55 research outputs found

    Accounting for risk of non linear portfolios: a novel Fourier approach

    Full text link
    The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.

    Genetic determinism: how not to interpret behavioral genetics

    Get PDF
    Recently, investigators in behavioral genetics have found loci on the genome (so-called ‘quantitative trait loci’ or QTLs) that are associated with complex mental traits, such as anxiety or novelty seeking. The interpretation of these findings raises interesting theoretical questions. At first sight, the discovery of ‘genes-for-personality’ seems to support genetic determinism and reductionism. Genetic determinism is the view that the phenotype is precoded in or determined by the genotype. However, evidence from developmental biology and neural modeling indicates that development is a result of interactive processes at many levels, not only the genome, so that geneticism must be rejected. Identifying QTLs and perhaps also the causal paths in the tangle of top-down and bottom-up influences between genome, organism and environment is best seen as a simplification. It amounts to considerably less than reduction in the classical sense of replacement via bridge laws or elimination. It is argued that higher (psychological and physiological) levels are functionally characterized and are irreducible to molecular-genetic levels. Therefore, it is to be expected that ideas about inter-level relations may be useful in clarifying the relation between loci on the genome (QTLs), gene products, the nervous system, behavior and personality, and to help identify the contribution of genetic factors in behavioral genetics. © 2000, Sage Publications. All rights reserved

    Where Philosophical Intuitions Come From

    Get PDF
    Little is known about the aetiology of philosophical intuitions, in spite of their central role in analytic philosophy. This paper provides a psychological account of the intuitions that underlie philosophical practice, with a focus on intuitions that underlie the method of cases. I argue that many philosophical intuitions originate from spontaneous, early-developing, cognitive processes that also play a role in other cognitive domains. Additionally, they have a skilled, practiced, component. Philosophers are expert elicitors of intuitions in the dialectical context of professional philosophy. If this analysis is correct, this should lead to a reassessment of experimental philosophical studies of expertise
    corecore