1,720,956 research outputs found
The risk approach to portfolio construction
No full textLo studio della mia tesi riguarda i modelli di selezione del portafoglio finanziario secondo il criterio del Risk Parity. Questi modelli hanno avuto un certo successo dopo la recente crisi finanziaria per il modo in cui distribuiscono il rischio tra gli asset che compongono il portafoglio finanziario. I primi autori che hanno formalizzato l'argomento sono Sébastien Maillard, Thierry Roncalli e Jérome Teiletche (2008). L'approccio del Risk Parity richiede la contribuzione al rischio di ciascun titolo nella stessa quantità, tendendo cosi a massimizzare la diversificazione del rischio. Nella tesi ho elencato le proprietà teoriche del modello, confrontando queste proprieta con quelle degli altri modelli.Nella maggior parte dei modelli di Risk Parity presenti in letteratura si utilizza come misura del rischio la deviazione standard dei rendimenti. E' tuttavia possibile applicare il modello di Risk Parity con una misura di rischio diversa: il Conditional Value-at Risk (CVaR). Questa è una misura coerente e convessa, alla quale si può quindi applicare la scomposizone di Eulero per le funzioni omogenee di primo grado. La scomposizione richiede il calcolo delle derivate parziali della misura di rischio scelta. Questo modello è stato utilizzato da Kris Boudt, sotto l'ipotesi che i rendimenti si distribuiscano come una normale multivariata nelle stime delle quote degli assets, ipotesi che costituisce un'approssimazione poco realistica della realtà. Il modello di Risk Parity con la misura di rischio CVaR si può applicare anche per rendimenti distribuiti in modo diverso da una normale multivariata. Questo è possibile grazie ad approssimazioni nel calcolo delle derivate parziali del CVaR. Nella tesi confronto i portafogli individuati con il Risk Parity con le misure diverse di rischio (deviazione standard e Conditional Value at Risk). Ho sviluppato un metodo per il calcolo del portafoglio di Risk Parity con il CVaR confrontandolo con quello proposto in un lavoro recente di Colucci (2013).
I modelli sviluppati sono stati applicati ai dati con frequenza settimanale con opportuna ampiezza dei periodi considerati in modo tale da avere una buona approssimazione del Risk Parity con il CVaR.
Nella tesi ho sviluppato alcuni modelli di ottimizzazione per la selezione di portafoglio secondo il modello di Risk Parity. I modelli sono stati implementati con il software scientifico Matlab che è molto efficace nel calcolo di grandi quantità di dati. Nell'impossibilità di applicare direttamente i vincoli di cardinalità ai modelli di Risk Parity, ossia di limitare la scelta dei titoli ad un numero inferiore ad un K prefissato, ho ipotizzato di effettuare una preselezione dei titoli selezionando quei titoli presenti nei portafogli di minimo rischio rispetto alla misura di rischio considerata. In questo modo si possono creare portafogli con meno titoli ma ben diversificati.
I principali dataset utilizzati sono i seguenti:
a) Commodities (8 assets) Sample Period: 01/01/2000-24/09/2014
(Gold,Silver,Oil,Heat Oil,Euro,Pounds,Australian Dollar,New Zealand Dollar)
b) Stocks Sample Period: 01/01/2000-01/07/2014
1.DAX30 (26 stocks)
2.CAC40 (32 stocks)
3.Eurostoxx50 (44 stocks)
4.FTSE100 (77 stocks)
5.Nikkei225 (188 stocks)
c) Euro Gov. Bond (Govt 7-10 Yr) (9 assets) Sample Period: 01/01/2000-18/12/2013
d) Mixed portfolios 37 assets Sample Period: 01/01/2000-18/12/2013
(Dax30 + Euro Government Bond+ Gold+Silver)
I risultati conclusivi delle analisi condotte mostrano empiricamente che il Risk Parity con il CVaR ha una rischiosità maggiore del CVaR, ma inferiore al Risk Parity-Naive ed il modello uniforme. Inoltre, la creazione di portafogli misti può garantire non solo una buona diversificazione ma anche una discreta performance. Confrontando la performance del Risk Parity con la deviazione standard e quella con il CVaR possiamo dire che non c’è una differenza significativa, ma ricordiamo che il CVaR ha migliori proprietà in quanto è una misura coerente e convessa
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
Enhancing risk parity models: a two-stage approach using mean-variance and expected shortfall for optimal asset selection
No full textIn a progressively complex and volatile financial scenery, the need for robust investment strategies has never been greater. Portfolio optimization seeks to balance risk and return for superior performance. Traditional approaches, such as the Mean-Variance model by Markowitz [1952], laid the groundwork for diversification and risk management. Risk Parity models offer a compelling alternative by equalizing risk contributions across assets, but often lack an optimal mechanism for asset selection, leading to suboptimal results, especially with large and diverse asset universes. This paper proposes a novel two-stage approach. First, we use the Mean-Variance model andExpected Shortfall (ES) to select a refined subset of assets, minimizing risk without imposing return constraints. Second, we apply Risk Parity techniques—standard deviation for the Mean-Variance subset, ES for the ES-selected subset—to balance risk contributions. Tested on both Nikkei 225 equities and a mixed portfolio of stocks, bonds, and cryptocurrencies, our method enhances resilience while preserving returns
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
Exchange-traded funds (etfs) optimization with risk parity strategies
No full textThis paper explores the application of the Risk Parity methodology to portfolios constructed using Exchange-Traded Funds (ETFs). In the world where the market is becoming more and more global, it is becoming more dynamic in terms of portoflio recalibrations, bringing resilience in terms of values. In other words, is it important to consider only a short holding period, and adapt the asset allocationn. In opposition to typical capital-weighted techniques, risk parity reallocates portfolio weights to ensure that each asset contributes an equal amount of risk. The study builds and assesses risk parity portfolios using ten assets that comprise the majority of the EA Bridgeway Blue Chip ETF (BBLU). The process entails assessing the volatilities and correlations of specific ETFs, adjusting portfolio weights to balance risk contributions, and back testing performance under different market scenarios. Empirical data shows that risk parity portfolios outperform standard allocation approaches in terms of diversification, drawdowns, and the stability of risk-adjusted returns. This research illustrates Risk Parity's potential as a strong framework for managing ETF portfolios in both institutional and individual investing settings
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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