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.

Alocação dinâmica ótima com momentos de ordem superior para a estratégia de carry trade

O objetivo do presente trabalho é verificar se, ao levar-se em consideração momentos de ordem superior (assimetria e curtose) na alocação de uma carteira de carry trade, há ganhos em relação à alocação tradicional que prioriza somente os dois primeiros momentos (média e variância). A hipótese da pesquisa é que moedas de carry trade apresentam retornos com distribuição não-Normal, e os momentos de ordem superior desta têm uma dinâmica, a qual pode ser modelada através de um modelo da família GARCH, neste caso IC-GARCHSK. Este modelo consiste em uma equação para cada momento condicional dos componentes independentes, explicitamente: o retorno, a variância, a assimetria, e a curtose. Outra hipótese é que um investidor com uma função utilidade do tipo CARA (constant absolute risk aversion), pode tê-la aproximada por uma expansão de Taylor de 4ª ordem. A estratégia do trabalho é modelar a dinâmica dos momentos da série dos logartimos neperianos dos retornos diários de algumas moedas de carry trade através do modelo IC-GARCHSK, e estimar a alocação ótima da carteira dinamicamente, de tal forma que se maximize a função utilidade do investidor. Os resultados mostram que há ganhos sim, ao levar-se em consideração os momentos de ordem superior, uma vez que o custo de oportunidade desta foi menor que o de uma carteira construída somente utilizando como critérios média e variância.

CAPM estendido para momentos superiores : um teste empírico

A inclusão de momentos superiores no apreçamento de ativos do modelo CAPM vem sendo bastante discutido nas últimas décadas. Esse trabalho realiza um teste empírico para o modelo CAPM estendido para os 3o e 4o momentos, no qual as assimetrias e curtoses dos ativos também são apreçadas. O teste foi realizado utilizando o Método Generalizado dos Momentos (MGM), em que todas as condições de momento derivam do modelo teórico. Os dados utilizados foram os retornos diários das ações mais negociadas na Bovespa entre 2004 e 2006.

Power and Robustness of Linkage Tests for Quantitative Traits in General Pedigrees

There are numerous statistical methods for quantitative trait linkage analysis in human studies. An ideal such method would have high power to detect genetic loci contributing to the trait, would be robust to non-normality in the phenotype distribution, would be appropriate for general pedigrees, would allow the incorporation of environmental covariates, and would be appropriate in the presence of selective sampling. We recently described a general framework for quantitative trait linkage analysis, based on generalized estimating equations, for which many current methods are special cases. This procedure is appropriate for general pedigrees and easily accommodates environmental covariates. In this paper, we use computer simulations to investigate the power robustness of a variety of linkage test statistics built upon our general framework. We also propose two novel test statistics that take account of higher moments of the phenotype distribution, in order to accommodate non-normality. These new linkage tests are shown to have high power and to be robust to non-normality. While we have not yet examined the performance of our procedures in the context of selective sampling via computer simulations, the proposed tests satisfy all of the other qualities of an ideal quantitative trait linkage analysis method.

Torque expression of 0.018 and 0.022 inch conventional brackets

The aim of this study was to assess the effect of the moments generated with low- and high-torque brackets. Four different bracket prescription-slot combinations of the same bracket type (Mini Diamond® Twin) were evaluated: high-torque 0.018 and 0.022 inch and low-torque 0.018 and 0.022 inch. These brackets were bonded on identical maxillary acrylic resin models with levelled and aligned teeth and each model was mounted on the orthodontic measurement and simulation system (OMSS). Ten specimens of 0.017 × 0.025 inch and ten 0.019 × 0.025 inch stainless steel archwires (ORMCO) were evaluated in the low- and high-torque 0.018 inch and 0.022 inch brackets, respectively. The wires were ligated with elastomerics into the brackets and each measurement was repeated once after religation. Two-way analysis of variance and t-test were conducted to compare the generated moments between wires at low- and high-torque brackets separately. The maximum moment generated by the 0.017 × 0.025 inch stainless steel archwire in the 0.018 inch brackets at +15 degrees ranged from 14.33 and 12.95 Nmm for the high- and low-torque brackets, respectively. The measured torque in the 0.022 inch brackets with the 0.019 × 0.025 inch stainless steel archwire was 9.32 and 6.48 Nmm, respectively. The recorded differences of maximum moments between the high- and low-torque series were statistically significant. High-torque brackets produced higher moments compared with low-torque brackets. Additionally, in both high- and low-torque configurations, the thicker 0.019 × 0.025 inch steel archwire in the 0.022 inch slot system generated lower moments in comparison with the 0.017 × 0.025 inch steel archwire in the 0.018 inch slot system.

