Choix de portefeuille de grande taille et mesures de risque pour preneurs de décision pessimistes

Cette thèse de doctorat consiste en trois chapitres qui traitent des sujets de choix de portefeuilles de grande taille, et de mesure de risque. Le premier chapitre traite du problème d’erreur d’estimation dans les portefeuilles de grande taille, et utilise le cadre d'analyse moyenne-variance. Le second chapitre explore l'importance du risque de devise pour les portefeuilles d'actifs domestiques, et étudie les liens entre la stabilité des poids de portefeuille de grande taille et le risque de devise. Pour finir, sous l'hypothèse que le preneur de décision est pessimiste, le troisième chapitre dérive la prime de risque, une mesure du pessimisme, et propose une méthodologie pour estimer les mesures dérivées. Le premier chapitre améliore le choix optimal de portefeuille dans le cadre du principe moyenne-variance de Markowitz (1952). Ceci est motivé par les résultats très décevants obtenus, lorsque la moyenne et la variance sont remplacées par leurs estimations empiriques. Ce problème est amplifié lorsque le nombre d’actifs est grand et que la matrice de covariance empirique est singulière ou presque singulière. Dans ce chapitre, nous examinons quatre techniques de régularisation pour stabiliser l’inverse de la matrice de covariance: le ridge, spectral cut-off, Landweber-Fridman et LARS Lasso. Ces méthodes font chacune intervenir un paramètre d’ajustement, qui doit être sélectionné. La contribution principale de cette partie, est de dériver une méthode basée uniquement sur les données pour sélectionner le paramètre de régularisation de manière optimale, i.e. pour minimiser la perte espérée d’utilité. Précisément, un critère de validation croisée qui prend une même forme pour les quatre méthodes de régularisation est dérivé. Les règles régularisées obtenues sont alors comparées à la règle utilisant directement les données et à la stratégie naïve 1/N, selon leur perte espérée d’utilité et leur ratio de Sharpe. Ces performances sont mesurée dans l’échantillon (in-sample) et hors-échantillon (out-of-sample) en considérant différentes tailles d’échantillon et nombre d’actifs. Des simulations et de l’illustration empirique menées, il ressort principalement que la régularisation de la matrice de covariance améliore de manière significative la règle de Markowitz basée sur les données, et donne de meilleurs résultats que le portefeuille naïf, surtout dans les cas le problème d’erreur d’estimation est très sévère. Dans le second chapitre, nous investiguons dans quelle mesure, les portefeuilles optimaux et stables d'actifs domestiques, peuvent réduire ou éliminer le risque de devise. Pour cela nous utilisons des rendements mensuelles de 48 industries américaines, au cours de la période 1976-2008. Pour résoudre les problèmes d'instabilité inhérents aux portefeuilles de grandes tailles, nous adoptons la méthode de régularisation spectral cut-off. Ceci aboutit à une famille de portefeuilles optimaux et stables, en permettant aux investisseurs de choisir différents pourcentages des composantes principales (ou dégrées de stabilité). Nos tests empiriques sont basés sur un modèle International d'évaluation d'actifs financiers (IAPM). Dans ce modèle, le risque de devise est décomposé en deux facteurs représentant les devises des pays industrialisés d'une part, et celles des pays émergents d'autres part. Nos résultats indiquent que le risque de devise est primé et varie à travers le temps pour les portefeuilles stables de risque minimum. De plus ces stratégies conduisent à une réduction significative de l'exposition au risque de change, tandis que la contribution de la prime risque de change reste en moyenne inchangée. Les poids de portefeuille optimaux sont une alternative aux poids de capitalisation boursière. Par conséquent ce chapitre complète la littérature selon laquelle la prime de risque est importante au niveau de l'industrie et au niveau national dans la plupart des pays. Dans le dernier chapitre, nous dérivons une mesure de la prime de risque pour des préférences dépendent du rang et proposons une mesure du degré de pessimisme, étant donné une fonction de distorsion. Les mesures introduites généralisent la mesure de prime de risque dérivée dans le cadre de la théorie de l'utilité espérée, qui est fréquemment violée aussi bien dans des situations expérimentales que dans des situations réelles. Dans la grande famille des préférences considérées, une attention particulière est accordée à la CVaR (valeur à risque conditionnelle). Cette dernière mesure de risque est de plus en plus utilisée pour la construction de portefeuilles et est préconisée pour compléter la VaR (valeur à risque) utilisée depuis 1996 par le comité de Bâle. De plus, nous fournissons le cadre statistique nécessaire pour faire de l’inférence sur les mesures proposées. Pour finir, les propriétés des estimateurs proposés sont évaluées à travers une étude Monte-Carlo, et une illustration empirique en utilisant les rendements journaliers du marché boursier américain sur de la période 2000-2011.

