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The paper proposes the fundamental portfolio of securities. This portfolio is an alternative to the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI [1] synthetic measure and, in limited conditions, the use of risk and the portfolio’s rate of return in the objective function. Different variants of fundamental portfolio have been considered under empirical study. The effectiveness of the proposed solutions has been related to the classis portfolio constructed with the help of the Markowitz model and the WIG20 market index’s rate of re-turn. All portfolios were constructed with data on rates of return for 2005. Their effectiveness in years 2006-2017 was then evaluated. The studied period comprises the end of the bull market, the 2007-2009 crisis, the 2010 bull market and the 2011 crisis. This allows for the evaluation of the solutions’ flexibility in various extreme situations. For the construction of the fundamental portfolio’s objective function and the TMAI, the study made use of financial and economic data on selected indicators retrieved from Notoria Serwis for 2005.

One of the measures that has been implemented widely to adapt to the effect of climate change in coastal zones is the implementation of set-back lines. The traditional approach of determining set-back lines is likely to be conservative, and thus pose unnecessary constraints on coastal zone development and fully utilising the potential of these high-return areas. In this study, we apply a newly developed risk-informed approach to determine the coastal set-back line at regional scale in a poor data environment. This approach aims to find the economic optimum by balancing the (potential) economic gain from investing in coastal zones and the risk of coastal retreat due to sea level rise and storm erosion. This application focusses on the east coast of Sri Lanka, which is experiencing rapid economic growth on one hand and severe beach erosion on the other hand. This area of Sri Lanka is a highly data-poor environment, and the data is mostly available from global databases and very limited measurement campaigns. Probabilistic estimates of coastline retreat are obtained from the application of Probabilistic Coastline Recession (PCR) framework. Economic data, such as the discount rate, rate of return of investment, cost of damage, etc., are collated from existing estimates/reports for the area. The main outcome of this study is a series of maps indicating the economically optimal set-back line (EOSL) for the ~200-km-long coastal region. The EOSL is established for the year 2025 to provide a stable basis for land-use planning decisions over the next two decades or so. The EOSLs thus determined range between 12 m and 175 m from the coastline. Sensitivity analyses show that strong variations in key economic parameters such as the discount rate have a disproportionately small impact on the EOSL.

The goal of this paper is to illustrate the potential usefulness of econometrics as a tool to assist private policy makers. We provide a case study and detailed econometric analysis of the automobile replacement policy adopted by a large car rental company. Unlike public policy making–where the benefits from using econometric models and “science-based” approaches to policy making are hard to quantify because the outcomes of interest are typically subjective quantities such as “social welfare”–in the case of firms there is an objective, easily quantifiable criterion for judging whether policy A is better than policy B: profits. We introduce and estimate an econometric model of the rental histories of individual cars in the company’s fleet. Via stochastic simulations, we show that the model provides a good approximation to the company’s actual operations. In particular, the econometric model is able to reproduce the extraordinarily high rates of return that the company obtains on its rental cars, with average internal rates of return between purchase and sale of approximately 50%. However, the econometric model can simulate outcomes under a range of counterfactual vehicle replacement policies. We use the econometric model to simulate the profitability of an alternative replacement policy under pessimistic assumptions about the rate maintenance costs would increase and rental rates would have to be decreased if the company were to keep its rental cars longer than it does under the status quo. Depending on the vehicle type, we find that the company’s expected discounted profits would be between 6% to over 140% higher under the suggested alternative operating strategy where vehicles are kept longer and rental rates of older vehicles are discounted to induce customers to rent them. The company found this analysis to be sufficiently convincing that it undertook an experiment to verify the predictions of the econometric model.

Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson [1980. The extreme value method for estimating the variance of the rate of return. Journal of Business 53, 61–65] we replace each squared intra-day return by the high–low range for that period to create a novel and more efficient estimator called the realized range. In addition, we suggest a bias-correction procedure to account for the effects of microstructure frictions based upon scaling the realized range with the average level of the daily range. Simulation experiments demonstrate that for plausible levels of non-trading and bid–ask bounce the realized range has a lower mean-squared error than the realized variance, including variants thereof that are robust to microstructure noise. Empirical analysis of the S&P500 index-futures and the S&P100 constituents confirms the potential of the realized range.

This paper surveys the various strands of the literature on the econometrics of higher education that have developed during the last 40 years and indicates how the papers in the special issue of the Journal of Econometrics fit into this literature. It discusses in turn the estimation of rates of return to higher education, studies of the academic labor market, studies relating to institutional behavior and studies relating to higher education as an industry. It concludes by suggesting a number of important areas for future research.

