Hedge fund portfolio selection with modified expected shortfall

Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed. Modified VaR has been widely implemented as a portfolio selection criterion. We are the first to investigate hedge fund portfolio selection using modified ES as optimality criterion. We show that for the EDHEC hedge fund style indices, the optimal portfolios based on modified ES outperform out-of-sample the EDHEC Fund of Funds index and have better risk characteristics than the equal-weighted and Fund of Funds portfolios.portfolio optimization, modified expected shortfall, non-normal returns

Virtual fences for controlling cows

We describe a moving virtual fence algorithm for herding cows. Each animal in the herd is given a smart collar consisting of a GPS, PDA, wireless networking and a sound amplifier. Using the GPS, the animal's location can be verified relative to the fence boundary. When approaching the perimeter, the animal is presented with a sound stimulus whose effect is to move away. We have developed the virtual fence control algorithm for moving a herd. We present simulation results and data from experiments with 8 cows equipped with smart collars

Phase-field Crystals with Elastic Interactions

We report on a novel extension of the recent phase-field crystal (PFC) method introduced in [Elder et al., Phys. Rev. Lett., Vol. 88, 245701:1-4 (2002)], which incorporates elastic interactions as well as crystal plasticity and diffusive dynamics. In our model, elastic interactions are mediated through wave modes that propagate on time scales many orders of magnitude slower than atomic vibrations but still much faster than diffusive times scales. This allows us to preserve the quintessential advantage of the PFC model: the ability to simulate atomic-scale interactions and dynamics on time scales many orders of magnitude longer than characteristic vibrational time scales. We demonstrate the two different modes of propagation in our model and show that simulations of grain growth and elasto-plastic deformation are consistent with the microstructural properties of nanocrystals.Comment: 4 pages, 6 figure

Postcard: Fleninge Motell. Helsingborg, Sweden

This black and white photographic postcard features the Fleninge Motell at Helsingborg, Sweden. The one story building lines the left of the image and the background. There is a courtyard in the center with chairs and umbrellas. Cars are parked in front of each room and two housekeepers are in the background with cleaning carts. A plus sign in blue ink marks one of the rooms. Bushes are in the foreground. Printed text is at the bottom of the card. Handwriting is on the back of the card.https://scholars.fhsu.edu/tj_postcards/1938/thumbnail.jp

Every Hilbert space frame has a Naimark complement

Naimark complements for Hilbert space Parseval frames are one of the most fundamental and useful results in the field of frame theory. We will show that actually all Hilbert space frames have Naimark complements which possess all the usual properties for Naimark complements with one notable exception. So these complements can be used for equiangular frames, RIP property, fusion frames etc. Along the way, we will correct a mistake in a recent fusion frame paper where chordal distances for Naimark complements are computed incorrectly.Comment: Changes after Refereein

Every Hilbert space frame has a Naimark complement

Naimark complements for Hilbert space Parseval frames are one of the most fundamental and useful results in the field of frame theory. We will show that actually all Hilbert space frames have Naimark complements which possess all the usual properties for Naimark complements with one notable exception. So these complements can be used for equiangular frames, RIP property, fusion frames etc. Along the way, we will correct a mistake in a recent fusion frame paper where chordal distances for Naimark complements are computed incorrectly.Comment: Changes after Refereein

The Use of Paradoxical Anxiety Instructions in an Interview Setting: An Analogue Study

The paradoxical techniques of encouraging and scheduling symptoms have been used by therapists from a variety of theoretical orientations including communication systems, psychoanalysis, behavior modification, and existentialism. The various techniques have in common the scheduling of problematic behavior tmder specific conditions to promote behavior change. The study examined the effects of paradoxical instructions on state anxiety in an interview ajia- logue setting, The experiment was undertaken to assess the immediate impact of paradoxical instructions in a controlled situation. Existing studies are primarily of the case report variety and are hopelessly confounded with uncontrolled factors such as adjunctive chemotherapy, psychotherapy, and non-specific therapy effects. Previous investigators have suggested that spontaneous” behavior with autonomic components such as anxiety, blushing, and falling asleep cannot be consciously controlled. It was hypothesized that a group given paradoxical anxiety instructions would exhibit less state anxiety than a group which received non-paradoxical anxiety instructions or no specific anxiety instructions. Individuals from the three instruction treatment groups were seen in a twenty minute semi-structured interview in which dependent measures were taken in the initial, middle, and last four minute segments. Prior to the experimental session, the subjects were required to complete the Spielberger trait anxiety inventory and the groups were matched for trait anxiety. The general experimental design consisted of a 3*2x3 factorial (treatments x sex x time segments), with the time segment dimension a repeated measure. The dependent variable (state anxiety) was assessed by means of a multi-method measurement strategy which included self-report, expressive speech, and behavioral indicators of state anxiety. Immediately following the interview, subjects completed the Spielberger state anxiety inventory and during the interview their speech and behavior was continuously monitored. Anxiety level manifested in speech was assessed using the non~ah ratio (speech disturbance index) while anxiety manifested in overt behavior was assed with ratings on a behavior checklist. The number of interviewer utterances and questions were also analyzed as a check for possible interviewer bias. Results failed to support the experimental hypothesis. There v/ere no significant differences in state anxiety level among the instruction treatment groups or between the sexes on any of the anxiety dependent measures. Correlational evidence suggested that perhaps insufficient levels of stress v/ere used in the interview. The control group which received no specific anxiety instructions had significantly higher ah ratios which v/ere interpreted as reflecting a higher degree of uncertainty resulting from the instructions. There were significant treatment x time segment interactions for interviewer activity measures and these were discussed with reference to subject influence on interviewer behavior as a function of the experimental instructions given. Methodological problems were discussed and suggestions were made for further research

Influence of Mutable Genes on Induction of Instability in Maize

Mutable systems possess transposable elements that cause mutability of associated gene loci. The En system (composed of I and En) was used to test the induction of mutability of two selected loci, A2, and C possessing the normal alleles. In a test of over five million gametes one mutable was found at each of the selected sites as well as two others, both dominant and non-allelic to the selected sites. It appears that this low rate of induction of mutability (as compared to other reports) is a consequence of the non-randomness of site selection; i.e., a certain physical chromosomal continuity abets the transposition of elements to selected sites