Towards a knowledge economy

This paper provides a preliminary formulation of a new currency based on knowledge. Through a literature review of alternative currencies, various properties and benefits are selected that we hope will enable such a currency to be created. Nowadays not only money but also knowledge is necessary to do business. For instance, knowledge about markets and consumers is highly valuable but difficult to achieve, and even more difficult to store, transport or trade. The basic premise of this proposal is a knowledge measurement pattern that is formulated as a new alternative social currency. Therefore, it is an additional means of contributing to the worldwide evolution of a knowledge society. It is intended as a currency to facilitate the conservation and storage of knowledge, and its organization and categorization, but mainly its exploitation and transference

En busca de algunos hechos estilizados del mercado financiero colombiano

El reciente desarrollo de los mercados financieros en Colombia hace evidente la importancia de la mayor o menor integración con el entorno internacional. De acuerdo con la teoría de portafolio, para la conformación de un portafolio eficiente se deben combinar activos de diferente riesgo para obtener el mayor retorno esperado posible, teniendo en cuenta que puede existir correlación entre los activos. En ese sentido, se busca evidencia del grado de correlación que existe entre los principales activos del mercado local y del mercado internacional. En particular, los activos del mercado local (dólar, bonos de la Tesorería y acciones) y el mercado extranjero (en particular bonos del Tesoro de Estados Unidos) deberían presentar una correlación alta para considerarse sustitutos en una eventual construcción de un portafolio eficiente. En busca de estos hechos estilizados, se utilizan dos metodologías (Filtro de Hodrick y Prescott, 1997 y primeras diferencias de las variables) para la estimación de correlaciones contemporáneas y no contemporáneas entre los diferentes activos. Sin embargo, la evidencia muestra que la relación que existe entre los activos locales y los extranjeros no permite ser concluyente sobre el tema.

Gauging the investment potential of international real estate markets

Investing in real estate markets overseas means venturing into the unknown, where you meet unfamiliar political and economic environments, unstable currencies, strange cultures and languages, and so although the advantages of international diversification might appear attractive, the risks of international investment must not be overlooked. However, capital markets are becoming global markets, and commercial real estate markets are no exception, accordingly despite the difficulties posed by venturing overseas no investor can overlook the potential international investment holds out. Thus, what strategies are appropriate for capitalising on this potential? Three issues must be considered: (1) the potential of the countries real estate market in general; (2) the potential of the individual market sectors; and (3) the investment process itself. Although each step in foreign real estate investment is critical, the initial assessment of opportunities is especially important. Various methods can be used to achieve this but a formal and systematic analysis of aggregate market potential should prove particularly fruitful. The work reported here, therefore, develops and illustrates such a methodology for the over 50 international real estate markets.

Commodity currency: an alternative route to currency union

Proposals have been made for a common currency for East Asia, but the countries preparing to participate need to be in a state of economic convergence. We show that at least six countries of East Asia already satisfy this condition. There also needs to be a mechanism by which the new currency relates to other reserve currencies. We demonstrate that a numéraire could be defined solely from the actual worldwide consumption of food and energy per capita, linked to fiat currencies via world market prices. We show that real resource prices are stable in real terms, and likely to remain so. Furthermore, the link from energy prices to food commodity prices is permanent, arising from energy inputs in agriculture, food processing and distribu-tion. Calibration of currency value using a yardstick such as our SI numéraire offers an unbiased measure of the con-sistently stable cost of subsistence in the face of volatile currency exchange rates. This has the advantage that the par-ticipating countries need only agree to currency governance based on a common standards institution, a much less on-erous form of agreement than would be required in the creation of a common central bank.