Torque efficiency of different archwires in 0.018- and 0.022-inch conventional brackets.

OBJECTIVE To compare the archwires inserted during the final stages of the orthodontic treatment with the generated moments at 0.018- and 0.022-inch brackets. MATERIALS AND METHODS The same bracket type, in terms of prescription, was evaluated in both slot dimensions. The brackets were bonded on two identical maxillary acrylic resin models, and each model was mounted on the orthodontic measurement and simulation system. Ten 0.017 × 0.025-inch TMA and ten 0.017 × 0.025-inch stainless steel archwires were evaluated in the 0.018-inch brackets. In the 0.022-inch brackets, ten 0.019 × 0.025-inch TMA and ten 0.019 × 0.025-inch stainless steel archwires were measured. A 15° buccal root torque (+15°) and then a 15° palatal root torque (-15°) were gradually applied to the right central incisor bracket, and the moments were recorded at these positions. A t-test was conducted to compare the generated moments between wires within the 0.018- and 0.022-inch bracket groups separately. RESULTS The 0.017 × 0.025-inch archwire in the 0.018-inch brackets generated mean moments of 9.25 Nmm and 14.2 Nmm for the TMA and stainless steel archwires, respectively. The measured moments in the 0.022-inch brackets with the 0.019 × 0.025-inch TMA and stainless steel archwires were 6.6 Nmm and 9.3 Nmm, respectively. CONCLUSION The 0.017 × 0.025-inch stainless steel and β-Ti archwires in the 0.018-inch slot generated higher moments than the 0.019 × 0.025-inch archwires because of lower torque play. This difference is exaggerated in steel archwires, in comparison with the β-Ti, because of differences in stiffness. The differences of maximum moments between the archwires of the same cross-section but different alloys were statistically significant at both slot dimensions.

Stock price distributions and news:evidence from index options

We estimate the shape of the distribution of stock prices using data from options on the underlying asset, and test whether this distribution is distorted in a systematic manner each time a particular news event occurs. In particular we look at the response of the FTSE100 index to market wide announcements of key macroeconomic indicators and policy variables. We show that the whole distribution of stock prices can be distorted on an event day. The shift in distributional shape happens whether the event is characterized as an announcement occurrence or as a measured surprise. We find that larger surprises have proportionately greater impact, and that higher moments are more sensitive to events however characterised.

A Measurement of the Proton Structure Function g2p at Low Q2

Experiments at Jefferson Lab have been conducted to extract the nucleon spin-dependent structure functions over a wide kinematic range. Higher moments of these quantities provide tests of QCD sum rules and predictions of chiral perturbation theory ($\chi$PT). While precise measurements of $g_{1}^n$, $g_{2}^n$, and $g_1^p$ have been extensively performed, the data of $g_2^p$ remain scarce. Discrepancies were found between existing data related to $g_2$ and theoretical predictions. Results on the proton at large $Q^2$ show a significant deviation from the Burkhardt-Cottingham sum rule, while results for the neutron generally follow this sum rule. The next-to-leading order $\chi$PT calculations exhibit discrepancy with data on the longitudinal-transverse polarizability $\delta_{LT}^n$. Further measurements of the proton spin structure function $g_2^p$ are desired to understand these discrepancies.

