The low level divergence in hurricane "Gracie, " 29th September 1959

Thesis (B.S.)--Massachusetts Institute of Technology, Dept. of Economics and Social Science, 1960.MIT copy bound with: A collective bargaining model / by George Lermer [1960]Includes bibliographical references (leaf 18).by Michael Simkowitz.B.S

Measuring portfolio performance using a modified measure of risk

This paper reports the results of an investigation into the properties of a theoretical modification of beta proposed by Leland (1999) and based on earlier work of Rubinstein (1976). It is shown that when returns are elliptically symmetric, beta is the appropriate measure of risk and that there are other situations in which the modified beta will be similar to the traditional measure based on the capital asset pricing model. For the case where returns have a normal distribution, it is shown that the criterion either does not exist or reduces exactly to the conventional beta. It is therefore conjectured that the modified measure will only be useful for portfolios that have nonstandard return distributions which incorporate skewness. For such situations, it is shown how to estimate the measure using regression and how to compare the resulting statistic with a traditional estimated beta using Hotelling's test. An empirical study based on stocks from the FTSE350 does not find evidence to support the use of the new measure even in the presence of skewness.Journal of Asset Management (2007) 7, 388-403. doi:10.1057/palgrave.jam.225005

Diversification in a Three-Moment World

© Cambridge University Press 197

Portfolio value-at-risk optimization for asymmetrically distributed asset returns

10.1016/j.ejor.2012.03.012European Journal of Operational Research2212397-406EJOR

Asset prices and “the devil(s) you know”

In this paper, we study the asset pricing implications of persistence in the risk-neutral return distribution’s central moments. We detect a both economically and statistically significant premium of stocks with low over stocks with high such persistence. Annual value-weighted excess (risk-adjusted) returns are 4.38% (3.06%). These results cannot be explained by factors and characteristics documented in the previous literature. Furthermore, it is not the persistence of only one of the individual distributional moments but rather the joint persistence in all central moments of the risk-neutral distribution that is priced

Importing Irish Linen and Creating American ‘Art Moderne’: An Analysis of an Early 20th Century Trade Catalog

During the late 1920s, a collaborative effort was launched by designers and manufacturers in the United States to develop indigenous modern decorative arts and unite art with industry. They were motivated by the realization that Europe surpassed U.S. in the production of contemporary furnishings—a fact made evident at the Exposition Internationale des Arts Décoratifs et Industriels Modernes in 1925, an event that the U.S. tellingly declined to participate in because it believed it could not meet the requirement of presenting new and original designs.1 The exhibition, a selection of which toured the US in 1926, became a model for the display and marketing of modern design and the stylistic trends seen in the exhibition, as well as those recently introduced by emigres from Western and Central Europe, came to inform American decorative arts.2 “Art Deco,” the phrase now used to describe the various progressive styles that emerged during this period, materialized in all facets of the applied arts, including textiles, and the industry adopted—and adapted—the fashions of their European counterparts to suit the American marketplace. A trade catalog of hand-printed linen that was produced by the New York textile importer Robert McBratney & Company, Inc.3 provides a window into this moment and illustrates the adoption and dissemination of Art Deco in the U.S. textile industry. The catalog, which resides in Lloyd Cotsen’s Textile Traces Study Collection in Los Angeles, is, like its maker, poorly documented and this paper serves as an effort to document both. Through an analysis of the catalog and a discussion of Robert McBratney & Co., its affiliations with key designers from the period, and its presence in several important exhibitions in the 1920s and 1930s, this paper situates both catalog and company within the history of American textiles and considers the function of the catalog not only as a tool to promote and sell McBratney’s linen, but to promote a philosophy that shaped American design