Volatility Weighting over Time in the Presence of Transaction Costs

2019 ◽  
Keyword(s):  
Transaction Costs ◽  
Empirical Studies ◽  
Risk Control ◽  
Control Technique ◽  
Risk Exposure ◽  
Trading Costs ◽  
Portfolio Risk ◽  
Dynamic Risk ◽  
Weighting Strategy ◽  
Over Time

Numerous empirical studies demonstrate the superiority of dynamic strategies with a volatility-weighting-over-time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, to reap all the benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this article, we propose a modified volatility-weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the modified volatility-weighting strategy persist even in the presence of high transaction costs.

Dualities, Dialectics, and Paradoxes in Organizational Life

2018 ◽  
Keyword(s):  
Dynamic Systems ◽  
Empirical Studies ◽  
Organizational Studies ◽  
Organizational Life ◽  
Organizational Processes ◽  
Organization Studies ◽  
Process Studies ◽  
Convergence And Divergence ◽  
Insight Into ◽  
Over Time

Organizational contradictions and process studies offer interwoven and complementary insights. Studies of dialectics, paradox, and dualities depict organizational contradictions that are oppositional as well as interrelated such that they persistently morph and shift over time. Studies of process often examine how contradictions fuel emergent, dynamic systems and stimulate novelty, adaptation, and transformation. Drawing from rich conversations at the Eighth International Symposium on Process Organization Studies, the contributors to this volume unpack these relationships in more depth. The chapters explore three main, connected themes through both conceptual and empirical studies, including (1) offering insight into how process theorizing advances understandings of organizational contradictions; (2) shedding light on how dialectics, paradoxes, and dualities fuel organizational processes that affect persistence and transformation; and (3) exploring the convergence and divergence of dialectics, paradox, and dualities lenses. Taken together, this book offers key insights in order to inform persistent, contradictory dynamics in organizations and organizational studies.

scholarly journals Friendship paradox in growth networks: analytical and empirical analysis

2021 ◽  
Vol 6 (1) ◽  
Author(s):  
Sergei P. Sidorov ◽  
Sergei V. Mironov ◽  
Alexey A. Grigoriev
Keyword(s):  
Real World ◽  
Preferential Attachment ◽  
Empirical Studies ◽  
Mean Field ◽  
Network Models ◽  
Average Degree ◽  
Closure Model ◽  
Triadic Closure ◽  
Attachment Mechanism ◽  
Over Time

AbstractMany empirical studies have shown that in social, citation, collaboration, and other types of networks in real world, the degree of almost every node is less than the average degree of its neighbors. This imbalance is well known in sociology as the friendship paradox and states that your friends are more popular than you on average. If we introduce a value equal to the ratio of the average degree of the neighbors for a certain node to the degree of this node (which is called the ‘friendship index’, FI), then the FI value of more than 1 for most nodes indicates the presence of the friendship paradox in the network. In this paper, we study the behavior of the FI over time for networks generated by growth network models. We will focus our analysis on two models based on the use of the preferential attachment mechanism: the Barabási–Albert model and the triadic closure model. Using the mean-field approach, we obtain differential equations describing the dynamics of changes in the FI over time, and accordingly, after obtaining their solutions, we find the expected values of this index over iterations. The results show that the values of FI are decreasing over time for all nodes in both models. However, for networks constructed in accordance with the triadic closure model, this decrease occurs at a much slower rate than for the Barabási–Albert graphs. In addition, we analyze several real-world networks and show that their FI distributions follow a power law. We show that both the Barabási–Albert and the triadic closure networks exhibit the same behavior. However, for networks based on the triadic closure model, the distributions of FI are more heavy-tailed and, in this sense, are closer to the distributions for real networks.

scholarly journals Persisting inequality: A case of probabilistic drive towards divergence

2017 ◽  
Vol 67 (2) ◽  
pp. 215-234 ◽  
Author(s):  
Robin Maialeh
Keyword(s):  
Economic Theory ◽  
Market Economy ◽  
Empirical Studies ◽  
Market Forces ◽  
Global Inequality ◽  
Economic Disparities ◽  
Multi Level ◽  
Over Time

The aim of the study is to prove that agents organised by market forces tend to create and even more so deepen economic disparities over time. Empirical studies do not reliably describe the trend and causes of interpersonal global inequality in recent decades. Hence, the attention is turned to general economic theory with inspiration from Schumpeterian and neoclassical theories. The results indicate that pure market economy logic will tend to lead to multi-level divergence.

