Overconfidence and Delegated Portfolio Management

Following extensive empirical evidence about market anomalies and overconfidence, the analysis of financial markets with agents overconfident about the precision of their private information has received a lot of attention.However, all these models consider agents trading for their own account.In this article, we analyse a standard delegated portfolio management problem between a financial institution and a money manager who may be of two types: rational or overconfident.We consider several situations.In each case, we derive the optimal contract and results on the performance of financial institution hiring overconfident managers relative to institutions hiring rational agents, and results on the price impact of overconfidence.portfolio management;financial markets;financial instutions

Skill, Strategy and Passion: An Empirical Analysis of Soccer

zero sum games;motivation;rationality;natural experiments;sports;soccer

Mutual Fund Tournament: Risk Taking Incentives Induced by Ranking Objectives

There is now extensive empirical evidence showing that fund managers have relative performance objectives and adapt their investment strategy in the last part of the calendar year to their performance in the early part of the year. However, emphasis was put on returns in excess of some exogenous benchmark return.In this paper, we investigate whether fund managers have ranking objectives (as in a tournament).First, in a two-period model, we analyze the game played by two risk-neutral fund managers with ranking objectives.We derive conditions on the set of possible strategies under which the aggregate amount of risk undertaken in the late period is larger than in the first period.In the second part of the paper, we provide evidence that (i) funds have risk incentives generated by ranking objectives, (ii) risk induced by ranking objectives is mainly idiosyncratic, and (iii) risk incentives generated by ranking objectives are stronger for funds ranked in the top decile after the first part of the year.investment trusts;financial management;financial risk;performance

Descubriendo Patrones Craneofaciales Usando Datos Cefalométricos Multivariados para la Toma de Decisiones en Ortodoncia

Indexación: Web of Science; Scielo.The aim was to find craniofacial morphology patterns in a multivariate cephalometric database using a clustering technique. Cephalometric analysis was performed in a sample of 100 teleradiographs collected from Chilean orthodontic patients. Thirty cephalometric measurements were taken from commonly used analysis. The computed variables were used to perform a clustering analysis with the k-means algorithm to identify patterns of craniofacial morphology. The J48 decision tree was used to analyze each cluster, and the ANOVA test to determine the statistical differences between the clusters. Four clusters were found that had significant differences (P<0.001) in 24 of the 30 variables studied, suggesting that they represent different patterns of craniofacial form. Using the decision tree, 8 of the 30 variables appeared to be relevant for describing the clusters. The clustering analysis is effective in identifying different craniofacial patterns based on a multivariate database. The distinct clusters appear to be caused by differences in the compensation process of the facial structure responding to a genetically determined cranial and mandible form. The proposed method can be applied to several databases, creating specific classifications for each one of them. KEY WORDS: Craniofacial patterns; Morphological patterns; Clustering technique; Orthodontics.RESUMEN: El objetivo fue encontrar patrones morfológicos craneofaciales, a partir de una base de datos cefalométricos multivariada, utilizando una técnica de clustering. Se realizó un análisis cefalométrico a una muestra de 100 telerradiografías pertenecientes a pacientes chilenos de ortodoncia. Treinta medidas cefalométricas obtenidas de los análisis más utilizados fueron registradas. Las variables computadas se utilizaron para realizar un análisis de clustering con el algoritmo k-medias, para identificar patrones de morfología craneofacial. El árbol de decisión J48 se utilizó para analizar cada cluster, y test de ANOVA para determinar diferencias estadísticamente significativas entre los clusters. Se encontraron cuatro clusters con diferencia estadísticamente significativas (p<0,001) en 24 de las 30 variables estudiadas, lo que sugiere que efectivamente corresponden a diferentes patrones craneofaciales. Utilizando el árbol de decisión, se pudo determinar que 8 de las 30 variables resultaron ser relevantes en la definición de los clusters. El análisis de clustering es efectivo en identificar patrones morfológicos craneofaciales usando una base de datos multivariada. Los distintos cluster encontrados, aparentemente se formarían a partir de diferencias en el proceso de compensación de la estructura facial, en respuesta a la forma mandibular genéticamente determinada. El método propuesto puede ser aplicado a múltiples bases de datos, creando clasificaciones específicas para cada una de ellas. PALABRAS CLAVE: Patrones craneofaciales; Patrones morfológicos; Técnica de clustering; Ortodoncia.http://ref.scielo.org/qdkkz