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

Agricultural commodity markets : reference point for the real value of a currency

Using monthly time-series data 1999-2013, the paper shows that markets for agricultural commodities provide a yardstick for real purchasing power, and thus a reference point for the real value of fiat currencies. The daily need for each adult to consume about 2800 food calories is universal; data from FAO food balance sheets confirm that the world basket of food consumed daily is non-volatile in comparison to the volatility of currency exchange rates, and so the replacement cost of food consumed provides a consistent indicator of economic value. Food commodities are storable for short periods, but ultimately perishable, and this exerts continual pressure for markets to clear in the short term; moreover, food calories can be obtained from a very large range of foodstuffs, and so most households are able to use arbitrage to select a near optimal weighting of quantities purchased. The paper proposes an original method to enable a standard of value to be established, definable in physical units on the basis of actual worldwide consumption of food goods, with an illustration of the method.

Bothrops insularis venomics: A proteomic analysis supported by transcriptomic-generated sequence data

A joint transcriptomic and proteomic approach employing two-dimensional electrophoresis, liquid chromatography and mass spectrometry was carried out to identify peptides and proteins expressed by the venom gland of the snake Bothrops insularis, an endemic species of Queimada Grande Island, Brazil. Four protein families were mainly represented in processed spots, namely metalloproteinase, serine proteinase, phospholipase A(2) and lectin. Other represented families were growth factors, the developmental protein G10, a disintegrin and putative novel bradykinin-potentiating peptides. The enzymes were present in several isoforms. Most of the experimental data agreed with predicted values for isoelectric point and M(r) of proteins found in the transcriptome of the venom gland. The results also support the existence of posttranslational modifications and of proteolytic processing of precursor molecules which could lead to diverse multifunctional proteins. This study provides a preliminary reference map for proteins and peptides present in Bothrops insularis whole venom establishing the basis for comparative studies of other venom proteomes which could help the search for new drugs and the improvement of venom therapeutics. Altogether, our data point to the influence of transcriptional and post-translational events on the final venom composition and stress the need for a multivariate approach to snake venomics studies. (c) 2009 Elsevier B.V. All rights reserved.

The quality of the LMX relationship, the currency of exchange, and emotions at work

Leader-member exchange (LMX) is a theory of leadership that specifically focuses on the quality of the relationship between a manager and his/her subordinates. Previous research has shown the link between LMX quality and employee attitudes and behaviours at work. However, to the authors' knowledge, research is yet to specifically investigate the link between LMX quality and employee emotions. Also little understood are the social exchanges that lead to and maintain LMX quality ("currencies of exchange" in LMX theory). We introduce the notion of currency of exchange quality - whether the currency is present to a good enough extent or not (either in absence or excess) - and theoretically link this to employee emotions.
A field study was designed and conducted to investigate the links. The study supported the propositions that high LMX relationships with good enough currency quality resulted in more positive employee emotions; low LMX with an absence of currency quality resulted in more negative emotions; and low LMX with an excess of currency quality resulted in mixed emotions. An unexpected finding was that high LMX was also associated with excess currency quality and mixed emotions. The affective evaluations and discrete emotions experienced varied according to the currency and its quality.

Speed of adjustment within currency markets

One measure of market efficiency is the speed at which prices adjust to fundamental value with the arrival of information. This paper examines this issue by estimating speed of adjustment coefficients using three  methodologies for eight currencies for the entire year of 1996 using half hourly non-overlapping return intervals. We find that the bulk of adjustment to fundamental value for all currencies occurs within the hour but then quickly deteriorates. Within the hour adjustment is sufficiently quick to be considered efficient but the lack of full adjustment to fundamental value is not what would be predicted within an efficient market. There is no evidence for any of the currencies studied of a tendency to over react. There is also little difference in the speeds of adjustment between actively and less actively traded  currencies. There is however a definite difference in the speed at which currencies adjustment depending on whether they are free floating or managed exchange rates. Free floating rates adjust much quicker. Government intervention slows adjustment to fundamental value.

