When Can you Immunize a Bond Portfolio?.

This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarantees a minimum return when the asset prices are convex functions of interest rates or other state variables. We apply this lemma to immunize default free and option free coupon bonds and reach three main conclusions. First, we give a solution to an old puzzle: why do simple duration matching portfolios work well in empirical studies of immunization even though they are derived in a model inconsistent with equilibrium and shifts on the term structure of interest rates are not parallel, as as sumed? Second, we establish a clear distinction between the concepts of immunized and maxmin portfolios. Third, we develop a framework that includes the main results of this literature as special cases. Next, we present a new strategy of immunization that consists in matching duration and minimizing a new linear dispersion measure of immunization risk.Immunization; Maxmin portfolio; Weak immunization condition; Worst shock; Dispersion measures;

Dispersion measures as immunization risk measures

The quadratic and linear cash flow dispersion measures M2 and Ñ are two immunization risk measures designed to build immunized bond portfolios. This paper generalizes these two measures by showing that any dispersion measure is an immunization risk measure and therefore, it sets up a tool to be used in empirical testing. Each new measure is derived from a different set of shocks (changes on the term structure of interest rates) and depends on the corresponding subset of worst shocks. Consequently, a criterion for choosing appropriate immunization risk measures is to take those developed from the most reasonable sets of shocks and the associated subset of worst shocks and then select those that work best empirically. Adopting this approach, this paper then explores both numerical examples and a short empirical study on the Spanish Bond Market in the mid-1990s to show that measures between linear and quadratic are the most appropriate, and amongst them, the linear measure has the best properties. This confirms previous studies on US and Canadian markets that maturity-constrained-duration-matched portfolios also have good empirical behavior.Publicad

SHADOW RISK-FREE RETURNS WHEN HEDGING THE INTEREST RATE RISK

This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical one period no-arbitrage approach of Financial Economics (Ingersoll (1987)). Under quite weak assumptions on the interest rate behavior several shadow riskless assets are introduced by means of semi-infinite mathematical programming problems. Then, these assets are interpreted as hedging strategies or, under adequate hypotheses, as immunized portfolios. The technique applies in a quite broad range of cases since, for instance, short-selling or convexity restrictions are not necessarily required and the uniqueness of the horizon planning period does not have to be imposed. The set of admissible shocks on the interest rate contains a vast number of possibilities, the solutions are robust and do not significantly depend on the random field framework affecting the interest rate, and under some conditions, derivative securities may be also included in the analysis. Furthermore, appropriate algorithms are developed in a very general mathematical setting. Finally, a few examples illustrate the way they work in practice along with the general form of the hedging portfolio.

The Rhetoric of Persuasion in the 'How Far Would You Go For a Nespresso?' 2014 Online Advertisement

Este trabajo de investigación se centra en el análisis de la retórica de la persuasión tal como se da en el anuncio titulado “How Far Would You Go For a Nespresso? (¿Hasta dónde estarías dispuesto a llegar por un café Nespresso?) perteneciente a la campaña publicitaria lanzada por Nespresso específicamente en 2014, alojada en la plataforma YouTube. Dicho texto audiovisual es innovador y creativo, debido a que presenta la forma de una micropelícula. El presente estudio se sirve de conceptos pragmáticos como la teoría de relevancia, el principio de cooperación y otros conceptos como el de cortesía, así como también de conceptos lingüísticos que se tienen en cuenta para llevar a cabo un análisis conversacional de una transcripción del texto en sus contextos (contexto conversacional, contexto de situación y contexto cultural). Al mismo tiempo, también analiza el uso de ciertas técnicas relacionadas con la producción cinematográfica, como son el enmarcado fílmico, la postproducción, la puesta en escena, el uso de texto superpuesto y el movimiento y distancia de cámara, entre otras. Todos estos elementos producen que el espectador se identifique con lo que aparece en el anuncio a la vez que se transporta a la narrativa con que se le presenta. A través de este proceso, se completa la función última prefigurada por la retórica del texto audiovisual, la persuasión del espectador y el éxito de la campaña comercial Nespresso 2014

Medidas de dispersión como medidas del riesgo de inmunización

En el presente trabajo se discute cómo en principio cualquier medida de dispersión puede ser una medida del riesgo de inmunización. Es el conjunto de shocks y dentro de ellos los peores shocks los que determinan la forma de las medidas de dispersión, haciendo que sólo consideremos como medidas adecuadas a la medida cuadratica M2 y a la media lineal Ñ, porque vienen dadas por un conjunto de shocks y unos peores shocks razonables. Por último, se concluye que quizás la medida Ñ es una mejor medida del riesgo de inmunización que la medida M2

When Can you Immunize a Bond Portfolio?

