scholarly journals Optimal portfolios in the presence of stress scenarios A worst-case approach

2021 ◽  
Author(s):  
Ralf Korn ◽  
Lukas Müller
Keyword(s):  
Investment Decision ◽  
Stress Test ◽  
Insurance Companies ◽  
Stress Tests ◽  
Optimal Portfolios ◽  
Worst Case ◽  
Verification Theorem ◽  
Portfolio Strategies ◽  
Portfolio Approach ◽  
Worst Case Approach

AbstractInsurance companies and banks regularly have to face stress tests performed by regulatory instances. To model their investment decision problems that includes stress scenarios, we propose the worst-case portfolio approach. Thus, the resulting optimal portfolios are already stress test prone by construction. A central issue of the worst-case portfolio approach is that neither the time nor the order of occurrence of the stress scenarios are known. Even more, there are no probabilistic assumptions regarding the occurrence of the stresses. By defining the relative worst-case loss and introducing the concept of minimum constant portfolio processes, we generalize the traditional concepts of the indifference frontier and the indifference-optimality principle. We prove the existence of a minimum constant portfolio process that is optimal for the multi-stress worst-case problem. As a main result we derive a verification theorem that provides conditions on Lagrange multipliers and nonlinear ordinary differential equations that support the construction of optimal worst-case portfolio strategies. The practical applicability of the verification theorem is demonstrated via numerical solution of various worst-case problems with stresses. There, it is in particular shown that an investor who chooses the worst-case optimal portfolio process may have a preference regarding the order of stresses, but there may also be stress scenarios where he/she is indifferent regarding the order and time of occurrence.

Stress test modelling to assess catchment drought resistance and recovery

2020 ◽  
Author(s):  
Michael Stoelzle ◽  
Jost Hellwig ◽  
Kerstin Stahl ◽  
Markus Weiler ◽  
Erik Tijdeman ◽  
...  
Keyword(s):  
Heat Waves ◽  
Stress Test ◽  
Balance Model ◽  
Drought Event ◽  
Model Structure ◽  
Stress Tests ◽  
Groundwater Storage ◽  
Worst Case ◽  
Hydrogeological Characteristics

<p>Dry spells and heat waves control the frequency and duration of streamflow drought events. Groundwater storage and release in catchments can modulate their timing and severities in terms of deficit volume and persistence. To better understand the role of recharge and groundwater storage for catchment sensitivity to droughts we investigate the effect of recharge scenarios on streamflow drought characteristics and baseflow for 50 mesoscale catchments with different hydrogeological characteristics in southwestern Germany. In model experiments, we simulate daily recharge on a 1 km resolution with the water balance model TRAIN reflecting the most dominant soil-vegetation processes. Then we calibrate long-term reference simulations, fitting the outflow of different conceptual groundwater box models with varying model structure to hydrograph-separated baseflow. After calibration, we define probabilistic stress tests as scenarios of reduced pre-drought recharge. The tolerance of catchments to different drought intensities is analyzed based on the concepts of resistance, resilience, and recovery to drought situations. Results suggest that catchments with higher resistance and resilience are less sensitive to recharge stress, but recovery is often much slower. However, by comparing the events of e.g. 2003 and 2018 specifically, we show that the sensitivity is also a function of the intensity and duration of the stress test simulation, the drought event characteristics, and the storage memory of catchments. Additionally, the performance ranking of all groundwater models in each catchment allows to link the variability in model structure to catchment properties (e.g. geology). The analysis shows that catchments with short-term or long-term storage memory react differently under different stress tests. Stress test simulations may help to answer planning-relevant questions such as which preconditions make a drought intensification or prolongation more likely and how long does it take for the system to recover to the reference condition. Catchment-specific stress tests with historical worst-case pre-conditions before extreme drought events may thus be a way forward to constrain relevant timescales of drought management and drought early warning.</p>

scholarly journals Stress testing as complement to climate scenarios: recharge scenarios to quantify streamflow drought sensitivity

2020 ◽  
Vol 383 ◽  
pp. 43-50
Author(s):  
Michael Stoelzle ◽  
Maria Staudinger ◽  
Kerstin Stahl ◽  
Markus Weiler
Keyword(s):  
Stress Testing ◽  
Stress Test ◽  
Ecological Integrity ◽  
Climate Scenarios ◽  
Stress Tests ◽  
Worst Case ◽  
Drought Sensitivity ◽  
Dry Spells ◽  
Reference Simulation ◽  
Recovery Times

