532 research outputs found
Bayesian dynamic quantile model averaging
No full textThis article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we combine empirical estimates derived from dynamically chosen quantile regressions, thereby facilitating a comprehensive understanding of the quantile model instabilities. The effectiveness of our methodology is initially validated through the examination of simulated datasets and, subsequently, by two applications to the US inflation rates and to the US real estate market. Our empirical findings suggest that a more intricate and nuanced analysis is needed when examining different sub-period regimes, since the determinants of inflation and real estate prices are clearly shown to be time-varying. In conclusion, we suggest that our proposed approach could offer valuable insights to aid decision making in a rapidly changing environmen
Efficient Frontier for Robust Higher-order Moment Portfolio Selection
No full textThis article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and focus on various illustrations of a four-dimensional set of the first four L-moment primal efficient portfolios. our empirical findings, using a large European stock database, mainly rediscover the earlier works by Jean (1973) and Ingersoll (1975), regarding the shape of the extended higher-order moment efficient frontier, and confirm the seminal prediction by Levy and Markowitz (1979) about the accuracy of the mean-variance criterion.Efficient frontier, portfolio selection, robust higher L-moments, shortage function, goal attainment application.
Note On Bertrand B-Pairs Of Curves In Minkowski 3-Space
No full textNesovic, Emilija/0000-0003-3600-0486In this paper, we define null Cartan and pseudo null Bertrand curves in Minkowski space ET according to their Bishop frames. We obtain the necessary and sufficient conditions for pseudo null curves to be Bertand B-curves in terms of their Bishop curvatures. We prove that there are no null Cartan curves in Minkowski 3-space which are Bertrand B-curves, by considering the cases when their Bertrand B-mate curves are spacelike, timelike, null Cartan and pseudo null curves. Finally, we give some examples of pseudo null Bertrand B-curve pairs.Serbian Ministry of Education, Science and Technological Development [174012]The last author was partially supported by the Serbian Ministry of Education, Science and Technological Development (grant number #17401
Heterogeneous Behavioral Rules in the Oligopolistic Case
No full textIn a static symmetric duopoly the set of behavioral rules is extended to different types of markup pricing. Using an equilibrium concept suggested in Pasche (2001), it is shown that dependend on the markup neither pure Cournot nor pure Bertrand behavior is a behavioral equilibrium profile. Instead, there is a rationale for the usage of simple heuristics. The presence of markup rules leads to Stackelberg outcomes. Furthermore, pure markup behavior is more competitive than in Cournot case but less competitive than in Bertrand case. It is shown, that multiple behavioral equilibria and heterogeneous behavior may arise, where at least one player uses price setting strategies.oligopoly, markup rules, heterogeneity, behavioral equilibrium.
A Risk Management Approach for Portfolio Insurance Strategies
No full textControlling and managing potential losses is one of the main objectives of the Risk Management. Following Ben Ameur and Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987 ; Black and Perold, 1992) : the so-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the leverage - called the multiple - likely guaranteeing a predetermined floor value whatever the plausible market evolutions. In other words, the unconditional multiple is defined once and for all in the traditional setting. The aim of this article is to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In this time-varying framework, the multiple is conditionally determined in order to remain the risk exposure constant, even if it also depends upon market conditions. Furthermore, we propose to define the multiple as a function of an extended Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC 40) and individual stocks in the period 1998-2008), we present the main performance and risk results of the proposed Dynamic Proportion Portfolio Insurance strategy, first on real market data and secondly on artificial bootstrapped and surrogate data. Our main conclusion strengthens the previous ones : the conditional Dynamic Strategy with Constant-risk exposure dominates most of the time the traditional Constant-asset exposure unconditional strategies.CPPI, Portfolio insurance, VaR, CAViaR, quantile regression, dynamic quantile model.
On the (Ab)use of Omega?
