“Skills, Occupation Inequality and Development” is a theoretical study. There is no general agreement about how income inequality will affect development in the long run. Classic growth models show that income inequality is beneficial to development due to agent’s heterogeneity and marginal propensity to save increasing with wealth. Neoclassical growth models present that income distribution plays no significant role on development assuming representative agents and decreasing marginal returns in investment. New classical growth theory demonstrates that income inequality impedes growth due to credit constraints and indivisibility of investment in human capital. This paper studies income inequality through the channel of complementary skills and occupations in aggregate production. In a new classical model economy with two complementary occupations, CES production technology, skills in utility, and uncertainty of completing high-skilled occupations, we find a continuum of equilibria denoted by a correspondence between aggregate capital stock and the low-skilled population share regardless of the distribution in initial endowments. Aggregate capital stock and aggregate income per capita are non-monotonically related to the low-skilled population share. Aggregate income per capita will be maximized at a certain distribution of occupations on the continuum of equilibria. Therefore, the correlation between development and inequality of occupation distribution can be both positive and negative which depends on the position of occupation division on the continuum of equilibria. The correlation between low skills and occupation inequality is monotonic within a country, but the correlation is opposite between developed and developing economies. The low skills will move up on the continuum of equilibria if the occupation inequality is smaller (larger) in developed (developing) economies. The study also shows that inequality of the occupation distribution plays different effects in developed economies from those in developing economies due to the assumption that skills affect the completion of occupations. Developing economies also present two patterns of equilibria, in which one has higher optimum inequality of occupations, another one has lower optimum inequality of occupations. The cause of two patterns of equilibria for developing economies comes from the assumption of Cobb-Douglas production function. Shifts of equilibrium lead to new levels of development due to a change of inequality in other characteristics of the economy. “Fair Division of Income Distribution, Development and Growth: Evidence from a Panel of Countries” is an empirical exercise. I use an unbalanced panel data to explore the correlation between aggregate income per capita and income inequality. A lot of studies document controversial results using the Gini index or other summary measurements of income inequality. I measure income inequality by the two dimensions of a point on the Lorenz Curve, where the Lorenz curve has unit slope. It is called fair division point, which involves the fair population share and the fair income share. The difference between the fair population share and the fair income share approximates the Gini index of an income distribution. My analysis shows that a country’s low income population relatively decreases (the fair population share drops slightly) as the economy grows; and at the same time, those low income households are relatively worse off (the fair income share falls even though the GDP per capita increases). Inversely, as an economy becomes rich, there are more low income households (the fair population share increases), but those low income households are better off (the fair income share goes up and GDP per capita increases as well). Overall, both the Gini index and the difference between the fair population share and the fair income share have been increasing during the last half century in the panel of countries. Therefore, income inequality increases as an economy is getting richer. The analysis presents strong evidence for optimum income inequality regarding both the aggregate productivity and the growth rate of GDP, where income inequality is measured by either the Gini index or the fair division shares. But no evidence has been found for the Kuznets’ hypothesis. Both high and low inequality of income distribution could harm an economy as we compare with its potential optimum inequality. Also developed economies show different optimum inequality from that in developing economies, and there is the growth-worst fair population share that results in the lowest growth in developed economies. Measurement of income inequality matters on its economic effects for the subsamples of the panel data.

Editorial und Inhaltsverzeichnis.

