2,692 research outputs found
Robust CVaR Portfolio Management
No full textIn order to evaluate and compare the advantages related with the use of the robust counterpart of three models of portfolio selection, we performed an implementation of the models both in a robust and a non-robust way. The comparison is done through an ex-post analysis on the results obtained by the ex-ante implementation of each model in selecting from a set of 28 European hedge funds during 2007, a “wonderful” year of data for model stressing and backtesting. As we shall see, the strategies obtained by means of the robust approach have a definitely better performance and, among the robust models, CVaR dominates the other competitors because of its coherent nature
Robust Optimization of CVaR and VaR: a comparison
No full textConfronti tra portafogli selezionati via minimizzazione robusta del CVaR e del Va
Un Approccio Robusto Risk-based alla Gestione di Portafoglio
No full textIn questo lavoro si definiscono e confrontano le versioni robuste e non robuste dei modelli di selezione di portafoglio basate sull’impiego, quale misura di rischio, della Vol, del VaR e del CVaR e si evidenzia come la versione robusta dei modelli che utilizzano il CVaR sia coerente, di facile implementazione e la più efficiente
A Robust Risk-based Tactical Asset Allocation
No full textIn this paper we define and compare different versions of robust, in the sense of Robust Optimization, and non robust portfolio selection models alternatively based on the use of different risk measures. This with the aim to take account of investors' asymmetric preferences in profits and losses together with the goal of having solutions less dependent on the parameter uncertainty. The empirical implementation considers the time series of the monthly prices of some representatives benchmarks in a time period characterized by a very particular set of financial events and therefore an ideal time to test the different portfolios strategies related to the alternative models. We show that the robust CVaR approach is preferable compared with the others and with the risk-free portfolio. The results can have very interesting applications in the field of the asset management industry
Rischio e rendimento dei titoli a tasso fisso e a tasso variabile in un modello stocastico univariato
No full textNella I parte del lavoro si analizza un modello stocastico univariato definito nel continuo (Cox-Ingersoll-Ross(l978)) in cui: a) la term structure è funzione della sola dinamica del tasso a breve privo di rischio; b) l’appropriata misura di rischiosità per i titoli a tasso fisso e a tasso variabile è definita dalla “duration” stocastica. Nella II parte, assunto il tasso sui BOT a 3 mesi come tasso privo di rischio, si ottengono “duration” e prezzi d’equilibrio dei titoli di varia scadenza; per i CCT, in particolare, si distinguono i contributi al rischio da parte delle singole caratteristiche contrattuali
A Nearest Neighbor Characterization of Lebesgue Points in Metric Measure Spaces
No full textThe property of almost every point being a Lebesgue point has proven to be crucial for the consistency of several classification algorithms based on nearest neighbors. We characterize Lebesgue points in terms of a 1-Nearest Neighbor regression algorithm for pointwise estimation, fleshing out the role played by tie-breaking rules in the corresponding convergence problem. We then give an application of our results, proving the convergence of the risk of a large class of 1-Nearest Neighbor classification algorithms in general metric spaces where almost every point is a Lebesgue point
Sarcopenia: its assessment, etiology, pathogenesis, consequences and future
No full textSarcopenia is a loss of muscle protein mass and loss of muscle function. It occurs with increasing age, being a major component in the development of frailty. Current knowledge on its assessment, etiology, pathogenesis, consequences and future perspectives are reported in the present review. On-going and future clinical trials on sarcopenia may radically change our preventive and therapeutic approaches of mobility disability in older peopleY. Rolland, S. Czerwinski, G. Abellan Van Kan, J.E. Morley, M. Cesari, G. Onder, J. Woo, R. Baumgartner, F. Pillard, Y. Boirie, W.M.C. Chumlea, B. Vella
Improvement of Stance Control and Muscle Performance Induced by Focal Muscle Vibration in Young-Elderly Women : a Randomized Controlled Trial
No full textFilippi GM, Brunetti O, Botti FM, Panichi R, Roscini M, Camerota F, Cesari M, Pettorossi VE. Improvement of stance control and muscle performance induced by focal muscle vibration in young-elderly women: a randomized controlled trial.
OBJECTIVE:
To determine the effect of a particular protocol of mechanical vibration, applied focally and repeatedly (repeated muscle vibration [rMV]) on the quadriceps muscles, on stance and lower-extremity muscle power of young-elderly women.
DESIGN:
Double-blind randomized controlled trial; 3-month follow-up after intervention.
SETTING:
Human Physiology Laboratories, University of Perugia, Italy.
PARTICIPANTS:
Sedentary women volunteers (N=60), randomized in 3 groups (mean age +/- SD, 65.3+/-4.2y; range, 60-72).
INTERVENTION:
rMV (100Hz, 300-500microm, in three 10-minute sessions a day for 3 consecutive days) was applied to voluntary contracted quadriceps (vibrated and contracted group) and relaxed quadriceps (vibrated and relaxed group). A third group received placebo stimulation (nonvibrated group).
MAIN OUTCOME MEASURES:
Area of sway of the center of pressure, vertical jump height, and leg power.
RESULTS:
Twenty-four hours after the end of the complete series of applications, the area of sway of the center of pressure decreased significantly by approximately 20%, vertical jump increased by approximately 55%, and leg power increased by approximately 35%. These effects were maintained for at least 90 days after treatment.
CONCLUSIONS:
rMV is a short-lasting and noninvasive protocol that can significantly and persistently improve muscle performance in sedentary young-elderly women
Robust Portfolio Management
No full textEnWe define and compare robust and non-robust versions of Vol-VaR- and CVaR-portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient
Mark-to-Market, valutazioni di convenienza economico-finanziaria e giurisprudenza
No full textOramai sono diverse le sentenze dei tribunali che sanciscono la non rilevanza di un mark-to-market iniziale negativo come elemento per qualificare, o meglio, quantificare le perdite (o, in altro linguaggio, i costi occulti) sopportati dagli enti locali italiani nelle loro operazioni in derivati con numerosi Istituti di credito. Stante la rilevanza del significato finanziario dei termini utilizzati dalla giurisprudenza si rende necessario un esame della materia alla luce della moderna teoria dei mercati finanziari
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