Fuzzy portfolio allocation models through a new risk measure and fuzzy sharpe ratio

A new portfolio risk measure that is the uncertainty of portfolio fuzzy return is introduced in this paper. Beyond the well-known Sharpe ratio (i.e., the reward-to-variability ratio) in modern portfolio theory, we initiate the so-called fuzzy Sharpe ratio in the fuzzy modeling context. In addition to the introduction of the new risk measure, we also put forward the reward-to-uncertainty ratio to assess the portfolio performance in fuzzy modeling. Corresponding to two approaches based on TM and TW fuzzy arithmetic, two portfolio optimization models are formulated in which the uncertainty of portfolio fuzzy returns is minimized, while the fuzzy Sharpe ratio is maximized. These models are solved by the fuzzy approach or by the genetic algorithm (GA). Solutions of the two proposed models are shown to be dominant in terms of portfolio return uncertainty compared with those of the conventional mean-variance optimization (MVO) model used prevalently in the financial literature. In terms of portfolio performance evaluated by the fuzzy Sharpe ratio and the reward-to-uncertainty ratio, the model using TW fuzzy arithmetic results in higher performance portfolios than those obtained by both the MVO and the fuzzy model, which employs TM fuzzy arithmetic. We also find that using the fuzzy approach for solving multiobjective problems appears to achieve more optimal solutions than using GA, although GA can offer a series of well-diversified portfolio solutions diagrammed in a Pareto frontier.

Selection of the right risk measures for portfolio allocation

 An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection. Verification is deployed by performing experiments in developed markets (e.g., the US stock market), emerging markets (e.g., the South Korean stock market) and global investments. A preselection procedure dealing with large datasets is also introduced to eliminate stocks that have low diversification potential before running the portfolio optimisation model. Portfolios are evaluated by four performance indices, i.e., the Sortino ratio, the Sharpe ratio, the Stutzer performance index, and the Omega measure. Experimental results demonstrate that high performance and also well-diversified portfolios are obtained if modified value-at-risk, variance, or semi-variance is concerned whereas emphasising only skewness, kurtosis or higher moments in general produces low performance and poorly diversified portfolios. In addition, the preselection applied to large datasets results in portfolios that have not only high performance but also high diversification degree.

The economic significance of CDS price discovery

© 2015 Springer Science+Business Media New York Between 2005 and 2009, we document evident time-varying credit risk price discovery between the equity and credit default swap (CDS) markets for 174 US non-financial investment-grade firms. We test the economic significance of a simple portfolio strategy that utilizes fluctuation in CDS spreads as a trading signal to set stock positions, conditional on the CDS price discovery status of the reference entities. We show that a conditional portfolio strategy which updates the list of CDS-influenced firms over time, yields a substantively larger realized return net of transaction cost over the unconditional strategy. Furthermore, the conditional strategy’s Sharpe ratio outperforms a series of benchmark portfolios over the same trading period, including buy-and-hold, momentum and dividend yield strategies.

Performance of juvenile Murray cod, Maccullochella peelii peelii (Mitchell), fed with diets of different protein to energy ratio

The results of a 56-day experiment on juvenile Murray cod, Maccullochella peelii peelii, an Australian native fish with a high aquaculture potential, of mean weight 14.9 ± 0.04 g, fed with five experimental diets, one a series of 40% protein content and lipid levels of 10, 17 and 24% (P40L10, P40L17 and P40L24), and another of 50% protein and 17 and 24% (P50L17 and P50L24) lipid are presented. The specific growth rate (SGR) (% day−1) of fish maintained on different diets ranged from 1.18 to 1.41, and was not significantly different between dietary treatments, except P40L10 and the rest. However, there was a general tendency for SGR to increase with increasing dietary lipid content at both protein levels. The food conversion ratio (FCR) for the 40% protein series diets were poorer compared with those of the 50% protein diets, and the best FCR of 1.14 was observed with the P50L17 diet. The protein efficiency ratio (PER), however, was better in fish reared on low protein diets. The net protein utilization (NPU) also did not differ significantly (P > 0.05) in relation to dietary treatment. As in the case of PER the highest NPU was observed in Murray cod reared on diet P40L24 and the lowest in fish fed with diet P50L24. The carcass lipid content reflected that of the diets, when significant increases in the lipid content was observed in relation to dietary lipid content at both protein levels. However, body muscle lipid content did not increase with increasing dietary lipid content, and was significantly lower than in the whole body. The fatty acids found in highest concentration amongst the saturates, monoenes and polyunsaturates (PUFAs) were 16 : 0, 18 : 1n-9 and 22 : 6n-3, respectively, and each of these accounted for more than 60% of each of the group's total. The muscle fatty acid content was affected by the dietary lipid content; for example the total amount (in μg mg−1 lipid) of monoenes ranged from 72 ± 5.1 (P40L10) to 112 ± 10 (P40L24) and 112 ± 2.8 (P50L17) to 132 ± 11.8 (P50L24) and the n-6 series fatty acids increased with increasing dietary lipid content, although not always significant. Most notably, 18 : 2n-6 increased with the dietary lipid level in both series of diets.