Editorial und Inhaltsverzeichnis

The main purpose of this thesis is to investigate what is the optimal futures-spot arbitrage strategy for China‘s stock index futures investment. Specifically, Index replication method and no-arbitrage pricing model are examined. We compare the different combinations of ETFs portfolio in mainland China with W.I.S.E-CSI 300 ETF in Hong Kong in three aspects including liquidity level, correlation of ETFs with underlying index, and tracking error of the replication methods. Then, we add several new parameters into interval pricing model to obtain a more accurate no-arbitrage band. As a result, we found that the portfolio of SSE 50 ETF, SZSE 100 ETF, and SSE Bonus ETF could provide the best tracking effect of CSI 300 Index, with different weight as 0.369, 0.403, and 0.19 in turn separately. Furthermore, the new modified pricing model could find out more arbitrage opportunities than interval pricing model especially for reverse cash-and-carry arbitrage. On the whole, the optimal arbitrage strategy for investment on CSI 300 Index futures consist of two steps, implement ETFs portfolio replicate CSI 300 Index and using new modified pricing model to discover and define arbitrage opportunities then to apply futures-spot arbitrage. At the end of thesis, we also give a small case study to illustrate how to exercise the arbitrage strategy in realistic situation.

Affordability continues to be a major challenge for housing in America. According to the Joint Center for Housing Studies of Harvard University (JCHS), in 2006, 57 million households were moderately and severely cost burdened in America. Although high housing prices and the lack of real income growth are cited as the main factors behind the housing affordability problem, it has been proven that land use regulations have some responsibility in this matter as well. Data from the JCHS suggests that between 2002 and 2005, the average appreciation percentage in housing prices was greater in most stringent regulatory environments when compared to less restrictive environments. Despite this fact, and compared to analyses performed in other states, the relationship between the stringency of local land use regulatory environments and housing has not been fully addressed in Texas. The methodological approach used to characterize this relationship has been by means of the creation of a composite index measuring the stringency of local regulatory environments. In response to this lack of evidence of the characteristics of local land use regulatory environments in Texas, this research created the first city-level index characterizing local regulatory environments for housing markets in the Houston-Galveston Area. The index was created taking into account both the different and the most recent practices for the creation of indices. The index created proved to be a valid and reliable measure capable of taking into account the different aspects of the relationship between land use regulations and housing markets. Correlation procedures allowed the detection of a significant relationship between the stringency of local land use regulatory environments and local traits such as median family income, race distribution, poverty, and median housing values. After alternative indices were developed for a sensitivity and uncertainty analysis, the index proved to be a statistically robust measure against modifications on the different assumptions used for its creation. Further research could use this new composite index in empirical analysis to look at the statistical effect of regulatory environments on variables such as housing values and rent prices.

Condfidence in the future is a signicant factor for business development. However frequently, accurate and specific purposes are spread over the market environment influence.Thus,it is necessary to make an appropriate consideration of instability, which is peculiar to the dynamic development. Volatility, variance and standard deviation are used to characterize the deviation of the investigated quantity from mean value. Volatility is one of the main instruments to measure the risk of the asset. The increasing availability of financial market data has enlarged volatility research potential but has also encouraged research into longer horizon volatility forecasts. In this paper we investigate stock index volatility with respect to capitalization with help of GARCH-modelling. There are chosen three indexes of OMX Nordic Exchange for our research. The Nordic list segment indexes comprising Nordic Large Cap, Mid Cap and Small Cap are based on the three market capitalization groups. We implement GARCH-modeling for considering indexes and compare our results in order to conclude which ones of the indexes is more volatile. The OMX Nordic list indexis quiet new(2002)and reorganized as late as October 2006. The current value is now about 300 and no options do exist. In current work we are also interested in estimation of the Heston model(SVmodel), which is popular in financial world and can be used in option pricing in the future. The results of our investigations show that Large Cap Index is more volatile then Middle and Small Cap Indexes.

Volatility forecast plays a central role in the financial decision making process. An intrinsic purpose of any investor is profit earning. For that purpose investors need to estimate the risk. One of the most efficient methods to this end is the volatility estimation. In this theses I compare the CBOE Volatility Index, (VIX) with the actual volatility on an index at the Nordic Market. The actual volatility is defined as the one-day-ahead prediction as calculated by using the GARCH(1,1) model. By using the VIX model I performed consecutive predictions 30 days ahead between February the 2nd, 2007 to March the 6th, 2007. These predictions were compared with the GARCH(1,1) one-day-ahead predictions for the same period. To my knowledge, such comparisons have not been performed earlier on the Nordic Market. The conclusion of the study was that the VIX predictions tends to higher values then the GARCH(1,1) predictions except for large prices upward jumps, which indicates that the VIX is not able to predict future shocks. Except from these jumps, the VIX more often shows larger value than the GARCH(1,1). This is interpreted as an uncertainly of the prediction. However, the VIX predictions follows the actual volatility reasonable well. I conclude that the VIX estimation can be used as a reliable estimator of market volatility.

