Portfolio selection based on the mean-VaR efficient frontier

Value-at-Risk (VaR) has become one of the standard measures for assessing risk not only in the financial industry but also for asset allocations of individual investors. The traditional mean-variance framework for portfolio selection should, however, be revised when the investor's concern is the VaR instead of the standard deviation. This is especially true when asset returns are not normal. In this paper, we incorporate VaR in portfolio selection, and we propose a mean-VaR efficient frontier. Due to the two-objective optimization problem that is associated with the mean-VaR framework, an evolutionary multi-objective approach is required to construct the mean-VaR efficient frontier. Specifically, we consider the elitist non-dominated sorting Genetic Algorithm (NSGA-II). From our empirical analysis, we conclude that the risk-averse investor might inefficiently allocate his/her wealth if his/her decision is based on the mean-variance framework.Efficient frontiers, Value at Risk, Genetic algorithms, Portfolio selection, NSGA-II,

Efficient and accurate quadratic approximation methods for pricing Asian strike options

This study is on valuing Asian strike options and presents efficient and accurate quadratic approximation methods that work extremely well, both with regard to the volatility of a wide range of underlying assets, and longer average time windows. We demonstrate that most of the well-known quadratic approximation methods used in the literature for pricing Asian strike options are special cases of our model, with the numerical results demonstrating that our method significantly outperforms the other quadratic approximation methods examined here. Using our method for the calculation of hundreds of Asian strike options, the pricing errors (in terms of the root mean square errors) are reasonably small. Compared with the Monte Carlo benchmark method, our method is shown to be rapid and accurate. We further extend our method to the valuing of quanto forward-starting Asian strike options, with the pricing accuracy of these options being largely the same as the pricing of plain vanilla Asian strike options.Asian options, Derivatives pricing, Value at Risk, Genetic algorithms, Wavelets in finance,

The Statistical Analysis of GAs-Based Trading Strategies under Dynamic Landscape

本研究中，我們計算OGA演化投資策略在五類時間數列模型上之表現，這五類模型分別是線性模型、雙線性模型、自迴歸條件異質變異數模型、門檻模型以及混沌模型。我們選擇獲勝機率、累積報酬率、夏普比例以及幸運係數做為評斷表現之準則，並分別推導出其漸近統計檢定。有別於一般計算智慧在財務工程上之應用，利用蒙地卡羅模擬法，研究中將對各表現準則提出嚴格之統計檢定結果。同時在實証研究中，我們考慮歐元兌美元及美元兌日圓的tick-by-tick匯率資料。故本研究主要的重點之一，乃是對於OGA演化投資策略，於這些模擬及實証資料上的有效性應用，作了深入且廣泛的探討。In this study, the performance of ordinary GA-based trading strategies are evaluated under five classes of time series model, namely, linear ARMA model, bilinear model, ARCH model, threshold model and chaotic model. The performance criteria employed are the winning probability, accumulated returns, Sharpe ratio and luck coefficient. We then provide the asymptotic statistical tests for these criteria. Unlike many existing applications of computational intelligence in financial engineering, for each performance criterion, we provide a rigorous statistical results based on Monte Carlo simulation. In the empirical study, two tick-by-tick foreign exchange rates are also considered, namely, EUR/USD and USD/JPY. As a result, this study provides uswith a thorough understanding about the effectiveness of ordinary GA for evolving trading strategies under these artificial and natural time series data

Feasibility and Clinical Outcomes of Peripheral Drug-Coated Balloon in High-Risk Patients with Femoropopliteal Disease.

Clinical outcomes of the drug-coated balloon (DCB) procedure in high-risk patients with femoropopliteal (FP) disease have not been investigated sufficiently.This retrospective, single-center study analyzed 87 patients (39% dialysis) and 97 affected legs (64% critical limb ischemia [CLI]) that underwent DCB for symptomatic FP disease from March 2013 to September 2014. Risk stratification was based on FeDCLIP (female, diabetes, dialysis, CLI, lesion length >150 mm and poor runoff) score. The DCB outcomes among the different risk groups were compared and factors predicting restenosis were analyzed during follow-up.Most of study participants (84%) were moderate to high-risk patients. The procedural success rate was 100% and the 30-day major adverse vascular event rate was 2.1%. The mean lesion length was 178 ± 106 mm and the mean follow-up time was 428 ± 145 (range 50-782) days. The binary restenosis-free and clinically driven target lesion revascularization (CD-TLR)-free rates at 12 months were 77.5% and 84.3%, respectively, for all participants. No significant differences were observed in 1-year binary restenosis and CD-TLR rates in the low-, moderate-, and high-risk groups (60%, 84%, and 73%: p = 0.396; 78%, 89%, and 80%: p = 0.635, respectively). In multivariate analysis, lesion length >150 mm (Hazard ratio [HR]: 8.00, 95% confidence interval (CI) 1.12 to 55.6, p = 0.038) and Rutherford class 6 (HR: 7.09, 95% CI, 1.15 to 43.5, p = 0.034) were identified as independent predictors of binary restenosis.Despite general comorbidities and advanced limb ischemia, 1-year outcomes of DCB in high-risk patients with FP disease were effective. The DCB procedure holds promise to improve vessel patency; however, lesion length >150 mm and major tissue loss were independent predictors for binary restenosis after the treatment

Immediate Procedural Characteristics.

<p>Abbreviation: SFA: superficial femoral artery, RVD: reference vessel diameter, DS: diameter stenosis, MLD: minimal lumen diameter, DCB: drug coated balloon, IVUS: intravascular ultrasound, ISR: in-stent restenosis, MAVE: major adverse vascular event.</p><p>Immediate Procedural Characteristics.</p

Patient Demographics.

<p>Abbreviations: ABI: ankle brachial index; FeDCLIP: female, dialysis, critical limb ischemia, lesion length > 150 mm, poor runoff; LL: lesion length; DCB: drug coated balloon.</p><p>^$ poor runoff was defined as one vessel or none of below-the-knee runoff</p><p>* Calculated by excluding ABI ≥ 1.3</p><p>Patient Demographics.</p

Kaplan-Meier curves for freedom from binary restenosis.

<p>(A) The 12-month binary restenosis-free rate is 77.5% for study participants. (B) A significant difference is noted between Trans-Atlantic Intersociety Consensus (TASC) II B (blue) and TASC C/D (green) lesions in the 12-month binary restenosis-free rate (90% <i>vs</i>. 71%, p = 0.025). (C) No significant differences are observed among the low- (blue), moderate- (gold), and high-risk (green) groups regarding the 12-month binary restenosis-free rates (60%, 84%, and 73%, p = 0.396). (D) The <i>de novo</i> (blue), restenosis (green), and in-stent restenosis (ISR) (gold) lesions have similar 12-month binary restenosis-free rates (79%, 75%, and 80%, p = 0.456).</p