956 resultados para Modern portfolio theory
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Quantum Key Distribution is carving its place among the tools used to secure communications. While a difficult technology, it enjoys benefits that set it apart from the rest, the most prominent is its provable security based on the laws of physics. QKD requires not only the mastering of signals at the quantum level, but also a classical processing to extract a secret-key from them. This postprocessing has been customarily studied in terms of the efficiency, a figure of merit that offers a biased view of the performance of real devices. Here we argue that it is the throughput the significant magnitude in practical QKD, specially in the case of high speed devices, where the differences are more marked, and give some examples contrasting the usual postprocessing schemes with new ones from modern coding theory. A good understanding of its implications is very important for the design of modern QKD devices.
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The affinity between the work of the Austrian economist Friedrich A. Hayek and the approach of Complexity Economics is widely recognized by the literature. In spite of this, there still is a lack of studies that seek to analyze in depth the relationship between Hayek and complexity. This dissertation is a contribution to the filling of this large gap in the literature. In the first part of the work, we analyze the various periods in the development of Hayek\'s vision of complexity, showing that this vision is strongly present in his works on knowledge, competition, methodology, evolution, and spontaneous order. In the second part, we explore how Hayek was influenced by two of the main precursors of modern complexity theory - cybernetics and general system theory - from the time he was working on his book on theoretical psychology, The Sensory Order (1952), until the end of his intellectual career.
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Mode of access: Internet.
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Thesis (Ph.D.)--University of Washington, 2016-06
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This thesis proposes a theory of Motivation to Work, as a particular condition of general motivation, using the Maussian concept of the Gift to explain the operation of Lacanian Desire. Specifically, it argues that de-motivation stems from Gift rejection. However, as the arguments are not paradigmatically commensurable with managerialist theories, it has been necessary to establish the epistemological tradition of which this work is representative, namely, Critical Theory and Post-Structuralism/Post- Modernism. In distinction to the managerialist explanations of motivation, management and work, behaviourist theories of motivation are characterised as more properly a concern with psychological incentives, management in its current socio-historic institutionalised form as a process of social domination and work as a social experience of domination, but also as a forum for social life generally. However, as such a view receives little theoretical or empirical confirmation from managerialist literature, it is argued that it is necessary to broaden the catchment area of relevant writing, and that the literary arts have more insight than orthodox science. This is supported by reference to modern literary theory in terms of the Form/Content distinction. Central to this argument is the ontological concept of Difference and its `political' use in maintaining social domination by privileging certain forms over others. Having established the basis on which to articulate this theory of motivation, the Lacanian concept of Desire is explored, together with its relevance to motivation and management/organisation theory. The theory of the Gift Relationship is then explicated and developed, together with some of its popular sociological conceptualisations, and an argument made for an understanding in terms of its psychological signficance in explaining the operationalisation of Lacanian Desire. This is related to the work situation and to its relevance for organisational management. In conclusion, its utility is considered, as are some potential criticisms of the arguments put forward.
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The standards of diagnostic systems formation in medicine based on modeling expert’s “means of action” in form of illegible trees of solution-making taking into consideration the criteria of credibility and usefulness have been suggested. The fragments of “applied” trees at diagnosing infectious and urological diseases have been considered as well. The possibilities of modern tooling theory usage for decision-making during creation of artificial intelligence systems have been discussed.
