1,721,346 research outputs found
Sparse factor model based on trend filtering
No full textWe present a model based on trend filtering and regularization for performing factor analysis. Furthermore, the trend filtering method proposed in our model allows incorporating views represented as scenarios. Therefore, factor models can be optimized to explain not only trends of a given data series but also trends reflecting outlooks. As an application to finance, the proposed model constructs a sparse factor model on the trend of an index. Factor analyses on trend-filtered series provide factor models for describing trends, which are valuable for modeling long-term horizons. We also analyze the effect of trends on factor model selection in the US stock market. Further analyses include an investigation of factors during crisis periods and a comparison when various scenarios are considered.
Measuring Market Risk in Asset Management
No full textIn this article, we offer a practical definition of market risk and show how to measure it. Beginning with an overview of fundamental concepts, such as asset returns, volatility, and correlation, we proceed to explain the estimation of widely used risk metrics, namely the value at risk (VaR) and the expected shortfall (ES), as well as the less commonly known expectile-based VaR (EVaR). Furthermore, we illustrate how these risk measures can be integrated into portfolio selection strategies. To provide practical insight, we consider a portfolio comprising two bonds and two stocks as a case study. Through this example, we apply the discussed concepts in real-world scenarios. Additionally, we present several examples to enhance the reader comprehension and facilitate a deeper understanding of the materia
Portfolio selection with conservative short-selling
No full textMean-variance analysis is considered the foundation of portfolio selection. Among various attempts to address the limitations of the original model as formulated by Markowitz more than 60 years ago, one simple solution has been to impose constraints on weights in order to reduce efficient portfolios with extreme weights that may be caused by estimation errors in the inputs. Although no short-selling constraints are often considered, the restriction removes opportunities to gain from short-selling and short positions provide various investment opportunities such as long/short strategies. In this paper we propose a portfolio selection model that allows short positions while examining the worst case only for assets that are assigned negative weights. The proposed model constructs portfolios with conservative short positions and the conservative level can be adjusted by the investor. (C) 2016 Elsevier Inc. All rights reserved
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
Get PDF“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
Robust Factor-Based Investing
No full textIn quantitative portfolio management, combining optimization with estimation causes concern for asset managers because portfolio problems may be sensitive to deviations in their inputs, but obtaining accurate input estimates is a difficult task. Robust factor models address these concerns using factor models for estimating asset returns and worst-case approaches for gaining stability in portfolio performance. Recent studies on robust factor investing explore methods of incorporating factors into robust portfolio construction. In this article, the authors provide a survey that includes theoretical insight, empirical findings from historical data, and experience from practitioners in formulating and executing robust factor-based investment strategies.
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe 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
Index-exciting CAViaR: A new empirical time-varying risk model
Get PDFDashan Huang, Baimin Yu, Zudi Lu, Frank J. Fabozzi, Sergio Focardi, and Masao Fukushim
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