Risk Parity: A Modern Tool for Diversification

The purpose of this study is to examine how well risk parity works in terms of risk, return and diversification relative to more traditional minimum variance, 1/N and 60/40 portfolios. Risk parity portfolios were constituted of five risk sources; three common asset classes and two alternative beta investment strategies. The three common asset classes were equities, bonds and commodities, and the alternative beta investment strategies were carry trade and trend following. Risk parity portfolios were constructed using five different risk measures of which four were tail risk measures. The risk measures were standard deviation, Value-at-Risk, Expected Shortfall, modified Value-at-Risk and modified Expected Shortfall. We studied also how sensitive risk parity is to the choice of risk measure. The hypothesis is that risk parity portfolios provide better return with the same amount of risk and are better diversified than the benchmark portfolios. We used two data sets, monthly and weekly data. The monthly data was from the years 1989-2011 and the weekly data was from the years 2000-2011. Empirical studies showed that risk parity portfolios provide better diversification since the diversification is made at the risk level. Risk based portfolios provided superior return compared to the asset based portfolios. Using tail risk measures in risk parity portfolios do not necessarily provide better hedge from tail events than standard deviation.

Correlations between forced oscillation technique parameters and pulmonary densitovolumetry values in patients with acromegaly

The aims of this study were to evaluate the forced oscillation technique (FOT) and pulmonary densitovolumetry in acromegalic patients and to examine the correlations between these findings. In this cross-sectional study, 29 non-smoking acromegalic patients and 17 paired controls were subjected to the FOT and quantification of lung volume using multidetector computed tomography (Q-MDCT). Compared with the controls, the acromegalic patients had a higher value for resonance frequency [15.3 (10.9-19.7) vs 11.4 (9.05-17.6) Hz, P=0.023] and a lower value for mean reactance [0.32 (0.21-0.64) vs 0.49 (0.34-0.96) cm H2O/L/s2, P=0.005]. In inspiratory Q-MDCT, the acromegalic patients had higher percentages of total lung volume (TLV) for nonaerated and poorly aerated areas [0.42% (0.30-0.51%) vs 0.25% (0.20-0.32%), P=0.039 and 3.25% (2.48-3.46%) vs 1.70% (1.45-2.15%), P=0.001, respectively]. Furthermore, the acromegalic patients had higher values for total lung mass in both inspiratory and expiratory Q-MDCT [821 (635-923) vs 696 (599-769) g, P=0.021 and 844 (650-945) vs 637 (536-736) g, P=0.009, respectively]. In inspiratory Q-MDCT, TLV showed significant correlations with all FOT parameters. The TLV of hyperaerated areas showed significant correlations with intercept resistance (rs=−0.602, P<0.001) and mean resistance (rs=−0.580, P<0.001). These data showed that acromegalic patients have increased amounts of lung tissue as well as nonaerated and poorly aerated areas. Functionally, there was a loss of homogeneity of the respiratory system. Moreover, there were correlations between the structural and functional findings of the respiratory system, consistent with the pathophysiology of the disease.

The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity.

This paper studies seemingly unrelated linear models with integrated regressors and stationary errors. By adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by feasible generalized least squares using the long-run covariance matrix, we obtain an efficient estimator of the cointegrating vector that has a limiting mixed normal distribution. Simulation results suggest that this new estimator compares favorably with others already proposed in the literature. We apply these new estimators to the testing of purchasing power parity (PPP) among the G-7 countries. The test based on the efficient estimates rejects the PPP hypothesis for most countries.

Enseignement de la géométrie en première secondaire et conceptions d'élèves : une oscillation entre la perception, la mesure et la théorie

Cette recherche, réalisée en milieu scolaire québécois, concerne l’enseignement et l’apprentissage de la géométrie à l’entrée au secondaire. Ce contexte est caractérisé par une géométrie non clairement définie d’un point de vue épistémologique, tant dans le programme d’études du premier cycle que dans les manuels scolaires. Ainsi, nous avons cherché à voir d’une part, l’activité géométrique souhaitée et actualisée par des enseignants incluant les problèmes proposés et, d’autre part, les conceptions d’élèves développées par ces problèmes. À partir de données recueillies auprès de quatre classes, nous avons déterminé cette activité géométrique et répertorié six types de problèmes dont quatre sont dominants ainsi que des conceptions d’élèves. L’activité géométrique en classe a donné lieu à des moments d’hésitation épistémologique, lesquels ne sont pas sans effet dans le développement des conceptions des élèves.

Studies on the Role of Tropospheric Biennial Oscillation in the Interannual Variability of Indian Summer Monsoon

The present study illustrates the biennial oscillation in different ocean-atmosphere parameters associated with interannual variability of Indian summer monsoon rainfall.It also accounts the role of different processes like ENSO, IOD, QBO and ISO in the monsoon variability during the TBO years.