Methodological shifts in ratio-based modelling of corporate collapse

The year 1968 saw a major shift from univariate to multivariate methodological approaches to ratio-based modelling of corporate collapse. This was facilitated by the introduction of a new statistical tool called Multiple Discriminant Analysis (MDA). However, it did not take long before other statistical tools were developed. The primary objective for developing these tools was to enable deriving models that would at least do as good a job asMDA, but rely on fewer assumptions. With the introduction of new statistical tools, researchers became pre-occupied with testing them in signalling collapse. lLTUong the ratio-based approaches were Logit analysis, Neural Network analysis, Probit analysis, ID3, Recursive Partitioning Algorithm, Rough Sets analysis, Decomposition analysis, Going Concern Advisor, Koundinya and Purl judgmental approach, Tabu Search and Mixed Logit analysis. Regardless of which methodological approach was chosen, most were compared to MDA. This paper reviews these various approaches. Emphasis is placed on how they fared against MDA in signalling corporate collapse.

A dynamic ratio-based model for signalling corporate collapse

The recognition of behavioural elements in finance has caused major shifts in the analytic framework pertaining to ratio-based modeling of corporate collapse. The modeling approach so far has been based on the classical rational theory in behavioural economics, which assumes that the financial ratios (i.e., the predictors of collapse) are static over time. The paper argues that, in the absence of rational economic theory, a static model is flawed, and that a suitable model instead is one that reflects the heuristic behavioural framework, which is what characterises behavioural attributes of company directors and in turn influences the accounting numbers used in calculating the financial ratios. This calls for a dynamic model: dynamic in the sense that it does not rely on a coherent assortment of financial ratios for signaling corporate collapse over multiple time periods. This paper provides empirical evidence, using a data set of Australian publicly listed companies, to demonstrate that a dynamic model consistently outperforms its static counterpart in signaling the event of collapse. On average, the overall predictive power of the dynamic model is 86.83% compared to an average overall predictive power of 69.35% for the static model.

Waist-to-Hip Ratio and Unhealthy Body Change in Women

The role of waist-to-hip ratio (WHR) in unhealthy body change was examined in a sample of 143 women university students. They completed the Eating Disorder Examination-Questionnaire (EDE-Q), reported their level of concern with weight and with WHR, and used unmarked measuring tapes to record their subjective (self-perceived), ideal, and objective (measured) waist and hip circumference. Although body shape was reported as important, and concern with WHR correlated significantly with symptoms of disordered eating, the relationships involving WHR were not independent of those involving body weight. Thus, there appears to be little behavioural and/or clinical significance in the aesthetic evaluations made by women of their WHR. Reasons for this are considered in light of evidence that women regard WHR as more difficult to control and less amenable to change than their overall body weight.

An empirical evaluation of sampling controversies in ratio-based modelling of corporate collapse

Empirical investigations regarding ratio-based modelling of corporate collapse have been on going for decades. With any study of an empirical nature, a data sample is a necessary prerequisite. It allows testing the performance of the prediction model, thereby establishing its practical relevance. However, it is necessary to first ensure that the data sample used satisfies certain conditions, and these have lead to some choice controversies. This paper considers the controversial issues that arise in data sampling, provides a critical evaluation of these issues, and makes choice recommendations on the controversial aspects, by empirically examining the literature.

A heuristic framework for ratio-based modelling of corporate collapse

This paper draws on empirical evidence to demonstrate that a heuristic framework signals collapse with significantly higher accuracy than the traditional static approach. Using a sample of 494 US publicly listed companies comprising 247 collapsed matched with 247 financially healthy ones, a heuristic framework is decisively superior the closer one gets to the event of collapse, culminating in 12.5% more overall accuracy than a static approach during
the year of collapse. An even more dramatic improvement occurs in relation to reduction of Type I error, with a heuristic framework delivering an improvement of 66.7% over its static counterpart.

Primary sex ratio bias in an endangered cooperatively breeding bird, the Black-eared Miner, and its implications for conservation

The aim of our study was to investigate primary and adult sex ratios in the cooperatively breeding black-eared miner, Manorina melanotis. We used genetic methods to determine the sex of all birds. Observations were made to quantify differences in helping behaviour between the sexes. As in other miners, Manorina spp., non-breeding males provided most of the help in raising young. Male and female nestlings did not differ significantly in weight, suggesting that both sexes are equally costly to produce. Like other miners, the adult sex ratio in black-eared miners is male-biased (64.4%). However, unlike its congeners, the black-eared miner’s primary sex ratio was strongly biased toward females (62.5%). This suggests that females suffer higher juvenile mortality than males. Our study illustrates how understanding sex ratios is both of theoretical interest and relevant to biological conservation.

