A Comparison of the Mean-Variance and Long-Term Return Characteristics of 3 Investment Strategies

1987 ◽  
Vol 43 (4) ◽  
pp. 55-66 ◽  
Author(s):  
Robert Ferguson
Keyword(s):  
Investment Strategies ◽  
The Mean ◽  
Mean Variance

scholarly journals A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability

2013 ◽  
Vol 50 (03) ◽  
pp. 801-809 ◽  
Author(s):  
Kai Du ◽  
Ariel David Neufeld
Keyword(s):  
Large Deviations ◽  
Growth Condition ◽  
Failure Probability ◽  
Quantitative Form ◽  
Continuous Semimartingale ◽  
The Mean ◽  
Mean Variance

The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer (2007) in a slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to Föllmer and Schachermayer (2007), our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.

scholarly journals Apie eksperimentinį investavimo strategijų tyrimą realiose ir virtualiose fi nansų rinkose

2013 ◽  
Vol 65 ◽  
pp. 103-110
Author(s):  
Jonas Mockus ◽  
Igor Katin ◽  
Joana Katina
Keyword(s):  
Mean Absolute Error ◽  
Absolute Error ◽  
Investment Strategies ◽  
Individual Investor ◽  
Investment Portfolio ◽  
Acceptable Risk ◽  
The Real ◽  
Portfolio Problem ◽  
The Mean

Darbo tikslas yra įvertinti įvairias investavimo strategijas pagal jų pelningumą realiose ir virtualiose fi nansų rinkose. Darbe aprašytas atnaujintas fi nansų rinkos modelis, analizuojami eksperimentinių skaičiavimų rezultatai. On the experimental investigation of investment strategies in the real and virtual fi nancial marketsJonas Mockus, Igor Katin, Joana Katina SummaryThe optimal fi nancial investment (Portfolio) problem was investigated by leading fi nancial organizations and scientists. The aim of these works was to defi ne the optimal diversifi cation of the assets depending on the acceptable risk level.The aim of the paper is to evaluate different investment strategies in the real and virtual fi nancial markets. This aim is the new element of the proposed simulation system since optimization is performed in the space of investment strategies; both daily and long-term. A number of different investment strategies are presented, including the ones based on the Modern Portfolio Theory (MPT).The simulated investment procedures include different prediction methods. The methods that minimize the mean absolute error (MAE) are added to the traditional ones that minimize the least squares error (MSE). The results of the virtual fi nancial market are compared with historical data.The model is designed as a tool to represent the behavior of an individual investor which wants to predict how the expected profi t depends on different investment strategies using different forecasting methods of real and virtual stocks.

scholarly journals A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability

2013 ◽  
Vol 50 (3) ◽  
pp. 801-809 ◽  
Author(s):  
Kai Du ◽  
Ariel David Neufeld
Keyword(s):  
Large Deviations ◽  
Growth Condition ◽  
Failure Probability ◽  
Quantitative Form ◽  
Continuous Semimartingale ◽  
The Mean ◽  
Mean Variance

The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer (2007) in a slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to Föllmer and Schachermayer (2007), our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.

Acquisition and Processing of Atmospheric Boundary Layer Data

1994 ◽  
Author(s):  
J. C. Kaimal ◽  
J. J. Finnigan
Keyword(s):  
Boundary Layer ◽  
Low Frequency ◽  
Real Time Processing ◽  
Long Term Stability ◽  
Two Factors ◽  
The Mean ◽  
Averaging Time ◽  
Mean Variance ◽  
Atmospheric Variables

Much of what we know about the structure of the boundary layer is empirical, the result of painstaking analysis of observational data. As our understanding of the boundary layer evolved, so did our ability to define more clearly the requirements for sensing atmospheric variables and for processing that information. Decisions regarding choice of sampling rates, averaging time, detrending, ways to minimize aliasing, and so on, became easier to make. We find we can even standardize most procedures for real-time processing. The smaller, faster computers, now within the reach of most boundary layer scientists, offer virtually unlimited possibilities for processing and displaying results even as an experiment is progressing. The information we seek, for the most part, falls into two groups: (1) time-averaged statistics such as the mean, variance, covariance, skewness, and kurtosis and (2) spectra and cospectra of velocity components and scalars such as temperature and humidity. We discuss them separately because of different sampling and processing requirements for the two. A proper understanding of these requirements is essential for the successful planning of any experiment. In this chapter we discuss these considerations in some detail with examples of methods used in earlier applications. We will assume that sensors collecting the data have adequate frequency response, precision, and long-term stability and that the sampling is performed digitally at equally spaced intervals. We also assume that the observation heights are chosen with due regard to sensor response and terrain roughness. For calculations of means and higher order moments we need time series that are long enough to include all the relevant low-frequency contributions to the process, sampled at rates fast enough to capture all the high-frequency contributions the sensors are able to measure. Improper choices of averaging times and sampling rates can indeed compromise our statistics. We need to understand how those two factors affect our measurements in order to make sensible decisions on how long and how fast to sample.

