10,468 research outputs found
Parametric Immunization in Bond Portfolio Management
In this paper, we evaluate the relative immunization performance of the multifactor
parametric interest rate risk model based on the Nelson-Siegel-Svensson specification of
the yield curve with that of standard benchmark investment strategies, using European
Central Bank yield curve data in the period between January 3, 2005 and December 31,
2011. In addition, we examine the role of portfolio design in the success of immunization
strategies, particularly the role of the maturity bond. Considering multiperiod tests, the
goal is to assess, in a highly volatile interest rate period, whether the use of the multifactor
parametric immunization model contributes to improve immunization performance
when compared to traditional single-factor duration strategies and whether durationmatching
portfolios constrained to include a bond maturing near the end of the holding
period prove to be an appropriate immunization strategy. Empirical results show that:
(i) immunization models (single- and multi-factor) remove most of the interest rate risk
underlying a naïve or maturity strategy; (ii) duration-matching portfolios constrained to
include the maturity bond and formed using a single-factor model outperform the traditional
duration-matching portfolio set up using a ladder portfolio and provide appropriate
protection against interest rate risk; (iii) the multifactor parametric model outperforms
all the other non-duration and duration-matching strategies, behaving almost like a perfect
immunization asset; (iv) these results are consistent to changes in the rebalancing
frequency of bond portfolios
Primordial non-Gaussianity from mixed inflaton-curvaton perturbations
We characterise the primordial perturbations produced due to both inflaton
and curvaton fluctuations in models where the curvaton has a quadratic, cosine
or hyperbolic potential, and the inflaton potential is characterised by the
usual slow-roll parameters. Isocurvature curvaton field perturbations can
produce significant non-Gaussianity in the primordial density field, in
contrast with adiabatic inflaton field perturbations which produce negligible
non-Gaussianity for canonical scalar fields. A non-self-interacting curvaton
with quadratic potential produces a local-type non-Gaussianity that is well
described by the non-linearity parameter fNL, which may be scale-dependent when
the inflaton perturbations dominate the power spectrum. We show how
observational bounds on non-linearity parameters and the tensor-scalar ratio
can be used to constrain curvaton and inflaton parameters. We find a
consistency relation between the bispectrum and trispectrum parameters in a
mixed inflaton-curvaton model for a quadratic curvaton potential.
Self-interaction terms in the curvaton potential can lead to both a large
trispectrum parameter, gNL, and scale-dependence of the non-linearity
parameters.Comment: 17 pages, 8 figures, (v2 references added
Tilted Ekpyrosis
We consider a simple model of cosmological collapse driven by canonical
fields with exponential potentials. We generalise the two-field ekpyrotic
collapse to consider non-orthogonal or tilted potentials and give the general
condition for isocurvature field fluctuations to have a scale-invariant
spectrum in this model. In particular we show that tilted potentials allow for
a slightly red spectrum of perturbations as required by current observations.
However a red spectrum of fluctuations implies that the two-field ekpyrotic
phase must have a finite duration and requires a preceding phase which sets the
initial conditions for what otherwise appears to be a fine-tuned trajectory in
the phase space.Comment: 5 pages, references adde
Portfolio selection in euro area with CAPM and Lower Partial Moments models
This article selects portfolios using estimates given by CAPM and three Lower Partial Moments models (LPM). The CAPM assumption about investors’ behaviour towards risk is that they are equally concerned with upside and downside risk. The LPM models, however, are based on the assumption that investors’ utility functions weight downside risk more heavily than upside risk. The major difference between LPM models is their definition of upside and downside risk. The asset pricing models estimations and the corresponding portfolio selection were conducted on several euro area domestic stock indexes and the European Monetary Union stock market index (EMU). A pairwise comparison of portfolio performance is conducted through Sharpe ratios calculated sepa- rately for upside and downside market conditions. The results of this comparative analysis of different pricing models provide evidence that CAPM and one LPM model offer better protection against adverse market conditions than the other two LPM models studied.info:eu-repo/semantics/publishedVersio
The Integration of European Stock Markets and Market Timing
In this research, a European index and a world index were used to test the integration of the national stock markets of fourteen EU countries into the world stock market. A market timing procedure was used to detect differences of performance between the national indexes. The main conclusions drawn are that the European factor is important in explaining the returns of all the national indexes, but the world portfolio seems unnecessary in the cases of nine countries whose stock markets are embedded in the global European stock market. Differences of performance were also detected: the market timing effect being particularly evident in relation to the European market portfolio. Non-participation in the single currency does not seem to have a perceptible influence on the results.
Has the Stability and Growth Pact stabilised? Evidence from a panel of 12 European countries and some implications for the reform of the Pact
Ever since its inception EMU has been subject to controversy. The fiscal policy rules embedded in the Treaty on European Union, and clarified in the Stability and Growth Pact (SGP), are probably the most contentious. The SGP is being accused of being too rigid and of forcing pro-cyclicality in fiscal policy. We test the impact of the SGP rules on the cyclical properties of fiscal policy for a panel of 12 European countries. We conclude that contrary to what might have been expected the euro fiscal rules have reinforced the counter-cyclicality of fiscal policy. However, the results also show that the SGP is not being applied symmetrically over the cycle, leading to insufficient fiscal consolidation during economic upswings. This explains the recent difficulties of Portugal, Germany and France in complying with SGP requirements. Based on these conclusions we argue for the creation of independent national technical committees that would define an appropriate deficit target on an annual basis.Fiscal policy, stabilisation, EMU, Stability and Growth Pact reform.
Probing the primordial Universe with MeerKAT and DES
It is usually assumed that we will need to wait until next-generation surveys
like Euclid, LSST and SKA, in order to improve on the current best constraints
on primordial non-Gaussianity from the Planck experiment. We show that two
contemporary surveys, with the SKA precursor MeerKAT and the Dark Energy Survey
(DES), can be combined using the multi-tracer technique to deliver an accuracy
on measurement of that is up to three times better than Planck.Comment: 7 pages, 5 figures, 1 table. We now marginalise over the bias, and
ensure that we exclude nonlinear scales, leading to small quantitative
corrections. Version accepted by MNRA
A flexible matrix Libor model with smiles
We present a flexible approach for the valuation of interest rate derivatives
based on Affine Processes. We extend the methodology proposed in Keller-Ressel
et al. (2009) by changing the choice of the state space. We provide
semi-closed-form solutions for the pricing of caps and floors. We then show
that it is possible to price swaptions in a multifactor setting with a good
degree of analytical tractability. This is done via the Edgeworth expansion
approach developed in Collin-Dufresne and Goldstein (2002). A numerical
exercise illustrates the flexibility of Wishart Libor model in describing the
movements of the implied volatility surface
Vacuum stability with spontaneous violation of lepton number
The vacuum of the Standard Model is known to be unstable for the measured
values of the top and Higgs masses. Here we show how vacuum stability can be
achieved naturally if lepton number is violated spontaneously at the TeV scale.
More precise Higgs measurements in the next LHC run should provide a crucial
test of our symmetry breaking scenario. In addition, these schemes typically
lead to enhanced rates for processes involving lepton flavour violation .Comment: 9 pages, 4+2 figures; some references added, some textual
modifications: 2 figures added, appendices added. Results unchanged. Matches
published versio
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