scholarly journals Word Portfolio Optimization in the Environment of Zero Interest Rate

Ekonomika ◽  
2021 ◽  
Vol 100 (1) ◽  
pp. 156-174
Author(s):  
Darja Demcenko

This paper provides a deep analysis of ten globally diversified portfolios, composed of different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques.  Statistical moments, such as mean, standard deviation, kurtosis and skewness of portfolios are compared and discussed. Moreover, performance of the portfolios within the time horizon of one year estimating Sharpe ratio, Treynor ratio, Sortino ratio is presented. Furthermore, a risk analysis of created portfolios is evaluated in terms of historical VaR and CVaR applying confidence interval 95%. The main results of this paper reveal that the portfolio, which is optimized to minimize VaR produces high expected shortfall. Secondly, the Risk Parity portfolio, despite reducing volatility, has delivered the highest kurtosis of the return, which may indicate the possible tail loss. Furthermore, the maximum Sharpe ratio portfolio has delivered extremely high kurtosis in comparison with the kurtosis of the other portfolios. Finally, it is observed that for the Naïve diversification portfolio it has been typical to have the highest downside deviation.    

2011 ◽  
Vol 15 (2) ◽  
Author(s):  
Peter P. Smith

The United States is in a bind. On the one hand, we need millions of additional citizens with at least one year of successful post-secondary experience to adapt to the knowledge economy. Both the Gates and Lumina Foundations, and our President, have championed this goal in different ways. On the other hand, we have a post-secondary system that is trapped between rising costs and stagnant effectiveness, seemingly unable to respond effectively to this challenge. This paper analyzes several aspects of this problem, describes changes in the society that create the basis for solutions, and offers several examples from Kaplan University of emerging practice that suggests what good practice might look like in a world where quality-assured mass higher education is the norm.


2020 ◽  
Vol 175 ◽  
pp. 12002 ◽  
Author(s):  
Issam Boukhanef ◽  
Anna Khadzhidi ◽  
Lyudmila Kravchenko ◽  
Zeroual Ayoub ◽  
Kastali Abdennour

In Algeria, the problems of erosion and sediment transport are critical, since they have the most dramatic consequences of the degradation of agricultural soils on the one hand and the siltation of the dam on the other .The sediment transport in the Algerian basins is very important especially during the periods of floods, It is in this sense that this study, which consists of estimating the sediment transport in suspension and determining the models of relation linking the liquid discharge and the sediment discharge in order to estimate the solid transport in the absence of suspended sediments concentration data at the Sidi Akkacha station at the outlet of the basin of Oued Allala which is subject to a high water erosion, it degrades from one year to the other under the effect of this phenomenon especially during the floods which drain high amounts of fine particles exceeding in general, the concentration of 150 g/l, the results obtained from the application of the models are very encouraging since the correlation between liquid and solid discharge exceeds 80 %.


Author(s):  
Gul Muhammad Baloch ◽  
Kamilah Kamaludin ◽  
Karuthan Chinna ◽  
Sheela Sundarasen ◽  
Mohammad Nurunnabi ◽  
...  

COVID-19 has speedily immersed the globe with 72+ million cases and 1.64 million deaths, in a span of around one year, disturbing and deteriorating almost every sphere of life. This study investigates how students in Pakistan have coped with the COVID-19. Zung’s self-rating anxiety scale (SAS) was used for measuring anxiety and the coping strategies were measured on four strategies i.e., seeking social support, humanitarian, acceptance, and mental disengagement. Among 494 respondents, 61% were females and 77.3% of the students were in the age group of 19–25 years. The study findings indicate that approximately 41 percent of students are experiencing some level of anxiety, including 16% with severe to extreme levels. Seeking social support seemed to be the least preferred coping strategy and that female students seek social support, humanitarian, and acceptance coping strategies more than males. Students used both emotion-based and problem-based coping strategies. The variables of gender, age, ethnicity, level and type of study, and living arrangement of the students were associated with usage of coping strategies. Findings showing that students do not prefer to seek social support. The study outcomes will provide basic data for university policies in Pakistan and the other countries with same cultural contexts to design and place better mental health provisions for students.


