Multi-Factor Portfolios: A New Factor? Limits of the Static Approach

We assess the value added of a multifactor portfolio from a performance-agnostic point of view. First we introduce a broad general definition of factor, that encompasses usual factors like Size or Value, and then we prove that static long–short multifactor strategies (as the equal weighting of factors) are indeed factors according to our definition. This result is new in the literature and states that, by investing in a long–short static multifactor strategy, one is indeed investing into a new (synthetic) factor. Finally we test the strength of such a synthetic factor compared to each single factor by looking at its predictive power. We empirically test the equal-weighting of Value, Size, Momentum and Low Volatility in the US and Europe. Our conclusion is very clear in both regions: the equal-weighting of these four standard factors is a synthetic factor that has no predictive power on stocks’ return, while each of the factors shows clear ability to distinguish among stocks. In other words, the measure that underlies this equal-weighting of factors has zero predictive power on cross-sectional differences in stocks’ returns.

1951 ◽  
Vol 47 (2) ◽  
pp. 337-346
Author(s):  
D. V. Lindley

During the Oxford Conference of the Econometric Society in September 1936, Ragnar Frisch proposed a problem in regression theory. A partial solution was found in 1938 by Miss H. V. Allen (1). A more complete solution was given by C. R. Rao (6) in 1947, and in the same year the present author (5) obtained a solution as a particular case of a more general result. These last two papers contained a flaw, and a correct solution was provided by Miss E. Fix (2). This last solution still leaves a part of the problem unanswered, and in the present paper a result of P. Lévy's (4), is used to complete the solution. At the same time further generalizations of the problem are considered and, in the cases of most practical importance, complete solutions are obtained. It is advisable, both from the point of view of rigour and simplicity of analysis, to use a general definition of the conditional expectation of a random variable. Accordingly, the paper begins with a summary of the relevant definitions. These notions were introduced by Kolmogoroff (3). It has been thought worth while giving the definitions here, in forms which are slightly different from Kolmogoroff's and seem more suitable for applications, in order to explain the notation and nomenclature used. The relevant consequences of these definitions are also stated in the form in which they are used.


10.12737/5741 ◽  
2014 ◽  
Vol 3 (5) ◽  
pp. 16-22
Author(s):  
Решетников ◽  
Sergey Reshetnikov

The article continues the series of publications of the author, which take up the conclusions, following from a very general definition of communication as interaction. In this case we are talking about the problems of the sense creation and scientific truths, which are considered from the point of view of dualism logics of the cognizing subject: the logic of immobility, under which the author refers to the thinking and the logic of motion, i.e. tacit knowledge, a prerequisite for successful (appropriate) the use of which is to stop thinking. The presented position allows you to take the issues raised in aporia Zeno (the tasks they recognize insoluble) and a new angle of vision to see the dichotomy of analysis and synthesis, rationality and irrationality, similarity and hierarchy, as well as other concepts.


2018 ◽  
Vol 22 (4) ◽  
pp. 527-546
Author(s):  
Olga V Pankova

The article reveals the essential characteristics of justice as a specific type of state activity; identifies the main features of justice that distinguish it, on the one hand, from other types of state activity, and on the other - from other types of judicial activity. The purpose of this article is to identify and analyze the features of justice in its modern sense. The versatility of this legal category as an ambivalent definition is reflected in its various characteristics, through the consideration of which the most general definition of justice is formulated in the work. The methodological basis of the article is the modern achievements of the theory of knowledge. In the course of research theoretical, General philosophical (dialectics, system method, analysis, synthesis, deduction), traditional legal methods (formal-logical) were applied. Turning to the question of the characteristics of justice, the author touches upon the problem of its broad and narrow understanding due to the increasing role of mediation, conciliation and arbitration as alternative forms of resolution of legal conflicts, as well as in connection with the empowerment of certain state bodies of jurisdictional powers, and concludes that, unlike a number of foreign countries, justice in Russia can be carried out only by state courts. Of considerable interest is also the study of the subject area of justice, which is related to the situation of legal conflict. In this context, the author's analysis of the concept of "legal conflict" and his proposed differentiation of such conflicts into types with subsequent consideration of each of them is quite legitimate. In the context of the formation of the new Russian statehood, the arbitration sign of justice acquired a different sound, which is considered in the work from the standpoint of the special jurisdictional procedural activity of the court and the situational nature of justice. Since the beginning of the modern judicial reform, objective changes in the activities of the courts associated with the emergence of simplified and writ proceedings that have simplified the procedure for the consideration and resolution of certain categories of administrative and civil cases, as well as the allocation of jurisdictional powers to other state bodies that are not part of the judiciary, but use quasi-judicial procedures, i.e. almost judicial procedures as close as possible to them, have significantly changed the attitude to the procedural form of justice, which has lost its former importance. In this regard, the author substantiates the point of view that nowadays in order to determine the qualitative nature of the jurisdictional bodies, it is necessary to identify, in particular, the distinctive features in each of the procedural forms. Revealing in more detail the content of methods and means of justice, the author touches upon the problem of correlation of this legal category with justice and on the basis of the analysis of different points of view comes to the conclusion that these concepts can not be considered as legal phenomena that coincide in whole or in part. Justice is rather an intrinsic property of justice, contributing to its perception as a social and legal value. As one of the most important signs of justice in the work is considered the state-power nature and reliability of judicial decisions, the execution of which involves the suppression of the will (freedom) or material deprivation of one of the parties with the use in certain cases of power and force of the state. In this regard, some attention is paid to the characterization of the binding nature of the judgment as one of its essential properties. Examining justice as categories which help to reveal the contents and legal merits of this form of state activity, in the definition of the given concept into a single, unified definition.


