1,344 research outputs found
Risk and Utility in Portfolio Optimization
Modern portfolio theory(MPT) addresses the problem of determining the optimum
allocation of investment resources among a set of candidate assets. In the
original mean-variance approach of Markowitz, volatility is taken as a proxy
for risk, conflating uncertainty with risk. There have been many subsequent
attempts to alleviate that weakness which, typically, combine utility and risk.
We present here a modification of MPT based on the inclusion of separate risk
and utility criteria. We define risk as the probability of failure to meet a
pre-established investment goal. We define utility as the expectation of a
utility function with positive and decreasing marginal value as a function of
yield. The emphasis throughout is on long investment horizons for which
risk-free assets do not exist. Analytic results are presented for a Gaussian
probability distribution. Risk-utility relations are explored via empirical
stock-price data, and an illustrative portfolio is optimized using the
empirical data.Comment: 10 pages, 1 figure, presented at 2002 Conference on Econophysics in
Bali Indonesi
The Political Economy of Myanmar's Transition
This is an Author's Original Manuscript of an article whose final and definitive form, the Version of Record, has been published in the JOURNAL OF CONTEMPORARY ASIA, 07 Feb 2013, copyright Taylor & Francis, available online at: http://www.tandfonline.com/10.1080/00472336.2013.764143.Since holding elections in 2010, Myanmar has transitioned from a direct military dictatorship to a formally democratic system and has embarked on a period of rapid economic reform. After two decades of military rule, the pace of change has startled almost everyone and led to a great deal of cautious optimism. To make sense of the transition and assess the case for optimism, this article explores the political economy of Myanmar's dual transition from state socialism to capitalism and from dictatorship to democracy. It analyses changes within Myanmar society from a critical political economy perspective in order to both situate these developments within broader regional trends and to evaluate the country's current trajectory. In particular, the emergence of state-mediated capitalism and politico-business complexes in Myanmar's borderlands are emphasised. These dynamics, which have empowered a narrow oligarchy, are less likely to be undone by the reform process than to fundamentally shape the contours of reform. Consequently, Myanmar's future may not be unlike those of other Southeast Asian states that have experienced similar developmental trajectories
Collective Origin of the Coexistence of Apparent RMT Noise and Factors in Large Sample Correlation Matrices
Through simple analytical calculations and numerical simulations, we
demonstrate the generic existence of a self-organized macroscopic state in any
large multivariate system possessing non-vanishing average correlations between
a finite fraction of all pairs of elements. The coexistence of an eigenvalue
spectrum predicted by random matrix theory (RMT) and a few very large
eigenvalues in large empirical correlation matrices is shown to result from a
bottom-up collective effect of the underlying time series rather than a
top-down impact of factors. Our results, in excellent agreement with previous
results obtained on large financial correlation matrices, show that there is
relevant information also in the bulk of the eigenvalue spectrum and
rationalize the presence of market factors previously introduced in an ad hoc
manner.Comment: 4 pages with 3 figur
Wake response to an ocean-feedback mechanism: Madeira Island case study
This discussion focused on the numerical study of a wake episode. The Weather
Research and Forecasting model was used in a downscale mode. The current
literature focuses the discussion on the adiabatic dynamics of atmospheric
wakes. Changes in mountain height and consequently on its relation to the
atmospheric inversion layer should explain the shift in wake regimes: from a
'strong-wake' to a 'weak-wake' scenario. Nevertheless, changes in SST
variability can also induce similar regime shifts. Increase in evaporation,
contributes to increase convection and thus to an uplift of the stratified
atmospheric layer, above the critical height, with subsequent internal gravity
wave activity.Comment: Under review proces
WARNING: Physics Envy May Be Hazardous To Your Wealth!
The quantitative aspirations of economists and financial analysts have for
many years been based on the belief that it should be possible to build models
of economic systems - and financial markets in particular - that are as
predictive as those in physics. While this perspective has led to a number of
important breakthroughs in economics, "physics envy" has also created a false
sense of mathematical precision in some cases. We speculate on the origins of
physics envy, and then describe an alternate perspective of economic behavior
based on a new taxonomy of uncertainty. We illustrate the relevance of this
taxonomy with two concrete examples: the classical harmonic oscillator with
some new twists that make physics look more like economics, and a quantitative
equity market-neutral strategy. We conclude by offering a new interpretation of
tail events, proposing an "uncertainty checklist" with which our taxonomy can
be implemented, and considering the role that quants played in the current
financial crisis.Comment: v3 adds 2 reference
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Have greenhouse gases intensified the contrast between wet and dry regions?
While changes in land precipitation during the last 50 years have been attributed in part to human influences, results vary by season, are affected by data uncertainty and do not account for changes over ocean. One of the more physically robust responses of the water cycle to warming is the expected amplification of existing patterns of precipitation minus evaporation. Here, precipitation changes in wet and dry regions are analyzed from satellite data for 1988–2010, covering land and ocean. We derive fingerprints for the expected change from climate model simulations that separately track changes in wet and dry regions. The simulations used are driven with anthropogenic and natural forcings combined, and greenhouse gas forcing or natural forcing only. Results of detection and attribution analysis show that the fingerprint of combined external forcing is detectable in observations and that this intensification of the water cycle is partly attributable to greenhouse gas forcing
Pengaruh Harga Terhadap Peningkatan Penjualan Produk Semen Tiga Roda Pada PT. Robcaga Beo Kabupaten Kepulauan Talaud
The development in business world these days is market by the competition between the business company is getting fierce. Especially in managing the company business unit. It is shown by the appearance of a company that offer a good quality product with a compete price on the market. To handle the fierce competition on the market then one from so many effort that the company do is by apply the strategic price. Which on the way of applying that strategi the company try to set a price that can be compete in the market so the increase sale of the product become maximum. With right price and controlled will result the domino effect to a company to build long term relationship with costumer so it can increase the sales volume. This research is a descriptive quantitative research by using the correlation approach and simple regression. To see relation between variable and to measure the impact to the variable itself. So the purpose of this research is to know how far the price effect and to the increase of PT. ROBCAGA in Talaud. According to the sesult of the research, can be shown as following: price has a correlation and significant determination effort to the increase sale of PT. ROBCAGA Talaud. According to the data analysis, coefficient value moment r = 0,685. That show there is a positive relation, and can be categorize as high and strong, also price coefficient determination to the increase sale is by 46,5% and 53,5% by the rest of it depends on the unknown factors that not been analyze in this research
Determinants of Restaurant Systematic Risk: A Reexamination
This study reexamines determinants of the systematic risk or beta of restaurant firms based on the financial data of 75 U.S. restaurant firms from 1996 through 1999. Our weighted least-squares regression analysis found that restaurant systematic risk correlated negatively with assets turnover but positively with quick ratio. The findings suggest that high efficiency in generating sales revenue helps lower the systematic risk, while excess liquidity tends to increase the risk
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