Intraseasonal oscillation of total precipitable water over North Indian Ocean and its application in the diagnostic study of coastal rainfall

TRMM Microwave Imager (TMI) is reported to be a useful sensor to measure the atmospheric and oceanic parameters even in cloudy conditions. Vertically integrated specific humidity, Total Precipitable Water (TPW) retrieved from the water vapour absorption channel (22GHz.) along with 10m wind speed and rain rate derived from TMI is used to investigate the moisture variation over North Indian Ocean. Intraseasonal Oscillations (ISO) of TPW during the summer monsoon seasons 1998, 1999, and 2000 over North Indian Ocean is explored using wavelet analysis. The dominant waves in TPW during the monsoon periods and the differences in ISO over Arabian Sea and Bay of Bengal are investigated. The northward propagation of TPW anomaly and its coherence with the coastal rainfall is also studied. For the diagnostic study of heavy rainfall spells over the west coast, the intrusion of TPW over the North Arabian Sea is seen to be a useful tool.

Inertial oscillation forced by the September 1997 cyclone in the Bay of Bengal

Time-series measurements from a moored data buoy located in the Bay of Bengal captured signals of inertial oscillation forced by the September 1997 cyclone. The progressive vector diagram showed mean northeastward current with well-defined clockwise circulation. Spectral analysis exhibited inertial peak at 0.67 cpd with blue shift and high rotary coefficient of –0.99, which signifies strong circular inertial oscillation. The wind and SST also exhibited spectral peak at inertial band (0.69 cpd) with higher blue shift. The inertial amplitude of 148.8 cm/s corresponding to a wind stress of 0.99 N/m2 and spectral peak near the local inertial frequency (0.653 cpd) indicate that the transfer of momentum was high.

Parity violation in Aharonov-Bohm systems: The spontaneous Hall effect

We show how macroscopic manifestations of P (and T) symmetry breaking can arise in a simple system subject to Aharonov-Bohm interactions. Specifically, we study the conductivity of a gas of charged particles moving through a dilute array of flux tubes. The interaction of the electrons with the flux tubes is taken to be of a purely Aharonov-Bohm type. We find that the system exhibits a nonzero transverse conductivity, i.e., a spontaneous Hall effect. This is in contrast to the fact that the cross sections for both scattering and bremsstrahlung (soft-photon emission) of a single electron from a flux tube are invariant under reflections. We argue that the asymmetry in the conductivity coefficients arises from many-body effects. On the other hand, the transverse conductivity has the same dependence on universal constants that appears in the quantum Hall effect, a result that we relate to the validity of the mean-field approximation.

Atomic parity nonconservation, neutron radii, and effective field theories of nuclei

Accurately calibrated effective field theories are used to compute atomic parity nonconserving (APNC) observables. Although accurately calibrated, these effective field theories predict a large spread in the neutron skin of heavy nuclei. Whereas the neutron skin is strongly correlated to numerous physical observables, in this contribution we focus on its impact on new physics through APNC observables. The addition of an isoscalar-isovector coupling constant to the effective Lagrangian generates a wide range of values for the neutron skin of heavy nuclei without compromising the success of the model in reproducing well-constrained nuclear observables. Earlier studies have suggested that the use of isotopic ratios of APNC observables may eliminate their sensitivity to atomic structure. This leaves nuclear structure uncertainties as the main impediment for identifying physics beyond the standard model. We establish that uncertainties in the neutron skin of heavy nuclei are at present too large to measure isotopic ratios to better than the 0.1% accuracy required to test the standard model. However, we argue that such uncertainties will be significantly reduced by the upcoming measurement of the neutron radius in 208^Pb at the Jefferson Laboratory.

Characteristics of oscillation in surface layer and above over Cochin

The oscillations in the Atmospheric Boundary Layer (ABL) are important because the transport mechanism from the surface to the upper atmosphere is governed by the ABL characteristics. The study was carried out using wind and temperature data observed at surface, 925 hPa and 850 hPa levels over Cochin and the different frequencies embedded in the boundary layer parameters are identified by employing wavelet technique. Surface boundary layer characteristics over the monsoon region are closely linked to the upper layer monsoon features. In this perception it is important to study the various oscillations in the surface boundary layer and the layer above. It is found that the wind and temperature at different levels show oscillations in Quasi Biweekly Mode (QBM) and Intra Seasonal Oscillation (ISO) bands as observed in a typical monsoon system. Amplitude of the oscillation varies with height. The amplitude of the QBM periodicity is more in the surface levels but in the upper levels the amplitude of the ISO periodicity is more than that of the QBM. From this, it is obvious that the controlling mechanism of QBM band is surface parameters such as surface friction and that for ISO band is associated with the active-break cycles of monsoon system

Local Hadley circulation over the Asian monsoon region associated with the Tropospheric Biennial Oscillation