International comparisons of construction industry performance: further investigations

While there have been many attempts at comparisons of construction performance over the past 50 years, the results have generally been inconclusive and/or contradictory.

Such comparisons are of great interest to industry, governments and theorists alike but there is little agreement as to how they are best done. A variety of methodologies have been used, however, the lack of satisfactory outcomes has been due largely to one factor, the lack of a truly reliable method for comparing construction costs in different currencies

Exchange rates are recognised as being unsuitable, and while purchasing power parity (PPP) has a long history, the method still has many critics. In addition, the nature of the building industry and its products makes the establishment of reliable construction PPPs very difficult. Both the UN’s International Comparison Program (ICP) and the European Union gather data for the production of construction-specific PPP indices, but neither body publishes them, as there is too much doubt about their reliability.

New approaches are being developed and some are soon to be trialled. This paper looks at the problems, describes and discusses some new approaches, and assesses their potential.

Animal migration : linking models and data beyond taxonomic limits

An international workshop on animal migration was held at the Lorentz Center in Leiden, The Netherlands, 2–6 March 2009, bringing together leading theoreticians and empiricists from the major migratory taxa, aiming at the identification of cutting-edge questions in migration research that cross taxonomic borders.

Impacts of currency fluctuations on Japanese foreign direct investment

The Japanese currency has appreciated substantially against most other currencies over the last two decades. During the same time Japan has become one of the world's largest providers of FDI. Japan's share of total FDI outflows increased from about 6 percent during the late 70's to 21 percent in 1990 while its share of the total stock of FDI in the world increased from less than 1 percent in 1960 to more than 13 percent in 1993. Not surprisingly, Japan's role in international business in general and its FDI activities, in particular, have attracted considerable attention from researchers world wide. However, much of this attention has been directed towards the patterns and determinants of Japanese foreign direct investment, in particular to the United States. The impact of changes in the value of the Yen on Japanese FDI has been largely overlooked. Thus, this paper fills an important gap in the literature by focusing on the influence of changes of the exchange rate on Japanese foreign direct investment. A comprehensive simultaneous equa-tion model of Japanese FDI is developed on a regional level to gauge the extent to which currency fluctuations affect Japanese FDI activities. The results suggest that the exchange rate is an effective mechanism through which to influence FDI. Thus, the exchange rate should not be overlooked by the World Trade Organisation in its efforts to further liberalise investment through the Multilateral Agreement on Investment.

Credit cycle dependent spread determinants in emerging sovereign debt markets

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are motivated in the tradition of structural credit risk models and include changes in asset prices, interest rates, implied market volatility, gold price changes and foreign exchange rates. We examine daily frequency variations of U.S. dollar denominated Eurobond credit spreads of four major Latin American sovereign bond issuers (Brazil, Colombia, Mexico and Venezuela) with liquid bond markets during March 2000 to June 2011. We find that spread determinants are statistically significant and consistent with theory, while their magnitude remarkably varies with the state of the credit cycle. Crisis states are characterized by high spread change uncertainty and high sensitivities with respect to the spread change determinants. We further document that not only changes of local currencies, but also changes of the Euro with respect to the U.S. dollar are significant spread drivers and argue that this is consistent with the sovereigns' ability to pay.

Revealing Australia’s Underground Economy

This study, using currency demand model, finds Australia’s underground economy to be around 2 to 3 per cent of gross domestic product. We extend the related literature (see, inter alia, Bajada, 1999 and Breusch, 2005) in three novel ways. First, we use Austrian levels of taxes and welfare payments as the minimum levels of taxes and welfare payments. Secondly, we employ the currency demand measurement as in Cagan (1958), i.e., cash and currencies as a proportion of total money supply. Third, we use Cagan’s original assumption regarding equalities of velocities of currencies in both the legal and illegal economies in order to estimate the underground economy.