A Risk Management Approach for Portfolio Insurance Strategies

Controlling and managing potential losses is one of the main objectives of the Risk Management. Following Ben Ameur and Prigent (2007) and Chen et al. (2008), and extending the first results by Hamidi et al. (2009) when adopting a risk management approach for defining insurance portfolio strategies, we analyze and illustrate a specific dynamic portfolio insurance strategy depending on the Value-at-Risk level of the covered portfolio on the French stock market. This dynamic approach is derived from the traditional and popular portfolio insurance strategy (Cf. Black and Jones, 1987 ; Black and Perold, 1992) : the so-called "Constant Proportion Portfolio Insurance" (CPPI). However, financial results produced by this strategy crucially depend upon the leverage - called the multiple - likely guaranteeing a predetermined floor value whatever the plausible market evolutions. In other words, the unconditional multiple is defined once and for all in the traditional setting. The aim of this article is to further examine an alternative to the standard CPPI method, based on the determination of a conditional multiple. In this time-varying framework, the multiple is conditionally determined in order to remain the risk exposure constant, even if it also depends upon market conditions. Furthermore, we propose to define the multiple as a function of an extended Dynamic AutoRegressive Quantile model of the Value-at-Risk (DARQ-VaR). Using a French daily stock database (CAC 40) and individual stocks in the period 1998-2008), we present the main performance and risk results of the proposed Dynamic Proportion Portfolio Insurance strategy, first on real market data and secondly on artificial bootstrapped and surrogate data. Our main conclusion strengthens the previous ones : the conditional Dynamic Strategy with Constant-risk exposure dominates most of the time the traditional Constant-asset exposure unconditional strategies.CPPI, Portfolio insurance, VaR, CAViaR, quantile regression, dynamic quantile model.

Screening and metamodeling of computer experiments with functional outputs. Application to thermal-hydraulic computations

To perform uncertainty, sensitivity or optimization analysis on scalar variables calculated by a cpu time expensive computer code, a widely accepted methodology consists in first identifying the most influential uncertain inputs (by screening techniques), and then in replacing the cpu time expensive model by a cpu inexpensive mathematical function, called a metamodel. This paper extends this methodology to the functional output case, for instance when the model output variables are curves. The screening approach is based on the analysis of variance and principal component analysis of output curves. The functional metamodeling consists in a curve classification step, a dimension reduction step, then a classical metamodeling step. An industrial nuclear reactor application (dealing with uncertainties in the pressurized thermal shock analysis) illustrates all these steps

Peer editing in composition for multilingual writers at the college level

The goal of the present study was to investigate the effectiveness of a guided peer editing activity for multilingual college freshman. This was an example of action research that began winter quarter 2013. The study used an activity where peer writers and responders identified and corrected errors in essays. Writers then choose which suggestions were errors to change and which did not need change. The study took place at Eastern Washington University in an English 112 class. English 112 is English for Academic Purposes (EAP) which is an English composition class. It took a total of four class periods in two different classes to complete the study. The subjects were taking this course in preparation for English 101 composition. A total of 18 students participated in the study, and they were mainly from Saudi Arabia, but a few were from Japan, China, and Pakistan. Students were divided into pairs for the guided peer-editing activity and had to complete three parts which were forms A, B, and C. This included practice with reading to understand content, identification and correction of errors, and a reflective journal on the process with the benefits and challenges. Students had both cultural similarities essays and argumentative essays to use for this activity. A mixed methods approach was used that employed both qualitative and quantitative methodology. Findings of the study suggest that guided peer response is a positive activity for students and it contributes to improvement with grammar, error identification, and the writing of multilingual writers at the college level. Collaborative learning with community building is also a positive outcome. Finally, the results of the present study provide useful insights into teaching writing to multilingual students and ideas for training peers for this kind of activity --Document

Monstrous Muslims? Depicting Muslims in French Illuminated Manuscripts from 1200-1420

This paper examines depictions of Muslims in illuminated manuscripts produced in France between 1200-1420 that feature images of Christian-Muslim interactions. The study specifically looks at three popular manuscripts from the time: the Histoire d\u27Outremer, the Grandes Chroniques de France, and the Roman d\u27Alexandre en Prose. By examining the depictions of Saracens in these three manuscripts I attempt to gain an understanding of the artists\u27 perceptions of Muslims. I argue that through analyzing the topoi employed by these artists we can understand how they and their audiences viewed Muslims. These images demonstrate that these artists understood Saracens to be very different from themselves but could also recognize admirable qualities and see similarities to them. This implies a nuanced understanding of Muslims that comes out in many of the depictions of Christian-Muslim interactions shown in these manuscripts

Protonolysis of a Ruthenium–Carbene Bond and Applications in Olefin Metathesis

The synthesis of a ruthenium complex containing an N-heterocylic carbene (NHC) and a mesoionic carbene (MIC) is described wherein addition of a Brønsted acid results in protonolysis of the Ru–MIC bond to generate an extremely active metathesis catalyst. Mechanistic studies implicated a rate-determining protonation step in the generation of the metathesis-active species. The activity of the NHC/MIC catalyst was found to exceed those of current commercial ruthenium catalysts

Clustering "optimal" dans des espaces fonctionnels

International audienceComputer codes used in support of nuclear industry are more and more complex, and consequently more and more CPU time consuming. We are here interested in such code, in the special case of functional output : the code output represents the evolutions of some physical parameters in time. Those last curves are functions from an interval $I \subset \R$ to $\R$, which will be preprocessed in order to cluster them in a few meaningful groups (clustering, or unsupervised classification). The aim of our work is the estimation of the convergence speed of clustering error estimates. After finding bounds on convergence speeds, we will illustrate this on an example with six distinct groups of curves

Laser induced modulation of the Landau level structure in single-layer graphene

We present perturbative analytical results of the Landau level quasienergy spectrum, autocorrelation function and out of plane pseudospin polarization for a single graphene sheet subject to intense circularly polarized terahertz radiation. For the quasienergy spectrum, we find a striking non trivial level-dependent dynamically induced gap structure. This photoinduced modulation of the energy band structure gives rise to shifts of the revival times in the autocorrelation function and it also leads to modulation of the oscillations in the dynamical evolution of the out of plane pseudospin polarization, which measures the angular momentum transfer between light and graphene electrons. For a coherent state, chosen as an initial pseudospin configuration, the dynamics induces additional quantum revivals of the wave function that manifest as shifts of the maxima and minima of the autocorrelation function, with additional partial revivals and beating patterns. These additional maxima and beating patterns stem from the effective dynamical coupling of the static eigenstates. We discuss the possible experimental detection schemes of our theoretical results and their relevance in new practical implementation of radiation fields in graphene physics.Comment: 12 pages, 5 figures. Accepted version for publication in Physical Review