The Tropospheric Biennial Oscillation (TBO), a major interannual variation phenomenon in the Indo-Pacific region, is the result of strong ocean-atmosphere coupling over the Asian-Australian monsoon area. Along with other meteorological and oceanographic parameters, the tropical circulation also exhibits interannual oscillations. Even though the TBO is the result of strong air–sea interaction, the circulation cells during TBO years are, as yet, not well understood. In the present study, an attempt has been made to understand the interannual variability of the mean meridional circulation and local monsoon circulation over south Asia in connection with the TBO. The stream function computed from the zonal mean meridional wind component of NCEP=NCAR reanalysis data for the years 1950–2003 is used to represent the meanmeridional circulation. Mean meridional mass transport in the topics reverses from a weak monsoon to a strong monsoon in the presence of ENSO, but in normal TBO yearsmean transport remains weak across the Northern Hemisphere. The meridional temperature gradient, which drives the mean meridional circulation, also shows no reversal during the normal TBO cycle. The local Hadley circulation over the monsoon area follows the TBO cycle with anomalous ascent (descent) in strong (weak) monsoon years. During normal TBO years, the Equatorial region and Indian monsoon areas exhibit opposite local Hadley circulation anomalies

The Parity of the Number of Irreducible Factors for Some Pentanomials

It is well known that Stickelberger-Swan theorem is very important for determining reducibility of polynomials over a binary field. Using this theorem it was determined the parity of the number of irreducible factors for some kinds of polynomials over a binary field, for instance, trinomials, tetranomials, self-reciprocal polynomials and so on. We discuss this problem for type II pentanomials namely x^m +x^{n+2} +x^{n+1} +x^n +1 \in\ IF_2 [x]. Such pentanomials can be used for efficient implementing multiplication in finite fields of characteristic two. Based on the computation of discriminant of these pentanomials with integer coefficients, it will be characterized the parity of the number of irreducible factors over IF_2 and be established the necessary conditions for the existence of this kind of irreducible pentanomials.

Parity of the Number of Irreducible Factors for Composite Polynomials

Various results on parity of the number of irreducible factors of given polynomials over finite fields have been obtained in the recent literature. Those are mainly based on Swan’s theorem in which discriminants of polynomials over a finite field or the integral ring Z play an important role. In this paper we consider discriminants of the composition of some polynomials over finite fields. The relation between the discriminants of composed polynomial and the original ones will be established. We apply this to obtain some results concerning the parity of the number of irreducible factors for several special polynomials over finite fields.

PPP, UIP and Fisher parity: speculation or rational expectations? Evidence for four Latin American countries

This work aims to test the equilibrium relations of two international macroeconomics models for Colombia, Chile, Mexico and Brazil. The first model is the rational expectation hypothesis (REH) where three key relations will be tested: Purchasing Power Parity (PPP), Uncovered Interest Rate Parity (UIP) and the Fisher Parity condition. The second model follows the line of though of Imperfect Knowledge Economics (IKE) where two equilibrium relations will be tested. According to IKE, even under the assumption that agents are rational, the presence of speculative behavior in financial markets helps explain the long swings often observed in the behavior of exchange rates. The results support the view that the predictions of the IKE model hold for Colombia, while those of the REH hold for both Brazil and Mexico. Mixed findings are obtained for Chile.

The impact of North Atlantic Oscillation on the atmospheric pollutant variability in the Porto region, Portugal

The North Atlantic Oscillation (NAO) is an important large-scale atmospheric circulation that influences the European countries climate. This study evaluated NAO impact in air quality in Porto Metropolitan Area (PMA), Portugal, for the period 2002-2006. NAO, air pollutants and meteorological data were statistically analyzed. All data were obtained from PMA Weather Station, PMA Air Quality Stations and NOAA analysis. Two statistical methods were applied in different time scale : principal component and correlation coefficient. Annual time scale, using multivariate analysis (PCA, principal component analysis), were applied in order to identified positive and significant association between air pollutants such as PM10, PM2.5, CO, NO and NO2, with NAO. On the other hand, the correlation coefficient using seasonal time scale were also applied to the same data. The results of PCA analysis present a general negative significant association between the total precipitation and NAO, in Factor 1 and 2 (explaining around 70% of the variance), presented in the years of 2002, 2004 and 2005. During the same years, some air pollutants (such as PM10, PM2.5, SO2, NOx and CO) present also a positive association with NAO. The O3 shows as well a positive association with NAP during 2002 and 2004, at 2nd Factor, explaining 30% of the variance. From the seasonal analysis using correlation coefficient, it was found significant correlation between PM10 (0.72., p<0.05, in 2002), PM2.5 (0 74, p<0.05, in 2004), and SO2 (0.78, p<0.01, in 2002) with NAO during March-December (no winter period) period. Significant associations between air pollutants and NAO were also verified in the winter period (December to April) mainly with ozone (2005, r=-0.55, p.<0.01). Once that human health and hospital morbidities may be affected by air pollution, the results suggest that NAO forecast can be an important tool to prevent them, in the Iberian Peninsula and specially Portugal.