John Blin - Academia.edu (original) (raw)

Papers by John Blin

Lecture Notes in Computer Science, May 7, 1973

Without Abstract

Journal of Cybernetics, 1974

This paper develops the notion of fuzzy preference orderings for individuals and groups, on the b... more This paper develops the notion of fuzzy preference orderings for individuals and groups, on the basis of the theory of fuzzy (binary) relations as developed by L. A. Zadeh [4]. This concept is illustrated with well known methods of group decision-making and some of its formal properties are investigated. Finally an algorithm to map fuzzy orderings on non-fuzzy ones is

Revue française d'automatique, informatique, recherche opérationnelle. Recherche opérationnelle, 1976

The Journal of Investing, 1996

n this study we address the creation and estimation of market-neutral portfolios in Japan, with p... more n this study we address the creation and estimation of market-neutral portfolios in Japan, with particular emphasis on earnings forecasting and revisions. We show that marketneutral portfolios produce much higher returns for a given level of risk than merely efficient (long) portfolios. Thus use of a multifactor risk model is useful for the 1987-1993 period for creating marketneutral portfolios. One can create the market-neutral equity selection and portfolio construction models using data available in the United States. We find that inclusion of consensus IBES revisions increases the market-neutral portfolio average return by more than 200 basis points over use of only historical data. Our universe is the first section securities of the Tokyo Stock Exchange (TSE) less the financial firms, approximately 1,000 firms. The WorldScope financial data base is the source of earnings and book value data for the 1987-1994 period. The underlying composite model describing total security returns is estimated econometrically using fundamental variables: the price-to-earnings ratio, P/E; price-to-book ratio, P/B; and their “relative” counterparts (compared to their five-year means). The “relative” variables are denoted by “R” preceding the fundamental ratio; i.e., RPE is the relative PE. The composite model incorporates the earnings forecasting wor:k described in Guerard, Takano, and Yamane [1993]. The cross-sectional multiple regression model

The Journal of Investing, 1995

is a principal ofAPT Investment Management, Inc., in New York. He was prm’ously professor o f eco... more is a principal ofAPT Investment Management, Inc., in New York. He was prm’ously professor o f economics, econometrics, and Jinance at Northwestern University Kellogg Graduate School o f Management, as well as senior vice president o f the New York Futures Exchange. Mr. Blin has sewed as a consultant to governments, leading corporations, securities Jirms, and exchanges in the US. and abroad. He holds a 13h.D.from Purdue University.

Pattern Recognition Theory and Application, 1977

Journal of Cybernetics, 1973

Choosing between alternative courses of action presupposes preference. Individual preference appe... more Choosing between alternative courses of action presupposes preference. Individual preference appears as a primitive notion with little need for elaboration. Mathematically, it is simply expressed by a complete (or, sometimes, only partial) reflexive antisymmetric and transitive ordering over a set (A) of ‘objects’ which are available for choice. If we wish, we can even consider the derived linear ordering over

Proceedings of the 1972 IEEE Conference on Decision and Control and 11th Symposium on Adaptive Processes, 1972

Group decision-making has been a favorite topic of discussion among economists, political scienti... more Group decision-making has been a favorite topic of discussion among economists, political scientists, philosophers and even theologians! Two opposite views of social decision problems have emerged from these discussions: the collectivist view which holds that the group exists apart from its individual members; and the pluralistic approach which emphasizes that the group is equivalent to its members, when they are

Journal of Cybernetics, 1973

A property which is intrinsic to the field of economics is the idea of aggregation. From the conc... more A property which is intrinsic to the field of economics is the idea of aggregation. From the concept of a utility function which arose through the combining of wants or needs to input-output studies the concept of aggregation plays an important part in the study of economic ...

Theory and Decision, 1976

Arrow's Independence of Irrelevant Alternatives Condition is examined. It is shown why the st... more Arrow's Independence of Irrelevant Alternatives Condition is examined. It is shown why the standard rationale for (or against) the condition tends to be inconclusive as it fails to consider the basic ‘game’ issue in social choice. Specifically it is explained how some recent results (Gibbard-Satterthwaite) on the general non-existence of strategy-proof voting procedures provide the strongest rationale for the independence condition. Also, it is shown that this rationale was exactly the one used by Condorcet in his work on decision rules for juries and elections.

