Stochastic dynamic programming methods for the portfolio selection problem

In this thesis, we study the portfolio selection problem with multiple risky assets, linear transaction costs and a risk measure in a multi-period setting. In particular, we formulate the multi-period portfolio selection problem as a dynamic program and to solve it we construct approximate dynamic programming (ADP) algorithms, where we include Conditional-Value-at-Risk (CVaR) as a measure of risk, for different separable functional approximations of the value functions. We begin with the simple linear approximation which does not capture the nature of the portfolio selection problem since it ignores risk and leads to portfolios of only one asset. To improve it, we impose upper bound constraints on the holdings of the assets and we notice that we have more diversified portfolios. Then, we implement a piecewise linear approximation, for which we construct an update rule for the slopes of the approximate value functions that preserves concavity as well as the number of slopes. Unlike the simple linear approximation, in the piecewise linear approximation we notice that risk affects the composition of the selected portfolios. Further, unlike the linear approximation with upper bounds, here wealth flows naturally from one asset to another leading to diversified portfolios without us needing to impose any additional constraints on how much we can hold in each asset. For comparison, we consider existing portfolio selection methods, both myopic ones such as the equally weighted and a single-period portfolio models, and multi-period ones such as multistage stochastic programming. We perform extensive simulations using real-world equity data to evaluate the performance of all methods and compare all methods to a market Index. Computational results show that the piecewise linear ADP algorithm significantly outperforms the other methods as well as the market and runs in reasonable computational times. Comparative results of all methods are provided and some interesting conclusions are drawn especially when it comes to comparing the piecewise linear ADP algorithms with multistage stochastic programming

In- and Out-patient satisfaction assessment: the case of a greek General Hospital

Aim: The purpose of this research is to investigate in- and out-patients' satisfaction as revealed by their intention to recommend the Konstantopouleio General Hospital of Athens to friends and family. Material/Methodology/Approach: The final sample of the study consisted of 745 inpatients and 420 outpatients from a survey performed from June 2011 till October 2012. An ordered logit approach was used allowing the analysis of the satisfaction's response categories. Results: Findings demonstrate that the attention provided by medical and nursery stuff along with the hospital environment, are positively correlated with patients’ satisfaction for both groups of in- and out-patients. Among the demographic factors, the positive age effect is present in both groups, while the perceived health status plays a positive and significant role in shaping in-patient satisfaction, and education and insurance associate with out-patient satisfaction. Conclusions: Our study confirms the important role of all measures with respect to hospital performance. In general, hospitals and healthcare systems that invest in citizens’ evaluation evolvement programmes, will acquire valuable information to perform important transformational changes in healthcare services

The Greek-Turkish rivalry: A Bayesian VAR approach

The ongoing Greek-Turkish antagonism has triggered the interest of defense economists to explore whether the two nations are engaged in an arms race. The issues that divide them are complex and rooted in years of conflict and mutual distrust. However, efforts to resolve their disputes have so far been unsuccessful, and rapprochements have invariably been short-lived. Following gas discoveries in the eastern Mediterranean, the states nearly came to blows in 2020 and enacted military expansion plans, further risking escalation. Since empirical studies examining the relationship between their military expenditures do not offer common answers, we use a novel Bayesian technique applied to VAR models to investigate the possible interdependence between four different proxies of the states’ physical arms build-up. Based on an annual dataset running from 1960 to 2020, we find that a shock in a country’s military expenditure does not have an impact on the opponent’s spending. Thus, in distinction to those focusing on the costly maintenance of strategic balance, it is important that these rivals strengthen their cooperation and jointly contribute to the advancement of peace and economic development across the entire area

In- and Out-patient satisfaction assessment: the case of a greek General Hospital

Aim: The purpose of this research is to investigate in- and out-patients' satisfaction as revealed by their intention to recommend the Konstantopouleio General Hospital of Athens to friends and family. Material/Methodology/Approach: The final sample of the study consisted of 745 inpatients and 420 outpatients from a survey performed from June 2011 till October 2012. An ordered logit approach was used allowing the analysis of the satisfaction's response categories. Results: Findings demonstrate that the attention provided by medical and nursery stuff along with the hospital environment, are positively correlated with patients’ satisfaction for both groups of in- and out-patients. Among the demographic factors, the positive age effect is present in both groups, while the perceived health status plays a positive and significant role in shaping in-patient satisfaction, and education and insurance associate with out-patient satisfaction. Conclusions: Our study confirms the important role of all measures with respect to hospital performance. In general, hospitals and healthcare systems that invest in citizens’ evaluation evolvement programmes, will acquire valuable information to perform important transformational changes in healthcare services

