The Effect of a Single Point on Correlation and Slope

By augmenting a bivariate data set with one point, the correlation coefficient and/or the slope of the regression line can be changed to any prescribed values. For the target value of the correlation coefficient or the slope, the coordinates of the new point are found as a function of certain statistics of the original data. The location of this new point with respect to the original data is investigated

Transformation of power means and a new class of means

AbstractUsing transformations associated with power means, a new class of means is defined. The behavior of these means is examined vis-à-vis power means, as a free parameter is varied. In particular, limits which contain those of J. L. Brenner (Pi Mu Epsilon J. 8(1985), 160–163) and L. Hoehn and I. Niven (Math. Mag. 58 (1985), 151–156) are obtained

Performance Evaluation with Stochastic Discount Factors

We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performance is neutral. We use the models to evaluate a sample of U.S. equity mutual funds. Adjusting for the observed bias, we find that the average mutual fund has enough ability to cover its transactions costs. Extreme funds are more likely to have good rather than poor risk adjusted performance. Our analysis also reveals a number of implementation issues relevant to other applications of SDF models.

The Environmental Duties of Public Utilities Commissions

In addition to being economic regulators, most state utility commissions are vested with an obligation to protect the environment. The authors explore the various forms of this authority, and conclude that they preclude some commissions, but require most public utility commissions to make decisions with environmental costs in mind