Optimal Hedging with the Vector Autoregressive Model

__Abstract__ We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated with the hedged asset and among themselves. We nd that the minimum variance hedge for assets driven by the CVAR, depends strongly on the portfolio holding period. The hedge is dened as a function of correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite horizon, the hedge ratios shall be equal to the cointegrating vector. The hedge ratios for any intermediate portfolio holding period should be based on the weighted average of correlation and cointegration parameters. The results are general and can be applied for any portfolio of assets that can be modeled by the CVAR of any rank and order

A Young Globular Cluster in the Galaxy NGC 6946

A globular cluster ~15 My old that contains 5x10^5 Msun of stars inside an 11 pc radius has been found in the nearby spiral galaxy NGC 6946, surrounded by clouds of dust and smaller young clusters inside a giant circular bubble 300 pc in radius. At the edge of the bubble is an arc of regularly-spaced clusters that could have been triggered during the bubble's formation. The region is at the end of a spiral arm, suggesting an origin by the asymmetric collapse of spiral arm gas. The globular is one of the nearest examples of a cluster that is similar to the massive old globulars in the Milky Way. We consider the energetics of the bubble and possible formation mechanisms for the globular cluster, including the coalescence of smaller clusters.Comment: 20 pages, 7 figures, accepted for Astrophysical Journal Vol 535, June 1 200

The Development and Implementation of ALIGN: A Multidimensional Program Designed to Enhance the Success of Black, Indigenous, and People of Color (BIPOC) Graduate Students in Communication Sciences and Disorders

The critical lack of racially and ethnically diverse healthcare professionals in the field of Communication Sciences & Disorders (CSD) in contrast to the increasing diversity of the U.S. population may contribute to healthcare disparities and negatively impact healthcare outcomes. It is therefore imperative for transformational programs and practices to be enacted to substantially increase the number of CSD professionals representing Black, Indigenous, and People of Color (BIPOC). As training institutions that graduate and contribute to the certification of CSD professionals, universities are fundamental for contributing to this change. Numerous barriers have been identified that limit the number of underrepresented minority students who matriculate in and graduate from speech-language pathology and audiology graduate programs. At Syracuse University, a group of academic and clinical CSD faculty developed a program to specifically address these barriers: the Academic Skill Building and Networking (ALIGN) program. ALIGN implements a multifaceted approach toward facilitating the success of CSD BIPOC graduate students through the integration of academic and professional skill building, peer mentoring and networking, and professional mentoring and networking into the program curriculum. This study described the rationale and development of the ALIGN program, and reported quantitative and qualitative survey results to determine the preliminary effects of this program on an inaugural cohort of ALIGN participants. Overall, quantitative and qualitative data indicated that ALIGN had a substantial, positive impact on academic skills relative to study habits, understanding difficult course concepts, and general learning, and provided crucial support and connection opportunities with fellow BIPOC students

A Gyrochronology and Microvariability Survey of the Milky Way's Older Stars Using Kepler's Two-Wheels Program

Even with the diminished precision possible with only two reaction wheels, the Kepler spacecraft can obtain mmag level, time-resolved photometry of tens of thousands of sources. The presence of such a rich, large data set could be transformative for stellar astronomy. In this white paper, we discuss how rotation periods for a large ensemble of single and binary main- sequence dwarfs can yield a quantitative understanding of the evolution of stellar spin-down over time. This will allow us to calibrate rotation-based ages beyond ~1 Gyr, which is the oldest benchmark that exists today apart from the Sun. Measurement of rotation periods of M dwarfs past the fully-convective boundary will enable extension of gyrochronology to the end of the stellar main-sequence, yielding precise ages ({\sigma} ~10%) for the vast majority of nearby stars. It will also help set constraints on the angular momentum evolution and magnetic field generation in these stars. Our Kepler-based study would be supported by a suite of ongoing and future ground-based observations. Finally, we briefly discuss two ancillary science cases, detection of long-period low-mass eclipsing binaries and microvariability in white dwarfs and hot subdwarf B stars that the Kepler Two-Wheels Program would facilitate.Comment: Kepler white pape