Hedging with stock index futures: downside risk versus the variance

In this paper we investigate hedging a stock portfolio with stock index futures.Instead of defining the hedge ratio as the minimum variance hedge ratio, we considerseveral measures of downside risk: the semivariance according to Markowitz [ 19591 andthe various lower partial moments according to Fishburn's [ 1977] alpha-t model (alphaO).Analytically we show that for normal returns and biased futures markets there is an extracost associated with hedging lower partial moments if the minimum variance hedge ratioinstead of the optimal hedge ratio is used. We prove that the extra cost is different fromzero if a is bigger than or equals 1. Furthermore, in case futures markets are positively biased minimum lower partial moment hedge ratios are smallerthan the minimum variance hedge ratio (strictly smaller in case a is bigger than or equals 1).We used the Dutch FTI contract to hedge three Dutch stock market indexes. The in-sample analysis shows that (i) minimum semivariance and minimumvariance hedge ratiosare almost the same in size, (ii) minimum lower partial moment hedge ratios are smallerthan minimum variance hedge ratios (only slightly smaller for a is bigger than or equals 1) and (iii) except for the lower partial moment with a=0.5,hedging downside risk using the minimum variance hedge ratio instead of the optimal hedge ratio is appropriate. For both strategies risk can be reducedin the same proportion whereas the extra cost of using the minimum variance hedge strategy is negligible. In contrast to (iii), out-of-sample result

Het Rijksvaccinatieprogramma in Nederland. Ontwikkelingen in 2006

In 2006 several changes were made in the Dutch National Immunisation Programme (NIP): Hepatitis B vaccination at birth was added for children born to mothers positive for hepatitis B surface antigen; a new vaccine for diphtheria, tetanus, pertussis (a-cellular), poliomyelitis and Haemophilus influenzae (DTaP-IPV/Hib) was introduced; vaccination against pneumococcal disease was added at two, three, four and eleven months; risk groups for hepatitis B receive a combined vaccine for DTaP-IPV/Hib and HBV at the same ages; DT-IPV and aP at the age of four years were combined in one vaccine; and new MMR vaccines were introduced. As new information became available in 2006, the desirability to introduce vaccinations in the NIP for the following diseases could be (re)considered: hepatitis B (universal vaccination), rotavirus, varicella and human papillomavirus. For respiratory syncytial virus and meningococcal serogroup B disease no candidate vaccines are available yet. Extension of the programme with available vaccines for hepatitis A, influenza and tuberculosis is not (yet) recommended. The NIP in the Netherlands is effective and safe. However, continued monitoring of the effectiveness and safety of the NIP is important as changes are made regularly. Maintaining high vaccine uptake is vital to prevent (re)emergence of diseases. Furthermore, the programme should be regularly reviewed as new vaccines become available.In 2006 traden verschillende veranderingen op in het Rijksvaccinatieprogramma (RVP) in Nederland: kinderen die geboren worden uit moeders die chronisch geinfecteerd zijn met hepatitis B krijgen vlak na de geboorte een hepatitis B vaccinatie; er is een ander vaccin geintroduceerd voor difterie, kinkhoest (a-cellulair), tetanus, poliomyelitis en Haemophilus influenzae (DaKTP/Hib); vaccinatie tegen pneumokokken is toegevoegd op de leeftijd van 2, drie, vier en elf maanden; risicogroepen voor hepatitis B krijgen op diezelfde leeftijden een combinatievaccin voor DaKTP/Hib en hepatitis B; DTP en aK zijn gecombineerd in een vaccin op vierjarige leeftijd; en er zijn nieuwe BMR vaccins geintroduceerd. Op basis van informatie die in 2006 beschikbaar is gekomen wordt geadviseerd de introductie van vaccinaties voor de volgende ziekten te overwegen: hepatitis B (universele vaccinatie), rotavirus, waterpokken en humaan papillomavirus. Voor respiratoir syncytieel virus en meningokokken B zijn nog geen kandidaatvaccins beschikbaar en uitbreiding van het RVP met beschikbare vaccins voor hepatitis A, influenza en tuberculose wordt nog niet aanbevolen. Het RVP is effectief en veilig, maar voortdurende bewaking hiervan is groot belang, omdat er regelmatig veranderingen optreden. Handhaven van de hoge vaccinatiegraad is essentieel om terugkeer van ziekten te voorkomen. Verder moet regelmatig bekeken worden of het RVP aangepast moet worden aangezien er steeds nieuwe vaccins beschikbaar komen

Longitudinal double-spin asymmetries in semi-inclusive deep-inelastic scattering of electrons and positrons by protons and deuterons

A comprehensive collection of results on longitudinal double-spin asymmetries is presented for charged pions and kaons produced in semi-inclusive deep-inelastic scattering of electrons and positrons on the proton and deuteron, based on the full HERMES data set. The dependence of the asymmetries on hadron transverse momentum and azimuthal angle extends the sensitivity to the flavor structure of the nucleon beyond the distribution functions accessible in the collinear framework. No strong dependence on those variables is observed. In addition, the hadron charge-difference asymmetry is presented, which under certain model assumptions provides access to the helicity distributions of valence quarks