scholarly journals Dynamic risk control by human nucleus accumbens

Brain ◽  
2015 ◽  
Vol 138 (12) ◽  
pp. 3496-3502 ◽  
Author(s):  
Parashkev Nachev ◽  
Fernando Lopez-Sosa ◽  
Javier Jesus Gonzalez-Rosa ◽  
Ana Galarza ◽  
Josue Avecillas ◽  
...  
Keyword(s):  
Nucleus Accumbens ◽  
Risk Control ◽  
Dynamic Risk

scholarly journals Creating relationship continuity across projects in the construction industry

IMP Journal ◽  
2017 ◽  
Vol 11 (2) ◽  
pp. 207-229 ◽  
Author(s):  
Malena Ingemansson Havenvid ◽  
Elsebeth Holmen ◽  
Åse Linné ◽  
Ann-Charlott Pedersen
Keyword(s):  
Construction Industry ◽  
Empirical Studies ◽  
Mutual Orientation ◽  
Content Type ◽  
Construction Firms ◽  
Relationship Continuity ◽  
Time Period ◽  
Strategy Types ◽  
The Relationship ◽  
Over Time

Purpose The purpose of this paper is to investigate the relationship continuity across projects among actors in the construction industry, and to discuss why and how such continuity takes place. Design/methodology/approach The authors draw on the results from four in-depth case studies illustrating different strategies for pursuing relationship continuity. The results are analysed and discussed in light of the oft-mentioned strategies suggested by Mintzberg (1987): emergent, deliberate and deliberately emergent strategies. Furthermore, the ARA-model is used to discuss why the relationship continuity strategies are pursued, and which factors might enable and constrain the relationship continuity. Findings The main findings are twofold. First, the authors found that the strategy applied for pursuing relationship continuity may, in one-time period, contain one type of strategy or a mix of strategy types. Second, the type of strategy may evolve over time, from one type of strategy being more pronounced in one period, to other strategies being more pronounced in later periods. The strategies applied by construction firms and their counterparts can thus contain elements of emergent, deliberate and deliberately emergent strategies, in varying degrees over time. It is also shown that the strategies of the involved actors co-evolve as a result of interaction. Also, the main reasons for pursuing continuity appear to lie in the re-use and development of important resources and activities across projects to create efficiency and the possibility to develop mutual orientation, commitment and trust over time, and thus reduce uncertainty. Research limitations/implications Further empirical studies are needed to support the findings. For managers, the main implication is that relationship continuity can arise as part of an emerging interaction pattern between firms or as part of a planned strategy, but that elements of both might be needed to sustain it. Originality/value The authors combine Mintzberg’s strategy concepts with the ARA-model to bring new light to the widely debated issue of discontinuity and fragmentation in the construction industry.

Business Cycles and Apprenticeships

2021 ◽  
Author(s):  
Samuel Muehlemann ◽  
Stefan Wolter
Keyword(s):  
Labor Market ◽  
Business Cycle ◽  
Empirical Studies ◽  
Cost Effective ◽  
Skilled Labor ◽  
Market Failures ◽  
Task Forces ◽  
Apprenticeship Training ◽  
The Business Cycle ◽  
Over Time

The economic reasons why firms engage in apprenticeship training are twofold. First, apprenticeship training is a potentially cost-effective strategy for filling a firm’s future vacancies, particularly if skilled labor on the external labor market is scarce. Second, apprentices can be cost-effective substitutes for other types of labor in the current production process. As current and expected business and labor market conditions determine a firm’s expected work volume and thus its future demand for skilled labor, they are potentially important drivers of a firm’s training decisions. Empirical studies have found that the business cycle affects apprenticeship markets. However, while the economic magnitude of these effects is moderate on average, there is substantial heterogeneity across countries, even among those that at first sight seem very similar in terms of their apprenticeship systems. Moreover, identification of business cycle effects is a difficult task. First, statistics on apprenticeship markets are often less developed than labor market statistics, making empirical analyses of demand and supply impossible in many cases. In particular, data about unfilled apprenticeship vacancies and unsuccessful applicants are paramount for assessing potential market failures and analyzing the extent to which business cycle fluctuations may amplify imbalances in apprenticeship markets. Second, the intensity of business cycle effects on apprenticeship markets is not completely exogenous, as governments typically undertake a variety of measures, which differ across countries and may change over time, to reduce the adverse effects of economic downturns on apprenticeship markets. During the economic crisis related to the COVID-19 global pandemic, many countries took unprecedented actions to support their economies in general and reacted swiftly to introduce measures such as the provision of financial subsidies for training firms or the establishment of apprenticeship task forces. As statistics on apprenticeship markets improve over time, such heterogeneity in policy measures should be exploited to improve our understanding of the business cycle and its relationship with apprenticeships.

