On the performance of the minimum VaR portfolio

Alexander and Baptista (2002) develop the concept of mean-VaR efficiency for portfolios and demonstrate its very close connection with mean-variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean-variance efficient portfolio. Our empirical analysis finds that, for commonly used VaR breach probabilities, minimum VaR portfolios yield ex post returns that conform well with the specified VaR breach probabilities and with return/risk expectations. These results provide a considerable extension of evidence supporting the empirical validity and tractability of the mean-VaR efficiency concept

Memo on Speech Alarms: Replication and Validation of Results

Caution and warning (C&W) alarms help people to quickly and efficiently identify situations that are of immediate danger or would escalate to a safety critical level. Tones are highly salient and have been traditionally used for caution and warning alarms. However, research shows that tone alarms can have an unwanted startle effect that hinders operator decision making. Speech alarms are good alternatives to tone alarms because they require less training and are less startling. They have been in use for decades for caution and warning systems in commercial airplanes and in buildings. Speech alarms have been considered for space flight use by the National Aeronautics and Space Administrations (NASA) Astronaut Office and by its Orion Program. To investigate whether performance with various types of speech alarms was similar to performance with the currently used tone alarms, a study was conducted in 2010. The results showed faster identification times of speech alarms as well as higher acceptance rates from participants. However, the presentation of the alarms had a variable onset time due to software. The current research project was funded to address this issue by collecting new data with alarms having nonvariable onset time and to validate the alarms in the Human Exploration Research Analog (HERA). This report describes the two studies: a laboratory experiment comparing tone and speech alarms, and an evaluation in the HERA facility

Comparing and Integrating Fish Surveys in the San Francisco Estuary: Why Diverse Long-Term Monitoring Programs are Important

Many fishes in the San Francisco Estuary have suffered declines in recent decades, as shown by numerous long-term monitoring programs. A long-term monitoring program, such as the Interagency Ecological Program, comprises a suite of surveys, each conducted by a state or federal agency or academic institution. These types of programs have produced rich data sets that are useful for tracking species trends over time. Problems arise from drawing conclusions based on one or few surveys because each survey samples a different subset of species or reflects different spatial or temporal trends in abundance. The challenges in using data sets from these surveys for comparative purposes stem from methodological differences, magnitude of data, incompatible data formats, and end-user preference for familiar surveys. To improve the utility of these data sets and encourage multi-survey analyses, we quantitatively rate these surveys based on their ability to represent species trends, present a methodology for integrating long-term data sets, and provide examples that highlight the importance of expanded analyses. We identify areas and species that are under-sampled, and compare fish salvage data from large water export facilities with survey data. Our analysis indicates that while surveys are redundant for some species, no two surveys are completely duplicative. Differing trends become evident when considering individual and aggregate survey data, because they imply spatial, seasonal, or gear-dependent catch. Our quantitative ratings and integrated data set allow for improved and better-informed comparisons of species trends across surveys, while highlighting the importance of the current array of sampling methodologies

Structural optimization of 3D masonry buildings

In the design of buildings, structural analysis is traditionally performed after the aesthetic design has been determined and has little influence on the overall form. In contrast, this paper presents an approach to guide the form towards a shape that is more structurally sound. Our work is centered on the study of how variations of the geometry might improve structural stability. We define a new measure of structural soundness for masonry buildings as well as cables, and derive its closed-form derivative with respect to the displacement of all the vertices describing the geometry. We start with a gradient descent tool which displaces each vertex along the gradient. We then introduce displacement operators, imposing constraints such as the preservation of orientation or thickness; or setting additional objectives such as volume minimization.Shell Oil CompanyNatural Sciences and Engineering Research Council of Canada (PGS Program)Samsung Scholarship Foundatio

Drought and the Sacramento-San Joaquin Delta, 2012–2016: Environmental Review and Lessons

This paper reviews environmental management and the use of science in the Sacramento–San Joaquin Delta during California’s 2012–2016 drought. The review is based on available reports and data, and guided by discussions with 27 agency staff, stake-holders, and researchers. Key management actions for the drought are discussed relative to four major drought water management priorities stated by water managers: support public health and safety, control saltwater intrusion, preserve cold water in Shasta Reservoir, and maintain minimum protections for endangered species. Despite some success in streamlining communication through interagency task forces, conflicting management mandates sometimes led to confusion about priorities and actions during the drought (i.e., water delivery, the environment, etc.). This report highlights several lessons and offers suggestions to improve management for future droughts. Recommendations include use of pre-drought warnings, timely drought declarations, improved transparency and useful documentation, better scientific preparation, development of a Delta drought management plan (including preparing for salinity barriers), and improved water accounting. Finally, better environmental outcomes occur when resources are applied to improving habitat and bolstering populations of native species during inter-drought periods, well before stressful conditions occur.

Etude morphostructurale de la zone sud des rides Nouvelle-Calédonie et Loyauté (Zone Economique Exclusive de Nouvelle-Calédonie, Pacifique Sud-Ouest)

Les données de la campagne ZoNéCo 1 permettent de préciser la morphostructure du Sud des rides calédonienne et Loyauté qui s'avèrent plus complexes que les cartes précédentes ne le montraient, mais on retrouve les principales structures de la région Calédonie-Loyauté. L'imagerie met en évidence les zones de roches nues ou encroûtées, la présence d'écoulements gravitaires du Sud du bassin des Loyauté vers le bassin Sud-Fidjien. (Résumé d'auteur

Deep-Inelastic Final States in a Space-Time Description of Shower Development and Hadronization

We extend a quantum kinetic approach to the description of hadronic showers in space, time and momentum space to deep-inelastic $ep$ collisions, with particular reference to experiments at HERA. We follow the history of hard scattering events back to the initial hadronic state and forward to the formation of colour-singlet pre-hadronic clusters and their decays into hadrons. The time evolution of the space-like initial-state shower and the time-like secondary partons are treated similarly, and cluster formation is treated using a spatial criterion motivated by confinement and a non-perturbative model for hadronization. We calculate the time evolution of particle distributions in rapidity, transverse and longitudinal space. We also compare the transverse hadronic energy flow and the distribution of observed hadronic masses with experimental data from HERA, and find encouraging results. The techniques developed in this paper may be applied in the future to more complicated processes such as eA, pp, pA and AA collisions.Comment: 44 pages plus 14 postscript figure

An Ethnohistorical Perspective on Cheyenne Demography

Administrative censuses of the Southern Cheyenne Indians from 1880,1891, and 1900 permit family reconstitution, identification of residence groups, and comparisons of fertility between monogamous and polygynous women, when the records are approached by ethnohistori cal methods. This approach includes an awareness of the aboriginal adoption practices, kinship system, and naming practices. It is argued that the biases and distortions of administrative records can be effectively corrected to add to our store of information on band and tribal societies.Yeshttps://us.sagepub.com/en-us/nam/manuscript-submission-guideline