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A biztosítók működését általában több homogén részállományból összetevődő heterogén biztosítási állomány jellemzi. A részállományok alkotta biztosítási portfólió esetében a kockázatdiverzifikáció vizsgálható a teljes állományra, illetve a részállományokra összesített kockázatok különbségeként, és elemezhető a kockázat és hozam kapcsolata alapján is. A biztosítók működésének főbb sajátosságait tartalmazó modellben azt mutatjuk meg, hogy a biztosítási portfólió esetében tapasztalható kockázatdiverzifikációs hatások milyen mértékben hasonlítanak a klasszikusnak számító, befektetésekkel foglalkozó Markowitz-féle portfólióelmélet által leírtakra. Modellünk alapján megállapítható: számos hasonlóságon túl a biztosító működési sajátosságai következtében a hatékony biztosítási portfóliók, illetve az optimális befektetési arányok meghatározása egyedi tulajdonságokkal jellemezhető. / === / Insurance is generally characterized by a heterogeneous insurance population made up of several (homogeneous) sub-populations. Risk diversification in the "insurance portfolio" containing these sub-populations can appear as a difference between the risk of the total population and the sum of the risks of the separate sub-populations, and it can also be analysed based on the relation of risk and return. Examining these aspects of risk diversification with a model covering the main features of insurance activity, the study analyses how far the risk diversification effects of the insurance portfolio resemble the results of classical Markowitz portfolio theory. Based on the results from the study's theoretical model, it appears that alongside several similarities, there are some individual features in the determination of "efficient insurance portfolios" and optimal investment weights.
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The existence of an inverse limit of an inverse system of (probability) measure spaces has been investigated since the very beginning of the birth of the modern probability theory. Results from Kolmogorov [10], Bochner [2], Choksi [5], Metivier [14], Bourbaki [3] among others have paved the way of the deep understanding of the problem under consideration. All the above results, however, call for some topological concepts, or at least ones which are closely related topological ones. In this paper we investigate purely measurable inverse systems of (probability) measure spaces, and give a sucient condition for the existence of a unique inverse limit. An example for the considered purely measurable inverse systems of (probability) measure spaces is also given.
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The span of control is the most discussed single concept in classical and modern management theory. In specifying conditions for organizational effectiveness, the span of control has generally been regarded as a critical factor. Existing research work has focused mainly on qualitative methods to analyze this concept, for example heuristic rules based on experiences and/or intuition. This research takes a quantitative approach to this problem and formulates it as a binary integer model, which is used as a tool to study the organizational design issue. This model considers a range of requirements affecting management and supervision of a given set of jobs in a company. These decision variables include allocation of jobs to workers, considering complexity and compatibility of each job with respect to workers, and the requirement of management for planning, execution, training, and control activities in a hierarchical organization. The objective of the model is minimal operations cost, which is the sum of supervision costs at each level of the hierarchy, and the costs of workers assigned to jobs. The model is intended for application in the make-to-order industries as a design tool. It could also be applied to make-to-stock companies as an evaluation tool, to assess the optimality of their current organizational structure. Extensive experiments were conducted to validate the model, to study its behavior, and to evaluate the impact of changing parameters with practical problems. This research proposes a meta-heuristic approach to solving large-size problems, based on the concept of greedy algorithms and the Meta-RaPS algorithm. The proposed heuristic was evaluated with two measures of performance: solution quality and computational speed. The quality is assessed by comparing the obtained objective function value to the one achieved by the optimal solution. The computational efficiency is assessed by comparing the computer time used by the proposed heuristic to the time taken by a commercial software system. Test results show the proposed heuristic procedure generates good solutions in a time-efficient manner.
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The current study applies a two-state switching regression model to examine the behavior of a hypothetical portfolio of ten socially responsible (SRI) equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using monthly data. The model identified a business cycle effect on the performance of SRI equity mutual funds. Fund returns were less volatile during expansion/peaks than during contraction/troughs, as indicated by the standard deviation of returns. During contraction/troughs, fund excess returns were explained by the differential in returns between small and large companies, the difference between the returns on stocks trading at high and low Book-to-Market Value, the market excess return over the risk-free rate, and fund objective. During contraction/troughs, smaller companies offered higher returns than larger companies (ci = 0.26, p = 0.01), undervalued stocks out-performed high growth stocks (h i = 0.39, p <0.0001), and funds with growth objectives out-performed funds with other objectives (oi = 0.01, p = 0.02). The hypothetical SRI portfolio was less risky than the market (bi = 0.74, p <0.0001). During expansion/peaks, fund excess returns were explained by the market excess return over the risk-free rate, and fund objective. Funds with other objectives, such as balanced funds and income funds out-performed funds with growth objectives (oi = −0.01, p = 0.03). The hypothetical SRI portfolio exhibited similar risk as the market (bi = 0.93, p <0.0001). The SRI investor adds a third criterion to the risk and return trade-off of traditional portfolio theory. This constraint is social performance. The research suggests that managers of SRI equity mutual funds may diminish value by using social and ethical criteria to select stocks, but add value by superior stock selection. The result is that the performance of SRI mutual funds is very similar to that of the market. There was no difference in the value added among secular SRI, religious SRI, and vice screens.