The impact of the Covid-19 lockdown on the i-banking use: An empirical inquiry from Greece

This paper studies the impact of Covid-19 lockdown on the i-banking use. During the first lockdown period in Greece, between April 13th and May 3rd, 2020, we conducted a survey of 4,807 respondents between 18 and 64 years old who participated in the labor force and used internet. The sample was appropriately weighted to accurately reflect the real population. The main result is straightforward: more days in a lockdown is associated with an increased possibility for further i-banking use. We also provide important insights to financial services’ providers by pointing out female gender, increasing age, living in a metropolitan area, and job security status as the most crucial predictors for shaping changing i-banking use

Forecasting Hydroelectric Dam Energy Production Using a Hybrid Ann-Arima Model

Source: ICHE Conference Archive - https://mdi-de.baw.de/icheArchiv

Subjective health status and immigration: Evidence across Europe

Background: Subjective health status and migration are critical issues in healthcare policy and strategic decision making. There are many health challenges to resolve and at the same time, migration has reached to historic highs, leading to different views among immigrants and natives, policy makers and habitants. Objective: Our research focuses on the subjective health status reported by European habitants, on its differentiation with respect to participants origin, and on whether various demographic, macroeconomic and other factors, such as the foreigners’ presence in a country, affect it. Setting and participants: Using survey data of 227,200 respondents from 22 countries and over the period 2002-2016, and employing logit estimation techniques, we analysed the effect of demographic, macroeconomic and other factors in shaping respondents’ subjective health status. Results: Our results demonstrate the important role of all demographic factors in shaping respondents’ subjective health status. Immigrants report a higher subjective health status, while macroeconomic conditions and foreign presence in a country do play an important role. A country healthcare provision state and health expenditures can moderate the negative effect of foreigners’ presence and thus the reported health status of natives. Conclusions: The factors influencing subjective health status are complex and interdependent. However, government policies should increase social cohesion, since, the latter is not only related to health care outcomes but also can be a tool for disseminating social inequalities

Visitors’ satisfaction in Dubai and pre-trip destination image

Understanding the factors that influence tourists’ satisfaction and the pre-trip destination image of potential visitors is particularly important for policy makers and tourism marketers. The objective of this study is twofold; first to assess the satisfaction level of tourists who have visited Dubai and further explore the factors that shape it and associate with it. Second, to assess the intention to visit Dubai according to the pre-trip destination image of potential tourists. This empirical study relies on a unique sample of 210 participants from all over the world in the year 2017. Several demographic characteristics as well as variables related to the trip process and the city attributes are collected and explored in order to document any relationship between the two groups. The major findings of the ordered logit analysis demonstrate that the city attributes are the most significant contributors to tourists’ satisfaction and to non visitors’ intention to visit Dubai. Trip factors and demographic characteristics also play a significant role only for the group of visitors. The overall satisfaction is what creates loyalty and drives tourists to repeat their visit

Visitors’ satisfaction in Dubai and pre-trip destination image

Understanding the factors that influence tourists’ satisfaction and the pre-trip destination image of potential visitors is particularly important for policy makers and tourism marketers. The objective of this study is twofold; first to assess the satisfaction level of tourists who have visited Dubai and further explore the factors that shape it and associate with it. Second, to assess the intention to visit Dubai according to the pre-trip destination image of potential tourists. This empirical study relies on a unique sample of 210 participants from all over the world in the year 2017. Several demographic characteristics as well as variables related to the trip process and the city attributes are collected and explored in order to document any relationship between the two groups. The major findings of the ordered logit analysis demonstrate that the city attributes are the most significant contributors to tourists’ satisfaction and to non visitors’ intention to visit Dubai. Trip factors and demographic characteristics also play a significant role only for the group of visitors. The overall satisfaction is what creates loyalty and drives tourists to repeat their visit