This paper presents a condition equivalent to the existence of a Riskless Shadow Asset that guarantees a minimum return when the asset prices are convex functions of interest rates or other state variables. We apply this lemma to immunize default free and option free coupon bonds and reach three main conclusions. First, we give a solution to an old puzzle: why do simple duration matching portfolios work well in empirical studies of immunization even though they are derived in a model inconsistent with equilibrium and shifts on the term structure of interest rates are not parallel, as as sumed? Second, we establish a clear distinction between the concepts of immunized and maxmin portfolios. Third, we develop a framework that includes the main results of this literature as special cases. Next, we present a new strategy of immunization that consists in matching duration and minimizing a new linear dispersion measure of immunization risk.Publicad

Maxmin portfolios in financial immunization

The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, this existence holds if an immunized portfolio does not exist but atl the considered portfolios have duration equal to the investor planning periodo To characterize the maxmin portfolio, saddle point conditions are found, and from them, an algorithm is given. This algorithm permits to find the maxmin portfolio in practical situations. Relations between maxmin portfolios and the ones minimizing the dispersion measures (for instance, the M-squared or the Ñ measure) are also studied. In particular, it will be proved that minimizing the dispersion measure and looking for maxmin portfolio are equivalent strategies only when we are working with pure discount bonds. Finally, as a consecuence of the obtained results, two new strategies to invest are proposed

When can you immunize a bond portfolio?

The object of this paper is to give conditions under which it is possible to immunize a bond portfolio. Maxmin strategies are also studied, as well as their relations with immunized ones. Some special shocks on the interest rate are analyzed, and general conditions about immunization are obtained. When immunization is not possible, capital losses are measured

United States and Europe against Terrorism of Fundamentalist Origin: Legal Measures and the Shadow of Populism

The United States was the first country to suffer from terrorism of Islamic fundamentalist origin in 2001. Subsequently, several European countries have suffered attacks of the same origin. Legal measures have been enacted on both sides of the Atlantic to combat it. These attacks, and the presence of new religious denominations in some countries, have also led to the increase of populist trends in these territories. This article examines the relationship between Law, politics and populism in the United States and in the European context

A study of flight cancellation and delays in the UK

Flight delays and flight cancellations have always been a problem for the aviation industry. However, the different nature of both phenomena has made research focus almost solely on studying and predicting delays. This is due to the fact that, ultimately, it is the airline who decides whether a flight gets cancelled, whereas delays are an involuntary result of a vast array of different causes, many times due to bad management practices by airports and airlines. The literature has studied delays from a wide range of perspectives, taking into consideration several factors that influence them. Some studies have predicted delays from a machine learning perspective, while others have taken into consideration the importance of the time series component of the data. However, research shows that it is actually flight cancellations that is the most important determinant for consumer dissatisfaction and complaints, being detrimental for airlines' reputation and resulting in passengers switching carriers. Therefore, a more careful study and comprehension of what drives and affects flight cancellations is needed. Analyzing the research that has focused on understanding the underlying patterns of cancellations, what can mostly be found are theoretical and machine learning approaches. Some findings have been made in determining what further increases or helps reduce the number of cancellations, like the importance of a well-managed airport capacity to improve service quality in terms of cancellations \citep{mead2000flight}. As mentioned, there is also behavioral research on the consequences that cancellations have on airlines (Yanying et al., 2019), pointing towards an increased dissatisfaction and distrust from customers, resulting in serious damages for the airline's corporate reputation and passengers' loyalty. Nevertheless, there are components of the understanding of cancellations that remained unclear. On the one hand, a thorough time series analysis of cancellations needs to be done. In fact, as Lemke et al. (p. 85, 2009) point out, the diverse characteristics and underlying data generation processes of time series has resulted in the fact that "it seems as if no method has ever proven successful across various studies and time series". On the other hand, delays and cancellations are two phenomena that cannot be completely understood independently and, although there is a vast number of studies analyzing delay propagation, there are no conclusive results on the impact of delays on cancellations. Therefore, research must determine whether taking delays into account when analyzing cancellations improves the accuracy of cancellations forecasts and the relation among these parameters. Lastly, as they cannot only be studied alone, a more thorough study of the capacity factors that influence the number of cancellations also needs to be done. Moreover, the outbreak of the COVID-19 in the midst of the research process made the accuracy of the forecasts deviate. Delays and cancellations have evolved dramatically differently over the first months of 2020. Hence, there is a need for taking a new parameter into account that would help make sense of the abnormal cancellations in 2020 and improve forecasts accuracies. For this, the behavioral changes of the population have been taking into consideration, which has been done with Google Trends. Also, it opened a door for understanding the passengers' behavioral reaction towards air travel under these circumstances, taking into consideration both local and global factors. Therefore, this study is divided into three sections. The first one studies the relationship between delays and cancellations from a time series perspective, and it is found that taking delays into account as a parameter in the study of cancellations improves the accuracy of time series forecasts at different levels of aggregation. The second one focuses on studying the relevance of competition and network factors in the distribution of cancellations. Flights arriving or departing from a hub airport are found to be less likely to be cancelled, pointing towards the relevance of maintaining networks for airlines, thus strengthening passenger reliability and trust. However, it was found that route and airport competition, while confirming the nature of the impact, was not statistically significant in predicting flight cancellations. Finally, it was found that public concern in the context of a global pandemic varies according to local circumstances, and that shortly after the first and most shocking news, both concern and a positive consumer attitude decrease to a stabilized level, which indicating double-edged passive behavior, in which both concern and willingness to purchase flight or event tickets (i.e., requiring travel or social gatherings) are reduced to similarly low levels for at least one month after the initial mayhe