scholarly journals Equilibrium Investment Strategy for DC Pension Plan with Inflation and Stochastic Income under Heston’s SV Model

2016 ◽  
Vol 2016 ◽  
pp. 1-18 ◽  
Author(s):  
Jingyun Sun ◽  
Zhongfei Li ◽  
Yongwu Li
Keyword(s):  
Pension Plan ◽  
Investment Strategy ◽  
Investment Strategies ◽  
Value Functions ◽  
Defined Contribution ◽  
Hjb Equations ◽  
Plan Member ◽  
The Mean ◽  
Hamilton Jacobi Bellman ◽  
Mean Variance

We consider a portfolio selection problem for a defined contribution (DC) pension plan under the mean-variance criteria. We take into account the inflation risk and assume that the salary income process of the pension plan member is stochastic. Furthermore, the financial market consists of a risk-free asset, an inflation-linked bond, and a risky asset with Heston’s stochastic volatility (SV). Under the framework of game theory, we derive two extended Hamilton-Jacobi-Bellman (HJB) equations systems and give the corresponding verification theorems in both the periods of accumulation and distribution of the DC pension plan. The explicit expressions of the equilibrium investment strategies, corresponding equilibrium value functions, and the efficient frontiers are also obtained. Finally, some numerical simulations and sensitivity analysis are presented to verify our theoretical results.

Cardiovascular responses to denervation of pulmocutaneous baroreceptors in toads

1989 ◽  
Vol 256 (4) ◽  
pp. R946-R954
Author(s):  
B. N. Van Vliet ◽  
N. H. West
Keyword(s):  
Recovery Period ◽  
Weight Ratio ◽  
Cardiovascular Responses ◽  
Arterial Blood ◽  
Afferent Fibers ◽  
Wet Weight ◽  
The Mean ◽  
Recurrent Laryngeal Nerves ◽  
Mean Variance

Toad pulmocutaneous arterial baroreceptors are connected to afferent fibers carried in the recurrent laryngeal nerves (rLNs). Bilateral rLN denervation in conscious toads (Bufo marinus) caused 34 and 78% increases in heart rate (Fh) and systemic arterial blood pressure (Pa) within 10-15 min, respectively. The variance of Pa was significantly increased 2 days after denervation, but Pa and Fh were not. In additional chronic experiments, 5 of 17 baroreceptor-denervated toads died within the 2-wk recovery period. No deaths occurred in sham-operated toads. The mean Pa, Fh, and cardiac interval (Ic), the mean variance of Pa, Fh, and Ic, and Pa and Fh responses to stress, plasma composition, and the dry-to-wet weight ratio of skeletal muscle and lung were not statistically different in denervated and sham-operated toads. However, the sensitivity of Ic to changes in Pa, exposed by intra-arterial injections of phenylephrine and nitroprusside, was attenuated in denervated toads. Postmortem examination revealed occasional pulmonary lesions, the incidence of which appeared correlated with causes of pulmonary hypertension: baroreceptor denervation and phenylephrine injections. We conclude that pulmocutaneous arterial baroreflex is tonically active but is not essential for the long-term maintenance of Pa in conscious undisturbed toads.

scholarly journals Raising the bar on the foreign portfolio to 25 per cent: Strategic implications for South African investors

2015 ◽  
Vol 18 (3) ◽  
pp. 410-424 ◽  
Author(s):  
David John Bradfield ◽  
Brian Munro
Keyword(s):  
South African ◽  
Efficient Frontier ◽  
Strategic Role ◽  
Portfolio Managers ◽  
The Mean ◽  
Nonparametric Procedure ◽  
Mean Variance ◽  
Portfolio Planning

 Regulation 28 of the Pension Funds Act now permits an increased allocation of 25 per cent to foreign investments. The regulation previously only permitted a 20 per cent allocation. Establishing the optimal foreign allocation for South African portfolio managers given the 25 per cent upper bound is an important consideration for strategic portfolio planning. In this paper we consider two methodological approaches to establish a strategic foreign allocation weight. Our first approach considers the strategic role of foreign investment in South African global balanced portfolios by using a mean-variance efficient frontier framework over a long-term period. We also implement a second assessment methodology that utilises a nonparametric procedure. Both the mean-variance and the non-parametric methodology yield compelling evidence for the foreign allocation to be set at the maximum allowable bound of 25 per cent.

