1,721,278 research outputs found
Transitional dynamics in the Solow-Swan growth model with AK technology and logistic population change
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Building optimal regime-switching portfolios
No full textThis paper introduces a novel portfolio optimization method, the Clustered Minimum Spanning Tree Nested Optimization, capable of overcoming the limitations of classical asset allocation, such as instability and over-concentration of portfolio weights, and providing a defensive mechanism against the enhanced systematic risk during high-volatility periods. To do so, we follow a graph theory and clustering-based multi-step approach that accounts also for volatility regime switches. In a bootstrapping setup, we show that our approach produces well -diversified and stable portfolios outperforming the competing methods in terms of risk-adjusted performance while curtailing tail risk by achieving lower portfolio kurtosis
A Multilinear Nyström Algorithm for Low-Rank Approximation of Tensors in Tucker Format
Full text linkThe Nyström method offers an effective way to obtain low-rank approximation of SPD matrices and has been recently extended and analyzed to nonsymmetric matrices (leading to the generalized Nyström method). It is a randomized, single-pass, streamable, cost-effective, and accurate alternative to the randomized SVD, and it facilitates the computation of several matrix low-rank factorizations. In this paper, we take these advancements a step further by introducing a higher-order variant of Nyström's methodology tailored to approximating low-rank tensors in the Tucker format: the multilinear Nyström technique. We show that, by introducing appropriate small modifications in the formulation of the higher-order method, strong stability properties can be obtained. This algorithm retains the key attributes of the generalized Nyström method, positioning it as a viable substitute for the randomized higher-order SVD algorithm
La valutazione delle opzioni multiple: un'applicazione al mercato dei cambi della lira
No full textPer opzioni multiple si intendono quei contratti che hanno per oggetto facoltà di acquisto o di vendita , a prezzi prefissati, di una tra n attività. In particolare , con un'opzione multipla di tipo cali (put) una parte, dietro versamento di un premio, acquista la facoltà di comprare ( vendere), entro o ad una certa data e ad un prezzo prefissato , una quantità prefissata di una particolare attività tra le n specificate. La facoltà acquistata può riferirsi all' attività che abbia il valore più elevato (cali o put on the maximum), a quella che abbia il valore più basso (cali o put on the minimum) oppure ad una delle attività che abbiano valori intermedi (cali o put on the second best, call o put on the third best ... ).
Qualora il prezzo di esercizio sia nullo, il contratto equivale, nel caso di call ordinarie, all'acquisto del titolo sottostante con pagamento immediato (il versamento del premio avviene alla stipula) e consegna differita (alla scadenza del contratto). Nel caso di call multiple, se il prezzo di esercizio è nullo, il contraente riceverà alla scadenza il titolo con il valore più elevato (call on the maximum), oppure quello con il valore più basso (cali on the minimum) oppure uno di quelli con valori intermedi, a seconda della facoltà che è stata negoziata.
Vi sono numerosi esempi nei mercati finanziari di strumenti che includono la sottoscrizione di opzioni multiple e, più in particolare, di opzioni sul massimo o sul minimo di più attività; tra questi i currency option bonds. In questo lavoro viene prima descritto questo particolare tipo di obbligazioni per poi presentare la formula proposta da Johnson per la valutazione delle opzioni sul massimo di più attività, adattando la al caso delle opzioni valutarie.
Quindi, dopo a ver verificato empiricamente la validità delle ipotesi sottostanti al modello di valutazione nel caso in cui le attività siano rappresentate dai tassi di cambio della lira, vengono valutate le call options on the maximum scritte su dollaro, marco e yen e viene condotta una simulazione volta a replicare il loro valore con un portafoglio composto dalle valute sottostanti ed aggiustato dinamicamente
New Urban Stadia. The sustainable pattern to the re-generation of Sport Districts
No full textThis book provides with the most comprehensive collection of new urban stadia built or renovated in the last 30 years.
It displays the success of the new urban pattern in designing and building stadia as part of an urban context. A unique collection of plans all presented at the same scale will help understanding the key role played by new urban stadia in shaping and re-generating existing urban neighborhoods.
The book allows academics and students to have access to the largest collection available today of new urban stadia
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
The Valuation of Multiple Options: An Application to the Exchange Rate Market of the Italian Lira
No full textThe first part of the paper presents some basic relationships linking multiple options, i.e. options written on several risky assets and, specifically, options on the maximum and the minimum of n assets. This is followed by a description of the features of currency option bonds, which offer their holders a series of multiple currency options, and of the Fong and Vasicek M.A.P. strategy, which consists in replicating the payoff of a call option on the maximum written on several assets. Subsequently, Johnson’s equation for pricing options on the maximum of n assets is presented and adapted to the case of currency options, with a test of the underlying assumptions to see whether they apply to the exchange market of the lira. Call options on the maximum written on the dollar, the yen and the DM are then priced and a simulation carried out to replicate the value of these options with a dynamically adjusted portfolio made up of the three underlying currencies. Lastly, a comparison is made of the results obtained by an equally distributed multicurrency portfolio and by a M.A.P. strategy
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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