No full textSeveral recent finance articles use the Omega measure (Keating and Shadwick, 2002), defined
as a ratio of potential gains out of possible losses, for gauging the performance of funds or
active strategies, in substitution of the traditional Sharpe ratio, with the arguments that return
distributions are not Gaussian and volatility is not always the relevant risk metric. Other authors
also use Omega for optimizing (non-linear) portfolios with important downside risk. However,
we question in this article the relevance of such approaches. First, we show through a basic
illustration that the Omega ratio is inconsistent with the Second-order Stochastic Dominance
criterion. Furthermore, we observe that the trade-off between return and risk corresponding to
the Omega measure, may be essentially influenced by the mean return. Next, we illustrate in static
and dynamic frameworks that Omega-based optimal portfolios can be closely associated with
classical optimization paradigms depending on the chosen threshold used in Omega. Finally, we
present robustness checks on long-only asset and hedge fund databases, that confirm our results
A Survey on the Four Families of Performance Measures
No full textInternational audiencePerformance measurement is one of the most studied subjects in financial literature. Since the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared constantly in scientific journals as well as in practitioners' publications. The most complete and significant studies of performance measures, so far, have been written by Aftalion and Poncet, Le Sourd, Bacon, and Cogneau and H übner. A review of the most recent literature led us to collect several dozen measures that we classify into four families. We first present the class of relative measures, starting with the Sharpe ratio. Secondly, we analyse absolute measures, beginning with the most famous one - the Jensen alpha. Thirdly, we study general measures based on specific features of the return distribution, where the pioneering contributions are those of Bernardo and Ledoit, and Keating and Shadwick. Finally, the fourth set concerns a few measures that explicitly take into account the investor's utility functions
Bertrand Russell and the Edwardian Philosophers: Constructing the World
No full textThis book demonstrates the influence of an Edwardian 'controversy' on Russell's philosophy of the external world. It brings to our attention a debate that raged amongst Edwardian philosophers on issues of central significance to analytic philosophy before Bertrand Russell entered the discussion. In explaining this Edwardian 'controversy', Nasim Omar combines meticulous scholarly detail with accessibility to argue that the formation of the original strands of 'realism' in British philosophy, usually credited to Russell and Moore, can in fact be linked with a group of Edwardian philosophers that included G.F.Stout and Sir T.P. Nunn. The author re-examines the history of well known notions like 'sense-data' and 'sensibilia', and makes a case for understanding Russell's appeal for the application of 'logical constructions', at first only used as a device in mathematical logic, to the problem of the external world. This switch in the application of logical construction is seen as the rise of a new philosophical method. This book will not only shed light on the relevant doctrines of some of the Edwardian philosophers, but will also demonstrate the considerable role they played in the history of early analytic philosophy
Séquençage de novo de la région variable (FV) des anticorps circulants : objectif d’un logiciel de réassemblage
No full textInternational audienceHumoral immunity is key for the adaptative response to infections and their prevention by vaccination. Although antibodies are at the core of the humoral response, their diversity has been much less studied than that of antibody-producing B cells. But a discrepancy has recently been reported between the repertoire of antigen receptors carried by circulating B cells and that of serum antibodies these cells produce. By enabling the de novo sequencing of antibodies, bottom-up proteomics has many assets to fill this gap. The protein cleavages that define this method markedly increase sequencing coverage. However, this requires reconstructing a posteriori the sequences of the heavy and light chains of the immunoglobulins and re-matching them. The complexity of this procedure increases considerably when analyzing complex antibody mixtures, such as those contained in serum. Therefore, we are developing software to assess the maximum antibody sequencing rate achievable with the bottom-up approach.L’immunité humorale est essentielle à la réponse adaptative aux infections et à leur prévention par la vaccination. La diversité des cellules productrices d’anticorps a été bien mieux étudiée que celle des anticorps proprement-dits, alors qu’ils constituent la pièce maitresse de la réponse humorale. Or, un décalage important a été récemment observé entre le répertoire des récepteurs antigéniques des lymphocytes B circulants et celui des anticorps du sérum. En permettant le séquençage de-novo d’anticorps, la protéomique en bottom-up présente de nombreux atouts pour combler cette lacune. Les clivages protéiques utilisés par cette méthode augmentent nettement la couverture de séquençage. Ceux-ci impliquent néanmoins de reconstruire a posteriori la séquence des chaines lourdes et légères des immunoglobulines et de les rapparier. Cette procédure devient rapidement complexe avec des mélanges d’anticorps, comme ceux issus du sérum. C’est pourquoi nous développons un logiciel pour évaluer le taux maximum de séquençage d’anticorps atteignable par l’approche bottom-up. Mots-Clés : Immunité humorale ; anticorps sériques ; spectrométrie de masse ; séquençage de novo ; reconstruction de séquences ; « One Health »
The Impact of the 9/11 Events on the American and French Stock Markets
No full textMarkets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and applied to the foreign exchange market by Zumbach et al. (2000a,b ). Their measure relies on an analogy with geophysics; the related index of market shocks (IMS) that we propose here is also the counterpart of the Richter scale used for earthquakes. We apply this measure on the French and the American stock markets to put large market events into perspective. The crisis triggered by the September attacks was actually the worst since 1987, and the ninth worst when compared to major historical ones. Copyright Blackwell Publishing Ltd 2005..
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