Multi-period Analysis Research Articles

Multi-period efficiency analysis in data envelopment analysis

The problem of multi-period data envelopment analysis (DEA) has been studied. We consider the performance of a production unit in the course of T periods. The proposed DEA models not only measure the efficiency across all periods, but also they provide the efficiency measures for each of the periods. It is proven that the aggregate efficiency is a convex combination of the efficiency of each period. The applicability of the models developed is illustrated in the context of the analysis of gas companies performance.

Stable Value Funds: Performance from 1973 Through 2008

There is a paucity of academic literature on stable value funds, although they occupy such a prominent place among retirement investment vehicles. They are offered in roughly one half of all defined contribution plans in the USA, with over $640 billion dollars worth of assets under management. This paper is the first to rigorously examine their performance throughout the entire period their inception in 1973. We conduct mean-variance analysis, Sharpe and Sortino ratio analysis, stochastic dominance analysis, and optimal multi-period portfolio composition analysis. Our evidence suggests that stable value funds dominate two (and nearly three) major asset classes based on a historical analysis, and that they occupy a prominent position in optimal portfolios across a broad range of risk aversion levels. We discuss the factors that contributed to stable value’s remarkable performance and whether it can continue to maintain it into the future. In our paper, innovations are achieved in constructing efficient stochastic dominance algorithms, incorporating return expectations in multi-period portfolio construction, and in examining the multi-relations among competing stable value funds. We also provide a stable value returns index based on actual fund returns.

Multi-period operator assignment considering skills, learning and forgetting in labour-intensive cells

This paper deals with assigning operators to various operations in a labour-intensive cellular environment. The operator skill levels and skill-based operation times are used as opposed to the classical approach of using standard times. A three-phase approach is developed to tackle the entire problem: (1) finding alternative cell configurations; (2) loading cells and finding crew sizes; (3) assigning operators to operations. A multi-period analysis is performed to study the main issues in this paper. Mathematical models are used in all phases. Two heuristic approaches (Max, MaxMin) are developed for operator assignment in phase III. Both heuristics are compared and their impact on operator learning and forgetting is also investigated. Results show that the proposed approaches in operator assignment outperform the classical approach of using standard times. Heuristic Max resulted in lower makespan and higher idle times whereas heuristic MaxMin improved operator skills more uniformly.

Microscopic and Macroscopic Approaches to Delay Estimation with Oversaturated Conditions

Chapter 16 of the 2000 Highway Capacity Manual (HCM) contains a widely recognized and well-accepted procedure for calculating per-vehicle control delay at signalized intersections. Appendix F of that chapter discusses the relationship between various components of control delay using cumulative arrival and departure curves. The delay obtained from these curves has certain limitations that need to be recognized if proper conclusions are to be drawn. To illustrate these limitations, a comparison is made between the delay obtained from cumulative curves and the delay obtained through a detailed analysis of vehicle trajectories. A comparison of the control delay obtained from trajectory analysis and that obtained from cumulative arrival–departure curves shows that the cumulative curves omit certain valid portions of the control delay, while including other portions of time that are not delay at all. Taking a macroscopic approach to oversaturated delay estimation, the HCM procedures for dealing with oversaturated conditions are described and their shortcomings are explored using an example of a multiperiod analysis of an oversaturated approach to a signal. It is demonstrated that the current HCM equations can overestimate multiperiod delay and that the assumption of a capacity that is constant from cycle to cycle can underestimate delay at high values of the volume-to-capacity ratio.

Did the Pathogen Reduction and Hazard Analysis and Critical Control Points Regulation Cause Slaughter Plants to Exit?

Our multiperiod analysis tested whether the 1996 Pathogen Reduction and Hazard Analysis and Critical Control Points food safety regulation affected the probability of slaughter plant exit. We estimated probit models using pooled plant-level datasets for the preimplementation, implementation, and postimplementation periods. Results suggest that very small and small meat slaughter plants were more likely to exit during implementation than during preimplementation but less likely after implementation. In contrast, the results suggest the regulation had little effect on the probability of very small and small poultry slaughter plant exit during implementation but may have affected the probability of exit postimplementation.

Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization

The objective of this paper is twofold. The first is to incorporate mental accounting, loss aversion, asymmetric risk-taking behavior, and probability weighting in a multi-period portfolio optimization for individual investors. While these behavioral biases have previously been identified in the literature, their overall impact during the determination of optimal asset allocation in a multi-period analysis is still missing. The second objective is to account for the estimation risk in the analysis. Considering 26 daily index stock data over the period from 1995 to 2007, we empirically evaluate our model (BRATE - Behavior Resample Technique) against the traditional Markowitz model.