1. It is widely felt that any method of rejecting observations with large deviations from the mean is open to some suspicion. Suppose that by some criterion, such as Peirce’s and Chauvenet’s, we decide to reject observations with deviations greater than 4 σ, where σ is the standard error, computed from the standard deviation by the usual rule; then we reject an observation deviating by 4·5 σ, and thereby alter the mean by about 4·5 σ/ n , where n is the number of observations, and at the same time we reduce the computed standard error. This may lead to the rejection of another observation deviating from the original mean by less than 4 σ, and if the process is repeated the mean may be shifted so much as to lead to doubt as to whether it is really sufficiently representative of the observations. In many cases, where we suspect that some abnormal cause has affected a fraction of the observations, there is a legitimate doubt as to whether it has affected a particular observation. Suppose that we have 50 observations. Then there is an even chance, according to the normal law, of a deviation exceeding 2·33 σ. But a deviation of 3 σ or more is not impossible, and if we make a mistake in rejecting it the mean of the remainder is not the most probable value. On the other hand, an observation deviating by only 2 σ may be affected by an abnormal cause of error, and then we should err in retaining it, even though no existing rule will instruct us to reject such an observation. It seems clear that the probability that a given observation has been affected by an abnormal cause of error is a continuous function of the deviation; it is never certain or impossible that it has been so affected, and a process that completely rejects certain observations, while retaining with full weight others with comparable deviations, possibly in the opposite direction, is unsatisfactory in principle.


Algorithms ◽  
2021 ◽  
Vol 14 (7) ◽  
pp. 197
Author(s):  
Ali Seman ◽  
Azizian Mohd Sapawi

In the conventional k-means framework, seeding is the first step toward optimization before the objects are clustered. In random seeding, two main issues arise: the clustering results may be less than optimal and different clustering results may be obtained for every run. In real-world applications, optimal and stable clustering is highly desirable. This report introduces a new clustering algorithm called the zero k-approximate modal haplotype (Zk-AMH) algorithm that uses a simple and novel seeding mechanism known as zero-point multidimensional spaces. The Zk-AMH provides cluster optimality and stability, therefore resolving the aforementioned issues. Notably, the Zk-AMH algorithm yielded identical mean scores to maximum, and minimum scores in 100 runs, producing zero standard deviation to show its stability. Additionally, when the Zk-AMH algorithm was applied to eight datasets, it achieved the highest mean scores for four datasets, produced an approximately equal score for one dataset, and yielded marginally lower scores for the other three datasets. With its optimality and stability, the Zk-AMH algorithm could be a suitable alternative for developing future clustering tools.


2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anja Vinzelberg ◽  
Benjamin Rainer Auer

PurposeMotivated by the recent theoretical rehabilitation of mean-variance analysis, the authors revisit the question of whether minimum variance (MinVar) or maximum Sharpe ratio (MaxSR) investment weights are preferable in practical portfolio formation.Design/methodology/approachThe authors answer this question with a focus on mainstream investors which can be modeled by a preference for simple portfolio optimization techniques, a tendency to cling to past asset characteristics and a strong interest in index products. Specifically, in a rolling-window approach, the study compares the out-of-sample performance of MinVar and MaxSR portfolios in two asset universes covering multiple asset classes (via investable indices and their subindices) and for two popular input estimation methods (full covariance and single-index model).FindingsThe authors find that, regardless of the setting, there is no statistically significant difference between MinVar and MaxSR portfolio performance. Thus, the choice of approach does not matter for mainstream investors. In addition, the analysis reveals that, contrary to previous research, using a single-index model does not necessarily improve out-of-sample Sharpe ratios.Originality/valueThe study is the first to provide an in-depth comparison of MinVar and MaxSR returns which considers (1) multiple asset classes, (2) a single-index model and (3) state-of-the-art bootstrap performance tests.


