1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus

Recent research [e.g., DeMiguel, Garlappi and Uppal, (2009a), Rev. Fin. Studies] has cast doubts on the out-of-sample performance of optimizing portfolio strategies relative to a naive, equally-weighted ones. However, most of the existing results concern the simple case in which an investor has a one-month horizon and mean-variance preferences. In this paper, we examine whether this finding holds for longer investment horizons, when the asset menu includes bonds and real estate beyond stocks and cash, and when the investor is characterized by constant relative risk aversion preferences which are not locally mean-variance for long horizons. Our experiments indicates that power utility investors with horizons of one year and longer would have on average benefited, ex-post, from an optimizing strategy that exploits simple linear predictability in asset returns over the period January 1995 - December 2007. This result is insensitive to the degree of risk aversion, to the number of predictors being included in the forecasting model, and to the deduction of transaction costs from measured portfolio performance.equally weighted portfolios; long investment horizon; real-time strategic asset allocation; public real estate vehicles; ex post performance; predictability; parameter uncertainty

Investing for the long-run in European real estate

We calculate optimal portfolio choices for a long-horizon, risk-averse investor who diversifies among European stocks, bonds, real estate, and cash, when excess asset returns are predictable. Simulations are performed for scenarios involving different risk aversion levels, horizons, and statistical models capturing predictability in risk premia. Importantly, under one of the scenarios, the investor takes into account the parameter uncertainty implied by the use of estimated coefficients to characterize predictability. We find that real estate ought to play a significant role in optimal portfolio choices, with weights between 12 and 44 percent. Under plausible assumptions, the welfare costs of either ignoring predictability or restricting portfolio choices to traditional financial assets only are found to be in the order of 150-300 basis points per year. These results are robust to changes in the benchmarks and in the statistical framework.Real estate investment ; Rate of return ; European Union

Time and risk diversification in real estate investments: assessing the ex post economic value

Welfare gains to long-horizon investors may derive from time diversification that exploits non-zero intertemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. While it could be important for long horizon investors, time diversification has been mostly investigated in asset menus without real estate and focusing on in-sample experiments. This paper evaluates ex post, out-of-sample gains from diversification when E-REITs belong to the investment opportunity set. We find that diversification into REITs increases both the Sharpe ratio and the certainty equivalent of wealth for all investment horizons and for both Classical and Bayesian (who account for parameter uncertainty) investors. The increases in Sharpe ratios are often statistically significant. However, the out-of sample average Sharpe ratio and realized expected utility of long-horizon portfolios are frequently lower than that of a one-period portfolio, which casts doubts on the value of time diversification.Real estate investment

1/N and long run optimal portfolios: results for mixed asset menus

Recent research [e.g., DeMiguel, Garlappi and Uppal, (2009), Rev. Fin. Studies] has cast doubts on the out-of-sample performance of optimizing portfolio strategies relative to naive, equally weighted ones. However, existing results concern the simple case in which an investor has a one-month horizon and meanvariance preferences. In this paper, we examine whether their result holds for longer investment horizons, when the asset menu includes bonds and real estate beyond stocks and cash, and when the investor is characterized by constant relative risk aversion preferences which are not locally mean-variance for long horizons. Our experiments indicates that power utility investors with horizons of one year and longer would have on average benefited, ex-post, from an optimizing strategy that exploits simple linear predictability in asset returns over the period January 1995 - December 2007. This result is insensitive to the degree of risk aversion, to the number of predictors being included in the forecasting model, and to the deduction of transaction costs from measured portfolio performance.Econometric models ; Asset pricing ; Rate of return

Métodos de fenotipagem e estádios fenológicos para quantificar o sistema radicular de feijoeiro

