281 research outputs found
Henri Temianka Correspondence; (bodnar)
No full textThis collection contains material pertaining to the life, career, and activities of Henri Temianka, violin virtuoso, conductor, music teacher, and author. Materials include correspondence, concert programs and flyers, music scores, photographs, and books.https://digitalcommons.chapman.edu/temianka_correspondence/1234/thumbnail.jp
Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
No full textHenri Temianka Correspondence; (bodnar)
No full textThis collection contains material pertaining to the life, career, and activities of Henri Temianka, violin virtuoso, conductor, music teacher, and author. Materials include correspondence, concert programs and flyers, music scores, photographs, and books.https://digitalcommons.chapman.edu/temianka_correspondence/3404/thumbnail.jp
Henri Temianka Correspondence; (bodnar)
No full textThis collection contains material pertaining to the life, career, and activities of Henri Temianka, violin virtuoso, conductor, music teacher, and author. Materials include correspondence, concert programs and flyers, music scores, photographs, and books.https://digitalcommons.chapman.edu/temianka_correspondence/3998/thumbnail.jp
Henri Temianka Correspondence; (bodnar)
No full textThis collection contains material pertaining to the life, career, and activities of Henri Temianka, violin virtuoso, conductor, music teacher, and author. Materials include correspondence, concert programs and flyers, music scores, photographs, and books.https://digitalcommons.chapman.edu/temianka_correspondence/3374/thumbnail.jp
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
No full textThe main contribution of this paper is the derivation of the asymptotic behavior of the out-of-sample variance, the out-of-sample relative loss, and of their empirical counterparts in the high-dimensional setting, i.e., when both ratios p/n and p/m tend to some positive constants as m→∞ and n→∞, where p is the portfolio dimension, while n and m are the sample sizes from the in-sample and out-of-sample periods, respectively. The results are obtained for the traditional estimator of the global minimum variance (GMV) portfolio and for the two shrinkage estimators introduced by Frahm and Memmel (2010) and Bodnar et al. (2018). We show that the behavior of the empirical out-of-sample variance may be misleading in many practical situations, leading, for example, to a comparison of zeros. On the other hand, this will never happen with the empirical out-of-sample relative loss, which seems to provide a natural normalization of the out-of-sample variance in the high-dimensional setup. As a result, an important question arises if the out-of-sample variance can safely be used in practice for portfolios constructed from a large asset universe.Statistic
ADAM BODNAR CITIZENS OMBUDSMAN – AN EXAMPLE OF SUCCESSFUL ADVOCACY CAMPAIGN
No full textThe Polish Senate approved the election of Dr Adam Bodnar for the position of Ombudsman on 7th of August 2015. It happened because of the social campaign "Adam Bodnar Citizens' Ombudsman," which was held by a non-governmental organization called Citizens Network Watchdog Poland. This text is a detailed description of this campaign on the basis of data collected from qualitative research. The author has prepared a basic SWOT analysis of this case study. This article is an example of a successful advocacy campaign, which was conducted by a non-governmental organization and has led successfully to exert real influence on the decisions of politicians, who themselves decide who will be the new Ombudsman for the term 2015-2020. This article was written in cooperation with Citizens Network Watchdog Poland for the program Pracademia
ADAM BODNAR CITIZENS OMBUDSMAN – AN EXAMPLE OF SUCCESSFUL ADVOCACY CAMPAIGN
No full textThe Polish Senate approved the election of Dr Adam Bodnar for the position of Ombudsman on 7th of August 2015. It happened because of the social campaign "Adam Bodnar Citizens' Ombudsman," which was held by a non-governmental organization called Citizens Network Watchdog Poland. This text is a detailed description of this campaign on the basis of data collected from qualitative research. The author has prepared a basic SWOT analysis of this case study. This article is an example of a successful advocacy campaign, which was conducted by a non-governmental organization and has led successfully to exert real influence on the decisions of politicians, who themselves decide who will be the new Ombudsman for the term 2015-2020. This article was written in cooperation with Citizens Network Watchdog Poland for the program Pracademia
Recent advances in shrinkage-based high-dimensional inference
No full textRecently, the shrinkage approach has increased its popularity in theoretical and applied statistics, especially, when point estimators for high-dimensional quantities have to be constructed. A shrinkage estimator is usually obtained by shrinking the sample estimator towards a deterministic target. This allows to reduce the high volatility that is commonly present in the sample estimator by introducing a bias such that the mean-square error of the shrinkage estimator becomes smaller than the one of the corresponding sample estimator. The procedure has shown great advantages especially in the high-dimensional problems where, in general case, the sample estimators are not consistent without imposing structural assumptions on model parameters. In this paper, we review the mostly used shrinkage estimators for the mean vector, covariance and precision matrices. The application in portfolio theory is provided where the weights of optimal portfolios are usually determined as functions of the mean vector and covariance matrix. Furthermore, a test theory on the mean–variance optimality of a given portfolio based on the shrinkage approach is presented as well.Green Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Statistic
A linear test for the global minimum variance portfolio for small sample and singular covariance
No full textBodnar and Schmid (2008) derived the distribution of the global minimum variance portfolio weights and obtained the distribution of the test statistics for the general linear hypothesis. Their results are obtained in the case when the number of observations n is bigger or equal than the size of portfolio k. In the present paper, we extend the result by analyzing the portfolio weights in a small sample case of n < k, with the singular covariance matrix. The results are illustrated using actual stock returns. A discussion of practical relevance of the model is presented
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