Acute and Chronic Changes in Platelet Volume and Count After Cardiopulmonary Bypass Induced Thrombocytopenia in Man

1987 ◽  
Vol 57 (01) ◽  
pp. 55-58 ◽  
Author(s):  
J F Martin ◽  
T D Daniel ◽  
E A Trowbridge
Keyword(s):  
Platelet Count ◽  
Mean Platelet Volume ◽  
Artery Bypass ◽  
Bypass Graft ◽  
Control Group ◽  
Artery Bypass Graft ◽  
Platelet Volume ◽  
Young Males ◽  
The Mean

SummaryPatients undergoing surgery for coronary artery bypass graft or heart valve replacement had their platelet count and mean volume measured pre-operatively, immediately post-operatively and serially for up to 48 days after the surgical procedure. The mean pre-operative platelet count of 1.95 ± 0.11 × 1011/1 (n = 26) fell significantly to 1.35 ± 0.09 × 1011/1 immediately post-operatively (p <0.001) (n = 22), without a significant alteration in the mean platelet volume. The average platelet count rose to a maximum of 5.07 ± 0.66 × 1011/1 between days 14 and 17 after surgery while the average mean platelet volume fell from preparative and post-operative values of 7.25 ± 0.14 and 7.20 ± 0.14 fl respectively to a minimum of 6.16 ± 0.16 fl by day 20. Seven patients were followed for 32 days or longer after the operation. By this time they had achieved steady state thrombopoiesis and their average platelet count was 2.44 ± 0.33 × 1011/1, significantly higher than the pre-operative value (p <0.05), while their average mean platelet volume was 6.63 ± 0.21 fl, significantly lower than before surgery (p <0.001). The pre-operative values for the platelet volume and counts of these patients were significantly different from a control group of 32 young males, while the chronic post-operative values were not. These long term changes in platelet volume and count may reflect changes in the thrombopoietic control system secondary to the corrective surgery.

Multi-Center Calibration of the Second Reference Material for Thromboplastin, Rabbit, Plain, Coded CRM 149R

1991 ◽  
Vol 65 (03) ◽  
pp. 263-267 ◽  
Author(s):  
A M H P van den Besselaar ◽  
R M Bertina
Keyword(s):  
Reference Material ◽  
Standard Error ◽  
Standard Errors ◽  
Sensitivity Index ◽  
Long Term Stability ◽  
Significant Bias ◽  
The Mean ◽  
The Relationship ◽  
International Sensitivity Index

SummaryIn a collaborative trial of eleven laboratories which was performed mainly within the framework of the European Community Bureau of Reference (BCR), a second reference material for thromboplastin, rabbit, plain, was calibrated against its predecessor RBT/79. This second reference material (coded CRM 149R) has a mean International Sensitivity Index (ISI) of 1.343 with a standard error of the mean of 0.035. The standard error of the ISI was determined by combination of the standard errors of the ISI of RBT/79 and the slope of the calibration line in this trial.The BCR reference material for thromboplastin, human, plain (coded BCT/099) was also included in this trial for assessment of the long-term stability of the relationship with RBT/79. The results indicated that this relationship has not changed over a period of 8 years. The interlaboratory variation of the slope of the relationship between CRM 149R and RBT/79 was significantly lower than the variation of the slope of the relationship between BCT/099 and RBT/79. In addition to the manual technique, a semi-automatic coagulometer according to Schnitger & Gross was used to determine prothrombin times with CRM 149R. The mean ISI of CRM 149R was not affected by replacement of the manual technique by this particular coagulometer.Two lyophilized plasmas were included in this trial. The mean slope of relationship between RBT/79 and CRM 149R based on the two lyophilized plasmas was the same as the corresponding slope based on fresh plasmas. Tlowever, the mean slope of relationship between RBT/79 and BCT/099 based on the two lyophilized plasmas was 4.9% higher than the mean slope based on fresh plasmas. Thus, the use of these lyophilized plasmas induced a small but significant bias in the slope of relationship between these thromboplastins of different species.

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