1995 ◽  
Vol 06 (04) ◽  
pp. 353-393 ◽  
Author(s):  
ILARIA CASTELLANI

The distributed structure of CCS processes can be made explicit by assigning different locations to their parallel components. These locations then become part of what is observed of a process. The assignment of locations may be done statically, or dynamically as the execution proceeds. The dynamic approach was developed first, in Refs. [4,5], as it appeared to be more convenient for defining notions of location equivalence and preorder. Extending previous work by L. Aceto1 we study here the static approach, which is more natural from an intuitive point of view, and more manageable for verification purposes. We define static notions of location equivalence and preorder, and show that they coincide with the dynamic ones. To establish the equivalence of the two location semantics, we introduce an intermediate transition system called occurrence system, which incorporates both notions of locality. This system supports a definition of local history preserving bisimulation for CCS, which is a third formulation of location equivalence.


2000 ◽  
Vol 14 (07) ◽  
pp. 771-781 ◽  
Author(s):  
L. DELLE SITE

We analyze the concept of interatomic surface in condensed systems whose properties are calculated with an ab initio approach. Two different criteria for defining such a surface are considered: a classical criterion known as "Bader criterion" and a quantum criterion based on the quantum dynamical behavior of the electrons. Next the classical and quantum approach are combined to obtain a general definition of interatomic surface which is valid from both quantum and classical point of view. The two criteria are presented in the form of partial differential equations and their basic properties are discussed. The relevance of the theory analyzed for a practical implementation in molecular modeling is also discussed.


Author(s):  
Alberto Doria ◽  
Luca Taraborrelli

The static and dynamic properties of the frame and the front fork of a single track vehicle play a critical role from the point of view of vehicle stability. A turning point in the study of motorcycle stability was established by the introduction of lumped stiffness elements to characterize the critical compliances of the motorcycle elements, this approach being still in use with advanced multibody codes. Nonetheless, up to now very few scientific studies have been carried out to identify the parameters that account for the stiffness and damping properties of motorcycle front forks and frames. This work addresses the problem of identifying the parameters needed for developing lumped element models of motorcycles from experimental results. Two motorcycle frames are studied performing static, dynamic, and modal tests by means of a specific testing equipment. The frames have been tested in two different conditions: fixing them at the steering head or at the swing-arm pivot. In the first section of the paper a general definition of the twist axis, based on the concept of “Mozzi” or instantaneous screw axis, is presented. The twist axis is used for characterizing the deformation patterns of the tested frames. The static twist axis is identified loading the frames at low rate by means of a servo-hydraulic actuator and measuring the deformation of a reference plate by means of three laser sensors; the dynamic twist axis is identified exerting an impulsive excitation and measuring the vibration of a reference plate by means of three accelerometers. In the last section of the paper, experimental results obtained on motorcycle frames are shown. A method to identify the stiffness properties of the frames from the measured twist axes is presented. Results obtained with the proposed method are in good agreement with the ones presented in literature.


2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Silvia Sacchetti ◽  
Ermanno Celeste Tortia