Donor-п-acceptor conjugated copolymers for photovoltaic applications : tuning the open-circuit voltage by adjusting the donor/acceptor ratio

A class of new conjugated copolymers containing a donor (thiophene)−acceptor (2-pyran-4-ylidene-malononitrile) was synthesized via Stille coupling polymerization. The resulting copolymers were characterized by 1H NMR, elemental analysis, GPC, TGA, and DSC. UV−vis spectra indicated that the increase in the content of the thiophene units increased the interaction between the polymer main chains to cause a red-shift in the optical absorbance. Cyclic voltammetry was used to estimate the energy levels of the lowest unoccupied molecular orbital (LUMO) and the highest occupied molecular orbital (HOMO) and the band gap (Eg) of the copolymers. The basic electronic structures of the copolymers were also studied by DFT calculations with the GGA/B3LYP function. Both the experimental and the calculated results indicated an increase in the HOMO energy level with increasing the content of thiophene units, whereas the corresponding change in the LUMO energy level was much smaller. Polymer photovoltaic cells of a bulk heterojunction were fabricated with the structure of ITO/PEDOT/PSS (30 nm)/copolymer−PCBM blend (70 nm)/Ca (8 nm)/Al (140 nm). It was found that the open-circuit voltage (Voc) increased (up to 0.93 V) with a decrease in the content of thiophene units. Although the observed power convention efficiency is still relatively low (up to 0.9%), the corresponding low fill factor (0.29) indicates considerable room for further improvement in the device performance. These results provided a novel concept for developing high Voc photovoltaic cells based on donor-π-acceptor conjugated copolymers by adjusting the donor/acceptor ratio.

Waist circumference, waist-hip ratio and BMI and their correlation with cardiovascular risk factors in Australian adults

Objectives. To compare body mass index (BMI), waist circumference and waist–hip ratio (WHR) as indices of obesity and assess the respective associations with type 2 diabetes, hypertension and dyslipidaemia.

Design and setting. A national sample of 11 247 Australians aged ≥25 years was examined in 2000 in a cross-sectional survey.

Main outcome measures. The examination included a fasting blood sample, standard 2-h 75-g oral glucose tolerance test, blood pressure measurements and questionnaires to assess treatment for dyslipidaemia and hypertension. BMI, waist circumference and WHR were measured to assess overweight and obesity.

Results. The prevalence of obesity amongst Australian adults defined by BMI, waist circumference and WHR was 20.8, 30.5 and 15.8% respectively. The unadjusted odds ratio for the fourth vs. first quartile of each obesity measurement showed that WHR had the strongest relationship with type 2 diabetes, dyslipidaemia (women only) and hypertension. Following adjustment for age, however, there was little difference between the three measures of obesity, with the possible exceptions of hypertension in women, where BMI had a stronger association, and dyslipidaemia in women and type 2 diabetes in men, where WHR was marginally superior.

Conclusions. Waist circumference, BMI and WHR identified different proportions of the population, as measured by both prevalence of obesity and cardiovascular disease (CVD) risk factors. Whilst WHR had the strongest correlations with CVD risk factors before adjustment for age, the three obesity measures performed similarly after adjustment for age. Given the difficulty of using age-adjusted associations in the clinical setting, these results suggest that given appropriate cut-off points, WHR is the most useful measure of obesity to use to identify individuals with CVD risk factors.

A stochastic derivation of the ratio form of contest success functions

This note provides a distribution-based justification for the ratio form of contest success functions (CSFs), in which a player’s success depends positively on her effort relative to that of her opponents. I show that the inverse exponential distribution of the random shocks yields the ratio form. Extending this approach to asymmetric contests, I also derive an asymmetric ratio form of CSFs.

Diagnosis of {alpha}+-thalassemias by determining the ratio of the two {alpha}-globin gene copies by oligonucleotide hybridization and melting curve analysis

Most cases of {alpha}-thalassemia result from large deletions at the {alpha}-globin locus (1). The {alpha}-globin gene cluster contains a tandem array of 2 nearly identical {alpha}-globin genes (HBA; Fig. 1A ) (2). The {alpha}0-thalassemias are characterized by deletions that inactivate both {alpha}-globin genes of a given chromosome, whereas in {alpha}+-thalassemias, one gene remains functional. The most widespread {alpha}+-thalassemias are those designated –{alpha}3.7 and –{alpha}4.2, according to the lengths of the deleted fragments (3).