finite element package and an optimized dedicated open source MPT-Calculator package, which offers high accuracy and considerable computational advantages. Good agreement between the new method and the other three methods is seen. For all objects that have been characterized, MPT loss-peak magnitude and horizontal positions from all described methods are within five percent of each other at worst

Comments on the weighted regression approach to missing values

Abstract: These comments relate to those methods of dealing with missing values of explanatory variables in regression analysis that first "complete" the data by inserting estimates derived from regressions of explanatory variables on each other and then employ some form of weighted regression. It is argued that the choices of weights in the published methods are not optimal and that improvements are possible. This is verified for a simple case and the difficulties to extending the methodology to general cases are discussed

A New System of Consumer Demand Equations

This paper commences from a new indirect utility function and derives the corresponding system of equations, relating commodity demands to prices and income, that satisfies the constraints imposed by utility maximisation (aggregation, homogeneity, Slutsky symmetry and negativity). As the famous linear expenditure system (LES) is a special case of this new system, it is named the generalised Stone-Geary system (GSGS) and it incorporates a generalisation of the ‘subsistance’ income concept to one of ‘committed’ income. However, the GSGS is not subject to the well known limitations of the LES and it can model a reasonably representative range of consumer behaviour. It is also relatively parsimonious in parameters involving just 3n – 1, where n is the number of commodities. The new system has greater ranges of theoretical validity than various systems derived from ‘flexible’ functional forms. As with the LES, simple conditions on the parameters guarantee the validity of the system for all variable values except, perhaps, at low incomes.

Sums and Products of Indirect Utility Functions

There are relatively few known demand systems that are theoretically satisfactory and practically implementable. This paper investigates building more complex demand systems from simpler known ones by considering sums and products of basic utility functions, an approach that does not seem to have been exploited previously in the literature. Some of the systems that result are interesting and usefully extend the range of available functions. Even the simpler systems that are not sufficiently flexible for the analysis of real world consumption data may still be useful for applied general equilibrium studies and for theoretical explication. Although some systems, instead of being new, turn out to be rediscoveries of already known ones, the way in which they arise as combinations of simple components is of interest in itself in showing them as sub sets of wider classes.

Rotterdam system and irish models of consumer demand

The form of Rotterdam (ROS) model previously applied to Irish data did not impose all the constraints on parameters suggested by Demand Theory. In this paper a method of estimating the ROS, subject to symmetry and negativity, is outlined and applied to data. The elasticity estimates obtained are compared with those obtained by O\u27Riordan (1976) for the Linear Expenditure Systems (LES). The substantial differences between LES estimates and "unconstrained" ROS estimates largely vanish when the ROS is subjected to full constraints. The topic of comparisons between alternative systems of demand equations is discussed

Household energy expenditures Policy relevant information from the Household Budget Survey

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