Δοκίμια στη μεταφορά και διάχυση της τεχνολογίας

Economic growth is driven by innovation activity carried out locally as well as by the ability of a region to learn from external technological achievements. Technological inventions have become the most important source of growth. Producing new knowledge, however, is not cheap and highly concentrated in few countries or in some regions within the same country.The present thesis studies the transfer of the patented technological knowledge to the marketand across space. Specifically, it studies the propensity and time length of the transferring rights of universityand individual inventors patents to the market. The novelty lies in exploiting a particular feature of the patent system that ables one to infer the time of commercialisation of the patented technology. The aim is to offer to the science and technology policymakers an unbiased evidenced-based analysis of an extensive corpus of more than 20,000 universityand 197,000 inventors’ patents granted over their entire enforceable life. With this approach, also important issues can be studied such as characteristics of transferred patents, propensity and timing of licensing of federally funded academic patents compared to their counterparts and differences in licensing outcomes for the different funding institutions, which have not been adequately addressed so far in the literature. Furthermore, it is also examined whether federally funded patents differ from the non federally funded in the propensity and timelength required for commercialization. Additionally, the thesis also considers technology transfer via the mobility of high skilled individuals across space, that of patent inventors. The latter, have a significant economic contribution: they are deeply involved in the production of innovation, which in turn is the main driver of economic growth and well-being and are also important vehicle of knowledge transmission - when skilled workers move from place to place, their knowledge and skills move as well. The contribution of knowledge flows on the shape of the geographical distribution of innovative and economic activities and consequently on inequality among regions and countries has motivated scholars to document them and study their boundaries. The inventor moves are tracked by relying on patent data. A gravity model is used to examine whether proximity, namely geographic, technological, economic, and cultural between countries and country level factors shape the flows of these talented individuals. As a comparison, in the same framework, also the flows of simple, less skilled migrants are analysed. The contribution of this essay lies in using one simple common framework to omprehensively analyse the determinants - and particularly the various types of proximities- for both highly and less skilled individuals and further assess the role of these two groups of migrants on local innovation activity. Overall, the empirical analysis of technology transfer to the market and around the world undertaken in the present thesis, offers useful and novel insights to important policy issues surrounding technology transfer of university and individual inventors' patents which are also relevant beyond US borders as a number of European countries consider or have already adopted policies to facilitate the efficient transfer of technologies to the marketplace. Further, by studying the mobility of patent inventors, important factors that make a region an attractorof talented individuals can be identified and relevant policies can be suggested into thatdirection.