In this thesis, I examine the performance of a sample of ten Swedish-based internationally diversified mutual funds managed by one of the largest commercial banks in the Nordic region. The investigation cover a time span between 2000 and 2005 divided into two sets, 2000-2002 and 2003-2005. To measure the performance of the funds, I will utilize the Jensen’s index. The results shows that there is no empirical evidence which indicates that managers seize superior stock selection skills when investing locally compared with investing on different markets for the selected funds. It does on the other hand shows that two out of the seven funds increases the beta towards the market when the market goes up. Finally, this thesis shows that inclusion of emerging markets creates further possibilities for diversification in a portfolio due to more developed markets tends to have high level of integration and move together.

The S&P 500 Index is a leading indicator of U.S. equities and is meant to reflect the risk and return on the U.S. stock market. Many derivatives based on the S&P 500 are available to investors. The S&P 500 Futures of the Chicago Mercantile Exchange and the S&P 500 Index Options of the Chicago Board Options Exchange are both actively traded. My thesis argues that the S&P 500 Index is only a summary statistic designed to reflect the evolution of the stock market. It is not the value of a self-financed tradable portfolio, and its modifications do not coincide with changes of the value of any mimicking portfolio, due to the particular way the S&P 500 Index is computed and maintained. Therefore, the Spot-Futures Parity and the Put-Call Parity do not hold for the S&P 500 Index and its derivatives. Furthermore, its derivatives cannot be priced by using the standard option pricing models, which assume that the underlying asset is tradable. Chapter One analyzes why the S&P 500 Index does not represent the value of a self-financed tradable portfolio and why it cannot be replaced by the value of a tracker such as the SPDR. In particular, we show that the nonlinear and extreme risk dynamics of the SPDR and of the S&P 500 Index are very different. Chapter Two provides empirical evidence that the non-tradability of the S&P 500 Index can explain the Put-Call Parity deviations. Even after controlling for the liquidity risk of the options, we find that the Put-Call Parity implied dividends depend significantly on the option strike. In Chapter Three, we develop an affine multi-factor model to price coherently various derivatives such as forwards and futures written on the S&P 500 Index, and European put and call options written on the S&P 500 Index and on the S&P 500 futures. We consider the cases when the underlying asset is self-financed and tradable and when it is not, and show the difference between them. When the underlying asset is self-financed and tradable, an additional arbitrage condition has to be introduced and implies additional parameter restrictions.

In today’s fiercely competitive environment, the goal of any enterprise is to make money now and in the future (Goldratt, 1992). In order to fulfill this goal, an enterprise should eliminate waste embedded in the value stream. Industrial engineers frequently play a key role in reducing cost. The philosophy of many in lean manufacturing is that the things that can’t be measured can’t be properly managed (Womack & Jones, 1996). This thesis presents a method to incorporate an environmental index into the value stream and thereby increase the opportunities for waste minimization. The proposed method of incorporation of the environmental index is explained in detail using a hypothetical case study. How to calculate the environmental index, the present state and future state maps of the value stream are explained in detail. The two major steps presented by this method are: Identify environmental wastes and incorporate the identified wastes into the value stream map. For determining the method among given alternatives, this thesis uses the Waste Stream Prioritization Method WSPM) (TNRCC, 1998). It also provides an activity based model (IDEF0) to present the method for incorporating the environmental index / Thesis (M.S.)--Wichita State University, College of Engineering, Dept. of Industrial and Manufacturing Engineering. / "December 2005."