Constant Proportion Portfolio Insurance Strategies under Cumulative Prospect Theory with Reference Point Adaptation

Constant Proportion Portfolio Insurance (CPPI) is a significant and highly popular investment strategy within the structured product market. This has led to recent work which attempts to explain the popularity of CPPI by showing that it is compatible with Cumulative Prospect Theory (CPT). We demonstrate that this cannot explain the popularity of ratcheted CPPI products which lock-in gains during strong growth in the portfolio. In this paper we conjecture that CPPI investors not only follow CPT, but crucially that they also adapt their reference point over time. This important distinction explains investors preference for ratcheted product

Spatio-Temporal Patterns act as Computational Mechanisms governing Emergent behavior in Robotic Swarms

open access articleOur goal is to control a robotic swarm without removing its swarm-like nature. In other words, we aim to intrinsically control a robotic swarm emergent behavior. Past attempts at governing robotic swarms or their selfcoordinating emergent behavior, has proven ineffective, largely due to the swarm’s inherent randomness (making it difficult to predict) and utter simplicity (they lack a leader, any kind of centralized control, long-range communication, global knowledge, complex internal models and only operate on a couple of basic, reactive rules). The main problem is that emergent phenomena itself is not fully understood, despite being at the forefront of current research. Research into 1D and 2D Cellular Automata has uncovered a hidden computational layer which bridges the micromacro gap (i.e., how individual behaviors at the micro-level influence the global behaviors on the macro-level). We hypothesize that there also lie embedded computational mechanisms at the heart of a robotic swarm’s emergent behavior. To test this theory, we proceeded to simulate robotic swarms (represented as both particles and dynamic networks) and then designed local rules to induce various types of intelligent, emergent behaviors (as well as designing genetic algorithms to evolve robotic swarms with emergent behaviors). Finally, we analysed these robotic swarms and successfully confirmed our hypothesis; analyzing their developments and interactions over time revealed various forms of embedded spatiotemporal patterns which store, propagate and parallel process information across the swarm according to some internal, collision-based logic (solving the mystery of how simple robots are able to self-coordinate and allow global behaviors to emerge across the swarm)

Social Realism in Major Novels of Mulk Raj Anand: A Study

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Rendering of Sorathi Baharvatiya Part-2 by Jhaverchand Meghani from Gujartati into English with Critical Introduction

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How does CPPI perform against the simplest guarantee strategies?

Capital protected structured products are popular with both investors and investment banks. A number of strategies ranging in complexity and cost exist that provide a minimum guaranteed payoff at maturity. In this paper the performance of Constant Proportion Portfolio Insurance (CPPI), a major strategy in the market, is evaluated against two simple strategies: a risk-free and a gapless investment. The CPPI strategy is general, allowing for discrete monitoring of trading ranges, ratchet features and leverage constraints. The risky asset is modelled as an asymmetric GARCH process. The CPPI’s performance against these simple strategies is found to be inferior in the majority of cases and deteriorates further with the inclusion of management fees and costs. Moreover, under various risk adjusted performance ratios the CPPI is dominated by the simple gapless (buy-and-hold) strategy

Spatio-temporal patterns act as computational mechanisms governing emergent behavior in robotic swarms

Our goal is to control a robotic swarm without removing its swarm-like nature. In other words, we aim to intrinsically control a robotic swarm emergent behavior. Past attempts at governing robotic swarms or their self-coordinating emergent behavior, has proven ineffective, largely due to the swarm's inherent randomness (making it difficult to predict) and utter simplicity (they lack a leader, any kind of centralized control, long-range communication, global knowledge, complex internal models and only operate on a couple of basic, reactive rules). The main problem is that emergent phenomena itself is not fully understood, despite being at the forefront of current research. Research into 1D and 2D Cellular Automata has uncovered a hidden computational layer which bridges the micro-macro gap (i.e., how individual behaviors at the micro-level influence the global behaviors on the macro-level). We hypothesize that there also lie embedded computational mechanisms at the heart of a robotic swarm's emergent behavior. To test this theory, we proceeded to simulate robotic swarms (represented as both particles and dynamic networks) and then designed local rules to induce various types of intelligent, emergent behaviors (as well as designing genetic algorithms to evolve robotic swarms with emergent behaviors). Finally, we analysed these robotic swarms and successfully confirmed our hypothesis; analyzing their developments and interactions over time revealed various forms of embedded spatiotemporal patterns which store, propagate and parallel process information across the swarm according to some internal, collision-based logic (solving the mystery of how simple robots are able to self-coordinate and allow global behaviors to emerge across the swarm)

