Sebastian Stöckl, Michael Hanke and Martin Angerer
The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor.
Abstract
Purpose
The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor.
Design/methodology/approach
The authors first discuss existing risk measures and desirable properties of a risk index. Then, they construct a universal (asset-class-independent) portfolio risk measure by modifying Financial Turbulence of Kritzman and Li (2010). Finally, the average portfolio of a representative global private investor is determined, and, by applying the new portfolio risk measure, they derive the Private investor Risk IndeX.
Findings
The authors show that this index exhibits commonly expected properties of risk indices, such as proper reaction to well-known historical market events, persistence in time and forecasting power for both risk and returns to risk.
Practical implications
A dynamic asset allocation example illustrates one potential practical application for global private investors.
Originality/value
As of now, a risk index reflecting the overall risk of a typical multi-asset-class portfolio of global private investors does not seem to exist.
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Don D Bergh, Ralph Hanke, Prasad Balkundi, Michael Brown and Xianghong Chen
The authors content analyze 76 empirical Strategic Management Journal articles to determine how studies control for threats to internal validity, a common source of flaws in…
Abstract
The authors content analyze 76 empirical Strategic Management Journal articles to determine how studies control for threats to internal validity, a common source of flaws in research designs. Results indicate that most studies fail to control for one or more threats to internal validity. In particular, selection effects were the most frequently appearing threat, followed by history effects, ambiguity about the direction of causal inference, changing data sources and subject mortality. In general, the results suggest that strategy researchers need to more carefully account for threats to the internal validity of their research designs. Suggestions for addressing these problems are provided.
Michael Elliott, Sanda Kaufman, Robert Gardner and Guy Burgess
Frames play a central role in how parties to a conflict make sense of their situation and how they interact. How they interact in turn affects possible outcomes. This article…
Abstract
Frames play a central role in how parties to a conflict make sense of their situation and how they interact. How they interact in turn affects possible outcomes. This article addresses a set of challenges to teaching about frames, framing, and their link to conflict assessment, and offers a web‐based solution that addresses some of these challenges. The training material incorporates aspects of simulation exercises and case stud‐ies to create a realistic environment in which students conduct assessments of conflict dynamics and frames. This free, publicly‐available product can be integrated into in‐class training modules, assigned as an out‐of‐class project, or explored through individual study. The materials allow for self‐pacing, backtracking, review, and repeated tries, made possible by the web medium.
Ted D. Englebrecht and W. Brian Dowis
Worker classification continues to be a highly litigated area of taxation. That is, the status of a worker as an employee or independent contractor remains a topic closely…
Abstract
Worker classification continues to be a highly litigated area of taxation. That is, the status of a worker as an employee or independent contractor remains a topic closely scrutinized by the Internal Revenue Service. This study examines factors that the judiciary deems relevant in ruling whether a worker is an employee or independent contractor. A backward stepwise logistic regression model is implemented to categorize the factors that best predict the court’s decision on whether a worker is either an employee or independent contractor pursuant to the factors in Revenue Ruling 87-41 (1987-1 CB 296), judge gender, and political affiliation. The results indicate three factors (supervision/instructions, continuing relationship, and the right to discharge) are capable of accurately predicting 93 percent of the decisions made by the US Tax Court. Other findings support notable statistical differences between male and female judges rendering decisions and reaching conclusions. Also, there is a statistically significant difference based on the type of industry. Political affiliation appears to have no significant impact on judicial rulings.
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To fully accommodate the correlations between semiconductor product demands and external information such as the end market trends or regional economy growth, a linear dynamic…
Abstract
To fully accommodate the correlations between semiconductor product demands and external information such as the end market trends or regional economy growth, a linear dynamic system is introduced in this chapter to improve forecasting performance in supply chain operations. In conjunction with the generic Gaussian noise assumptions, the proposed state-space model leads to an expectation-maximization (EM) algorithm to estimate model parameters and predict production demands. Since the set of external indicators is of high dimensionality, principal component analysis (PCA) is applied to reduce the model order and corresponding computational complexity without loss of substantial statistical information. Experimental study on certain real electronic products demonstrates that this forecasting methodology produces more accurate predictions than other conventional approaches, which thereby helps improve the production planning and the quality of semiconductor supply chain management.
Stacic Beck, Jeffrey B. Miller and Mohsen M. Saad
Why did inflation fall so dramatically after the establishment of a currency board in Bulgaria in 1997? The establishment of the currency board was the response to a very severe…
Abstract
Why did inflation fall so dramatically after the establishment of a currency board in Bulgaria in 1997? The establishment of the currency board was the response to a very severe financial crisis where inflation reached hyperinflationary levels. After the currency board was introduced, inflation fell even more spectacularly than it had risen with prices rising less than 10% annually during 1998 and 1999. Was this sudden drop in inflation due to a “discipline” effect caused by a reduction in money growth rates or to a “confidence” effect that created lower inflation expectations thus leading to higher money demand? We find strong indirect evidence for a confidence effect but less support for a discipline effect.
Thomas Lopdrup-Hjorth and Paul du Gay
Organizations are confronted with problems and political risks to which they have to respond, presenting a need to develop tools and frames of understanding requisite to do so. In…
Abstract
Organizations are confronted with problems and political risks to which they have to respond, presenting a need to develop tools and frames of understanding requisite to do so. In this article, we argue for the necessity of cultivating “political judgment” with a “sense of reality,” especially in the upper echelons of organizations. This article has two objectives: First to highlight how a number of recent interlinked developments within organizational analysis and practice have contributed to weakening judgment and its accompanying “sense of reality.” Second, to (re)introduce some canonical works that, although less in vogue recently, provide both a source of wisdom and frames of understanding that are key to tackling today’s problems. We begin by mapping the context in which the need for the cultivation of political judgment within organizations has arisen: (i) increasing proliferation of political risks and “wicked problems” to which it is expected that organizations adapt and respond; (ii) a wider historical and contemporary context in which the exercise of judgment has been undermined – a result of a combination of economics-inspired styles of theorizing and an associated obsession with metrics. We also explore the nature of “political judgment” and its accompanying “sense of reality” through the work of authors such as Philip Selznick, Max Weber, Chester Barnard, and Isaiah Berlin. We suggest that these authors have a weighty “sense of reality”; are antithetical to “high,” “abstract,” or “axiomatic” theorizing; and have a profound sense of the burden from exercising political judgment in difficult organizational circumstances.