Double hadron leptoproduction in the nuclear medium

First measurement of double-hadron production in deep-inelastic scattering has been measured with the HERMES spectrometer at HERA using a 27.6 GeV positron beam with deuterium, nitrogen, krypton and xenon targets. The influence of the nuclear medium on the ratio of double-hadron to single-hadron yields has been investigated. Nuclear effects are clearly observed but with substantially smaller magnitude and reduced $A$-dependence compared to previously measured single-hadron multiplicity ratios. The data are in fair agreement with models based on partonic or pre-hadronic energy loss, while they seem to rule out a pure absorptive treatment of the final state interactions. Thus, the double-hadron ratio provides an additional tool for studying modifications of hadronization in nuclear matter

The Q2Q^2-dependence of the generalised Gerasimov-Drell-Hearn integral for the deuteron, proton and neutron

The Gerasimov-Drell-Hearn (GDH) sum rule connects the anomalous contribution to the magnetic moment of the target nucleus with an energy-weighted integral of the difference of the helicity-dependent photoabsorption cross sections. The data collected by HERMES with a deuterium target are presented together with a re-analysis of previous measurements on the proton. This provides a measurement of the generalised GDH integral covering simultaneously the nucleon-resonance and the deep inelastic scattering regions. The contribution of the nucleon-resonance region is seen to decrease rapidly with increasing $Q^2$. The DIS contribution is sizeable over the full measured range, even down to the lowest measured $Q^2$. As expected, at higher $Q^2$ the data are found to be in agreement with previous measurements of the first moment of $g_1$. From data on the deuteron and proton, the GDH integral for the neutron has been derived and the proton--neutron difference evaluated. This difference is found to satisfy the fundamental Bjorken sum rule at $Q^2 = 5$ GeV$^2$.Comment: 12 pages, 10 figure

Search for an exotic S=-2, Q=-2 baryon resonance at a mass near 1862 MeV in quasi-real photoproduction

A search for an exotic baryon resonance with $S=-2, Q=-2$ has been performed in quasi-real photoproduction on a deuterium target through the decay channel $\Xi^- \pi^- \to \Lambda \pi^- \pi^- \to p \pi^- \pi^- \pi^-$. No evidence for a previously reported $\Xi^{--}(1860)$ resonance is found in the $\Xi^- \pi^-$invariant mass spectrum. An upper limit for the photoproduction cross section of 2.1 nb is found at the 90% confidence level. The photoproduction cross section for the $\Xi^{0}(1530)$ is found to be between 9 and 24 nb

Single-spin asymmetries in semi-inclusive deep-inelastic scattering on a transversely polarized hydrogen target

Single-spin asymmetries for semi-inclusive electroproduction of charged pions in deep-inelastic scattering of positrons are measured for the first time with transverse target polarization. The asymmetry depends on the azimuthal angles of both the pion ($\phi$) and the target spin axis ($\phi_S$) about the virtual photon direction and relative to the lepton scattering plane. The extracted Fourier component \cmpi is a signal of the previously unmeasured quark transversity distribution, in conjunction with the so-called Collins fragmentation function, also unknown. The Fourier component \smpi of the asymmetry arises from a correlation between the transverse polarization of the target nucleon and the intrinsic transverse momentum of quarks, as represented by the previously unmeasured Sivers distribution function. Evidence for both signals is observed, but the Sivers asymmetry may be affected by exclusive vector meson productio

Subleading-twist effects in single-spin asymmetries in semi-inclusive deep-inelastic scattering on a longitudinally polarized hydrogen target

Single-spin asymmetries in the semi-inclusive production of charged pions in deep-inelastic scattering from transversely and longitudinally polarized proton targets are combined to evaluate the subleading-twist contribution to the longitudinal case. This contribution is significantly positive for (\pi^+) mesons and dominates the asymmetries on a longitudinally polarized target previously measured by \hermes. The subleading-twist contribution for (\pi^-) mesons is found to be small

First Measurement of the Tensor Structure Function b1b_1 of the Deuteron

The \Hermes experiment has investigated the tensor spin structure of the deuteron using the 27.6 GeV/c positron beam of \Hera. The use of a tensor polarized deuteron gas target with only a negligible residual vector polarization enabled the first measurement of the tensor asymmetry \At and the tensor structure function \bd for average values of the Bj{\o}rken variable $0.01<0.45$ and of the squared four-momentum transfer $0.5 {\rm GeV^2} <5 {\rm GeV^2}$. The quantities \At and \bd are found to be non-zero. The rise of \bd for decreasing values of $x$ can be interpreted to originate from the same mechanism that leads to nuclear shadowing in unpolarized scattering

The Q^2-Dependence of Nuclear Transparency for Exclusive ρ0\rho^0 Production

Exclusive coherent and incoherent electroproduction of the $\rho^0$ meson from $^1$H and $^{14}$N targets has been studied at the HERMES experiment as a function of coherence length ($l_c$), corresponding to the lifetime of hadronic fluctuations of the virtual photon, and squared four-momentum of the virtual photon ($-Q^2$). The ratio of $^{14}$N to $^1$H cross sections per nucleon, known as nuclear transparency, was found to increase (decrease) with increasing coherence length for coherent (incoherent) $\rho^0$ electroproduction. For fixed coherence length, a rise of nuclear transparency with $Q^2$ is observed for both coherent and incoherent $\rho^0$ production, which is in agreement with theoretical calculations of color transparency.Comment: 5 pages, 4 figure