A test of historical and shrinkage estimates of expected returns in international portfolio selection : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey

A number of researchers have chosen internationally diversified portfolios using the Mean-Variance approach to portfolio selection. Typically, the estimates of expected returns, variances and covariances are taken from historical data. Recently this approach has come under criticism due to the poor performance of these portfolios out of the sample period. A suggested improvement is to use "shrinkage" estimators to improve the estimates, particularly for expected returns. This statistical adjustment leads to less emphasis being placed on increasing expected return and more on risk reduction. The researchers to test shrinkage estimates internationally have had conflicting results, possibly due to the methodology used. Jorion (1985) found support for shrinkage estimators outperforming historical estimates, with short sales unconstrained. A single period model with a five year sample was used. Grauer and Hakansson use a multi-period model, with short sales restricted. The sample period is eight years in this instance, and the opposite result is obtained. This study tests both types of mean estimate in a single period model, with short sales restricted. The difference in out of sample performance is insignificant with both four and eight year samples. Additionally, a naive strategy of weighting the portfolio equally between countries, thereby ignoring the historical data, outperforms the other methods. Thus, the use of four year sample periods appears to be of no use. With the eight year sample the performance of all methods is remarkably similar, with a portfolio chosen to minimise variance having the best performance, although only slightly. The use of historical data, whether or not shrinkage estimates are used, has proved to be of very little benefit in this study

Counterexamples to a conjecture of Lemmermeyer

We produce infinitely many finite 2-groups that do not embed with index 2 in any group generated by involutions. This disproves a conjecture of Lemmermeyer and restricts the possible Galois groups of unramified 2-extensions, Galois over the rationals, of quadratic number fields

A Billboard of Infrastructural Imaginaries

A short description and critical positioning of Photolanguage's billboard work, 'Pavilion of Insurrection and Pleasure', responding to the edition theme of infrastructure

On the use of sprays to intercept airborne embers during wildfires

This technical note outlines an initial assessment of the feasibility of using water sprays to intercept and extinguish airborne embers, as a means to protect buildings during wildfires. An analytical model was developed to calculate the probability of inter-particle collisions within two intersecting streams of particles, and was then applied to a range of test cases involving embers and water droplets. Results from this simplified analysis indicated that water sprays could effectively protect buildings from \u27ember attack\u27 in this manner, but only when either: i) large water flow rates were used (in the order of 1 L s−1 per metre of building perimeter to be protected), or ii) the sprays were comprised of very small (~0.1 mm) droplets at moderate water flow rates (~0.1 L s−1 m−1). It is likely that the quantity of water required to satisfy (i) would not be available in many circumstances, and further investigation is required to determine whether sprays of ~0.1 mm droplets could operate effectively in the conditions of a wildfire. The analysis presented herein would be a suitable basis for further investigation into these spray systems, and for quantitative comparison with other types of wildfire sprinkler systems

Photography and the representation of modernist architectural space: from the melancholy fragment to the colour of utopia

The questions that this project poses are centred on an examination of photography's relationship to modernist architectural space. Polarising the melancholic and the utopian, the definition of photography is extended to include its manifestation across a number of diverse sites and processes. What is the connection between the processes and technology of photography and its representation of modernist space? How can these relationships inform and articulate a photographic practice? This thesis comprises five key areas of investigation, with each theoretical chapter being followed by a complementary sequence of photographic images. The first section considers the process of `fragmentation' in relation to a body of photographs which I have termed `fragments'. These images reveal the aspirational or utopian content of modernist architecture as a condition of loss or melancholy. The second section develops the notion of the `fragment' in relation to `allegory', which I argue, opens photography to metaphoric interpretation thus taking on the duality of meaning. The third section uses W. G. Sebald's novel Austerlitz and Kracauer's work on history, to locate this duality within Husserl's Lebenswelt. The fourth section shifts the emphasis of inquiry towards an examination of how the utopian emerges within specific aspects of the photo-reprographic process, such as the error of misregistration in colour printing. This forms the basis for a development of the practice into the field of the photographic representation of colour. The fifth section looks at how colour has been added to the monochromatic image in a series of postcards of modernist architecture from the 1930's thus suggesting a site of utopian investment With reference to Kristeva and Benjamin I develop the notion of colour as an excess of meaning indicative of utopian aspiration. The conclusion of the project is firmly located in the practice outcome and a body of work, which I have termed `constructed images'. Representing a convergence of the five themes, these reveal the ability of photography to uniquely articulate the utopian-melancholy polarity, a transformative process, intervening into architectural space to indicate new ways of thinking about it