A commentary on some of the intrinsic differences between grey systems and fuzzy systems

The aim of this paper is to distinguish between some of the more intrinsic differences that exist between grey system theory (GST) and fuzzy system theory (FST). There are several aspects of both paradigms that are closely related, it is precisely these close relations that will often result in a misunderstanding or misinterpretation. The subtly of the differences in some cases are difficult to perceive, hence why a definitive explanation is needed. This paper discusses the divergences and similarities between the interval-valued fuzzy set and grey set, interval and grey number; for both the standard and the generalised interpretation. A preference based analysis example is also put forward to demonstrate the alternative in perspectives that each approach adopts. It is believed that a better understanding of the differences will ultimately allow for a greater understanding of the ideology and mantras that the concepts themselves are built upon. By proxy, describing the divergences will also put forward the similarities. We believe that by providing an overview of the facets that each approach employs where confusion may arise, a thorough and more detailed explanation is the result. This paper places particular emphasis on grey system theory, describing the more intrinsic differences that sets it apart from the more established paradigm of fuzzy system theory

Phytosociological Assessment of Vegetation at Indira Gandhi National Open University (IGNOU) Campus at New Delhi

The paper aims to investigate the phytosociological attributes the vegetation of the managed campus area of Indira Gandhi National Open University (IGNOU) situated at New Delhi in India. The purpose of the study was to understand the diversity pattern of vegetation for its characterization. The vegetation sampling and data analysis were undertaken by adopting universally standard procedures. The findings of the study demonstrated that the study area had a total of 116 species of plants which belonged to 28 different families. Out of which 55 species of trees, 29 species of shrubs and 32 species of herbs were taken on record. The most common plant species based on importance value in tree, shrub and herb layers were found to be Azadiracta indica (IVI-66.87), Matricaria chamomilla (RVI-51.89) and Cynodon dactylon (RVI- 106.11), respectively. Amongst families, Fabaceae was found to be the most dominant. Results reflect dominance of higher trees over ground floras. This study provides baseline information for future studies on the managed and natural forest patches exiting in the campus, and suggests that suitable conservation and management of biodiversity can improve the natural floral and faunal value of institutional campus

The Quantification of Perception Based Uncertainty Using R-fuzzy Sets and Grey Analysis

The nature of uncertainty cannot be generically defined as it is domain and context specific. With that being the case, there have been several proposed models, all of which have their own associated benefits and shortcomings. From these models, it was decided that an R-fuzzy approach would provide for the most ideal foundation from which to enhance and expand upon. An R-fuzzy set can be seen as a relatively new model, one which itself is an extension to fuzzy set theory. It makes use of a lower and upper approximation bounding from rough set theory, which allows for the membership function of an R-fuzzy set to be that of a rough set. An R-fuzzy approach provides the means for one to encapsulate uncertain fuzzy membership values, based on a given abstract concept. If using the voting method, any fuzzy membership value contained within the lower approximation can be treated as an absolute truth. The fuzzy membership values which are contained within the upper approximation, may be the result of a singleton, or the vast majority, but absolutely not all. This thesis has brought about the creation of a significance measure, based on a variation of Bayes' theorem. One which enables the quantification of any contained fuzzy membership value within an R-fuzzy set. Such is the pairing of the significance measure and an R-fuzzy set, an intermediary bridge linking to that of a generalised type-2 fuzzy set can be achieved. Simply by inferencing from the returned degrees of significance, one is able to ascertain the true significance of any uncertain fuzzy membership value, relative to other encapsulated uncertain values. As an extension to this enhancement, the thesis has also brought about the novel introduction of grey analysis. By utilising the absolute degree of grey incidence, it provides one with the means to measure and quantify the metric spaces between sequences, generated based on the returned degrees of significance for any given R-fuzzy set. As it will be shown, this framework is ideally suited to domains where perceptions are being modelled, which may also contain several varying clusters of cohorts based on any number of correlations. These clusters can then be compared and contrasted to allow for a more detailed understanding of the abstractions being modelled

HCH and DDT Residues in Indian Soil: Atmospheric Input and Risk Assessment

HCH and DDT Residues in Indian Soil: Atmospheric Input and Risk Assessment