2021 ◽  
Vol 263 (1) ◽  
pp. 5154-5160
Author(s):  
Koichi Makino ◽  
Naoaki Shinohara

In Japan, yearly average of (day-evening-night sound level) as cumulative noise index has been adopted in national noise guideline of "Environmental Quality Standards for Aircraft Noise." Daily flight movements at civil airports are almost stable because of scheduled airline flight. On the other, daily total flight movements at military airfields greatly change day to day because of training flights, etc. Thus, noise exposure around the airport may change significantly from day to day due to change of flight movement. This paper shows examples of fluctuations, frequency distribution and deviation of daily using aircraft noise monitoring data around civil airports and military airfields. In the case of civil airports, standard deviation of daily was less than 5 dB at the monitoring stations where the yearly average of were about 55 dB or more. However, the standard deviation of daily increased 10 dB or more in some cases at points where yearly average of less than 55 dB. Furthermore, in the case of military airfields, the standard deviation of daily were 5 dB or more for all monitoring stations.


1963 ◽  
Vol 4 (36) ◽  
pp. 809-812
Author(s):  
R. L. Shreve

AbstractIn August 1961 an aluminum pipe (3.5 cm. internal diameter, 4.2 cm. external diameter) having 92 specially modified socket couplings (5.0 cm. external diameter) sealed with a quick-polymerizing synthetic rubber was sunk 226 m. in a vertical water-filled bore hole in Blue Glacier, Washington. U.S.A. The geometry of threads and mating surfaces of pipe and coupling was designed to cause increasing external water pressure to tighten the seal. One joint at a depth of 66 m. immediately developed an extremely slow leak (probably because of faulty cleaning), but the other 91 joints apparently were sound, as the pipe was free of water to a depth of at least 157 m. when resurveyed after one year.


2017 ◽  
Vol 9 (10) ◽  
pp. 30
Author(s):  
Vasiliki A. Basdekidou ◽  
Artemis A. Styliadou

In investment and trading, different CSR moral ethical firms, categorized in a number of groups, may be suitable for different financial instruments (i.e. USA sector ETFs) and different market volatility situations. For the purpose of this article we first (i) analyze the trading return performance of four CSR categories (in particular: activism, community development, corporate governance, and environment); and then (ii) examine and comment the correlation between the market performance of a number of firms belonging in these four CSR categories and historical ETF market volatility. Finally, we (iii) suggest CSR firms as trading tools according to dominant market volatility. Other CSR categories (like: fair trade & supply chain, green building, philanthropy & corporate contributions, etc.) would be examined in future research by following the introduced by this paper approach. Paper concludes that, in relatively less volatile markets the Environment CSR ethical firms display better results. On the other hand, in strong market volatile situations it is better to trade Community Development CSR and Corporate Governance CSR ethical firms. Finally, the Activism CSR ethical firms are uncorrelated with the market volatility, as well as their performance is poor in all market cases.


2010 ◽  
Vol 67 (5) ◽  
pp. 1655-1666 ◽  
Author(s):  
David M. Romps ◽  
Zhiming Kuang

Abstract Tracers are used in a large-eddy simulation of shallow convection to show that stochastic entrainment (and not cloud-base properties) determines the fate of convecting parcels. The tracers are used to diagnose the correlations between a parcel’s state above the cloud base and both the parcel’s state at the cloud base and its entrainment history. The correlation with the cloud-base state goes to zero a few hundred meters above the cloud base. On the other hand, correlations between a parcel’s state and its net entrainment are large. Evidence is found that the entrainment events may be described as a stochastic Poisson process. A parcel model is constructed with stochastic entrainment that is able to replicate the mean and standard deviation of cloud properties. Turning off cloud-base variability has little effect on the results, which suggests that stochastic mass-flux models may be initialized with a single set of properties. The success of the stochastic parcel model suggests that it holds promise as the framework for a convective parameterization.


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