While it has been often suggested, most notably by Caldwell, that high fertility in developing countries is motivated by the positive economic returns that children contribute to their parents, empirical evidence to support the hypothesis is limited. This paper describes a method of measuring the economic returns from the average child over the entire parental life-cycle. The method is then applied to detailed household economic data from Cote d'Ivoire. The results indicate that parents give more to their children than they receive and that the economic returns from children are negative. Overall, we estimate that the average child provides an annual rate of return of roughly –8 per cent. Our results shed light on how the returns from childbearing vary according to the age of the parents at time of birth. The results also offer a potential economic explanation of why older couples are often first to adopt modern contraception.

The economic returns from replanting commercial forests are estimated using an investment model which links physical resource information with economic data, including appropriate monetised values for the major non-market benefits such as recreation and carbon storage. The area and location of sites in Scotland which are uneconomic, i. e. forests, which if replanted with commercial crops, would fail to achieve the current government target rate of return of 6%, are identified. Depending on the values and assumptions used, between 12% (105,000 ha) and 48% (532,500 ha) of existing forests were found to be uneconomic. Because data on the water resource costs of commercial forests are not available and the higher biodiversity value of natural regeneration could not be included in the opportunity cost of land, these percentages are likely to be lower-bound estimates. On the grounds of economic efficiency, abandonment to natural regeneration is the most appropriate land use for these sites, but this might be considered undesirable because of land management considerations. Modified grant payments for natural regeneration under the Woodland Grant Scheme to ensure delivery of enhanced non-market benefits through judicious management and silviculture are suggested. Cautious implementation of this new policy is, however, recommended while further research on the physical suitability of sites for natural regeneration is carried out. More work is also needed to value the non-use benefits of different forest types.

In this paper, I examine the transitional dynamics of a model economy populated by individuals who split their time between acquiring a formal education, producing final goods, and innovating. The paper has two objectives: (i) to uncover the macroeconomic circumstances that triggered the onset and rise of formal education; (ii) to reconcile the remarkable growth of the education sector with the constancy of other key macroeconomic variables, such as the interest rate, the consumption-output ratio and the growth rate of per capita income (Kaldor facts). The transitional dynamics of human capital growth models, such as Lucas (1988), would attribute the arrival of education to the diminishing marginal productivity of physical capital. Conversely, the model proposed here suggests that it is the rate of learning that catches up with the rate of return on physical capital. The learning rate increases with the stock of public knowledge - the primary input used by the education sector. The conjecture is that when public knowledge hits a critical threshold, the rate of return on education becomes large enough to induce individuals to spend time in school. The stock of public knowledge grows as the number of technologies available increases. In accordance with the development trajectories of modern economies, the model generates a development sequence in which an innovation-only economy is followed by an innovation-education economy. The model's transitional paths are matched with about three centuries of U.S. economic data.

Global trends in VCM and PVC were reported and raw material price impact highlighted. These trends and the lack of availability of economic studies of petrochemical projects in the public domain motivated the need to carry out an economic study for VCM projects. Indeed, apart from China, current VCM producing countries suffer from exceptionally high raw material and labor costs, casting doubt on the economic viability of new VCM capacity there. It was found that with the current basic feedstock prices, new VCM projects would not be economically feasible in the USA or Western Europe, but would be so in the Middle East with overall rates of return around 27% and pay back periods around 6 years. The approach adopted in this study can also serve as a guide to ensure reliability for process optimization studies that traditionally tend to employ outdated or unrealistic economic data.

In the economic analysis of projects available to the firm, the objective is to decide, from the economic data available, whether or not a given project is acceptable to the firm. There are four common methods of comparing alternative investments: net present value, rate of return, benefit-cost analysis and pay back period. In this article by utilizing improved analytical hierarchy process by rough set theory, firstly we try to calculate weight of each method. Then by implementing TOPSIS algorithm assessment of projects has been done. Obtained results have been tested in a numerical example.

This work is based on the principles of administration, with technical and economic data from a frigorific fishing industry, at analyzing the convenience of integrating to the existing refrigeration system (by vapor compression) a refrigeration system by absorption. By comparing the existing system, and this one integrated with absorption, it was applied a thermodynamic evaluation for a mean frigorific output of 33.43 kW. The profitable result obtained from this evaluation indicated the feasibility of the integrated refrigeration system, with an operation time of up to 25.64 %, less than the existing refrigeration system, enabling a lower amount of time for investment return than five years. In the evaluation, they were compared the energetic model, associating energy and the operation cost. The highest profitability of integrated system shows, for the system applied in the industry, that by applying such system it contributes to lower the operations costs, with further results of increased in the product offer, and competitiveness in marketing frigorific items.