Theory and Decision, 1973

The Review of Economics and Statistics, 1977

Lecture Notes in Computer Science, May 7, 1973

Without Abstract

Journal of Cybernetics, 1974

This paper develops the notion of fuzzy preference orderings for individuals and groups, on the b... more This paper develops the notion of fuzzy preference orderings for individuals and groups, on the basis of the theory of fuzzy (binary) relations as developed by L. A. Zadeh [4]. This concept is illustrated with well known methods of group decision-making and some of its formal properties are investigated. Finally an algorithm to map fuzzy orderings on non-fuzzy ones is

Revue française d'automatique, informatique, recherche opérationnelle. Recherche opérationnelle, 1976

The Journal of Investing, 1996

n this study we address the creation and estimation of market-neutral portfolios in Japan, with p... more n this study we address the creation and estimation of market-neutral portfolios in Japan, with particular emphasis on earnings forecasting and revisions. We show that marketneutral portfolios produce much higher returns for a given level of risk than merely efficient (long) portfolios. Thus use of a multifactor risk model is useful for the 1987-1993 period for creating marketneutral portfolios. One can create the market-neutral equity selection and portfolio construction models using data available in the United States. We find that inclusion of consensus IBES revisions increases the market-neutral portfolio average return by more than 200 basis points over use of only historical data. Our universe is the first section securities of the Tokyo Stock Exchange (TSE) less the financial firms, approximately 1,000 firms. The WorldScope financial data base is the source of earnings and book value data for the 1987-1994 period. The underlying composite model describing total security returns is estimated econometrically using fundamental variables: the price-to-earnings ratio, P/E; price-to-book ratio, P/B; and their “relative” counterparts (compared to their five-year means). The “relative” variables are denoted by “R” preceding the fundamental ratio; i.e., RPE is the relative PE. The composite model incorporates the earnings forecasting wor:k described in Guerard, Takano, and Yamane [1993]. The cross-sectional multiple regression model

The Journal of Investing, 1995

is a principal ofAPT Investment Management, Inc., in New York. He was prm’ously professor o f eco... more is a principal ofAPT Investment Management, Inc., in New York. He was prm’ously professor o f economics, econometrics, and Jinance at Northwestern University Kellogg Graduate School o f Management, as well as senior vice president o f the New York Futures Exchange. Mr. Blin has sewed as a consultant to governments, leading corporations, securities Jirms, and exchanges in the US. and abroad. He holds a 13h.D.from Purdue University.

Pattern Recognition Theory and Application, 1977

Journal of Cybernetics, 1973

Choosing between alternative courses of action presupposes preference. Individual preference appe... more Choosing between alternative courses of action presupposes preference. Individual preference appears as a primitive notion with little need for elaboration. Mathematically, it is simply expressed by a complete (or, sometimes, only partial) reflexive antisymmetric and transitive ordering over a set (A) of ‘objects’ which are available for choice. If we wish, we can even consider the derived linear ordering over

Proceedings of the 1972 IEEE Conference on Decision and Control and 11th Symposium on Adaptive Processes, 1972

Group decision-making has been a favorite topic of discussion among economists, political scienti... more Group decision-making has been a favorite topic of discussion among economists, political scientists, philosophers and even theologians! Two opposite views of social decision problems have emerged from these discussions: the collectivist view which holds that the group exists apart from its individual members; and the pluralistic approach which emphasizes that the group is equivalent to its members, when they are

Journal of Cybernetics, 1973

A property which is intrinsic to the field of economics is the idea of aggregation. From the conc... more A property which is intrinsic to the field of economics is the idea of aggregation. From the concept of a utility function which arose through the combining of wants or needs to input-output studies the concept of aggregation plays an important part in the study of economic ...

Theory and Decision, 1976

Arrow's Independence of Irrelevant Alternatives Condition is examined. It is shown why the st... more Arrow's Independence of Irrelevant Alternatives Condition is examined. It is shown why the standard rationale for (or against) the condition tends to be inconclusive as it fails to consider the basic ‘game’ issue in social choice. Specifically it is explained how some recent results (Gibbard-Satterthwaite) on the general non-existence of strategy-proof voting procedures provide the strongest rationale for the independence condition. Also, it is shown that this rationale was exactly the one used by Condorcet in his work on decision rules for juries and elections.

Theory and Decision, 1973

The Review of Economics and Statistics, 1977