Abstract. Precipitation deficits and temperature anomalies are often the main cause for low flows and summer streamflow droughts. However, where groundwater is the main contribution to sustain water availability and ecological integrity during dry spells, the role of recharge and catchment storage is crucial to understand streamflow drought sensitivity. Here we introduce recharge stress tests as complement to climate scenarios to characterize and quantify the streamflow drought sensitivities of catchments. The stress tests are presented by applying them to six headwater catchments in Switzerland with various catchment and streamflow characteristics. The stress tests drive the bucket-type hydrological model HBV in a framework, in which pre-drought recharge conditions can be decreased to test how catchments respond to and recover from drought. We identified an upper limit of stress test durations around 12 months as indicator of maximum recharge- and storage-memory for the study catchments. Varying response on stress testing across the catchments suggests different storage properties and thus different recovery times from drought. From the stress test simulations, we found up to 200 d longer summer streamflow droughts with additional streamflow deficits which account for up to 40 d of median flow. Using a worst-case pre-drought recharge in stress test simulation leads to minimum flow reductions of 50 %–80 % compared with the reference simulation. Based on the results we conclude with recommendations for further stress test research in drought hydrology.

MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS

2019 ◽  
Vol 22 (04) ◽  
pp. 1950019
Author(s):  
RALF KORN ◽  
ELISABETH LEOFF
Keyword(s):  
Portfolio Optimization ◽  
Optimization Problem ◽  
Risky Asset ◽  
Lagrangian Multiplier ◽  
Optimal Portfolios ◽  
Power Utility ◽  
Worst Case ◽  
Stock Investment ◽  
Portfolio Approach ◽  
Portfolio Optimization Problem

We generalize the worst-case portfolio approach of Korn & Wilmott (2002) to a multi-asset setting. The nonuniqueness of indifference strategies results in a much more complicated portfolio optimization problem as in the single risky asset framework. To determine the worst-case optimal portfolio processes we develop two new approaches, a Lagrangian multiplier approach in the log-utility case and a combined constrained HJB equation and indifference strategy approach for dealing with power-utility functions. Various examples illustrate remarkable effects and differences compared to the single risky asset setting, in particular the possibility for using some stocks for crash hedging and thereby allowing stock investment possibilities that are not present in the single-stock case.

Characterization of CMOS Structures (0.6 µm process) Submitted to HBM and COM ESD Stress Tests

1997 ◽  
Author(s):  
G. Meneghesso ◽  
E. Zanoni ◽  
P. Colombo ◽  
M. Brambilla ◽  
R. Annunziata ◽  
...  
Keyword(s):  
Electron Microscopy ◽  
Electrostatic Discharge ◽  
Stress Test ◽  
Complete Characterization ◽  
Stress Tests ◽  
Test Procedures ◽  
Emission Microscopy ◽  
Fast Rise ◽  
Scanning Electron

Abstract In this work, we present new results concerning electrostatic discharge (ESD) robustness of 0.6 μm CMOS structures. Devices have been tested according to both HBM and socketed CDM (sCDM) ESD test procedures. Test structures have been submitted to a complete characterization consisting in: 1) measurement of the tum-on time of the protection structures submitted to pulses with very fast rise times; 2) ESD stress test with the HBM and sCDM models; 3) failure analysis based on emission microscopy (EMMI) and Scanning Electron Microscopy (SEM).

Statistical Safe Braking Analysis

2011 ◽  
Author(s):  
David F. Thurston
Keyword(s):  
Control Systems ◽  
System Capacity ◽  
Worst Case ◽  
Stopping Distance ◽  
Train Control ◽  
Classic Theory ◽  
Braking Distance ◽  
Prime Determinant ◽  
Worst Case Approach

The main objective in optimizing train control is to eliminate the waist associated with classical design where train separation is determined through the use of “worst case” assumptions that are invariant to the system. In fact, the worst case approach has been in place since the beginning of train control systems. Worst case takes the most conservative approach to the determination of train stopping distance, which is the basis for design of virtually all train control. This leads to stopping distances that could be far more that actually required under the circumstances at the time the train is attempting to brake. Modern train control systems are designed to separate trains in order to provide safety of operation while increasing throughput. Calculations for the minimum distance that separates trains have traditionally been based on the sum of a series of worst case scenarios. The implication was that no train could ever exceed this distance in stopping. This distance is called Safe Braking Distance (SBD). SBD has always been calculated by static parameters that were assumed to be invariant. This is, however, not the case. Parameters such as adhesion, acceleration, weight, and reaction vary over time, location or velocity. Since the worst case is always used in the calculation, inefficiencies result in this methodology which causes degradation in capacity and throughput. This is also true when mixed traffic with different stopping characteristics are present at the same time. The classic theory in train control utilizes a SBD model to describe the characteristics of a stopping train. Since knowledge of these conditions is not known, poor conditions are assumed. A new concept in train control utilizes statistical analysis and estimation to provide knowledge of the conditions. Trains operating along the line utilize these techniques to understand inputs into their SBD calculation. This provides for a SBD calculation on board the train that is the shortest possible that maintains the required level of safety. The new SBD is a prime determinant in systems capacity. Therefore by optimizing SBD as describes, system capacity is also optimized. The system continuously adjusts to changing conditions.