The role of magnetoplasmons in Casimir force calculations

In this paper we review the role of magneto plasmon polaritons in the Casimir force calculations. By applying an external constant magnetic field a strong optical anisotropy is induced on two parallel slabs reducing the reflectivity and thus the Casimir force. As the external magnetic field increases, the Casimir force decreases. Thus, with an an external magnetic field the Casimir force can be controlled.The calculations are done in the Voigt configuration where the magnetic field is parallel to the slabs. In this configuration the reflection coefficients for TE and TM modes do not show mode conversion.Comment: contribution to QFEXT09, Norman, Oklahoma 200

Overconfidence and Delegated Portfolio Management

Following extensive empirical evidence about market anomalies and overconfidence, the analysis of financial markets with agents overconfident about the precision of their private information has received a lot of attention.However, all these models consider agents trading for their own account.In this article, we analyse a standard delegated portfolio management problem between a financial institution and a money manager who may be of two types: rational or overconfident.We consider several situations.In each case, we derive the optimal contract and results on the performance of financial institution hiring overconfident managers relative to institutions hiring rational agents, and results on the price impact of overconfidence

Pull-in control due to Casimir forces using external magnetic fields

We present a theoretical calculation of the pull-in control in capacitive micro switches actuated by Casimir forces, using external magnetic fields. The external magnetic fields induces an optical anisotropy due to the excitation of magneto plasmons, that reduces the Casimir force. The calculations are performed in the Voigt configuration, and the results show that as the magnetic field increases the system becomes more stable. The detachment length for a cantilever is also calculated for a cantilever, showing that it increases with increasing magnetic field. At the pull-in separation, the stiffness of the system decreases with increasing magnetic field.Comment: accepted for publication in App. Phys. Let

High-Q Gold and Silicon Nitride Bilayer Nanostrings

Low-mass, high-Q, silicon nitride nanostrings are at the cutting edge of nanomechanical devices for sensing applications. Here we show that the addition of a chemically functionalizable gold overlayer does not adversely affect the Q of the fundamental out-of-plane mode. Instead the device retains its mechanical responsiveness while gaining sensitivity to molecular bonding. Furthermore, differences in thermal expansion within the bilayer give rise to internal stresses that can be electrically controlled. In particular, an alternating current excites resonant motion of the nanostring. This AC thermoelastic actuation is simple, robust, and provides an integrated approach to sensor actuation.Comment: 5 pages, 4 figures + supplementary materia

Thin-layer agar for detection of resistance to rifampicin, ofloxacin and kanamycin in Mycobacterium tuberculosis isolates

BACKGROUND: In low-income countries there is a great need for economical methods for testing the susceptibility of Mycobacterium tuberculosis to antibiotics. OBJECTIVE: To evaluate the thin-layer agar (TLA) for rapid detection of resistance to rifampicin (RMP), ofloxacin (OFX) and kanamycin (KM) in M. tuberculosis clinical isolates and to determine the sensitivity, specificity and time to positivity compared to the gold standard method. METHODS: One hundred and forty-seven clinical isolates of M. tuberculosis were studied. For the TLA method, a quadrant Petri plate containing 7H11 agar with RMP, OFX and KM was used. Results were compared to the Bactec MGIT960 for RMP and the proportion method for OFX and KM. RESULTS: The sensitivity and specificity for RMP and OFX were 100% and for KM they were 100% and 98.7%, respectively. The use of a TLA quadrant plate enables the rapid detection of resistance to the three anti-tuberculosis drugs RMP, OFX and KM in a median of 10 days. CONCLUSION: TLA was an accurate method for the detection of resistance in the three drugs studied. This faster method is simple to perform, providing an alternative method when more sophisticated techniques are not available in low-resource settings

Extraction of Market Expectations from Option Prices: Evidence from the Current Financial Crisis

This project estimates risk neutral parameters of a jump diffusion model, as in Bates (1991), implicit in the option prices on the S&amp;P500 futures over the period 2006-2008. Additionally, it investigates the extent to which market participants anticipated the financial market crash of 2008. We find that high levels of skewness premium are detectable in the short maturity out of the money put options as early as July 2007. Nevertheless, market expectations of an extreme downturn subsided after the collapse of Bear Stearns in April 2008. Overall, our findings indicate that the estimated parameters show the presence of crash expectations prior to September 2008 but there is no evidence that the magnitude of the crash was predictable