Factor Timing

The optimal factor timing portfolio is equivalent to the stochastic discount factor. We propose and implement a method to characterize both empirically. Our approach imposes restrictions on the dynamics of expected returns, leading to an economically plausible SDF. Market-neutral equity factors are strongly and robustly predictable. Exploiting this predictability leads to substantial improvement in portfolio performance relative to static factor investing. The variance of the corresponding SDF is larger, is more variable over time, and exhibits different cyclical behavior than estimates ignoring this fact. These results pose new challenges for theories that aim to match the cross-section of stock returns. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

A Method to Implement Scheduling and Prioritizing of Messages in VANET’s

Vehicular Adhoc Network (VANET) could be a technology that focuses on increasing convenience and safety of passengers and drivers. Vehicular Adhoc Network’s applications will suffer from severe performance degradation in high density state of affairs because of channel congestion.Congestion management ought to be taken into consideration to improvise safety, performance & dependability of VANETs. during this paper, we have a tendency to projected a technique DySch that assign the priorities to service and safety messages supported the message content (static factor), message size and Dynamic Factor(network state) . In DySch strategy, messages is scheduled severally, heuristically and dynamically. The investigation of performance is done by mistreatment urban and main road situations whereas the packet ratio, average delay, average output, and queuing delay are thought-about. as compared to the simplest standard methods, DySch strategy Simulation results shows that the performance of VANETs is improved. to manage congestion in VANETs, the projected strategy will help in improvising safety & dependability by assigning a priority as higher to the security messages.

A Full Analysis Including Both the Static and Dynamic Factors for the Thermal Shift of 7D0 ⟶ 5F0 Fluorescence Line in SrB4O7:Sm2+Crystal

A complete formula consisting of the static factor stemming from lattice thermal expansion and the dynamic factor owing to electron-phonon interaction is employed to investigate the thermal shift at near and higher than room temperature for the 7D0⟶5F0 fluorescence line in strontium tetraborate (SrB4O7):Sm2+ crystal. The static factor is gained in terms of the pressure dependence of the fluorescence line. With the aid of an approximate processing, the static parameter A (characterising the static factor) and the electron-phonon coupling parameter α’ (characterising the dynamic factor) are estimated even if there is no observed thermal shift curve from low temperature (<30 K) to near and higher than room temperature. The static factor and dynamic one in SrB4O7:Sm2+ crystal give rise to the thermal blue shift and red shift, respectively, and the total or observed thermal shift is due to the emulation between the two factors. The static factor in shift direction is contrary to and in magnitude is slightly greater than the dynamic one for the 7D0⟶5F0 line in SrB4O7:Sm2+ crystal. Thus, the observed very small thermal blue shift (which is not explained up to now) for the studied line in SrB4O7:Sm2+ crystal is rationally explained.

Dependent defaults and losses with factor copula models

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.

MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE

We present a methodology to forecast mortality rates and estimate longevity and mortality risks. The methodology uses generalized dynamic factor models fitted to the differences in the log-mortality rates. We compare their prediction performance with that of models previously described in the literature, including the traditional static factor model fitted to log-mortality rates. We also construct risk measures using vine-copula simulations, which take into account the dependence between the idiosyncratic components of the mortality rates. The methodology is applied to forecast mortality rates for a population portfolio for the UK and to estimate longevity and mortality risks.