PurposeThis study aims to examine the relationships between the rules that a cooperative membership decides upon and members' motives for action. It considers individual self-interest in relation with motives that are consistent with the values of cooperation.Design/methodology/approachThis paper comprises two parts. The first is theoretical and discusses cooperative governance's features in the context of individual motives. The second part is empirical and based on survey data from Italian multistakeholder, worker-run social cooperatives. It uses cross-sectional data gathered from 4,134 workers and 310 managers in 310 cooperatives in Italy to provide evidence of rules and individual motives. Regression analysis confirms the existence of a linkage between individual self-interest and motives.FindingsRules mainly, but not exclusively, play an enabling function, which implies responding to both nonmonetary and monetary individual motives. With greater articulation within institutions – through the definition of multiple rights for accessing decision-making – the authors expect increases in individual capabilities to match motives with specific organizational rules in pursuit of consistent ends. This is confirmed by the association that the authors found between individual motives and commitment.Research limitations/implicationsThe authors’ illustration is limited to one specific type of cooperative, the social cooperative, in which prosocial motives are expected to be stronger than in other cooperative forms, although one could say that all cooperative models emphasize procommunity and prosocial aims. Data are cross-sectional and do not allow for the identification of causality, only of statistical relations' strength.Practical implicationsThe continuous scrutiny and adaptation of motives and means imply that cooperators communicate and engage in a learning process.Originality/valueWhile the institutional spheres that support investor-owned organizations and self-interested profit-maximizing behavior have been analyzed, a framework that accommodates personal control rights and a richer view of individual motives is lacking. The value added from the paper is to suggest one.


2020 ◽  
Vol 15 (2) ◽  
pp. 118-132
Author(s):  
Ghiur Rodica ◽  
Mihailescu Todor Silvia Paula ◽  
Brezeanu Petre ◽  
Dumiter Florin Cornel ◽  
Mariana Vizoli

AbstractIn this study we reveal the measures taken by the Council of the European Union in the field of VAT to support SMEs and the reasons that led the Council of the European Union to take these decisions. It is also indicated the general definition of SMEs in European law as it has been taken up by various other authors, as well as the supportive behavior of SMEs that the European Commission has always had. On the other hand, we carried out a study that included variables defining SMEs in three fields of activity from four countries, located territorially in different areas of the European Union and we identified, using statistical correlation, different coefficients of correlation between the value added the number of SMEs, the number of people employed by SMEs, their turnover in that field of activity. The correlation coefficients that indicated a strong / moderate linearity link indicated that the measures taken by the European Union, through the Council and the European Commission, are welcome as the added value in many areas of activity shows a strong correlation with the number of taxable persons, the number employees of those taxable persons and their turnover.


Author(s):  
Dmitro Prima

The article analyzes the scientific approaches to the treatment of a professional position as a scientific phenomenon. It is noted that the conceptual-categorical dimension of the study of the problem of formation of a professional position as a scientific phenomenon lies in the plane of the characteristics of such concepts as «position» («position of the person»), «pedagogical position» («position of the teacher»), «professional position» the need for clarification regarding their interpretation. It was found out that in the reference journals, the notion of «position» is regarded as developing, a multi-dimensional education as a point of view, attitude to something that determines the nature of behavior, action; the nature of the actions caused by this attitude. It is stated that the position in psychology means the official position of a person in one or another subsystem of relations, reflects the dominant and selective attitude of a person to what is essential to it. It is noted that the formation of a position goes through its expansion, awareness and differentiation, one of the manifestations of which is gradually crystallizing professional position. It is generalized that despite the differences in the definition of this definition by different authors, the general definition is a position as a specialist’s attitude to the profession and to itself within it, which is manifested in activity, and a professional position as a person-professional quality, which is formed in the process of learning and is based on development of value-semantic relations to the pedagogical profession, determines the individual style of professional activity of the teacher.


CORD ◽  
2008 ◽  
Vol 24 (1) ◽  
pp. 20
Author(s):  
O. Roupsard

The following article is a review of possible strategies of the coconut sector facing the carbon market, through the Clean Development Mechanism (CDM) of the Protocol of Kyoto, but also through Non-Kyoto (voluntary) initiatives. It sums up the conditions for certifying plantations, together with recent statistics of similar projects accepted by UNFCCC, which are currently displaying a rapid growth rate. It stresses the complexity of the CDM, but also the accessibility for coconut energy & afforestation + reforestation (A/R) projects, considering that coconut plantations do actually correspond to the definition of “forest”. Using recent scientific information on C cycle of coconut plantations and coconut oil, it proposes also a simulation of the expected potential profitability of coconut energetic and A/R projects. From the point of view of the farmer and of the oil mill, in absence of any CDM project (the reference here), the value-added comes mainly from local processing of the copra into coconut oil. When implementing a short-term A/R project (t-CER), the value-added by C fixation in the ecosystem would be ca. +15 to +19%, as compared to the copra and oil references. When implementing a long-term project (l-CER), the value-added would reach +40 to +52%. When implementing an energy-oil project solely, the value-added by C fixation in the coconut oil would be only +5% (this not including other benefits at national scale, however). When implementing a dual A/R + energy-oil project, the value-added by C fixation would be +19% for t-CER, and +45% for l-CER with respect to the copra and oil references. These results are just potential values given for example, suspected to vary much according to the actual conditions of coconut plantation productivity, management and also C market conditions. However, the simulation clearly supports every APCC initiative in this direction.


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