scholarly journals Government Debt Management: The Long and the Short of It

2018 ◽  
Vol 86 (6) ◽  
pp. 2554-2604 ◽  
Author(s):  
Elisa Faraglia ◽  
Albert Marcet ◽  
Rigas Oikonomou ◽  
Andrew Scott
Keyword(s):  
Transaction Costs ◽  
Incomplete Markets ◽  
Dominant Role ◽  
Global Solutions ◽  
Debt Management ◽  
Computational Method ◽  
Complete Markets ◽  
Market Models ◽  
Multiple Assets ◽  
Over Time

Abstract Standard optimal Debt Management (DM) models prescribe a dominant role for long bonds and advocate against issuing short bonds. They require very large positions in order to complete markets and assume each period that governments repurchase all outstanding bonds and reissue (r/r) new ones. These features of DM are inconsistent with U.S. data. We introduce incomplete markets via small transaction costs which serves to make optimal DM more closely resemble the data : r/r are negligible, short bond issuance substantial and persistent and short and long bonds positively co-vary. Intuitively, long bonds help smooth taxes over states and short bonds over time. Solving incomplete market models with multiple assets is challenging so a further contribution of this article is introducing a novel computational method to find global solutions.

scholarly journals Financial Thought Experiment: A GAN-based Approach to Vast Robust Portfolio Selection

2020 ◽  
Author(s):  
Chi Seng Pun ◽  
Lei Wang ◽  
Hoi Ying Wong
Keyword(s):  
Stock Market ◽  
Thought Experiment ◽  
Empirical Studies ◽  
Synthetic Data ◽  
Risk Minimization ◽  
Portfolio Risk ◽  
Generative Adversarial Network ◽  
Day Trading ◽  
Adversarial Network ◽  
Robust Portfolio

Modern day trading practice resembles a thought experiment, where investors imagine various possibilities of future stock market and invest accordingly. Generative adversarial network (GAN) is highly relevant to this trading practice in two ways. First, GAN generates synthetic data by a neural network that is technically indistinguishable from the reality, which guarantees the reasonableness of the experiment. Second, GAN generates multitudes of fake data, which implements half of the experiment. In this paper, we present a new architecture of GAN and adapt it to portfolio risk minimization problem by adding a regression network to GAN (implementing the second half of the experiment). The new architecture is termed GANr. Battling against two distinctive networks: discriminator and regressor, GANr's generator aims to simulate a stock market that is close to the reality while allow for all possible scenarios. The resulting portfolio resembles a robust portfolio with data-driven ambiguity. Our empirical studies show that GANr portfolio is more resilient to bleak financial scenarios than CLSGAN and LASSO portfolios.

Paternal Relationships With Sons and Daughters

2021 ◽  
pp. 331-354
Author(s):  
Lambrianos Nikiforidis
Keyword(s):  
Empirical Studies ◽  
The Other ◽  
Same Sex ◽  
Financial Decisions ◽  
Traditional Family ◽  
Biological Sex ◽  
The Family ◽  
The One ◽  
Parental Bias ◽  
Over Time

This chapter examines paternal relationships with sons and daughters. Identity drives investment (and parental investment in particular), because people invest in that which aligns with their identity. And biological sex drives identity. These two ideas combined imply that a parent-offspring match in biological sex can influence parental favoritism in a systematic manner, an idea supported by recent empirical studies. This parental bias of concordant-sex favoritism can have broad implications, outside the context of the traditional family structure. In single parent or same-sex parent households, the consequences of this bias can be even stronger, because there would not be an opposite-direction bias from the other parent to even things out. This favoritism could have even broader ramifications, entirely outside the context of the family. On the one hand, whenever social norms dictate that men should control a family’s financial decisions, then sons may systematically receive more resources than daughters. This asymmetry in investment would then result in ever-increasing advantages that persist over time. On the other hand, if women are a family’s primary shoppers, this can manifest in subtle but chronic favoritism for daughters.

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