A multi-period analysis of a carbon tax including local health feedback: an application to Thailand

An ancillary benefit of Greenhouse Gas (GHG) mitigation refers to a benefit derived from GHG mitigation that is in addition to the reduction in adverse impacts of global climate change. One type of ancillary benefits of GHG mitigation is reduced local conventional pollutants, which is associated with improved health. Middle-income countries like Thailand are in unique positions to obtain large ancillary health gains from reduced local conventional pollutants when GHG is mitigated by curbing fossil fuel consumption.

Regional Economic Models for Performance Based Earthquake Engineering

Regional economic impact models (REIMs) are needed for performance-based earthquake engineering and similar activities. The metropolitan-level performance measures that can be supported by earthquake engineering outputs are fundamentally economic, and regional economic impact models provide the logical link between engineering design decisions and policymaking. How well do REIMs consider the performance of structures (broadly defined to include infrastructure and lifelines) in these facilities' role of facilitating regional economic performance? The authors of this article evaluated 19 REIMs of relatively recent vintage against 11 criteria. These include policy relevance, whether the model reports results for small spatial units, the level of industry disaggregation, the possibility to allow integration of models from various disciplines, whether multiperiod or dynamic analysis is possible, the extent to which key variables (including prices, technology, and travel behavior) are endogenous, transferability between regions and countries, operationality, accessibility, updatability, and whether applications to earthquakes have been executed.

Return Attribution for Commercial Real Estate Investment Management

Executive Summary. In this study, we offer a refinement to a return attribution method proposed by the pioneers of return attribution analysis. Returns for the aggregate portfolio are decomposed into selection and allocation contributions as originally presented. We introduce the use of a neutral effect, which aggregates to zero at the portfolio level, that insures proper interpretation of the decomposition of the sector returns of the portfolio into selection and allocation contributions. This refinement is particularly relevant to private real estate investment, where portfolio performance is measured against both an aggregate benchmark and benchmarks for sub-sectors. In addition, we suggest a methodology for performing multi-period attribution analysis. Further, we offer a new presentation format to report both single and multi-period return attributes.

Multi-period cell loading and cell size determination

This paper focuses on simultaneous solution of cell loading and cell size determination in labor intensive manufacturing cells. The study performed is a multi-period analysis where decisions are made for next several periods. The objective is to maximize the number of products that can be completed with the available capacity in all of the periods considered. A two-phase solution methodology is proposed. In the first phase, alternative cell sizes are generated for various manpower levels and optimal manpower allocation is performed. In the second phase, two mathematical models are proposed to perform cell loading and determine the cell size simultaneously.

Static and Dynamic Comparative Advantage: A Multi-Period Analysis with Declining Terms of Trade

(1998). Static and Dynamic Comparative Advantage: A Multi-Period Analysis with Declining Terms of Trade. Journal of Economic Issues: Vol. 32, Papers From The 1998 Afee Meeting, pp. 305-314.

On the credibility of harassment in the insider—outsider model

In a well-known version of the insider-outsider model, the decision by outsiders not to underbid follows from the threats made by insiders to harass new entrants, thereby raising the entrants' disutility of work. It has been argued, however, that the harassment threat is not credible, at least in the one-period case. In the current paper we explore this claim, concluding that the existence of a social convention, together with associated social pressure effects, provides a possible explanation of the credibility of the harassment threat. Moreover, we suggest that such a convention is likely to play a role even in a multi-period analysis.

The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis

This paper extends the standard single-period model of deposit insurance to a mutliperiod setting. It incorporates a variety of features describing bank and regulator behavior, such as endogenous capital adjustments and regulatory forbearance. Budgetary costs of deposit insurance are found using contingent claims techniques. We show how the market value of a bank′s net worth, a critical input of the model, can be estimated using accounting cash flow data and information from aggregate bank stock prices. Using Call Report data on U.S. commercial banks, we provide empirical estimates of the aggregate cost of deposit insurance under alternative regulatory policies. Journal of Economic Literature Classification Numbers: G13, G21, G28, H61.

