Optimal portfolio and spending rules for endowment funds

We investigate the role of different spending rules in a dynamic asset allocation model for university endowment funds. In particular, we consider the fixed consumption-wealth ratio (CW) rule and the hybrid rule which smoothes spending over time. We derive the optimal portfolios under these two strategies and compare them with a theoretically optimal (Merton) strategy. We show that the optimal portfolio with habit is less risky compared to the optimal portfolio without habit. A calibrated numerical analysis on U.S. data shows, similarly, that the optimal portfolio under the hybrid strategy is less risky than the optimal portfolios under both the CW and the classical Merton strategies, in typical market conditions. Our numerical analysis also shows that spending under the hybrid strategy is less volatile than the other strategies. Thus, endowments following the hybrid spending rule use asset allocation to protect spending. However, in terms of the endowment’s wealth, the hybrid strategy comparatively outperforms the conventional Merton and CW strategies when the market is highly volatile but under-performs them when there is strong stock market growth and low volatility. Overall, the hybrid strategy is effective in terms of stability of spending and intergenerational equity because, even if it allows short-term fluctuation in spending, it ensures greater stability in the long run

Financial Stability of Islamic Versus Conventional Banks in Pakistan

This study aims to analyze and compare the financial stability of Pakistani banks covering a timeframe of 5 years from 2012 to 2016. This study employs the financial soundness indicators of the International Monetary Funds and State Bank of Pakistan and the z-score index. The comparative analysis through average scores is performed using 3 indicators of financial stability namely Z-Score, Capital Adequacy Ratio (CAR) and Equity to Total Assets Ratio. The findings of the research reveal that (i) conventional banks are more financially stable than Islamic banks; (ii) large conventional banks are more financially stable than large Islamic banks; (iii) small Islamic banks are less stable than small conventional bank. The implication of this paper is that conventional banks have the potential of absorbing financial stability shock as compare to Islamic banks on the basis of stated financial soundness indicators and Z-Score specifically.DOI: 10.15408/aiq.v10i2.650

An Investigation of the Fundamental Period of Vibration for Moment Resisting Concrete Frames

The determination of fundamental period of vibration for structures is essential to earthquake design. The current codes provide empirical formulas to estimate the approximated fundamental period and these formulas are dependent on building material, height of structure or number of stories. Such a formulation is excessively conservative and unable to account for other parameters such as: length to width ratios, vertical element size and floors area. This study investigated the fundamental periods of mid-rise reinforced concrete moment resisting frames. A total of 13 moment resisting frames were analyzed by ETABS 15.2.2, for gross and cracked eigenvalue analysis and Extreme Loading for Structures Software® or ELS, for non-linear dynamic analysis. The estimated periods of vibration were compared with empirical equations, including current code equations. As expected, the results show that building periods estimated based on simple equations provided by earthquake design codes in Europe (EC8) and America (UBC97 and ASCE 7-10) are significantly smaller than the periods computed using nonlinear dynamic analysis. Based on the results obtained from the analyzed models, equations for calculating period of vibration are proposed. These proposed equations will allow design engineers to quickly and accurately estimate the fundamental period of moment resisting frames with taking different length to width ratios, vertical element size, floors area and building height into account. The interaction between reduction factor and the reduced period of vibration is studied, and it is found that values of maximum period of vibration can be used as an alternative method to calculate the inelastic base shear value without taking reduction factors in consideration

Beaconless Packet Forwarding Approach for Vehicular Urban Environment

Existing wireless technologies provide communication and information services to all fields of life. The one of the emerging and popular field is vehicular ad hoc networks, with its unique characteristics and highly mobile environment. Different types of routing protocols have been proposed to address the routing issues in network and one of the most efficient types is geographical routing. In this type of protocols, the beacon messages are using to update the node locations and positions. However, these protoocls have been suffered with high channel congestion issue in the network. To this end, we propose a beaconless packet forwarding strategy based on modified handshake messages mechanism. The protocol uses some realistic metrics to select the next forwarder node such as forward progresss and link quality. The protocol performance is evaluated with existing beacon and beaconless geographical routing protocols. The simulation results showed the better performance of the proposed protocol in terms of packet delay and data delivery ratio in realistic wireless channel conditions

Non-cascaded short-term pumped-storage hydro-thermal scheduling using accelerated particle swarm optimization

© 2018 IEEE. This paper presents the implementation of a variant of the famous particle swarm optimization, known as Accelerated Particle Swarm Optimization (APSO), on a non-cascaded or a two-unit hydro-thermal system with consideration of hydal pumping in light loading intervals of hydro-thermal scheduling period. APSO is an easy to program and easy to implement variant of Particle Swarm Optimization (PSO) that has the ability to converge to a good approximate to global optimum within a few iterations. A standard pumped-storage hydrothermal scheduling problem, discussed in existing literature, is considered for the implementation of APSO. A comparison of this implementation is also given with the previously existing implementations of other algorithms

An approximate binary-black-hole metric

An approximate solution to Einstein's equations representing two widely-separated non-rotating black holes in a circular orbit is constructed by matching a post-Newtonian metric to two perturbed Schwarzschild metrics. The spacetime metric is presented in a single coordinate system valid up to the apparent horizons of the black holes. This metric could be useful in numerical simulations of binary black holes. Initial data extracted from this metric have the advantages of being linked to the early inspiral phase of the binary system, and of not containing spurious gravitational waves.Comment: 20 pages, 1 figure; some changes in Sec. IV B,C and Sec.

Coleoptile length comparison of three winter small grain cereals adapted to the Great Plains

Successful crop stand establishment is critical to realize high yield potential, which is dependent on depth of seed placement to access soil moisture. The coleoptile determines sowing depth by its length and ability to emerge from depth. This study was conducted to assess coleoptile length among three sets of three Great Plains winter small grain cereals—wheat (Triticum aestivum L.), barley (Hordeum vulgare L.) and triticale (X triticosecale Wittm.)—and to evaluate the effect of the Rht-B1b dwarfing allele on coleoptile length in wheat and triticale. Fifty seeds of each genotype were sown in wet germination paper in two replications utilizing a randomized complete block design, which were placed in dark growth chambers at 25°C. Measurements were conducted after 7 d, and analysis of variance and comparison of least square means for coleoptile length among and within each set of genotypes were performed in Statistix 8.1 software using Fisher’s protected least significance difference at the α = 0.05 significance level. Results revealed that triticale had the longest coleoptiles, which were significantly longer (P \u3c 0.05) than those measured in both barley and wheat. Additionally, significant variation in coleoptile length (P \u3c 0.05) was also found within each set of wheat (3.52–6.41 cm), barley (4.32–6.63 cm) and triticale (4.05–6.92 cm) genotypes, respectively. These findings confirm other reports that the presence of the Rht-B1b allele was pleiotropic for coleoptile length, but development of semi-dwarf wheats with longer coleoptiles is possible if breeders deploy concurrent selection strategies