1,720,976 research outputs found
The Risk and Performance Analysis in the Hedge Fund Industry: A Case of CSFB and TREMONT
No full text投資績效的衡量一直是投資人最關心的課題，投資的盈虧清晰可見，但投資績效的優劣卻不容易判定，尤其是避險基金強調其追求絶對報酬，與股票、債券市場的相關性低，對於一般投資人來說，顯少揭露其投資風險。本研究針對Credit Suisse/Tremont investable index避險基金作常態分配檢定，以報酬率、變異係數、Sharpe指標及Sharpe ratio of VaR指標，分析各種投資策略的績效排名，並以不同的風險值模型估算避險基金的風險值並分析其間之差異。證發現在小樣本的研究，避險基金的報酬率分配多為常態分配，然仍有部分的投資策略的避險基金為非常態分配有高峰偏態現象。在平均報酬率的績效排名以新興市場策略的避險基金的績效最好，但考慮到風險的波動性，以變異係數為績效排名時，則以事件導向策略的避險基金為首選。另本研究發現，當避險基金出現超額報酬為負值時，運用Sharpe指標及Sharpe ratio of VaR指標的績效排名會出現偏誤，使得績效較佳的基金有較差的排名，而有修正調整的必要。將修正後的Sharpe指標予以績效排名時，發現Sharpe 指標與平均報酬率的績效排名相較，其排名次序變動不大，係高報酬率的避險基金其風險的波動性也很高，故高的超額報酬有高的風險波動及低的超額報酬有較低的風險波動。風險值的計算本研究實證發現，以歷史模擬法計算之風險值，均高於同時期以蒙地卡羅模擬法估算的風險值，並且沿著蒙地卡羅模擬法計算的風險值做小幅度的變動，兩者風險值相當接近，且在其信賴區間95%下，以Delta-Normal、歷史模擬法或蒙地卡羅模擬法，所驗證之回溯測試值都具有可信度。This research uses the normal distribution test to evaluate the performance of monthly index return for nine hedge funds of Credit Suisse/Tremont investable index. The ranking for various investment strategy of hedge fund is made based on the return rate, the coefficient of variation, the Sharpe ratio, and the Sharpe ratio of VaR. Besides, the risk values of various hedge funds are evaluated in the Delta-Normal approach, the historical simulation approach, and the Monte Carlo simulation approach. he empirical results show that the return rates for parts of hedge funds are not the normal distribution with leptokurtic and skewed phenomenon even though most hedge funds fit the normal distribution in small sample. If ranked in the mean return rate, the performance of the investment strategy for emerging market is best. If considering the risk volatility and ranked in coefficient of variation, the performance of the investment strategy for event driven is best. Besides, when the excess return is negative, the ranking would be incorrect if using the Sharpe ratio and the Sharpe ratio of VaR. It is necessary to modify the evaluation method. Comparing the ranking in the modified Sharpe ratio and the ranking in the mean return rate, there is the minor change only. The result shows that the higher the return is, the higher the volatility is.he risk evaluation of the empirical results shows the risk estimated in the historical simulation approach is higher than the risk estimated in the Monte Carlo simulation approach for the investigated period. Both values are very close. At 95% confidence interval, the trace tests are reliable in Delta-Normal approach, the historical simulation approach, and the Monte Carlo simulation approach.目 錄辭 i文摘要 ii文摘要 iii一章 緒論 1.1 研究背景與動機 1.2 研究目的 2.3 研究架構流程 3.4 避險基金發展現況 5.4.1 避險基金的定義及特性 5.4.2 避險基金的投資策略分析 6二章 文獻探討 9.1 常態分配檢定 9.2 績效評估 9.2.1 避險基金的績效評估 9.2.2 績效評估指標 10.3 風險值 11三章 研究方法 13.1 資料來源與樣本期間說明 13.1.1 資料來源 13.1.2 CSFB/Tremont Hedge Fund Index介紹 13.1.3 樣本期間 15.2 避險基金常態性檢定 15.3 績效評估模型 17.3.1 避險基金的投資報酬率 17.3.2 避險基金平均報酬率 17.3.3 避險基金波動性的衡量 18.3.4 變異係數 18.3.5 Sharpe 指標 19.3.6 Sharpe ratio of VaR 19.4 風險值 20.4.1 風險值的定義 20.4.2 Delta-Normal法 21.4.3 歷史模擬法 22.4.4 蒙地卡羅模擬法 23.4.5 回溯測試 24四章 實證分析 26.1 常態分配檢定結果分析 26.2 避險基金績效評估實證分析 27.2.1 平均報酬率分析 27.2.2 變異係數分析 29.2.3 Sharpe 指標及Sharpe ratio of VaR指標分析 31.3 風險值分析 33.3.1 風險值的比較 33.3.2 風險值的驗證 34五章 結論與後續研究建議 36.1 結論 36.2 研究限制 38.3 研究建議 39考文獻 40文部分 40文部分 41錄一：CSFB/Tremont Hedge Fund Index項下子指數之成份基金： 43錄二：9類避險基金指數常態分配檢定圖 46錄三：避險基金報酬率分配圖 5
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
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
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
Author-wise bibliometric analysis based on entropy.
No full textAuthor-wise bibliometric analysis based on entropy.</p
Author Under Sail The Imagination of Jack London, 1893-1902
No full textIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Intro -- Title Page -- Copyright Page -- Dedication -- Contents -- Acknowledgments -- Introduction -- 1. Spirit Truth -- 2. From Absorption to Theatricality and Back Again -- 3. "I Will Build a New Present" -- 4. Sons as Authors -- 5. Fathers as Publishers -- 6. The Daughter as Author -- 7. Lovers as Authors -- 8. At Sea with the Family -- 9. Yellow News, Yellow Stories -- 10. The Return Home -- Notes -- Bibliography -- Index -- About Jay WilliamsIn Author Under Sail, Jay Williams offers the first complete literary biography of Jack London as a professional writer engaged in the labor of writing. It examines the authorial imagination in London's work, the use of imagination in both his fiction and nonfiction, and the ways he defined imagination in the creative process in his business dealings with his publishers, editors, and agents. In this first volume of a two-volume biography, Williams traverses the years 1893 to 1902, from London's "Story of a Typhoon" to The People of the Abyss. The Jack London who emerges in the pages of Author Under Sail is a writer whose partnership with publishers, most notably his productive alliance with George Brett of Macmillan, was one of the most formative in American literary history. London pioneered many author models during the heyday of realism and naturalism, blurring the boundaries of these popular genres by focusing on absorption and theatricality and the representation of the seen and unseen. London created an impassioned, sincere, and extremely personal realism unlike that of other American writers of the time. Author Under Sail is a literary tour de force that reveals the full range of London as writer, creative citizen, and entrepreneur at the same time it sheds light on the maverick side of machine-age literature.Description based on publisher supplied metadata and other sources.Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, YYYY. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
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