Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness and kurtosis. Furthermore, it is intended to study how this relationship can be utilised in portfolio optimisation. First, based on a database of 600 individual equity returns from 22 emerging world markets, factor models incorporating the first four moments of the return distribution have been constructed at different confidence levels for CVaR, and the contribution of the identified factors in explaining CVaR was determined. Following this the influence of higher moments was examined in portfolio context, i.e. asset allocation decisions were simulated by creating emerging market portfolios from the viewpoint of US investors. This can be regarded as a normal decisionmaking process of a hedge fund focusing on investments into emerging markets. In our analysis we compared and contrasted two approaches with which one can overcome the shortcomings of the variance as a risk measure. First of all, we solved in the presence of conflicting higher moment preferences a multi-objective portfolio optimisation problem for different sets of preferences. In addition, portfolio optimisation was performed in the mean-CVaR framework characterised by using CVaR as a measure of risk. As a part of the analysis, the pair-wise comparison of the different higher moment metrics of the meanvariance and the mean-CVaR efficient portfolios were also made. Throughout the work special attention was given to implied preferences to the different higher moments in optimising CVaR. We also examined the extent to which model risk, namely the risk of wrongly assuming normally-distributed returns can deteriorate our optimal portfolio choice. JEL Classification: G11, G15, C6

Dynamic Asset Allocation with Regime Shifts and Long Horizon CVaR-Constraints

We analyse portfolio policies for investors who invest optimally for given investment horizons with respect to Conditional Value-at-Risk constraints. We account for nonnormally distributed, skewed, and leptokurtic asset return distributions due to regime shifts. The focus is on standard CRRA utility with a money back guarantee at maturity, which is often augmented to individual retirement plans. Optimal solutions for the unconstrained as well as the constrained policy are provided and examined for risk management costs calculated as welfare losses. Our results confirm previous findings that money back guarantees yield mild downside protection at low economic costs for most long term investors

Variational and Strong Variational Convexity in Infinite-Dimensional Variational Analysis

This paper is devoted to a systematic study and characterizations of the fundamental notions of variational and strong variational convexity for lower semicontinuous functions. While these notions have been quite recently introduced by Rockafellar, the importance of them has been already recognized and documented in finite-dimensional variational analysis and optimization. Here we address general infinite-dimensional settings and derive comprehensive characterizations of both variational and strong variational convexity notions by developing novel techniques, which are essentially different from finite-dimensional counterparts. As a consequence of the obtained characterizations, we establish new quantitative and qualitative relationships between strong variational convexity and tilt stability of local minimizers in appropriate frameworks of Banach spaces

Local Minimizers of Nonconvex Functions in Banach Spaces via Moreau Envelopes

This paper investigates the preservation of local minimizers and strong minimizers of extended-real-valued lower semicontinuous functions under taking their Moreau envelopes. We address a general setting of Banach spaces, while all the obtained results are new even for functions in finite dimensions. Our main motivation came from applications to numerical methods in nonsmooth optimization dealing with broad classes of nondifferentiable and nonconvex functions. The paper also formulates and discusses some open questions stemming from this study

Application of the cut-off projection to solve a backward heat conduction problem in a two-slab composite system

The main goal of this paper is applying the cut-off projection for solving one-dimensional backward heat conduction problem in a two-slab system with a perfect contact. In a constructive manner, we commence by demonstrating the Fourier-based solution that contains the drastic growth due to the high-frequency nature of the Fourier series. Such instability leads to the need of studying the projection method where the cut-off approach is derived consistently. In the theoretical framework, the first two objectives are to construct the regularized problem and prove its stability for each noise level. Our second interest is estimating the error in -norm. Another supplementary objective is computing the eigen-elements. All in all, this paper can be considered as a preliminary attempt to solve the heating/cooling of a two-slab composite system backward in time. Several numerical tests are provided to corroborate the qualitative analysis.Peer reviewe

Application of Conductive Concrete as a Microbial Fuel Cell to Control H2S Emission for Mitigating Sewer Corrosion

Localized biogenic corrosion and extrication of annoying odors caused by hydrogen sulfide (H2S) have long been a big problem in the management of urban sewer systems. H2S emission control in sewers via chemically or biologically normal oxidation processes has also been investigated extensively and is costly. The objective of this work was to develop a new technology to mitigate the concentration of H2S in sewer pipes using conductive concrete. Experimental results after 66 days show that the concentration of hydrogen sulfide significantly decreased when conductive concrete was used as a microbial fuel cell. Both ordinary Portland cement and conductive concrete were utilized for the target experiment. Elemental sulfur was observed in the coating sludge of conductive concrete, whereas this trend was not observed for ordinary Portland cement. These observations demonstrate that conductive concrete provides an electron pathway from deposited sludge in the bottom of sewer pipes to oxygen dissolved in surface water electrons generated from hydrogen sulfide oxidation in an anaerobic environment via conductive concrete. Finally, regarding the mechanism responsible for hydrogen sulfide oxidation, chemical oxidation was the dominant process, and biological processes did not play a significant role

