Different risk measures: different portfolio compositions?

Traditionally, the measure of risk used in portfolio optimisation models is the variance. However, alternative measures of risk have many theoretical and practical advantages and it is peculiar therefore that they are not used more frequently. This may be because of the difficulty in deciding which measure of risk is best and any attempt to compare different risk measures may be a futile exercise until a common risk measure can be identified. To overcome this, another approach is considered, comparing the portfolio holdings produced by different risk measures, rather than the risk return trade-off. In this way we can see whether the risk measures used produce asset allocations that are essentially the same or very different. The results indicate that the portfolio compositions produced by different risk measures vary quite markedly from measure to measure. These findings have a practical consequence for the investor or fund manager because they suggest that the choice of model depends very much on the individual’s attitude to risk rather than any theoretical and/or practical advantages of one model over another.

Complex formation in solutions of oppositely charged polyelectrolytes at different polyion compositions and salt content

The formation of complexes in solutions containing positively charged polyions (polycations) and a variable amount of negatively charged polyions (polyanions) has been investigated by Monte Carlo simulations. The polyions were described as flexible chains of charged hard spheres interacting through a screened Coulomb potential. The systems were analyzed in terms of cluster compositions, structure factors, and radial distribution functions. At 50% charge equivalence or less, complexes involving two polycations and one polyanion were frequent, while closer to charge equivalence, larger clusters were formed. Small and neutral complexes dominated the solution at charge equivalence in a monodisperse system, while larger clusters again dominated the solution when the polyions were made polydisperse. The cluster composition and solution structure were also examined as functions of added salt by varying the electrostatic screening length. The observed formation of clusters could be rationalized by a few simple rules.

Odd deposits and average practice. A critical history of the concept of structured deposition.

This paper presents a critical history of the concept of ‘structured deposition’. It examines the long-term development of this idea in archaeology, from its origins in the early 1980s through to the present day, looking at how it has been moulded and transformed. On the basis of this historical account, a number of problems are identified with the way that ‘structured deposition’ has generally been conceptualized and applied. It is suggested that the range of deposits described under a single banner as being ‘structured’ is unhelpfully broad, and that archaeologists have been too willing to view material culture patterning as intentionally produced – the result of symbolic or ritual action. It is also argued that the material signatures of ‘everyday’ practice have been undertheorized and all too often ignored. Ultimately, it is suggested that if we are ever to understand fully the archaeological signatures of past practice, it is vital to consider the ‘everyday’ as well as the ‘ritual’ processes which lie behind the patterns we uncover in the ground.

Local and average structure in zinc cyanide: towards an understanding of the atomistic origin of negative thermal expansion

Neutron diffraction at 11.4 and 295 K and solid-state 67Zn NMR are used to determine both the local and average structures in the disordered, negative thermal expansion (NTE) material, Zn(CN)2. Solid-state NMR not only confirms that there is head-to-tail disorder of the C≡N groups present in the solid, but yields information about the relative abundances of the different Zn(CN)4-n(NC)n tetrahedral species, which do not follow a simple binomial distribution. The Zn(CN)4 and Zn(NC)4 species occur with much lower probabilities than are predicted by binomial theory, supporting the conclusion that they are of higher energy than the other local arrangements. The lowest energy arrangement is Zn(CN)2(NC)2. The use of total neutron diffraction at 11.4 K, with analysis of both the Bragg diffraction and the derived total correlation function, yields the first experimental determination of the individual Zn−N and Zn−C bond lengths as 1.969(2) and 2.030(2) Å, respectively. The very small difference in bond lengths, of ~0.06 Å, means that it is impossible to obtain these bond lengths using Bragg diffraction in isolation. Total neutron diffraction also provides information on both the average and local atomic displacements responsible for NTE in Zn(CN)2. The principal motions giving rise to NTE are shown to be those in which the carbon and nitrogen atoms within individual Zn−C≡N−Zn linkages are displaced to the same side of the Zn···Zn axis. Displacements of the carbon and nitrogen atoms to opposite sides of the Zn···Zn axis, suggested previously in X-ray studies as being responsible for NTE behavior, in fact make negligible contribution at temperatures up to 295 K.

Improving transmission reliability of low-power medium access control protocols using average diversity combining

Embedded computer systems equipped with wireless communication transceivers are nowadays used in a vast number of application scenarios. Energy consumption is important in many of these scenarios, as systems are battery operated and long maintenance-free operation is required. To achieve this goal, embedded systems employ low-power communication transceivers and protocols. However, currently used protocols cannot operate efficiently when communication channels are highly erroneous. In this study, we show how average diversity combining (ADC) can be used in state-of-the-art low-power communication protocols. This novel approach improves transmission reliability and in consequence energy consumption and transmission latency in the presence of erroneous channels. Using a testbed, we show that highly erroneous channels are indeed a common occurrence in situations, where low-power systems are used and we demonstrate that ADC improves low-power communication dramatically.

The role of the harmonic vector average in motion integration

The local speeds of object contours vary systematically with the cosine of the angle between the normal component of the local velocity and the global object motion direction. An array of Gabor elements whose speed changes with local spatial orientation in accordance with this pattern can appear to move as a single surface. The apparent direction of motion of plaids and Gabor arrays has variously been proposed to result from feature tracking, vector addition and vector averaging in addition to the geometrically correct global velocity as indicated by the intersection of constraints (IOC) solution. Here a new combination rule, the harmonic vector average (HVA), is introduced, as well as a new algorithm for computing the IOC solution. The vector sum can be discounted as an integration strategy as it increases with the number of elements. The vector average over local vectors that vary in direction always provides an underestimate of the true global speed. The HVA, however, provides the correct global speed and direction for an unbiased sample of local velocities with respect to the global motion direction, as is the case for a simple closed contour. The HVA over biased samples provides an aggregate velocity estimate that can still be combined through an IOC computation to give an accurate estimate of the global velocity, which is not true of the vector average. Psychophysical results for type II Gabor arrays show perceived direction and speed falls close to the IOC direction for Gabor arrays having a wide range of orientations but the IOC prediction fails as the mean orientation shifts away from the global motion direction and the orientation range narrows. In this case perceived velocity generally defaults to the HVA.

On flow reversal boundaries and transpolar voltage in average models of high-latitude convection

The implications of polar cap expansions, contractions and movements for empirical models of high-latitude plasma convection are examined. Some of these models have been generated by directly averaging flow measurements from large numbers of satellite passes or radar scans; others have employed more complex means to combine data taken at different times into large-scale patterns of flow. In all cases, the models have implicitly adopted the assumption that the polar cap is in steady state: they have all characterized the ionospheric flow in terms of the prevailing conditions (e.g. the interplanetary magnetic field and/or some index of terrestrial magnetic activity) without allowance for their history. On long enough time scales, the polar cap is indeed in steady state but on time scales shorter than a few hours it is not and can oscillate in size and position. As a result, the method used to combine the data can influence the nature of the convection reversal boundary and the transpolar voltage in the derived model. This paper discusses a variety of effects due to time-dependence in relation to some ionospheric convection models which are widely applied. The effects are shown to be varied and to depend upon the procedure adopted to compile the model.