A Rank Approach to Equity Forecast Construction

The purpose of this paper is to present a rank based approach to cross-sectionallinear factor modelling. The emphasis is on approximating factor exposures in aconsistent manner in order to facilitate the merging of subjective information(from professional investors) with objective information (from accounting dataand/or state of the art quantitative models) in a statistically rigorous way withoutneeding to impose the unrealistic simplifying assumptions typical of more standardtime series models. We deal with the problems of identifying country and sectorreturns by an innovative hierarchical factor structure. This is all discussed fromthe perspective that investment models are not immutable but rather need to bedesigned with characteristics that are fit for their purpose; for example, returningaggregate county and sector forecasts that are consistent by construction

The William Kruskal Legacy: 1919--2005

William Kruskal (Bill) was a distinguished statistician who spent virtually his entire professional career at the University of Chicago, and who had a lasting impact on the Institute of Mathematical Statistics and on the field of statistics more broadly, as well as on many who came in contact with him. Bill passed away last April following an extended illness, and on May 19, 2005, the University of Chicago held a memorial service at which several of Bill's colleagues and collaborators spoke along with members of his family and other friends. This biography and the accompanying commentaries derive in part from brief presentations on that occasion, along with recollections and input from several others. Bill was known personally to most of an older generation of statisticians as an editor and as an intellectual and professional leader. In 1994, Statistical Science published an interview by Sandy Zabell (Vol. 9, 285--303) in which Bill looked back on selected events in his professional life. One of the purposes of the present biography and accompanying commentaries is to reintroduce him to old friends and to introduce him for the first time to new generations of statisticians who never had an opportunity to interact with him and to fall under his influence.Comment: This paper discussed in: [arXiv:0710.5072], [arXiv:0710.5074], [arXiv:0710.5077], [arXiv:0710.5079], [arXiv:0710.5081], [arXiv:0710.5084] and [arXiv:0710.5085]. Published in at http://dx.doi.org/10.1214/088342306000000420 the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org

Comment on "Trouble with the Lorentz Law of Force: Incompatibility with Special Relativity and Momentum Conservation"

This editorial discusses "Trouble with the Lorentz Law of Force: Incompatibility with Special Relativity and Momentum Conservation"

Relativistic electron vortices

The desire to push recent experiments on electron vortices to higher energies has led to some theoretical difficulties. In particular the simple and very successful picture of phase vortices of vortex charge $\ell$ associated with $\ell\hbar$ units of orbital angular momentum per electron has been challenged by the facts that: (i) the spin and orbital angular momentum are not separately conserved for a Dirac electron, which suggests that the existence of a spin-orbit coupling will complicate matters and (ii) that the velocity of a Dirac electron is not simply the gradient of a phase as it is in the Schr\"{o}dinger theory suggesting that, perhaps, electron vortices might not exist at a fundamental level. We resolve these difficulties by showing that electron vortices do indeed exist in the relativistic theory and show that the charge of such a vortex is simply related to a conserved orbital part of the total angular momentum, closely related to the familiar situation for the orbital angular momentum of a photon

Accepting Collective Responsibility for the Future

Existing institutions do not seem well-designed to address paradigmatically global, intergenerational and ecological problems, such as climate change. 1 In particular, they tend to crowd out intergenerational concern, and thereby facilitate a “tyranny of the contemporary” in which successive generations exploit the future to their own advantage in morally indefensible ways (albeit perhaps unintentionally). Overcoming such a tyranny will require both accepting responsibility for the future and meeting the institutional gap. I propose that we approach the first in terms of a traditional “delegated responsibility” model of the transmission of individual responsibility to collectives, and the second with a call for a global constitutional convention focused on future generations. In this paper, I develop the delegated responsibility model by suggesting how it leads us to understand both past failures and prospective responsibility. I then briefly defend the call for a global constitutional convention