Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test

We propose a new procedure to rank portfolio performance. Given a set of N portfolios, we use statistical tests of dominance which produce direct mean-variance comparisons between any two portfolios in the set. These tests yield an NxN matrix of pairwise comparisons. A ranking function maps the elements of the comparison matrix into a numerical ranking. To illustrate the procedure we use a set of 133 mutual funds, including the S&P500 index and the CRSP equal and value weighted indexes. We explore the empirical and theoretical relationships between our ranking procedure and the Treynor, Sharpe and Jensen performance measures. In general, the new procedure?s ranking is relatively robust, does not allow for gaming and can be performed with small samples.

Corneal alterations associated with pseudoexfoliation syndrome and glaucoma: A literature review

A systematic literature review was performed evaluating articles examining the effects of pseudoexfoliation syndrome (PEX) and glaucoma (PEXG) on the cornea with a focus on the corneal endothelium. We searched for articles relevant to pseudoexfoliation syndrome, pseudoexfoliation glaucoma and corneal endothelial cell counts using Pubmed, Google Scholar Database, Web of Science and cochrane Library databases published prior to September of 2016. We then screened the references of these retrieved papers and performed a Web of Science cited reference search. corneal characteristics analyzed included central corneal thickness (ccT), corneal nerve density, endothelial cell density (EcD), polymegathism, and pleomorphism. These parameters were compared in the following populations: control, PEX, PEXG, and primary open angle glaucoma (POAG). Over 30 observational studies were reviewed. Most studies showed a statistically significant lower EcD in PEX and PEXG populations compared to controls. Overall, PEX eyes had a non-statistically significant trend of lower EcDs compared to PEXG eyes. No consistent trends were found when analyzing differences in ccT amongst control, PEX and PEXG groups. For the few studies that looked at corneal nerve characteristics, the control groups were found to have statistically significantly greater nerve densities than PEX eyes, which had significantly greater densities than PEXG eyes. EcD and corneal nerve densities may be potential metrics for risk-stratifying patients with PEX and PEXG. Our literature review provided further evidence of the significant negative influence PEX has on the cornea, worsening as patients convert to PEXG

Understanding Stoic and Epicurean ethical 'training' in light of the DPR Model

In recent years, the notion of ‘philosophy as a way of life’ has again received much attention. Fittingly, whilst this revived interest has generated numerous scholarly publications, attention has also returned to the potential value of using ancient philosophical ideas to inform one’s daily living. In light of this, I offer a reading of Stoic and Epicurean ethical ‘training’ through the lens of Bennett-Levy’s Declarative-Procedural-Reflective model. I suggest that the model, which provides an empirically grounded, conceptual framework for understanding the processes involved in psychotherapist skill development, also provides an enlightening framework for comprehending the processes involved in ethical training

Activism's Impact on Diversified Investors and the Market

We model activism as it affects the future distribution of prices in a portfolio context with risk-averse expected utility of end-of-period wealth maximizing investors. We characterize activism as affecting the mean, the variance, and/or the covariance of the target firm’s price with the prices of the other firms. This characterization allows us to investigate conditions under which the activist would choose to become an activist and, subsequently, to derive the sequence of equilibria that begins with the surreptitious acquisition of shares by the activist and ends at the moment of the activist’s divestiture of these shares. We investigate the impact of activism not only on the target firm’s price over time and the activist’s profit, but also on the redistribution of portfolio holdings of all market participants that this activism induces. We propose a method to evaluate activism and show that, while activism may augment the share price of the target firm, there exist conditions under which activism would not necessarily increase the value of the market. Furthermore, we show that the pro.t of the activist is at the expense of the group of other investors. We compare our results to recent empirical findings.Statistics Working Papers Serie

An Evaluation of Shareholder Activism

We develop a method to evaluate shareholder activism when an activist targets firms whose shareholders are diversified portfolio holders of possibly correlated firms. Our method of evaluation takes the portfolios of all of the shareholders, including the activist, as its basis of analysis. We model the activist from the time of the acquisition of a foothold in the target firm through the moment when the activist divests the newly acquired shares. We assume that during this period, all exchanges of securities, and their corresponding prices, are achieved in Walrasian markets in which all participants, including the activist, are risk-averse price-takers. Using the derived series of price changes of all the firms in the market, as well as the derived series of changes in all the portfolio holdings over this period, we evaluate the impact of activism on the activist, on the group of other shareholders, and on the combined group. We show that when activism is beneficial to the activist, the group of other investors may not benefit; furthermore, even when the activist benefits from activism, the value of the market may decrease. When the activist benefits from activism, an increase in the value of the market is a necessary but not sufficient condition for the group of other investors to benefit also from activism. In addition, we show that the combined group, the activist plus the group of other investors, benefits if and only if the value of the market increases and, under this condition, either the activist or the group of other investors, but not necessarily both, benefits

Crime and Uncertain Punishment

We consider agents in a country in an early stage of transition from a planned to a market economy. As the transition is in progress, the nature of the government’s policies are unknown to the agents. Property rights once held by the state have already been transferred to the agents, with each agent owning one firm. However, the agents are uncertain of the level of law enforcement the government will provide. Specifically, they are unsure of the tax and confiscation consequences of both legal and illegal acts. Each agent, having a different cost of stealing, must decide how much of the firm to divert to himself. The agents believe the government may become either a traditional democratic government that supplies law enforcement as well as infrastructure leading to positive firm growth, or a corrupt government that may or may not provide law enforcement, does not provide a climate for firm growth, and may be confiscatory. All agents presume the government will choose its behavior as a function of the tax revenue it will collect under each scenario; however, the tax revenue results from the collective decisions of the agents. This interaction between tax revenue and agents’ decisions, together with the uncertainty of law enforcement and tax policy, forms the framework within which the agent chooses his level of honesty. By calculating the percentage of agents who steal some amount from the firm, we investigate the relationship between the level of criminality and the various uncertainties facing the agents. We show how expectations of the agents about the future behavior of their government induce the degree of criminality in society

Exploring Tax Evasion in the Context of Political Uncertainty

We present a model of agents facing the uncertainty of two future forms of government who are able to insure against this uncertainty by hiding funds from taxation. In order to choose whether or not to hide funds from taxation, agents need to know policy choices that each government would make should it come to power. But each government, before it could make its decision, would need to know the choices of the agents who would, for example, produce tax revenues. This informational tension is resolved endogenously. We derive the resulting level of tax evasion in society and the optimal choices made by the potential governments. We examine how changes in governmental structure would affect the level of tax evasion, and how that, in turn, would affect a particular form of capital flight

Political Uncertainty and Crime in Transition Economies

Political Uncertainty and Crime in Transition Economies Two stylized facts are often used to characterize the economies in transition: an increase in the crime level and frequent government changes, where the party in power is replaced by another party with a different, and often opposite, ideological orientation. We investigate the impact on agents’ honesty when agents perceive the future form of government as uncertain, and also know that their own collective decisions will effect the government’s choice of type. Furthermore, we assume that the form that the government will take depends, in part, on the collective behavior of the agents. By endogenizing the joint decisions made by the agents, as well as the government, we derive the social consequences of these choices, the induced level of crime. Using the level of crime permits us to investigate comparative statics for possible policy implications. We show that the complex interactions between the government and the agents leads to some non-intuitive results