The results of deep magnetotelluric sounding for studying the Nha Trang - Tanh Linh fault

The profile of deep magnetotelluric sounding (MT) from Duc Trong - Tuy Phong has been carried out in Lam Dong and Binh Thuan  provinces. The length of the Duc Trong - Tuy Phong profile is about 80 km with 15 stations and the distance between the stations measures about 5 km. Two-dimensional MT inversion was used to find a resistivity model that fits the data. The 2D resistivity model allows determining position and development formation of the Nha Trang - Tanh Linh  fault. This is the deep fault, which is showed by the boundaries of remarkable change of resistivity. In the near surface of the Earth (from ground to the depth of 6 km), the angle of inclination of this fault is about 60o; in the next part, the direction of the Nha Trang - Tanh Linh  faut is vertical. Geoelectrical section of the Nha Trang - Tanh Linh  profile shows that the resistivity of mid-crust is higher than that of lower-crust and of upper-crust

Integration of an RSA-2048-bit public key cryptography solution in the development of secure voice recognition processing applications

The authors initially employs the fast Fourier transform (FFT) approach to transforming voice inputs into digital signals before integrating a speech recognition solution (which includes two models: the hidden Markov model (HMM) and the artificial neural network (ANN)). To achieve standard-tone identification of voice signals and digitally store speech, the authors then incorporated a 2048-bit Rivest-Shamir-Adleman (RSA) encryption method to encrypt and decrypt digital speech. The authors’ building team constructed the program using a 256-bit advanced encryption standard - Galois counter mode (AES-GCM) encryption method to assure the application’s effectiveness. The authors successfully created a voice recognition application according to the HMM of ANN. The collected findings suggest that the authors’ secure speech recognition program (named soft voice - RSA) has improved in terms of safety, keeping speech material secret, and speed. It takes roughly 0.2 s to generate a 2048-bit RSA key pair that exceeds the National Institute of Standards and Technology (NIST) standard, 700-1070 ms to process speech, 1-4 ms to encrypt 2048-bit RSA, 6-8 ms to decrypt 2048-bit RSA