The objective of this work was to evaluate root phenotyping methods and the ideal phenological stage to quantify the root system of fixed and segregating common bean populations, in order to select superior genotypes. The experiment was carried out in two municipalities in the state of Santa Catarina, Brazil, and the treatments consisted of six genotypes, the Shovelomics and WinRHIZO root phenotyping methods, and the V4-4, R6, and R8 phenological stages. The simple lattice experimental design was used to evaluate the following variables: basal root angle, vertical root length, left and right horizontal root length, total root length, projected area, and root average volume and diameter. For all variables, there was a significant interaction between phenotyping methods and phenological stages, showing their influence on root system evaluation. The Shovelomics and WinRHIZO phenotyping methods are efficient in quantifying the root system of common bean plants and show specificity for phenological stages, regardless of the genotype. The quantification of the root system of fixed and segregating genotypes is analogous in both methods. The Shovelomics method is more efficient in evaluating the root system of common bean at the R8 stage, and the WinRHIZO method, at the R6 stage.O objetivo deste trabalho foi avaliar métodos de fenotipagem de raízes e o estádio fenológico ideal para quantificação do sistema radicular de populações fixas e segregantes de feijoeiro, para selecionar genótipos superiores. O experimento foi realizado em dois municípios do estado de Santa Catarina, Brasil, e os tratamentos consistiram em seis genótipos, nos métodos de fenotipagem Shovelomics e WinRHIZO, e nos estádios fenológicos V4-4, R6 e R8. O delineamento experimental látice simples foi utilizado para avaliar as seguintes variáveis: ângulo de raiz basal, comprimento vertical das raízes, comprimento horizontal esquerdo e direito das raízes, comprimento total das raízes, área projetada, e volume e diâmetro médio de raízes. Para todas as variáveis, houve interação significativa entre os métodos de fenotipagem e os estádios fenológicos, o que mostra a influência desses na avaliação do sistema radicular. Os métodos de fenotipagem Shovelomics e WinRHIZO são eficientes para a quantificação do sistema radicular do feijoeiro e apresentam especificidade para o estádio fenológico, independentemente do genótipo. A quantificação do sistema radicular de genótipos fixos e segregantes é análoga em ambos os métodos. O método Shovelomics é mais eficiente para avaliar o sistema radicular do feijoeiro na fase R8, e o método WinRHIZO, na fase R6

Seleção multivariada entre e dentro de populações mutantes de feijão

Induction of mutation is a strategy widely used in plant breeding programs, providing the creation of genetic variability for many characteristics of agronomic importance. The aim of this study was to select promising genotypes within mutant populations of agronomically promising beans (Phaseolus vulgaris L.), in the agricultural year 2009/10 and 2010/11, in Lages, SC. Forty mutant bean populations derived from 60Co gamma irradiation at doses of 100 and 200 Grays were evaluated. The genotypes subjected to induced mutation were Pérola, Iapar_81, IPR Uirapuru and IPR Chopim. This study used a randomized block design, with three replicates. Multivariate analysis of variance and canonical discriminant analysis were performed to explore the hypotheses. Multivariate contrasts between the mutant populations and their original populations were conducted to test the hypotheses. Multivariate analysis of variance showed significant effect of mutant populations according to crop year. Variability was also detected within the mutant population. These results show the efficiency of the mutagen in creating variability. The PMP_100 and PMC_200 mutant populations were selected due to showing a promising performance for the characteristics stem diameter, thousand-grain mass and grain yield. Within the selected mutant populations was detected genetic variability that can contribute to effective selection. The PMP_100 and PMC_200 populations must be conducted and further selected plant-by-plant to obtain promising genotypes. A indução de mutação é estratégia amplamente utilizada nos programas de melhoramento de plantas, e proporciona a criação de variabilidade genética para muitos caracteres de importância agronômica. O objetivo do presente trabalho foi selecionar entre e dentro de populações mutantes de feijão (Phaseolus vulgaris L.) promissoras agronomicamente, nos anos agrícolas 2009/10 e 2010/11, em Lages, SC. Foram avaliadas 40 populações mutantes derivadas de radiação gama de 60Co, nas doses de 100 e 200 Grays. Os genótipos submetidos à mutação induzida foram Pérola, Iapar_81, IPR Uirapuru e IPR Chopim. O delineamento utilizado foi em blocos ao acaso, com três repetições. Foi efetuada análise de variância multivariada e análise discriminante canônica para a exploração das hipóteses. Contrastes multivariados entre as populações mutantes e suas populações originais foram efetuados para testar as hipóteses. A análise de variância multivariada revelou efeito significativo das populações mutantes aninhado aos anos agrícolas. Foi detectada, também, variabilidade dentro das populações mutantes. Estes resultados evidenciam a eficiência do agente mutagênico na criação de variabilidade genética. As populações mutantes selecionadas foram PMP_100 e PMC_200 por apresentarem desempenho promissor em relação aos caracteres diâmetro do caule, massa de mil grãos e rendimentos de grãos. Dentro das populações mutantes selecionadas foi detectada variabilidade genética que pode contribuir para seleção efetiva. As populações PMP_100 e PMC_200 devem ser conduzidas e ainda selecionadas, planta a planta, para obtenção de genótipos promissores

Screening and agronomic benefits of the stay-green trait in common bean genotypes

