Comparison of Archimedean copula and mean variance method in estimating VaR an application to different stock portfolios

Value-at-Risk (VaR) is one of the most important tools used in modern financial risk management. The development of VaR estimation techniques is vibrant in recent decades. Traditional methods such as mean-variance method are popular due to its feasibility and relative accuracy. However, recent research has shown that traditional methods are unable to capture the tail dependencies of assets. As seen in the Sub-prime mortgage crisis, well diversified portfolios became highly correlated and VaR is therefore severely underestimated. As a result, many researchers turn to Archimedean Copula models to estimate VaR which shows a better prediction of extreme market conditions. This study seeks to verify the superiority of Archimedean Copula by analyzing market data of four two-stock portfolios with difference in dependencies that are intuitively implied and statistically proven. These portfolios resemble different exposure to cross-market and cross-industry risks. The results have shown that across different stock portfolios, Archimedean copula always works better than the traditional mean-variance method. Furthermore, the effectiveness Archimedean copula improves significantly when the intra-portfolio correlation is low. Fund managers will therefore find it justifiable to use Archimedean for their portfolios that appear to be well-diversified and has low correlations

Experimental Investigation of the Anomalously Low Friction Phenomena in Blocky Rock Systems

Rock masses can be regarded as a blocky rock system. After a disturbance load is applied, the anomalously low friction phenomenon may take place and cause geological disasters. A series of impact experiments on granite blocks were conducted to investigate the anomalously low friction phenomena. Vertical vibration, Fourier frequency spectrum, and horizontal motions were investigated. It can be found that the tensile phases of vertical vibration can reduce the maximum static friction force, namely, the shear strength. The quasi-resonance operating mode of the rock blocks was observed. During the stress wave propagation, the vibration in the loading direction tends to transfer from high frequency to low frequency and the modes of stress wave propagation do not depend on disturbance energies. The observed translational and rotational motions were due to the initial shear force, which is less than the friction force with no disturbance load. Stability of the blocky rock system is very sensitive to the initial stress state. In the subcritical state, friction force reduction can easily break the equilibrium of forces along the contact surface and even a slight disturbance may make the horizontal motions happen, which may lead to geological disasters with great energy release

Discussions on the Path of Precise Poverty Alleviation in Dongxiang County

By means of questionnaire survey, household interview, conference exchange and field investigation, this paper makes a detailed investigation on the development status and existing problems of industry poverty alleviation and science and technology poverty alleviation in Dongxiang County. This paper puts forward the precise poverty alleviation path of Dongxiang County from the aspects of industry poverty alleviation, science and technology poverty alleviation, education poverty alleviation, poverty alleviation through ecology, relocation poverty alleviation and so on

Synthesis and improved electrochemical performance of LiMn2-xGdxO4 based cathodes

LiMn2-xGdxO4 (x=0.00, 0.01 and x=0.04) spinel active material were prepared by sol-gel method. The morphology, crystal structure, thermal stability and electrochemical properties of the synthesized samples were evaluated. Gd-doping maintains the cubic spinel structure of LiMn2O4, leads to a decrease of the average particle size, and has a strong influence on the electrochemical properties of the cathodes. LiMn2-xGdxO4 cathode materials show two pairs of separated redox peaks, independently of the Gd-doping. After 40 charge-discharge cycles at C2, the discharge capacity was 55.9 mAh.g-1 and 33 mAh.g-1 for x=0.04 and x=0, respectively, corresponding to a capacity retention of 80% and 70%, respectively. The Gd-doped with x=0.04 showed improved cycling performance with respect to pristine LiMn2O4 due the smaller particle size and superior structural stability, showing its suitability for lithium-ion battery applications.The authors thank FEDER funds through the COMPETE 2020 Programme and National Funds through FCT - Portuguese Foundation for Science and Technology under Strategic Funding UID/FIS/04650/2013. A. G., C.M.C. and S. F. thank the FCT for grants SFRH/BD/90313/2012, SFRH/BPD/112547/2015 and IF/01516/2013, respectively. The authors thank funding from the FCT under the Indo-Portuguese program of cooperation in science and technology grant INT/Portugal/P-02/2013, 2014-2016. The authors are thankful for HRTEM and Raman characterization support from MRC, MNIT, Jairpur, INDIA. The fellowship from MHRD, Govt. of India was acknowledged for Pura Ram. SLM thanks financial support from the Basque Government Industry Department under the ELKARTEK Program