Problems encountered in the appraisal of irrigation projects in Mexico are analyzed, with emphasis on methods of handling interdependence in project appraisal at the microlevel or, more specifically, at the level of an irrigation district. Interdependence between investment projects and other policy instruments, such as guaranteed prices; among different types of investment projects; and between local and sector level decisions on investment outlays are analyzed. The cases call attention to three elements of a proper project appraisal: 1) the other relevantgovernment policies in the project district must be specified; 2) the investment choice set must be fully specified; and 3) it may be necessary for the district level investment to be evaluated as part of an overall sector program. Partial information may also be used to make indirect project evaluations, and suggestions are given for the manner in which linear programming may be used for screening and ranking alternative projects, as well as for evaluating a given project. The technique is applied for both efficiency goals (profit maximization) and equity oriented goals (employment generation). Economic data are included. Numerous references.

THE process of selecting individual securities, and particularly common stocks, for investment portfolios has several dimensions. But while the basic structure of the portfolio selection process is fairly well established, considerable controversy seems to exist as to the means by which these dimensions should be implemented. It is our purpose to review critically a few major areas of conflict currently extant in investment analysis. Hopefully, this might enable practicing analysts to identify more clearly the issues involved and the possible implications of the alternative points of view. For example, it is generally agreed that the process should be oriented to and conditioned by specific portfolio objectives, such as growth, income requirements, quality limitations, and diversification targets. But as these matters are essentially in the domain of overall portfolio strategy rather than security analysis per se, they are regarded as outside the scope of this review. However, it might be noted that considerable controversy currently exists in this area as to the usefulness of computer programs to suggest and delineate the characteristics of efficient or optimum portfolios. It is my tentative opinion that existing models for portfolio structures are likely to be of very limited practical use as they seem to involve some highly questionable assumptions in order to obtain required quantifications, such as that the entire spectrum of risk factors can be adequately measured by the relative price volatility of individual issues. A second crucial dimension of security selection is concerned with appraising the potential economic values (primarily prospective earnings and dividend flows and the risks surrounding their achievement) embodied in the industries and related companies that appear eligible to meet the portfolio requirements. The content of most of the literature, as well as of our series of C.F.A. examinations, suggests that mastery of this broad area is considered to be of prime importance to the professional development of financial analysts and portfolio managers. And rightly so. For while the random walk theory of security prices may be convincing with respect to the problem of obtaining short-term trading results, this theory does not conflict with the proposition that long-term investment returns will largely be a function of the long-term economic performance of particular industries and companies. Although the concept that investment results are likely to be heavily related to corporate performance in a long-term sense is generally accepted, some recent contributions to the field have alleged that the implementation methodology should be completely revolutionized. For example, Lerner and Carleton allege that a critical investigation of the past financial statements to reveal potential problems of consistency and comparability of reported income and balance sheet data can be largely discarded because accounting and disclosure standards have improved to the point where the underlying data require no critical review.' Moreover, they allege that financial risk factors no longer require appraisal because of the greatly improved stability features of the economy; in lieu thereof, they suggest elegant mathematical techniques to develop the theoretical effects of assumed patterns of various management decisions and economic data on security values.2 However, the empirical evidence would suggest that these allegations are seriously in error. Largely because of recurrent tinkering with the tax rules for national economic policy reasons, a strong case can be

For decades, research and development efforts have focused on fish cultivation in floating cages. Despite this focus, and the considerable private and public sector resources invested in these systems, there is a scarcity of economic data derived from the great number of variables present in these systems. A reliable way of generating economic studies is through systems modeling that relates biological, environmental, technical, and economic variables. This study presents results from a computer simulation of seabream production in floating cages under two scenarios: one representing conditions in the Mediterranean Sea, and the other in the Atlantic Ocean. A company operating in the Atlantic (Canary Islands, Spain) provided the majority of data, though some of them were provided by the University of Las Palmas, also in the Canary Islands. Given the assumptions in the simulation case study, the production cost for 1 kg of seabream in floating cages in the described systems is US$2.64 in the Mediterranean and US$2.90 in the Atlantic, and the internal rates of return were 27% and 59%, respectively. The results of model sensitivity analysis for both scenarios show that this cultivation system is more sensitive in the Mediterranean than in the Atlantic. This means that changes in system variables convey lower effects on the production and economic results in the Atlantic scenario than in the Mediterranean. In both scenarios, the feed ration size was one of the variables that improved feed conversion rates. It also improved costs and profitability in greater proportions than the other variables. The reduction of the feed ration below the levels recommended in feed tables lowered the feed conversion rate but increased the number of days in the seabream cultivation cycle, leading to higher production costs and lower internal rates of return. The analysis also showed that greater benefits and profitability could be obtained by raising production capacity through increases in the final stocking density of the system.