Multiple frequencies pulsation of the λ Scuti variable BDS 1269 A: AAnS 34/2 (1993)233–224

A multi-period analysis has been conducted on the data set of BDS 1269 A made up of the observations obtained by Percy and Rucihski during October 9 to November 6, 1976. In our period analysis, many possible frequencies, which include all frequencies suspected, are selected to constitute the initial frequency estimates. By fitting various combinations of the initial frequencies to the data set, the best one can be determined, which has a minimum number of different frequencies with the lowest residuals. The best fitting frequency solution includes f1=6.22999 cycle d-t, f2 = 6.50840 cycle d-1, f3 = 11.77324 cycle d-1, f4= 9.71369 cycle d-1 and f3= 11.33694 cycled-1. The numeric experiment justifies this five-frequency solution. Based on this solution, a reasonable non-radial rotational splitting pulsation mode is identified, and a rotational velocity v3 = 30 km s-1 is predicted, which tends to agree with the fact that BDS 1269 A is a slowly rotational star.A total of 459 new measurements of four nights during 1987 October 16 to 24 were taken by authors with a Johnson V filter. The fitting with the five-frequency solution to the new data is very good with a residual which is near the uncertainty of the observation.

Efficiency Measures Using the Ray-Homothetic Function: A Multiperiod Analysis

AbstractRecent investigations have provided mixed assessments of farm firm efficiency. This analysis examined the efficiency of a homogeneous sample of central Illinois grain farms over a six-year period. A best-practice frontier was constructed using the ray-homothetic function, which allowed optimal farm output to vary with factor intensity. Efficiency measures were found to increase with temporal aggregation. The ray-homothetic approach was found to attribute high scale inefficiencies to larger sample farms in cases where the factor shares did not vary appreciably across farms. The findings suggest that policy recommendations regarding farm efficiency must be made with care.

Exporting firm and forward markets: the multiperiod case

We consider a model with a competitive risk-averse exporting firm who faces uncertain exchanges rates in a multiperiod analysis. The capital stock (or fixed input) has to be determined at the outset while the variable input (labor) is chosen optimally at the beginning of each period, but before the realization of the exchange rate. We show that introducing unbiased currency forward markets decreases the capital/labor ratio in all periods. We also show that such a firm tends to ‘overhedge’ compared to the one-period cases. In some cases the introduction of unbiased forward markets results in higher investments and production in all dates.

Futures Trading, Storage, and the Division of Risk: A Multiperiod Analysis

Journal Article Futures Trading, Storage, and the Division of Risk: A Multiperiod Analysis Get access David Hirshleifer David Hirshleifer University of California, Los Angeles Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 99, Issue 397, 1 September 1989, Pages 700–719, https://doi.org/10.2307/2233766 Published: 01 September 1989

Factors affecting subjective revision in forecasting A multi-period analysis

Recent empirical work has shown that judgemental revision of forecasts generated by a quantitative model is beneficial in terms of improving forecasting accuracy. Utilising real-life sales forecasting data relating to an industrial company, the present study investigates the extent to which the outcome of subjective revision varies across different types of products and different individuals engaged in revision activity. As forecast improvement is directly dependent on the specific adjustment undertaken by the reviewer, differences in the nature of revision between the individuals concerned and between different types of product are also examined. The analysis, extending over six consecutive forecasting rounds, reveals that the nature of revision in terms of magnitude and direction is affected by both product-specific and reviewer-specific factors. On the other hand, the outcomes of revision appear to be independent of the reviewer; however, the frequency of forecast improvement is shown to vary across different product types. The managerial implications of the findings are discussed in the light of previous evidence on subjective revision, and directions for further research are identified.

Social security in Panama: A multiperiod analysis of income distribution

A unique multiperiod data set is used to look at the income distribution effects of the retirement portion of the social security system of Panama. While it is clear that the system is an important source of income for workers, it is argued that its true redistributive importance is greatly exaggerated. Using a multiperiod view it is found that previously high-wage and urban workers are disproportionately represented among current recipients. It is also argued that social security has substantially reduced the work effort of these workers. Hence the appropriateness of the present social security system is questioned on both equity and efficiency grounds.

A choice‐theoretic analysis of a corporate tax holiday versus a subsidy

This paper attempts to compare the effect of a corporate tax holiday with that of a subsidy on the behaviour of the individual firm. Assuming the subsidy equals the amount of tax paid by a firm operating under the subsidy system, we find that the firm's net profit will be greater under the tax holiday than under the subsidy regime. Similarly, if the subsidy exceeds the tax by an amount that would equalize the profits made by the (“marginal”) firm under the two regimes, then it is found that firms with higher than “average” unit costs would opt for the subsidy system; conversely, firms with a low cost structure would maximize profits by selecting the tax holiday. Finally, a multiperiod analysis of the particular choice facing prospective manufacturers in Ciskei, shows that the firm would normally choose the subsidy system except if the current tax exceeded the subsidy at the output level representing maximum profit under the tax holiday.