Hemispherical-Directional Reflectance (HDRF) of Windblown Snow-Covered Arctic Tundra at Large Solar Zenith Angles

Ground-based measurements of the hemispherical-directional reflectance factor (HDRF) of windblown snowcovered Arctic tundra were measured at large solar zenith angles (79◦–85◦) for six sites near the international research base in Ny-Ålesund, Svalbard. Measurements were made with the Gonio RAdiometric Spectrometer System over the viewing angles 0◦–50◦ and the azimuth angles 0◦–360◦, for the wavelength range 400–1700 nm. The HDRF measurements showed good consistency between sites for near-nadir and backward viewing angles, with a relative standard deviation of less than 10% between sites where the snowpack was smooth and the snow depth was greater than 40 cm. The averaged HDRF showed good symmetry with respect to the solar principal plane and exhibited a forward scattering peak that was strongly wavelength dependent, with greater than a factor of 2 increase in the ratio of maximum to minimum HDRF values for all viewing angles over the wavelength range 400– 1300 nm. The angular effects on the HDRF had minimal influence for viewing angles less than 15◦ in the backward viewing direction for the averaged sites and agreed well with another study of snow HDRF for infrared wavelengths, but showed differences of up to 0.24 in the HDRF for visible wavelengths owing to light-absorbing impurities measured in the snowpack. The site that had the largest roughness elements showed the strongest anisotropy in the HDRF, a large reduction in forward scattering, and a strong asymmetry with respect to the solar principal plane

From vocational training to education: the development of a no-frontiers education policy for Europe?

This article focuses on developments towards an EU educational policy. Education was not included as one of the Community competencies in the Treaty of Rome. The first half of the article analyses the way that the European Court of Justice and the Commission of the European Communities between them managed to develop a series of substantial Community programmes out of Article 128 on vocational training. The second half of the article discusses educational developments in the community following the Treaty on European Union and the Treaty of Amsterdam. Whilst the legal competence of the community now includes education, the author's argument is that the inclusion of an educational competence will not result in further developments to mirror those in the years before the Treaty on Europe</p

Organic electrode coatings for next-generation neural interfaces

Traditional neuronal interfaces utilize metallic electrodes which in recent years have reached a plateau in terms of the ability to provide safe stimulation at high resolution or rather with high densities of microelectrodes with improved spatial selectivity. To achieve higher resolution it has become clear that reducing the size of electrodes is required to enable higher electrode counts from the implant device. The limitations of interfacing electrodes including low charge injection limits, mechanical mismatch and foreign body response can be addressed through the use of organic electrode coatings which typically provide a softer, more roughened surface to enable both improved charge transfer and lower mechanical mismatch with neural tissue. Coating electrodes with conductive polymers or carbon nanotubes offers a substantial increase in charge transfer area compared to conventional platinum electrodes. These organic conductors provide safe electrical stimulation of tissue while avoiding undesirable chemical reactions and cell damage. However, the mechanical properties of conductive polymers are not ideal, as they are quite brittle. Hydrogel polymers present a versatile coating option for electrodes as they can be chemically modified to provide a soft and conductive scaffold. However, the in vivo chronic inflammatory response of these conductive hydrogels remains unknown. A more recent approach proposes tissue engineering the electrode interface through the use of encapsulated neurons within hydrogel coatings. This approach may provide a method for activating tissue at the cellular scale, however, several technological challenges must be addressed to demonstrate feasibility of this innovative idea. The review focuses on the various organic coatings which have been investigated to improve neural interface electrodes