OPTIMAL PORTFOLIOS OF CORPORATE BONDS AND HOLD TO MATURITY STRATEGIES

2015 ◽  
Vol 10 (02) ◽  
pp. 1550010
Author(s):  
YAACOV KOPELIOVICH
Keyword(s):  
Corporate Bond ◽  
Insurance Companies ◽  
Asset Liability Management ◽  
Optimal Portfolios ◽  
Optimal Weights ◽  
Liability Management ◽  
Simulation Based ◽  
Copula Approach ◽  
Bond Portfolios ◽  
Bond Indices

In this paper, we initiate a research on optimal bond portfolios, that are held to their maturity. We solve the problem analytically for log utility investor in the case of one risky corporate asset. We compare the behavior of these portfolios to equally weighted and portfolios with randomly selected weights. We apply simulation based on Vasicek’s copula approach to derive optimal weights for a corresponding problem involving more than one corporate bond. Further we discover that these portfolios outperform naive investment in constant maturity (CCM) bond indices with a similar maturity horizon. We explain possible application of our findings to boost asset liability management (ALM) strategies for pensions and insurance companies.

scholarly journals Ultrasound Echogenicity is Associated with Achilles Tendon Fatigue Damage in a Cadaveric Loading Model

2019 ◽  
Author(s):  
Elaine C. Schmidt ◽  
Todd J. Hullfish ◽  
Kathryn M. O’Connor ◽  
Michael W. Hast ◽  
Josh R. Baxter
Keyword(s):  
Achilles Tendon ◽  
Fatigue Damage ◽  
Stress Test ◽  
Fatigue Loading ◽  
Diagnostic Tools ◽  
Ultrasound Images ◽  
Stress Tests ◽  
Level Of Evidence ◽  
Fatigue Protocol ◽  
Change In Mean

ABSTRACTAchilles tendon disorders are among the most difficult sports-related injuries to predict with current diagnostic tools. The purpose of this study was to identify a clinically useful marker for early tendon damage. We hypothesized that alterations in mean echogenicity are linked with changes in vitro tendon mechanics. To test our hypothesis, we harvested Achilles tendons from 10 fresh-frozen cadaveric feet and cyclically fatigued them using a universal test frame while we continuously acquired ultrasound images. Throughout this fatigue protocol, we applied 2 stress tests every 500 loading cycles to quantify changes in ultrasound imaging echogenicity. We continued this fatigue protocol until each tendon either failed completely or survived 150,000 cycles. Tendons that failed during the fatigue loading (6/10) underwent greater changes in mean echogenicity compared to tendons that did not fail (P = 0.031). These tendons that failed during fatigue loading demonstrated greater changes in mean echogenicity that surpassed 1.0%; whereas survivor tendons exhibited less than 0.5% changes in mean echogenicity. We found that changes in mean echogenicity measured with ultrasound increased proportionally with increased tendon damage. The magnitude of these changes was relatively small (<1.5% change in mean echogenicity) but may be an effective predictor of tendon failure. Mean echogenicity is a promising marker for quantifying fatigue damage in cadaveric Achilles tendons during a stress test. Although these changes cannot be detected with the naked eye, computer-based predictive models may effectively assess risk of tendon damage in physically active adults.Level of evidenceControlled laboratory experiment

scholarly journals Assessment of Seed Vigor Tests for Crambe abyssinica

2018 ◽  
Vol 10 (12) ◽  
pp. 527
Author(s):  
Tássia Fernanda Santos Neri Soares ◽  
Bruno Antônio Lemos de Freitas ◽  
José Geraldo de Araújo Ferreira Filho ◽  
Denise Cunha Fernandes dos Santos Dias ◽  
Camila Andrade Fialho ◽  
...  
Keyword(s):  
Electrical Conductivity ◽  
Water Stress ◽  
Stress Test ◽  
Primary Root ◽  
Cold Test ◽  
Seed Vigor ◽  
Stress Tests ◽  
Germination Test ◽  
Crambe Abyssinica ◽  
Seedling Length

Vigor tests are important mainly to identify differences associated to lots performance in field conditions. The objective of this study was to define the most appropriate tests to evaluate the crambe (Crambe abyssinica) seeds vigor. Seven seed lots of crambe were subjected to the standard germination (on the first and last count), germination speed index (GSI), primary root protrusion speed index (PRPSI), seedling length dry and weight seedling, water stress test using PEG 6000 at -0.2 MPa, electrical conductivity and cold test without soil. Crambe lots studied had germination percentages varying from 54 to 80.5%. The GSI, on the first count of water stress and electrical conductivity test ranked lots between two vigor classes The PRPSI, seedling length, seedling dry weight and last count of water stress tests were less sensitive to evaluate vigor for crambe seed. The cold test without soil and the first count of standard germination test were capable to dishtinguish lots more efficiently than the standard germination test on last count by ranking four of the seven seed lots studied.

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