170,249 research outputs found
Alternative intermediates for glycerol valorization: iridium promoted formation of acetals and ketals
No full textThe organoiridium derivatives [Cp*IrCl2]2 (Cp* = pentamethylcyclopentadienyl) and [Cp*Ir(Bu2-NHC)Cl2] (Bu2-NHC = 1,3-di-n-butylimidazolylidene) catalyze glycerol acetalization with several ketones and aldehydes, as well as transacetalization
Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value
Get PDFWelfare gains to long-horizon investors may derive from time diversification that exploits nonzero intertemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. While it could be important for long-horizon investors, time diversification has been mostly investigated in asset menus without real estate and focusing on in-sample experiments. This article evaluates, ex post, the out-of-sample gains from diversification when equity real estate investment trusts (REITs) belong to the investment opportunity set. We find that diversification into REITs increases both the Sharpe ratio and the certainty equivalent of wealth for all investment horizons and for both classical and Bayesian (who account for parameter uncertainty) investors. The increases in Sharpe ratios are often statistically significant. However, the out-of-sample average Sharpe ratio and realized expected utility of long-horizon portfolios are frequently lower than that of a one-period portfolio, which casts doubt on the value of time diversification. Copyright (c) 2009 American Real Estate and Urban Economics Association.
Diversifying in public real estate: The ex-post performance
Get PDFWe calculate the ex-post, realised portfolio performance for an investor who diversifies among US stocks, bonds, real estate indirect investment vehicles (E-REITS), and cash. Simulations are performed for two alternative asset allocation frameworks — classical and Bayesian — and for scenarios involving two different samples and six different investment horizons. Interestingly, the ex-post welfare cost of restricting portfolio choice to traditional financial assets (ie, stocks, bonds, and cash) is only found to be positive in all scenarios for a Bayesian investor. On the contrary, substitution of E-REITS for stocks in optimal portfolios turns out to reduce ex-post portfolio performance over the nineties and for a Classical investor who ignores parameter estimation uncertainty.Journal of Asset Management (2008) 8, 361-373. doi:10.1057/palgrave.jam.225008
The determinants of Airbnb prices in New York City: a spatial quantile regression approach
Get PDFIn this paper, we study the price determinants of Airbnb rentals, for the case of New York City, by developing a new data set, which combines attributes of the property and of the related service, with other information available as open data. This data set is employed within a spatial quantile semiparametric regression model, able to handle the intrinsic heterogeneity of house prices. The results confirm that property and service attributes play a significant role in determining rental prices, while some variables exert a different impact on prices in magnitude and sign, depending on the quantile considered
Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK
Get PDFWe use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy) and stock returns in the Irish, the US and UK markets. We find that two regimes, characterized as bear and bull states, are required to characterize the dynamics of returns and short-term rates. This implies that we cannot reject the hypothesis that the regimes driving the markets in the small open economy are largely synchronous with those typical of the major markets. We compute time-varying Sharpe ratios and recursive mean-variance portfolio weights and document that a regime switching framework produces out-of-sample portfolio performance that outperforms simpler models that ignore regimes. Interestingly, the portfolio shares derived under regime switching dynamics implies a fairly low commitment to the Irish market, in spite of its brilliant unconditional risk-return trade-off.Stock exchanges
Spatial Statistics-Based Image Analysis Methods for the Study of Vascular Morphogenesis
No full textSeveral studies are available addressing the mechanisms of vascular morphogenesis in order to unravel how cooperative cell behavior can follow from the underlying, genetically regulated behavior of endothelial cells and from cell-to-cell and cell-to-extracellular matrix interactions. From the morphological standpoint several aspects of the process are of interest. They include the way the pattern of vessels fills the available tissue space and how the network grows during the angiogenic process, namely how a main trunk divides into smaller branches, and how branching occurs at different distances from the root point of a vascular tree. A third morphological aspect of interest concerns the spatial relationship between vessels and tissue cells able to secrete factors modulating endothelial cells self-organization, thus influencing vascular rearrangement. In the present chapter image analysis methods allowing for a quantitative characterization of these morphological aspects will be detailed and discussed. They are almost based on concepts derived from the theoretical framework represented by spatial statistics
Asset-backed securities
No full textThis chapter investigates the mechanics of the process of origination, the benefits to investors, and the sources of relative value of asset-backed securities (ABS). After providing an overview of why and how pools of unencumbered assets (often, loans) may be pooled into special legal entities (such as trusts) that are isolated from the potential bankruptcy proceedings that may involve the issuer of the asset, we proceed to explore the cash flow structure that are typical of securitization as it applies to ABS. Special attention is given to the role played by the rating process in determining the value of ABS and hence to credit enhancement mechanisms and the typical rules of allocation of default losses. The second part of the chapter is devoted to a detailed analysis of the key economic features of the most important categories of ABS, namely, auto loan, credit card, student loan, and residential ABS
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