Calibration of shrinkage estimators for portfolio optimization

Shrinkage estimators is an area widely studied in statistics. In this paper, we contemplate the role of shrinkage estimators on the construction of the investor's portfolio. We study the performance of shrinking the sample moments to estimate portfolio weights as well as the performance of shrinking the naive sample portfolio weights themselves. We provide a theoretical and empirical analysis of different new methods to calibrate shrinkage estimators within portfolio optimizationPortfolio choice, Estimation error, Shrinkage estimators, Smoothed bootstrap

Carbon portfolio management

The aim of the European Union's Emissions Trading Scheme (EU ETS) is that by 2020, emissions from sectors covered by the EU ETS will be 21% lower than in 2005. In addition to large CO 2 emitting companies covered by the scheme, other participants have entered the market with a view of using emission allowances for the diversification of their investment portfolios. The performance of this asset as a stand alone investment and its portfolio diversification implications will be investigated in this paper. Our results indicate that the market views Phases 1, 2, and 3 European Union allowance futures as unattractive as stand alone investments. In a portfolio context, in Phase 1, once the short-selling option is added, there are considerable portfolio benefits. However, our results indicate that these benefits only existed briefly during the pilot stage of the EU ETS. There is no evidence to suggest portfolio diversification benefits exist for Phase 2 or the early stages of Phase 3

Los apéndices tipo asta del ciervo primitivo Dicrocerus elegans: morfología, ciclo de crecimiento, ontogenia y dimorfismo sexual

Males and many females of the primitive deer Dicrocerus elegans from Sansan (Middle Miocene, France) bore antler-like appendages consisting of a simple-branched protoantler growing from a rather long pedicle and are decorated with ridges and furrows. The protoantler capacity to be rejected and subsequently re-grow is clearly evidenced by the presence of both pedicle and protoantler cast specimens. The youngest appendage is a long, laterally flattened shaft whose apex is usually forked with no appreciable limit between the pedicle and the protoantler. In females, the anterior and posterior appendage margins form a more acute angle than that of males, and are more parallel when viewed laterally. After the first casting, the protoantler base is larger than the pedicle top and a coronet-like structure appears developed only around the medial side. With successive castings, the pedicles become shorter and their section is more circular, while protoantlers become much bigger, and have much longer and more separated branches. Branches of females are shorter than those of males, especially the anterior one, and appear in a straight line, instead of being bent. In oldest appendages, the branches are shorter and more similar in size. Accessory branches and irregularities of this basic morphology are common. The separation between both sex morphotypes appears clearly evidenced by Discriminant and Principal Component Analyses. Histological features point to important differences with true antlers and suggest that casting could not occur annually. A core of spongy bone trabeculae is not developed. Once growth is completed, the mineralization progress from the core to the periphery and when the final ‘velvet’ protoantler becomes completely petrified, the tissues dies and the velvet-like skin is cleaned. A high degree of both wear and polish of the branch apices evidence the hard, bare, dead protoantler phase before casting. Due to the complete growth cycle and the presence of the coronet-like structure, Dicrocerus protoantlers and antlers seem to be homologous appendages. Histological differences could be related to differences in hormonal cycle regulation that can be caused by the fact that i) Dicrocerus inhabited a tropical environment, and ii) females also developed protoantlers. It should not be overlooked that true antlers appear several million years later in time than the development of protoantlers and other cranial appendages in ruminants, and coinciding with the Middle Miocene Climatic Transition.Tanto los machos como muchas de las hembras del ciervo primitivo Dicrocerus elegans de Sansan (Mioceno Medio, Francia) poseían apéndices craneales de tipo asta que consisten en una protoasta bifurcada y ornamentada con surcos y crestas que es sustentada por un pedículo moderadamente largo. La capacidad de la protoasta de ser expulsada y regenerada es evidente a partir de los ejemplares de desmogue y también por las diferencias histológicas existentes entre la protoasta y el pedículo. El primer apéndice consiste en una vara larga, comprimida lateralmente, y con el ápice bifurcado, sin que se observe ningun límite apreciable entre la protoasta y el pedículo. En las hembras, el ángulo que forman los margenes anterior y posterior del apéndice es más agudo que en los machos (los márgenes son más paralelos en vista lateral). Tras el primer desmogue, la base de la protoasta es más amplia que la sección distal del pedículo, y se desarrolla una estructura similar a la roseta en la parte medial. Con los sucesivos desmogues, el pedículo se acorta y su sección se hace más circular, mientras que la protoasta es cada vez más grande y las ramas son más largas y parten más separadas desde la base sin interposición de un tramo basal. En las hembras, las ramas son más cortas, especialmente la anterior, y su trazado es rectilíneo en vez de curvo como en los machos. En los ejemplares seniles, las ramas son más cortas y de longitud más similar entre ellas. Es frecuente la presencia de ramas accesorias, así como irregularidades de este patrón básico. Los análisis discriminantes y de componentes principales realizados muestran una clara separación entre los morfotipos atribuidos a machos y a hembras. Existen importantes diferencias histológicas con las verdaderas astas que sugieren que el desmogue podría no haber sido anual. Se confirma que no se desarrolla hueso esponjoso y que la mineralización del protoasta progresa centrífugamente desde el centro hasta la periferia. El desmogue tiene lugar una vez que los tejidos están completamente mineralizados (muertos). A diferencia de otras protoastas, el ciclo en Dicrocerus era completo dado que están documentadas tanto la fase de muda del terciopelo, como la de exposición del hueso desnudo antes del desmogue. Dadas las similitudes en el ciclo de crecimiento, y dado que la base de la protoasta presenta parcialmente una estructura similar a la roseta, las protoastas de Dicrocerus y las astas parecen ser apéndices homólogos. Las diferencias histológicas podrían estar relacionadas con diferencias en el ciclo hormonal que regulaba su crecimiento. Diferencias que podrían guardar relación con el hecho que i) Dicrocerus vivió en ambientes tropicales, ii) las hembras también poseían protoastas. Cabe resaltar que las verdaderas astas aparecieron varios millones de años más tarde de que surgieran las protoastas y otros apéndices craneales en Ruminantia, y en coincidencia con la transición climática del Mioceno Medio