Experiment E08-027 (g2p) was conducted at Jefferson Lab in experimental Hall A in 2012. Inclusive measurements were performed with polarized electron beam and a polarized ammonia target to obtain the proton spin-dependent structure function $g_2^p$ at low Q$^2$ region (0.02$<$Q$^2$$<$0.2 GeV$^2$) for the first time. The results can be used to test the Burkhardt-Cottingham sum rule, and also allow us to extract the longitudinal-transverse spin polarizability of the proton, which will provide a benchmark test of $\chi$PT calculations. This thesis will present and discuss the very preliminary results of the transverse asymmetry and the spin-dependent structure functions $g_1^p$ and $g_2^p$ from the data analysis of the g2p experiment .

Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

The multiscale entropy algorithm and its variants: a review

International audience

Three essays on the intraday dynamics of the foreign exchange market

Containing three essays on the intraday dynamics of the foreign exchange market, the dissertation highlights the role of higher-moments in improving the forecasting ability of exchange rates models while contributing to the literature through the identification of new calendar anomalies in the currency market which has implications for regulators and investors.

Higher-order moments in the theory of diversifying and portfolio composition

This paper examines the role of higher-order moments in portfolio choice within an expected-utility framework. We consider two-, three-, four- and five-parameter density functions for portfolio returns and derive exact conditions under which investors would all be optimally plungers rather than diversifiers. Through comparative statics we show the importance of higher-order risk preference properties, such as riskiness, prudence and temperance, in determining plunging behaviour. Empirical estimates for the S&P500 provide evidence for the optimality of diversification.

Application of higher order statistics/spectra in biomedical signals : a review

For many decades correlation and power spectrum have been primary tools for digital signal processing applications in the biomedical area. The information contained in the power spectrum is essentially that of the autocorrelation sequence; which is sufficient for complete statistical descriptions of Gaussian signals of known means. However, there are practical situations where one needs to look beyond autocorrelation of a signal to extract information regarding deviation from Gaussianity and the presence of phase relations. Higher order spectra, also known as polyspectra, are spectral representations of higher order statistics, i.e. moments and cumulants of third order and beyond. HOS (higher order statistics or higher order spectra) can detect deviations from linearity, stationarity or Gaussianity in the signal. Most of the biomedical signals are non-linear, non-stationary and non-Gaussian in nature and therefore it can be more advantageous to analyze them with HOS compared to the use of second order correlations and power spectra. In this paper we have discussed the application of HOS for different bio-signals. HOS methods of analysis are explained using a typical heart rate variability (HRV) signal and applications to other signals are reviewed.

Liminal moments : designing, thinking and learning

This paper provides a contextual reflection for understanding best practice teaching to first year design students. The outcome (job) focused approach to higher education has lead to some unanticipated collateral damage for students, and in the case we discuss, has altered the students’ expectations of course delivery with specific implications and challenges for design educators. This tendency in educational delivery systems is further compounded by the distinct characteristics of Generation Y students within a classroom context. It is our belief that foundational design education must focus more on process than outcomes, and through this research with first year design students we analyse and raise questions relative to the curriculum for a Design and Creative Thinking course—in which students not only benefit from learning the theories and processes of design thinking, conceptualisation and creativity, but also are encouraged to see it as an essential tool for their education and development as designers. This study considers the challenges within a design environment; specifically, we address the need for process based learning in contrast to the outcome-focused approach taken by most students. The authors base their reflections on teaching design students at a university in Queensland, Australia.

Liminal moments : designing, thinking and learning

This paper provides a contextual reflection for understanding best practice teaching to first year design students. The outcome (job) focussed approach to higher education has lead to some unanticipated collateral damage for students, and in the case we discuss, has altered the students’ expectations of course delivery with specific implications and challenges for design educators. This tendency in educational delivery systems is further compounded by the distinct characteristics of Generation Y students within a classroom context. It is our belief that foundational design education must focus more on process than outcomes, and through this research with first year design students we analyse and raise questions relative to the curriculum for a Design and Creative Thinking course—in which students not only benefit from learning the theories and processes of design thinking, conceptualisation and creativity, but also are encouraged to see it as an essential tool for their education and development as designers. This study considers the challenges within a design environment; specifically, we address the need for process based learning in contrast to the outcome-focused approach taken by most students. With this approach, students simultaneously learn to be a designer and rethink their approach to “doing design”.