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This paper deals with the place of narrative, that is, storytelling, in public deliberation. A distinction is made between weak and strong conceptions of narrative. According to the weak one, storytelling is but one rhetorical device among others with which social actors produce and convey meaning. In contrast, the strong conception holds that narrative is necessary to communicate, and argue, about topics such as the human experience of time, collective identities and the moral and ethical validity of values. The upshot of this idea is that storytelling should be a necessary component of any ideal of public deliberation. Contrary to recent work by deliberative theorists, who tend to adopt the weak conception of narrative, the author argues for embracing the strong one. The main contention of this article is that stories not only have a legitimate place in deliberation, but are even necessary to formulate certain arguments in the fi rst place; for instance, arguments drawing on historical experience. This claim, namely that narrative is constitutive of certain arguments, in the sense that, without it, said reasons cannot be articulated, is illustrated by deliberative theory’s own narrative underpinnings. Finally, certain possible objections against the strong conception of narrative are dispelled.
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Ausonio de Burdigala (Burdeos) escribe entre los años 379-383 su obra poética titulada Caesares. Esta colección es una biografía de la vida de los emperadores en verso (hexámetro y dístico elegíaco). Caesares no está completa; la obra acaba de repente en el cuarteto dedicado a Heliogábalo. En este trabajo abordamos el género de la colección, examinamos el estilo de Ausonio en varias partes (monósticos y tetrásticos) y destacamos las fuentes (Suetonio, Tácito, Kaisergeschichte, Mario Máximo). Asimismo valoramos las diferentes opiniones que los estudiosos de Ausonio han expresado sobre la parte perdida de esta colección.
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Matching theory and matching markets are a core component of modern economic theory and market design. This dissertation presents three original contributions to this area. The first essay constructs a matching mechanism in an incomplete information matching market in which the positive assortative match is the unique efficient and unique stable match. The mechanism asks each agent in the matching market to reveal her privately known type. Through its novel payment rule, truthful revelation forms an ex post Nash equilibrium in this setting. This mechanism works in one-, two- and many-sided matching markets, thus offering the first mechanism to unify these matching markets under a single mechanism design framework. The second essay confronts a problem of matching in an environment in which no efficient and incentive compatible matching mechanism exists due to matching externalities. I develop a two-stage matching game in which a contracting stage facilitates subsequent conditionally efficient and incentive compatible Vickrey auction stage. Infinite repetition of this two-stage matching game enforces the contract in every period. This mechanism produces inequitably distributed social improvement: parties to the contract receive all of the gains and then some. The final essay demonstrates the existence of prices which stably and efficiently partition a single set of agents into firms and workers, and match those two sets to each other. This pricing system extends Kelso and Crawford's general equilibrium results in a labor market matching model and links one- and two-sided matching markets as well.
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El presente trabajo ofrece el texto griego del Dialogo de un Sarraceno y un cristiano con una traducción española. En la introducción tratamos de los autores posibles, los contenidos y los principales asuntos en discusión en el seno del Islam, así como generalidades sobre el género literario y el griego del escrito. Por último se ensaya una posible explicación del desorden temporal (que oscila sin aparente sentido entre el aoristo y el presente), partiendo de la moderna teoría lingüística conocida como teoría de la perfectividad.