Cover-up of vehicle defects: the role of regulator investigation announcements

Automakers such as Toyota and GM were recently caught by the U.S. regulator for deliberately hiding product defects in an attempt to avoid massive recalls. Interestingly, regulators in the U.S. and U.K. employ different policies in informing consumers about potential defects: The U.S. regulator publicly announces all on-going investigations of potential defects to provide consumers with early information, whereas the U.K. regulator does not. To understand how these different announcement policies may affect cover-up decisions of automakers, we model the strategic interaction between a manufacturer and a regulator. We find that, under both countries' policies, the manufacturer has an incentive to cover up a potential defect when there is a high chance that the defect indeed exists and it may in inflict only moderate harm. However, if there is only a moderate chance that the defect exists, only under the U.S. policy does the manufacturer have an incentive to cover up a potential defect with significant harm. We show that the U.S policy generates higher social welfare only for very serious issues for which both the expected harm and recall cost are very high and the defect is likely to exist. We make four policy recommendations that could help mitigate manufacturers' cover-ups, including a hybrid policy in which the regulator conducts a confidential investigation of a potential defect only when it may inflict significant harm

Multiperiod portfolio optimization with multiple risky assets and general transaction costs

We analyze the optimal portfolio policy for a multiperiod mean-variance investor facing multiple risky assets in the presence of general transaction costs. For proportional transaction costs, we give a closed-form expression for a no-trade region, shaped as a multi-dimensional parallelogram, and show how the optimal portfolio policy can be efficiently computed for many risky assets by solving a single quadratic program. For market impact costs, we show that at each period it is optimal to trade to the boundary of a state-dependent rebalancing region. Finally, we show empirically that the losses associated with ignoring transaction costs and behaving myopically may be large

Parameter uncertainty in multiperiod portfolio optimization with transaction costs

We study the impact of parameter uncertainty in the expected utility of a multiperiod investor subject to quadratic transaction costs. We characterize the utility loss associated with ignoring parameter uncertainty, and show that it is equal to the product between the single-period utility loss and another term that captures the effects of the multiperiod mean-variance utility and transaction cost losses. To mitigate the impact of parameter uncertainty, we propose two multiperiod shrinkage portfolios and demonstrate with simulated and empirical datasets that they substantially outperform portfolios that ignore parameter uncertainty, transaction costs, or both

Ancestral feeding state of ruminants reconsidered: earliest grazing adaptation claims a mixed condition for Cervidae

