Fachprogramm Wohnungen und Heime fuer aeltere Buerger Entwurf

TIB: RN 5150 (35) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekSIGLEDEGerman

Portfolio construction incorporating asymmetric dependence structures: a user's guide

We outline a method of portfolio selection incorporating asymmetric dependency structures using copula functions. Assuming normally distributed marginal returns, we illustrate how asymmetric return correlations affect the efficient frontier and subsequent portfolio performance under a dynamic rebalancing framework. Implementing this methodology within the context of tactically allocating a small set of market indices, we demonstrate several key findings. First, we establish the manner by which the efficient frontier constructed under asymmetric dependence differs from a mean-variance frontier. By establishing a paper portfolio based on these differences, we find that asymmetric correlation structures do have real economic value. The primary source of this economic value is the ability to better protect portfolio value and reduce the size of any erosion in return relative to the normal portfolio when asymmetric return correlations are accounted for. Copyright (c) The Authors Journal compilation (c) 2007 AFAANZ.

(Table 1) Summary of biostratigraphic and magnetostratigraphic datum levels for ODP Leg 127/128 sites

This paper summarizes the biostratigraphic and magnetostratigraphic results from the recovery of holes drilled during Legs 127 and 128 in the Sea of Japan. Siliceous microfossils (i.e., diatoms, radiolarians, silicoflagellates, and ebridians) were most useful as biostratigraphic datum markers in the upper part of the section (Pliocene-Pleistocene), as was the magnetostratigraphy. Time series of other biostratigraphic, climatostratigraphic, and lithostratigraphic markers indicate that a high-resolution picture of the late Pliocene-Pleistocene oceanographic and climatic history of the Sea of Japan is possible. These data include coiling direction changes in Neogloboquadrina pachyderma, oxygen isotopes, percent opal, and alternating dark/light rhythms. Although the magnetostratigraphy was somewhat ambiguous in corroborating age determinations in the older part of the sections, calcareous microfossils and foraminifers indicate that some of the holes penetrated as far back in time as the early Miocene. These data provide a new time frame for theories on the age of formation and early history of the Sea of Japan