1,720,977 research outputs found
SWIMming Lessons
No full textSilvana Pesenti, Alberto Bettini, Pietro Millossovich and Andreas Tsanakas present their alternative approach to sensitivity analysis
Downside-risk averse investors and the use of Extreme Value Theory in optimal portfolio choice
Full text linkThe aim of this dissertation is to investigate the optimal portfolio selection problem for a risk-averse investor who wants to ameliorate the risk of extreme adverse events which cause unexpected large losses. Instead of referring to the modern portfolio theory (MPT), this thesis builds upon the foundations of Extreme Value Theory and focusses upon solving the optimisation problem minimizing quantile-based risk measures.
This choice is justified by the fact that the two main assumptions of the mean-variance approach, normally distributed returns and the use of variance as risk measure, could underestimate the extremes in presence of heavy-tailed distributions, consequently leading to an optimistic asset allocation.
We take into account the potential heavy-tailedness in portfolio choice applying EVT for modelling the tails of the returns and focus on quantile-based risk measures (Value at risk and Expected shortfall), which are more appropriate for safety-first investors whose primary goal is to guard against the occurrence of unexpected large losses.
We also believe that this approach better reflects the risk-based framework introduced by the new regulatory requirements for banking and insurance sectors.
The identified optimal portfolio is then compared with the one obtained under the classical MPT framework. Furthermore, an analysis to quantify and to understand how the extremal dependence between markets can impact the asset allocation problem is also performed. For this purpose two extremal dependence measures from Multivariate EVT are introduced. Intuitively, the fact that the securities can exhibit asymptotic independence or asymptotic dependence, means that tail diversification and a reduction of portfolio extreme risk can better be achieved by holding pairs of assets that are asymptotically independent.
The methodology proposed in this thesis is applied to the construction of portfolios of major international equity indices satisfying downside risk requirements of different tightness. Measures of extremal dependence are used to refine intuition about resulting portfolio allocations as well as separately analysing each chosen index (right and left) tails
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
- …
