Hedging effectiveness of total returns swaps: application to the Japanese market

The development of the real estate swap market offers many opportunities for investors to adjust the exposure of their portfolios to real estate. A number of OTC transactions have been observed in markets around the world. In this paper we examine the Japanese commercial real estate market from the point of view of an investor holding a portfolio of properties seeking to reduce the portfolio exposure to the real estate market by swapping an index of real estate for LIBOR. This paper explores the practicalities of hedging portfolios comprising small numbers of individual properties against an appropriate index. We use the returns from 74 properties owned by Japanese Real Estate Investment Trusts over the period up to September 2007. The paper also discusses and applies the appropriate stochastic processes required to model real estate returns in this application and presents alternative ways of reporting hedging effectiveness. We find that the development of the derivative does provide the capacity for hedging market risk but that the effectiveness of the hedge varies considerably over time. We explore the factors that cause this variability

Persistence of UK Real Estate returns: a Markov chain analysis

The persistence of investment performance is a topic of perennial interest to investors. Efficient Markets theory tells us that past performance can not be used to predict future performance yet investors appear to be influenced by the historical performance in making their investment allocation decisions. The problem has been of particular interest to investors in real estate; not least because reported returns from investment in real estate are serially correlated thus implying some persistence in investment performance. This paper applies the established approach of Markov Chain analysis to investigate the relationship between past and present performance of UK real estate over the period 1981 to 1996. The data are analysed by sector, region and size. Furthermore some variations in investment performance classification are reported and the results are shown to be robust

Equality of P-partition generating functions

To every labeled poset (P,\omega), one can associate a quasisymmetric generating function for its (P,\omega)-partitions. We ask: when do two labeled posets have the same generating function? Since the special case corresponding to skew Schur function equality is still open, a complete classification of equality among (P,\omega) generating functions is likely too much to expect. Instead, we determine necessary conditions and separate sufficient conditions for two labeled posets to have equal generating functions. We conclude with a classification of all equalities for labeled posets with small numbers of linear extensions.Comment: 24 pages, 19 figures. Incorporates minor changes suggested by the referees. To appear in Annals of Combinatoric

Saving Planetary Systems: Dead Zones & Planetary Migration

The tidal interaction between a disk and a planet leads to the planet's migration. A long-standing question regarding this mechanism is how to stop the migration before planets plunge into their central stars. In this paper, we propose a new, simple mechanism to significantly slow down planet migration, and test the possibility by using a hybrid numerical integrator to simulate the disk-planet interaction. The key component of the scenario is the role of low viscosity regions in protostellar disks known as dead zones, which affect planetary migration in two ways. First of all, it allows a smaller-mass planet to open a gap, and hence switch the faster type I migration to the slower type II migration. Secondly, a low viscosity slows down type II migration itself, because type II migration is directly proportional to the viscosity. We present numerical simulations of planetary migration by using a hybrid symplectic integrator-gas dynamics code. Assuming that the disk viscosity parameter inside the dead zone is (alpha=1e-4-1e-5), we find that, when a low-mass planet (e.g. 1-10 Earth masses) migrates from outside the dead zone, its migration is stopped due to the mass accumulation inside the dead zone. When a low-mass planet migrates from inside the dead zone, it opens a gap and slows down its migration. A massive planet like Jupiter, on the other hand, opens a gap and slows down inside the dead zone, independent of its initial orbital radius. The final orbital radius of a Jupiter mass planet depends on the dead zone's viscosity. For the range of alpha's noted above, this can vary anywhere from 7 AU, to an orbital radius of 0.1 AU that is characteristic of the hot Jupiters.Comment: 38 pages, 14 figures, some changes in text and figures, accepted for publication in Ap

Investor Sentiment and Noise Traders: Discount to Net Asset Value in Listed Property Companies in the U.K.

There are parallels between the operation of closed-end funds and in the United Kingdom property companies. In both types of corporations, the market capitalization is commonly less than the net asset value (NAV) of the assets owned by the firms. This article investigates the relationship between the NAV of U.K. property companies and their market capitalizations. We first examine the hypothesis that discounts are the result of agency costs, contingent capital gains tax liability and a number of other firm specific factors. We then examine the hypothesis that discounts result from the interaction of noise traders and rational investors. The evidence suggests that both hypotheses have utility in explaining property company discounts.

On The Orbital Evolution of Jupiter Mass Protoplanet Embedded in A Self-Gravity Disk

We performed a series of hydro-dynamic simulations to investigate the orbital migration of a Jovian planet embedded in a proto-stellar disk. In order to take into account of the effect of the disk's self gravity, we developed and adopted an \textbf{Antares} code which is based on a 2-D Godunov scheme to obtain the exact Reimann solution for isothermal or polytropic gas, with non-reflecting boundary conditions. Our simulations indicate that in the study of the runaway (type III) migration, it is important to carry out a fully self consistent treatment of the gravitational interaction between the disk and the embedded planet. Through a series of convergence tests, we show that adequate numerical resolution, especially within the planet's Roche lobe, critically determines the outcome of the simulations. We consider a variety of initial conditions and show that isolated, non eccentric protoplanet planets do not undergo type III migration. We attribute the difference between our and previous simulations to the contribution of a self consistent representation of the disk's self gravity. Nevertheless, type III migration cannot be completely suppressed and its onset requires finite amplitude perturbations such as that induced by planet-planet interaction. We determine the radial extent of type III migration as a function of the disk's self gravity.Comment: 19 pages, 13 figure

Discharge chamber studies for mercury bombardment ion thrusters

Discharge chamber performance optimization for mercury bombardment ion thruster

High voltage solar array study Final report

High voltage solar array stud

The effects of acceleration stress on human workload and manual control

The effects of +Gz stress on operator task performance and workload were assessed. Subjects were presented a two dimensional maze and were required to solve it as rapidly as possible (by moving a light dot through it via a trim switch on a control stick) while under G-stress at levels from +1 Gz to +6 Gz. The G-stress was provided by a human centrifuge. The effects of this stress were assessed by two techniques; (1) objective performance measures on the primary maze-solving task, and (2) subjective workload measures obtained using the subjective workload assessment technique (SWAT). It was found that while neither moderate (+3 Gz) nor high (+5 Gz and +6 Gz) levels of G-stress affected maze solving performance, the high G levels did increase significantly the subjective workload of the maze task