323 research outputs found
An Approach to Eliminate Ambiguity of Blind ML Detection for Orthogonal Space-Time Block Codes
No full textVan-Su Pham, Minh-Tuan Le, Mai Linh, S. M. Humayun Kabir, Giwan Yoo
An improved framework for approximating option prices with application to option portfolio hedging.
No full textAs the price of the underlying asset changes over time, delta of the option changes and a gamma hedge is required along with delta hedge to reduce risk. This paper develops an improved framework to compute delta and gamma values with the average of a range of underlying prices rather than at the conventional fixed ‘one point’. We find that models with time-varying volatility price options satisfactorily, and perform remarkably well in combination with the delta and delta-gamma approximations. Significant improvements are achieved for the GARCH model followed by stochastic volatility models. The new approach can ensure significant improvement in modelling option prices leading to better risk-management decision-makin
Risk management under time varying volatility and Pareto-stable distributions
No full textRisk measures based on Gaussian return distributions are simple but inaccurate while such measures based on alternative methodologies are known to be more precise but complex. In this context, practitioners seem biased towards simplicity and tend to choose the inaccurate Gaussian measures, leading to unsuspected losses in the event of a negative episode. This article proposes generalized autoregressive conditional heteroskedasticity (GARCH) family models with stable Paretian innovations in measuring the value-at-risk, expected shortfall and spectral risk measures that promise a markedly improved performance while maintaining simplicity.</p
Emerging aspects of shareholder activism : a dissertation presented in partial fulfillment of the requirements for the degree of Doctoral of Philosophy in Finance at Massey University, Manawatu (Turitea), New Zealand
No full textThis thesis consists of one comprehensive literature review and two empirical essays on shareholder activism. The literature review on shareholder activism provides a brief discussion on shareholder activism’s evolution, highlighting the potential of retail investors’ participation in tipping the balance between the activist and the firm. Furthermore, it provides evidence on the activist institutional investors, including the traditional institutional investors such as pension funds and mutual funds, and hedge funds as the latest emerging activists. The literature review identifies some potential for research areas in light of the growing interest in shareholder activism.
This thesis further includes two empirical studies on retail investors and activist hedge funds, respectively. The first essay examines retail investors’ attention and participation during shareholder activism with the proliferation of internet from 1990s. This study finds a significant increase in retail investors’ attention before the annual general meetings, leading to a subsequent increase in retail investors’ participation in the voting process, especially among proposals that resonate with retail investors’ preferences. This increase is more pronounced for less transparent firms than transparent firms. Empirical evidence also suggests that retail investors’ attention has a more pronounced increase for proposals with a more controversial tone. Overall, this study provides new insights into information technology’s role in mitigating retail investors’ apathy issues.
The second essay focuses on hedge fund activism, and it is the first study to document the impact of hedge fund activism on firm risk-taking behaviors. This study provides evidence that firms targeted by activist hedge funds, which tend to maximize short-term profits, experience a significant reduction in risk-taking in the long-term. This reduction in risk-taking is more pronounced for myopic and opaque firms. This study also provides new evidence on the impact of target’s response on activism outcomes. Management’s hostile resistance would offset the initial effect of activism on target firms. Overall, this study provides important implications that activist hedge funds might not fulfil the role of monitoring as suggested in existing corporate governance literature. The results provide new insights to academics and regulators by adding to the debate on the costs and benefits of activism for the economy
Interactions in stored grain of populations of Sitophilus zea-mais Motschulsky, Rhizopertha dominica (Fabricius) and Tribolium castaneum (Herbst)
No full textThe interactions of the rice weevil, Sitophilus zea-mais Motschulsky, the lesser grain borer, Rhizopertha dominica (Fabricius), and the red flour beetle, Tribolium castaneum (Herbst), were studied in the laboratory under controlled conditions of food and space limitation and differing original infestation ratios, at a temperature of 29 �� 0.5 C and 75 �� 5% relative humidity. Sorghum grain with approximately 14 per cent moisture content was used as the culture medium. In interspecific cultures, the interactions between the rice weevil and the lesser grain borer adversely affected the population growth of each. On the other hand, the red flour beetle responded favorable when living together with the rice weevil or the lesser grain borer, and exerted no significant influence on the populations of either. In all cases when the red flour beetle was reared by itself (control population), it failed to build up a comparable population. When the amount of food was dept constant by adding additional grain, a 245-day experiment showed that the rice weevil populations under all conditions began to approach the same level after the 110th day. Previous to that the control population maintained a significantly high population level. The lesser grain borer populations in interspecific cultures were much lower than the control population and exhibited similar levels during the course of the experiment. The red flour beetle population in control culture showed a relatively flat, smooth curve and gradually declined, while in mixed-species cultures it maintained fairly high population levels. ..
Structural performance of reinforced concrete beams\ud repairing from spalling
No full textThe effectiveness of a repair work for the restoration of spalled reinforced concrete\ud
(r.c.) structures depends to a great extent, on their ability to restore the structural integrity\ud
of the r.c. element, to restore its serviceability and to protect the reinforcements from\ud
further deterioration. This paper presents results of a study concocted to investigate the\ud
structural performance of eight spalled r.c. beams repaired using two advanced repair\ud
materials in various zones for comparison purposes, namely a free flowing self compacting\ud
mortar (FFSCM) and a polymer Modified cementitious mortar (PMCM). The repair\ud
technique adopted was that for the repair of spalled concrete in which the bond between the\ud
concrete and steel was completely lost due to reinforcement corrosion or the effect of fire\ud
or impact. The beams used for the experiment were first cast, then hacked at various zones\ud
before they were repaired except for the control beam. The beam specimens were then\ud
loaded to failure under four point loadings. The structural response of each beam was\ud
evaluated in terms of first crack load, cracking behavior, crack pattern, deflection, variation\ud
of strains in the concrete and steel, collapse load and the modes of failure. The results of\ud
the test showed that, the repair materials applied on the various zones of the beams were\ud
able to restore more than 100% of the beams’ capacity and that FFSCM gave a better\ud
overall performance
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