Η οικονομική μεγέθυνση προωθείται από τις καινοτόμες δραστηριότητες που λαμβάνουν χώρα σε τοπικό επίπεδο καθώς και από την ικανότητα μίας περιοχής να υιοθετεί ξένα τεχνολογικά επιτεύγματα. Οι εφευρέσεις έχουν αναδειχθεί ως η πιο ουσιαστική πηγή μεγέθυνσης. Η παραγωγή νέας γνώσης ωστόσο, δεν είναι φθηνή ενώ είναι έντονα συσσωρευμένη σε λίγες χώρες ή σε ορισμένες περιοχές εντός της ίδιας χώρας. Η παρούσα διατριβή μελετά την ροή πατενταρισμένης τεχνολογικής γνώσης στην αγορά σε ευρύ επίπεδο. Πιο συγκεκριμένα, ερευνά την τάση και την χρονική διάρκεια των δικαιωμάτων ευρεσιτεχνίας των πανεπιστημιακών και ιδιωτικών πατεντών στην αγορά. Η πρωτοτυπία έγκειται, στην αξιοποίηση ενός ιδιαίτερου χαρακτηριστικού του συστήματος κατοχύρωσης ευρεσιτεχνιών που συντελεί στην εκτίμηση του χρόνου εμπορευματοποίησης μίας κατοχυρωμένης τεχνολογικής ιδέας. Στόχος είναι να προσφερθεί στην επιστήμη και στους νομοθετούντες αναφορικά με την τεχνολογία, μία αμερόληπτη και βασισμένη σε στοιχεία ανάλυση που έχει προκύψει από ένα ευρύ δείγμα περισσότερων από 20.000 πανεπιστημιακών και 197.000 ιδιωτικών διπλωμάτων ευρεσιτεχνίας, χορηγούμενων για όλη την«βιώσιμη» περίοδό τους. Με τη συγκεκριμένη προσέγγιση είναι επίσης δυνατόν, να μελετηθούν σημαντικά θέματα, όπως τα χαρακτηριστικά που καθιστούν μία πατέντα αξιόλογη να κατοχυρωθεί ή οι διαφορές ως προς τη τάση και τη διάρκεια της κατοχύρωσης μιας ακαδημαϊκής πατέντας μεταξύ των επιδοτούμενων από το κράτος σε σύγκριση με αντίστοιχες μη επιδοτούμενες, θέματα που δεν έχουν μελετηθεί επαρκώς ως τώρα στην βιβλιογραφία.Επιπλέον, εξετάζεται αν οι κρατικά επιδοτούμενες πατέντες διαφέρουν από τις μη κρατικές ως προ της τάση και την χρονική διάρκεια που απαιτείται για την εμπορευματοποίησή τους. Επιπρόσθετα, η διατριβή μελετά τη ροή της τεχνολογίας μέσω της κινητικότητας των ατόμων με υψηλή εξειδίκευση, όσων δηλαδή δημιουργούν πατέντες. Αυτοί έχουν μία σημαντική οικονομική συνεισφορά: εμπλέκονται έντονα στην παραγωγή καινοτομίας, η οποία με τη σειρά της είναι ο βασικός κινητήριος μοχλός της οικονομικής μεγέθυνσης και της ευημερίας, ενώ συνιστούν ταυτόχρονα και μέσο μεταλαμπάδευσης της γνώσης - όταν οι εξειδικευμένοι εργάτες μετακινούνται από μία περιοχή σε μία άλλη, οι γνώσεις και οι δεξιότητες τους επίσης μεταφέρονται. Ο τρόπος με τον οποίο η ροή της γνώσης καθορίζει τη γεωγραφική κατανομή των καινοτόμων οικονομικών δραστηριοτήτων και συνεπώς την ανισότητα μεταξύ των περιοχών και των χωρών, έχει κινητοποιήσει τους ερευνητές να την καταγράψουν και να τη μελετήσουν. Προκειμένου να εντοπιστούν οι μετακινήσεις των εφευρετών, αναλύονται δεδομένα πατεντών. Χρησιμοποιείται ένα μοντέλο βαρύτητας ώστε να εξετασθεί αν η εγγύτητα· γεωγραφική, τεχνολογική, οικονομική και πολιτισμική μεταξύ των χωρών, αλλά και οι ιδιαίτεροι παράγοντες κάθε χώρας, διαμορφώνουν την ροή αυτών των «ταλαντούχων» ατόμων. Σαν σύγκριση, στο ίδιο πλαίσιο, εξετάζονται επίσης οι ροές απλών, λιγότερο εξειδικευμένων μεταναστών. Η συνεισφορά της εν λόγω μελέτης εντοπίζεται στην χρήση ενός απλού κοινού πλαισίου, ώστε να αναλυθούν συνολικά οι παράγοντες και ιδιαίτερα οι διάφοροι τύποι εγγύτητας, τόσο για τα υψηλά όσο και για τα λιγότερο εξειδικευμένα άτομα και επιπλέον, να εκτιμηθεί ο ρόλος αυτών των δύο κατηγοριών μεταναστών στη διαμόρφωση της τοπικής δραστηριότητας καινοτομίας. Εν κατακλείδι, η εμπειρική ανάλυση της ροής της τεχνολογίας στην αγορά και σε όλον τον κόσμο, η οποία εξετάζεται στη συγκεκριμένη διατριβή, προσφέρει χρήσιμες και πρωτότυπες πληροφορίες για σημαντικά θέματα πολιτικής σχετικά με τη ροή των ακαδημαϊκών, καθώς και αυτών που ανήκουν σε ιδιώτες, πατεντών, θέματα τα οποία είναι επίσης σχετικά και πέρα από τα όρια των Η.Π.Α., καθώς αρκετές ευρωπαϊκές χώρες θεωρούν απαραίτητες ή έχουν ήδη υιοθετήσει πολιτικές προκειμένου, να διευκολύνουν την αποτελεσματική ροή των πατεντών στην αγορά. Επιπρόσθετα, μελετώντας την κινητικότητα των δημιουργών πατεντών είναι δυνατόν να αναγνωρισθούν σημαντικοί παράγοντες που καθιστούν μία περιοχή ικανή να προσελκύσει άτομα με υψηλή εξειδίκευση και συνεπώς να προταθούν σχετικές πολιτικές προς αυτή την κατεύθυνση