Selecting a trait linked to metabolic pathways that enhance resistance and tolerance to biotic and abiotic stresses may be an excellent alternative. A practical approach to increase the productivity of annual crops is to maximize the photosynthetic efficiency in plant breeding. The purpose of this study was to discriminate common bean genotypes during physiological senescence with regard to the stay-green trait and analyze its effects on other traits of agronomic interest. Ten common bean genotypes were analyzed in a randomized complete block design with three replications. The stay-green trait was assessed by visual scores at harvest. The chlorophyll a content, chlorophyll b and green pod color were also evaluated during senescence (75, 80, 85, 90, and 95 days after sowing). Pod maturation of all evaluated genotypes was standard when they reached 95 days after sowing. The stay - green feature was detected only in the genotypes BRS Expedito, FT - Tarumã and BAF071. Genetic variability in the mechanisms related to late senescence is indicated by: i) a high initial chlorophyll a content; and ii) reduced chlorophyll degradation throughout senescence. Plants with stay-green properties were significantly correlated with a lower incidence and severity of plant pathology, greater stem diameter, and higher grain yield

EFEITOS DA RADIAÇÃO GAMA NA QUALIDADE NUTRICIONAL DE GRÃOS DE SOJA Glycine max (L.)

O presente trabalho teve como objetivo a determinação dealterações consequentes da aplicação de raios gama (doses de0, 2, 4 e 8 kGy) em dois diferentes cultivares de soja (BRS 213e Embrapa 48) mediante análises químicas de perfi l lipídico,isofl avonas e polifenois totais, livres e ligados a proteínas. Os doiscultivares apresentaram perfi l lipídico semelhante e a irradiaçãopromoveu redução nas quantidades de ácidos linolênico e linoleico.Com relação às isofl avonas, o tratamento de radiação promoveuaumento na quantidade das glicosiladas com dose de 2 kGy ediminuição com doses de 4 e 8 kGy. A irradiação também foiresponsável pelo aumento da capacidade antioxidante e reduçãoda complexação entre os polifenois e as proteínas. A partir dessesresultados foi possível concluir que a radiação gama não alterousignifi cativamente as características químicas dos cultivares de sojaestudados

Contribuição da heterogeneidade de linhas de regressão para a recomendação de novas cultivares

The objective of this work was to show the contribution of the analysis of the heterogeneity of regression lines to the recommendation of new cultivars by the Eberhart & Russell method. An experiment with ten rice genotypes, evaluated in eight environments, was used to illustrate the methodology. A randomized complete block design, with three replicates, was used. The sum of squares of genotype x environment (GxA) interaction was decomposed to evaluate the heterogeneity of regression lines and the accumulated deviations from linearity. The heterogeneity of regression lines was analyzed using the t‑test on the linear regression coefficients of the genotypes. The two orthogonal components of GxA interaction were significant. The heterogeneity analysis of regression lines made it possible to detect inconsistencies in genotype adaptability, which reduced the chances of misleading recommendations of cultivars. Genotypes were ranked according to the efficiency of the Eberhart & Russell methodology to explain the nature of genotypic performance over changing environments. The evaluation of the heterogeneity of regression lines contributes to more effective recommendations of new cultivars with the use of the Eberhart & Russell methodology.O objetivo deste trabalho foi evidenciar a contribuição da análise da heterogeneidade das linhas de regressão para a recomendação de novas cultivares, pela metodologia de Eberhart & Russell. Um experimento com dez genótipos de arroz, avaliados em oito ambientes, foi utilizado para ilustração da metodologia. Utilizou-se o delineamento de blocos ao acaso com três repetições. A soma dos quadrados da interação genótipo x ambiente (GxA) foi decomposta para avaliação da heterogeneidade das linhas de regressão e dos desvios acumulados da linearidade. A heterogeneidade das linhas de regressão foi analisada com o uso do teste t sobre os coeficientes de regressão linear dos genótipos. Os dois componentes ortogonais da interação GxA foram significativos. A análise da heterogeneidade das linhas de regressão permitiu detectar incoerências na adaptabilidade dos genótipos, o que diminui as chances de recomendações equivocadas de cultivares. Os genótipos foram classificados de acordo com a eficiência da metodologia de Eberhart & Russell em explicar a natureza do desempenho genotípico diante das mudanças nos ambientes. A avaliação da heterogeneidade das linhas de regressão contribui para a recomendação mais efetiva de novas cultivares com a metodologia de Eberhart & Russell

Application of multivariate techniques in the evaluation of pure lines of beans Aplicação de técnicas multivariadas na avaliação de linhas puras de feijão

ABSTRAC