<p>Abstract</p> <p>Background</p> <p>Specialised leaf-eating is almost universally regarded as the ancestral state of all ruminants, yet little evidence can be cited in support of this assumption, apart from the fact that all early ruminants had low crowned cheek teeth. Instead, recent years have seen the emergence evidence contradicting the conventional view that low tooth crowns always indicate leaf-eating and high tooth crowns grass-eating.</p> <p>Results</p> <p>Here we report the results of two independent palaeodietary reconstructions for one of the earliest deer, <it>Procervulus ginsburgi </it>from the Early Miocene of Spain, suggesting that despite having lower tooth crowns than any living ruminant, this species included a significant proportion of grass in its diet.</p> <p>Conclusion</p> <p>The phylogenetic distribution of feeding styles strongly supports that leaf-grass mixed feeding was the original feeding style of deer, and that later dietary specialization on leaves or grass occurred independently in several lineages. Evidence for other ruminant clades suggests that facultative mixed feeding may in fact have been the primitive dietary state of the Ruminantia, which would have been morphologically expressed only under specific environmental factors.</p

Knee function through finite element analysis and the role of Miocene hominoids in our understanding of the origin of antipronograde behaviours: the Pierolapithecus catalaunicus patella as a case study

Although extensive research has been carried out in recent years on the origin and evolution of human bipedalism, a full understanding of this question is far from settled. Miocene hominoids are key to a better understanding of the locomotor types observed in living apes and humans. Pierolapithecus catalaunicus, an extinct stem great ape from the middle Miocene (c. 12.0 Ma) of the Vallès-Penedès Basin (north-eastern Iberian Peninsula), is the first undoubted hominoid with an orthograde (erect) body plan. Its locomotor repertoire included above-branch quadrupedalism and other antipronograde behaviours. Elucidating the adaptive features present in the Pierolapithecus skeleton and its associated biomechanics helps us to better understand the origin of hominoid orthogrady. This work represents a new biomechanical perspective on Pierolapithecus locomotion, by studying its patella and comparing it with those drawn from a large sample of extant anthropoids. This is the first time that the biomechanical patellar performance in living non-human anthropoids and a stem hominid has been studied using finite element analysis (FEA). Differences in stress distribution are found depending on body plan and the presence/absence of a distal apex, probably due to dissimilar biomechanical performances. Pierolapithecus’ biomechanical response mainly resembles that of great apes, suggesting a similar knee joint use in mechanical terms. These results underpin previous studies on Pierolapithecus, favouring the idea that a relevant degree of some antipronograde behaviour may have made up part of its locomotor repertoire. Moreover, our results corroborate the presence of modern great ape-like knee biomechanical performances back in the Miocene

Dietary adaptations of early and middle Pleistocene equids from the Anagni basin (Frosinone, Central Italy)

The intermontane Anagni Basin (Frosinone, central Italy) is an important region for Italian biochronology and paleoecology due to the presence of two rich fossil assemblages dated to the Early (Coste San Giacomo) and Middle Pleistocene (Fontana Ranuccio). Thesesiteshaveyieldedavastcollectionoflargefossilmammalswithawell-documented presence of fossil equids in both localities (represented mostly by isolated teeth). Coste San Giacomo is dated to around 2.1Ma, thereby having recorded the effects of the onset of the Quaternary glacial cycles, which led to a gradual trend toward colder and more arid conditions in the Northern Hemisphere. The fossil equids of this site belong to the first group of grazing stenonid equids of the genus Equus that spread to the Italian Peninsula during the so called "Elephant- Equus" event, which marked the appearance of new large mammals living in herds in open and arid environments. The site of Fontana Ranuccio is dated to around 400 ka, close to the MIS 12-11 succession (the "Mid-Brunhes event"), which marked the end of the Middle Pleistocene Transition. The fossil horses from Fontana Ranuccio represent one of the oldest caballoid (or "true horses") populations of the Italian Peninsula. The Anagni Basin, thus, provides important data to investigate paleoecological adaptations of these groups of equids in response to two critical environmental and climatic shifts of the Pleistocene. We explore their niche occupation by examining long-term dental wear patterns and tooth enamel carbon and oxygen stable isotopic composition. Both taxa appear to have exhibited a narrow dietary niche, displaying a clear abrasive (highly specialized) grass-rich diet. In particular, caballoid equids from Fontana Ranuccio show a more abrasion-dominated mesowear signature. Stenonid equids from Coste San Giacomo exploited broader and more diverse landscapes during the Early Pleistocene, whereas caballoid horses from Fontana Ranuccio appeared to have limited their dietary adaptations to a stricter grazing behavior in more closed environments