1,720,955 research outputs found
Option implied information and portfolio allocation
No full textA key concern in the financial literature is if asset prices can be predicted. In the past, studies mainly investigated on the predictability of past asset prices or financial ratios. This thesis takes an alternative route and centres on information derived from options. Utilising options is appealing for two major reasons: First, the structure enables to obtain a forward looking or implied estimate. Second, the cross-section gives detailed insight about the future states of the underlying asset. The starting point of this thesis is to investigate on option implied risk-aversion. A simulation study is developed to analyse risk-aversion estimates from option prices. The simulation suggests that risk-aversion varies drastically over time and the volatility of the underlying has a strong impact. Subsequently, the thesis addresses the use of option implied information within portfolio allocation. The considered investor is infinitely lived with a time varying risk-premium. The dynamics of the risk-premium are derived using various implied predictor variables. They are extracted considering different assumptions about the underlying asset price density. The findings suggest that the option implied risk-premium is the preferable predictor and flexible densities do not benefit notably. Furthermore, performance measures suggest that option implied predictors are superior to historical predictors and similar to financial ratios. The final chapter elaborates further on the previously considered portfolio allocation. It proposes a novel estimation method to obtain consistent estimates of the risk-premium process. The method relies on the observable option implied risk-premium. It avoids the use of a multivariate framework when working with financial ratios. Only with the proposed method, the dynamics of the state variable are economically reasonable. Further, the applied performance measures improve
Optimal portfolio allocation using option implied information
No full textThis paper explores option-implied information measures for optimal portfolio allocation. We introduce two state variables constructed from option prices. The first state variable is the risk-premium on the risky asset and the second variable is the market price of risk. We also explore a lognormal distribution, a mixture of lognormal distributions, and a binomial tree for constructing the implied risk-neutral density function. Using a combination of statistical and economic measures applied to a portfolio given by the 1-month US Treasury bill and the S&P 500 Index we show the good performance of option-implied information measures for optimal portfolio allocation.</p
Uncovering the distribution of option implied risk aversion
No full textThis paper explores the dynamics of risk aversion of a representative agent with an iso-elastic utility function. In contrast to most of the existing literature, we estimate the coefficient of relative risk aversion from option prices. To do this, we transform the risk-neutral density function obtained from a cross-section of option prices to an objective distribution function that reflects individuals’ risk aversion through a CRRA utility function. The dynamics of the relative risk-aversion coefficient are obtained by repeating the same estimation procedure over rolling windows. This procedure uncovers strong variation in risk aversion over time. We also propose a simulation procedure to construct confidence intervals for the risk-aversion coefficient in each period. We assess the robustness of these confidence intervals under different assumptions on the data generating process of stock prices. The results imply a strong influence of volatility on the variation of risk aversion. In an empirical application, we compare the forecasting performance of our approach based on our risk-aversion estimates against the method proposed in [1]. Overall, we find that our simulation based approach obtains better forecasting results than bootstrap methods
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
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