1,721,086 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
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
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: una verifica empirica in tempi di crisi
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
Robust Portfolio Management
Get PDFEnWe 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
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe 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
Get PDF“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
Get PDFWe 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
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