Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

Comparing N = 1 effect size indices in presence of autocorrelation

Generalization from single-case designs can be achieved by means of replicating individual studies across different experimental units and settings. When replications are available, their findings can be summarized using effect size measurements and integrated through meta-analyses. Several procedures are available for quantifying the magnitude of treatment"s effect in N = 1 designs and some of them are studied in the current paper. Monte Carlo simulations were employed to generate different data patterns (trend, level change, slope change). The experimental conditions simulated were defined by the degrees of serial dependence and phases" length. Out of all the effect size indices studied, the Percent of nonoverlapping data and standardized mean difference proved to be less affected by autocorrelation and perform better for shorter data series. The regression-based procedures proposed specifically for single-case designs did not differentiate between data patterns as well as simpler indices.

A state-space approach for measuring regional manufacturing production indices

In this paper we propose a latent variable model, in the spirit of Israilevich and Kuttner (1993), to measure regional manufacturing production. To test the validity of the proposed methodology, we have applied it for those Spanish regions that have a direct quantitative index. The results demonstrate the accuracy of the methodology proposed and show that it can overcome some of the difficulties of the indirect method applied by the INE, the Spanish National Institute of Statistics.

New approximation to the third-order density : application to the calculation of correlated multicenter indices

In this work we present the formulas for the calculation of exact three-center electron sharing indices (3c-ESI) and introduce two new approximate expressions for correlated wave functions. The 3c-ESI uses the third-order density, the diagonal of the third-order reduced density matrix, but the approximations suggested in this work only involve natural orbitals and occupancies. In addition, the first calculations of 3c-ESI using Valdemoro's, Nakatsuji's and Mazziotti's approximation for the third-order reduced density matrix are also presented for comparison. Our results on a test set of molecules, including 32 3c-ESI values, prove that the new approximation based on the cubic root of natural occupancies performs the best, yielding absolute errors below 0.07 and an average absolute error of 0.015. Furthemore, this approximation seems to be rather insensitive to the amount of electron correlation present in the system. This newly developed methodology provides a computational inexpensive method to calculate 3c-ESI from correlated wave functions and opens new avenues to approximate high-order reduced density matrices in other contexts, such as the contracted Schrödinger equation and the anti-Hermitian contracted Schrödinger equation