Testing for structural changes in large portfolios

Model free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking a compressed panel of time series obtained by cluster analysis and the principal components of the data. Using our methodology we are able to extend a test for a constant correlation matrix from a sub portfolio to whole indices and exemplify the procedure with the EuroStoxx index

Der Einfluss des ökologischen Landbaus auf das Raumnutzungsverhalten von Feldhasen (Lepus europaeus)

Agricultural intensification (AI) negatively affects biodiversity due to e.g. high-input farming. Organic farming can counteract this negative trend. Here, we studied movement behavior of the European brown hare (Lepus europaeus), which frequently occurs in agricultural landscapes but also suffers from AI with declining population densities. We measured home range sizes in relation to local field management (organic vs. conventional farming) in Upper Bavarian, Germany. Results showed that home ranges sizes decreased with increasing amount of organically managed area, while there was no relationship between conventional farmed area and hares’ movement behavior. Higher resource availability in organic fields decrease home range sizes and may therefore positively influences individual fitness and possibly boosts hare densities

Dual disadvantage and dispersion dynamics for income distributions

Income distribution has been a longstanding focus of social and economic interest, but never more so than in recent times. New metrics for disadvantage and spread enable a more precise differentiation of directional asymmetry and dispersion, drawing on an internal contextual perspective. The dual metrics for asymmetry and spread can be plotted over time into a phase plane, enabling comparative social welfare perspectives over time and between countries. The methods are utilised to study the dramatic changes that took place in Europe prior to and after the GFC. Major differences are revealed. In terms of asymmetry and spread, some countries have been fallers (lower in both) while other countries are risers

Asymmetry and performance metrics for equity returns

An assumption of symmetric asset returns, together with globally risk averse utility functions, is unappealing for fund managers and other activist investors, whose preferences switch between risk aversion on the downside and risk seeking on the upside. A performance return criterion is originated that is more consistent with the implicit Friedman-Savage utility ordering. Adapted from recent developments in the income distribution literature, the proposed metric weights the lower versus upper conditional expected returns, while a dual spread or dispersion metric also exists. The resulting performance metric is easy to compute. A point of departure is the conventional Sharpe performance ratio, with the empirical comparisons extending to a range of existing performance criteria. In contrast, the proposed W-metric results in different and more embracing performance rankings

Features of pulsed synchronization of a systems with a tree-dimensional phase space

Features of synchronization picture in the system with the limit cycle embedded in a three-dimensional phase space are considered. By the example of Ressler system and Dmitriev - Kislov generator under the action of a periodic sequence of delta - function it is shown, that synchronization picture significantly depends on the direction of pulse action. Features of synchronization tons appeared in these models are observed.Comment: 16 pages, 11 figure