NGHIÊN CỨU CẤU TRÚC SÂU KHU VỰC ĐỨT GÃY SÔNG SÀI GÒN BẰNG PHƯƠNG PHÁP TỪ TELUA

This paper presents the magnetotelluric sounding results  of  Cu  Chi  -  Ben  Cat profile across the  Saigon  River fault. Results obtained by one-dimensional inversion of the data of a typical station located near the middle of the profile show that the geoelectric structure of the study area consists of three layers, in which the resistivities of the superficial and the underlying layers are relatively low compared with that of the intermediate layer. This geoelectric structure is then used to estimate the influence of the equatorial electrojet on the magnetotelluric measurements carried out in the region. Magnetotelluric forward problems were calculated and compared for cases of the present and the absent of the equatorial electrojet model. Results show that in the range of periods less than 0.7s, the apparent resistivity measured are not affected by the equatorial electrojet. Therefore, the apparent resistivity data measured in the period range less than 0.7s of all stations on the profile have been used for two-dimensional inversion to obtain geoelectric cross-section acrossing the Saigon River fault. The geoelectric cross-section down to a depth of 10km obtained by two-dimensional inversion shows a geoelectric structure consist of 3 layers: a low resistivity superficial layer, a resistive intermediate layer, and a low resistivity underlying layer. The superficial layer is clearly related to the sedimentary series. The intermediate layer may relate to the intrusive and consolidated rocks. The underlying layer may reflect conductive materials causing by high-temperature condition at depth. The interface between the intermediate and the underlying layers at around 3km depth corresponds probably to the crystalline basement. The low resistivity regions under the C4 and C2 stations may be related to the Duong Minh Chau - Dau Tieng - Can Gio and the Saigon River faults, correspondingly.ReferencesS. C. Constable, R. L. Parker, and C. G. Constable, 1987. Occam’ s inversion: A practical algorithm for generating smooth models from EM sounding data, Geophysics, 52, 289-300. H. Grandis, M. Menvielle, and M. Roussignol, 1999. Bayesian inversion with Markovchains-I. Themagnetotelluric one-dimensional case, Geophys. J. Int., 138, 757-768. Trương Quang Hảo, Lương Văn Trương, 2005. Xác định một vài thông số của dòng điện xích đạo ở Việt Nam, Tuyển tập báo cáo Hội nghị khoa học kỹ thuật địa vật lý Việt Nam lần thứ 4, 47-70. Trương Quang Hảo, 1997. Thành tựu nghiên cứu Vật lý Địa cầu 1987-1997. Trung tâm Khoa học Tự nhiên và Công nghệ Quốc Gia, viện Vật lý Địa cầu, Nxb. KHKT, 202-236. Nguyễn Ngọc Hoa (chủ biên), 1995. Bản đồ địa chất và khoáng sản Việt Nam, tỷ lệ 1:200.000, tờ C-48-XI, Thành phố Hồ Chí Minh, Cục Địa chất và Khoáng sản Việt Nam, Hà Nội. Đặng Văn Hưng, 1987. Tính chất của trường điện từ tự nhiên miền xích đạo từ và độ chính xác của của phương pháp MTS ở Việt Nam, Tạp chí các Khoa học về Trái Đất, T.9, 2, 61-66. A. G. Jones, 1992. Electrical conductivity of the continental lower crust, Continental lower crust, Edi. D. M. Fountain, R. J. Arculus and R. W. Kay, 81-143. S. K. Lee et al, 2009. MT2DinvMatlab-A program in MATLAB and FORTRAN for two-dimensional magnetotelluric inversion, Computers Geosciences, 35, 1722-1734. Đỗ Văn Lĩnh (chủ biên), 2009. Báo cáo thuyết minh đề tài “Phân vùng nhỏ động đất khu vực thành phố Hồ Chí Minh”, Sở Khoa học và Công nghệ thành phố Hồ Chí Minh, 248tr. Lê Huy Minh, Nguyễn Văn Giảng, Nguyễn Trọng Vũ và Lại Cao Khiêm, 2004. Kết quả sơ bộ nghiên cứu cấu trúc sâu vùng đồng bằng Sông Cửu Long, Tuyển tập báo cáo Hội nghị Khoa học cơ bản, Thành phố Hồ Chí Minh 12/2004. Lê Huy Minh, Nguyễn Chiến Thắng, Lưu Việt Hùng, 2005. Kết quả đo sâu từ telua tuyến Chợ Gạo- Hóc Môn, Tuyển tập báo cáo Hội nghị Khoa học kỹ thuật Địa vật lý Việt Nam lần thứ 4, 149-161. Lê Huy Minh, Phạm Văn Ngọc, D. Boyer, Nguyễn Ngọc Thủy, Lê Trường Thanh, Ngô Văn Quân, G. Marquis, 2009. Nghiên cứu chi tiết cấu trúc đứt gãy Lai Châu - Điện Biên bằng phương pháp đo sâu từ tellur, Tạp chí Địa chất loạt A, 311, 11 -21. W. R. Peltier and J. F. Hermance, 1971. Magnetotelluric Fields of a Gaussian Electrojet, Canadian Journal of Earth Sciences, 8(3), 338-346. V. N. Pham, D. Boyer, T. K. T. Nguyen, and V. G. Nguyen, 1994. Deep ground-water investigation by combined VES/MTS methods near Ho Chi Minh City, Viet Nam, Ground water, 32, 4, 675-682. P. Tapponier et al., 1990. The Ailao Shan/Red River metamorphic belt: Tertiary left-lateral shear between Indochina and South China, Nature, 343, 431-437. Nguyễn Ngọc Thu, 2004. Xử lý tổng hợp tài liệu địa vật lý vùng thành phố Hồ Chí Minh, Luận án Tiến sĩ vật lý, Đại học Quốc Gia Tp. Hồ Chí Minh, 146tr. Cao Đình Triều, 2005. Trường địa vật lý và cấu trúc thạch quyển lãnh thổ Việt Nam. Nxb. KHKT, Hà Nội, 330tr. Cao Đình Triều, Phạm Huy Long, Đỗ Văn Lĩnh, Lê Văn Dũng, Cao Đình Trọng, 2013. Địa động lực hiện đại lãnh thổ Việt Nam. Nxb. Khoa học Tự nhiên và Công nghệ, 242tr.J. T. Weaver and A. K. Agarwal, 1993. Automatic 1-D inversion of magnetotelluric data by the method of modeling, Geophys. J. Int, 112, 115-123. This  paper  presents the magnetotelluric  sounding  results  of  Cu  Chi  -  Ben  Cat  profile  acrossing  the  Saigon  River fault. Results obtained by one-dimensional inversion of the data of a typical station located near the middle of the profile show that the geoelectric structure of the study area consists of three layers, in which the resistivities of the superficial and the underlying layers are relatively low compared with that of the intermediate layer. This geoelectric structure is then used to estimate the influence of the equatorial electrojet on the magnetotelluric measurements carried out in the region. Magnetotelluric forward problems were calculated and compared for cases of the present and the absent of the equatorial electrojet model. Results show that in the range of periods less than 0.7s, the apparent resistivity measured are not affected by the equatorial electrojet. Therefore, the apparent resistivity data measured in the period range less than 0.7s of all stations on the profile have been used for two-dimensional inversion to obtain geoelectric cross-section acrossing the Saigon River fault. The geoelectric cross-section down to a depth of 10km obtained by two-dimensional inversion shows a geoelectric structure consist of 3 layers: a low resistivity superficial layer, a resistive intermediate layer and a low resistivity underlying layer. The superficial layer is clearly related to the sedimentary series. The intermediate layer may relate to the intrusive and consolidated rocks. The underlying layer may reflect conductive materials causing by high temperature condition at depth. The interface between the intermediate and the underlying layers at around 3km depth corresponds probably to the crystalline basement. The low resistivity regions under the C4 and C2 stations may be related to the Duong Minh Chau - Dau Tieng - Can Gio and the Saigon River faults, correspondingly