New insights in portfolio selection modeling

Recent advancements in the field of network theory commence a new line of developments in portfolio selection techniques that stands on the ground of perceiving financial market as a network with assets as nodes and links accounting for various types of relationships among financial assets. In the first chapter, we model the shock propagation mechanism among assets via network theory and provide an approach to construct well-diversified portfolios that are resilient to shock propagation and contagion issues in the volatile and crisis periods. The second chapter analyzes the influence of the hedging network among assets on the portfolio diversification attributes. Building on the hedging network perspective of the market, we propose a network centrality measure to find stocks that are most suitable to form a well-diversified portfolio. The results clearly shows that our diversification strategy performs better than the conventional diversification strategies both in-sample and out-of-sample. In the third chapter, we analyze the market network constructed by adopting assets as nodes and their returns’ correlation as links. We theoretically show that there is a negative relationship between the centrality of assets in such a network and the weights assigned to them in the Markowitz prescription. Based on our theoretical findings, we propose a portfolio selection strategy that out-performs well-known benchmarks while presenting positive and significant Carhart alphas.Los recientes avances en el campo de la teoría de redes suponen una nueva línea de la evolución de las técnicas de selección de carteras que se basa en plantear el mercado financiero como una red donde los nodos constituyen cada uno de los activos y los enlaces representan diversos tipos de relaciones (o conexiones) entre los activos financieros. En el primer capítulo, vamos a representar el mecanismo de propagación de shocks entre los activos a través de la teoría de redes y proporcionar un enfoque para construir carteras bien diversificadas que sean resistentes a los shocks y problemas de contagio en periodos de elevada volatilidad y/o crisis. El segundo capítulo se analiza la influencia de las redes de cobertura de los activos sobre los atributos de diversificación de la cartera. A partir de la perspectiva de una red de cobertura, se propone una medida de centralidad de la red para encontrar aquellas acciones que sean más adecuadas para formar una cartera bien diversificada. Los resultados muestran claramente que nuestra estrategia de diversificación se comporta mejor que las estrategias de diversificación convencionales tanto en la muestra como fuera de ella. En el tercer capítulo, se analiza el caso de una red construida mediante la adopción de activos como nodos y sus correlaciones como enlaces entre los nodos. Los resultados empíricos nos muestran una relación negativa entre la centralidad de los activos en esta red y los pesos asignados a en el marco del modelo de carteras clásico de Markowitz. En base a los resultados teóricos, se propone una estrategia de selección de cartera que supera los resultados bajo los modelos clásicos, permitiendo obtener alfas (bajo modelo de Carhart) positivos y significativos.Programa Oficial de Doctorado en Economía de la Empresa y Métodos CuantitativosPresidente: Antonio Díaz Pérez; Secretario: David Quintana Montero; Vocal: Antonio Rubia Serran

Using a hedging network to minimize portfolio risk

This paper develops a useful tool based on hedging networks that allows portfolio managers to allocate capital so as to build portfolios with low risk. We apply a popular measure from the network literature, the Katz centrality measure, to summarize how a security relates to other securities in the network (hedging relations) and to itself (unhedgeable component). We generate empirical evidence that picking stocks with the lowest value of the Katz centrality measure leads to portfolios with a low variance. We show that these portfolios achieve lower variance than other classical portfolio strategies, both in-sample and out-of-sample

Nonstandard Errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants

Non-Standard Errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants

Global realignment in financial market dynamics: evidence from ETF networks

The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve country-specific exchange-traded funds, we construct daily snapshots of the global financial network and analyze them for the centrality and connectedness of each country in our sample. We find evidence that the U.S. was central to the global financial system into 2018, but that the U.S.-China trade war of 2018–2019 diminished its centrality, and the Covid-19 outbreak of 2019–2020 increased the centrality of China. These indicators may be the first signals that the global financial system is moving from a unipolar to a bipolar world

Effect of Aloe vera and vitamin E supplementation on the immune response of broilers

Abstract Background: herbs are among the feed supplements under investigation that could replace antibiotics to improve humoral and cellular immune response in birds. Objective: this study evaluated the potential of Aloe vera (Aloe barbadensis Miller) and vitamin E as immunostimulants on humoral and cellular immune responses in broilers. Methods: broilers were randomly assigned to three dietary treatments: a negative control (basal diet+ with no additive), basal diet + 1% Aloe vera gel in drinking water, and basal diet + 100 mg/Kg vitamin E in the feed. Antibody titers against sheep red blood cells and Newcastle disease virus were used to examine the humoral immune response, whereas cellular immune response was evaluated using the phytohemagglutinin-P tests. Results: the highest level of antibody titer against sheep red blood cells on examination days 28 and 38, and the highest response to injection of phytohemagglutinin-P on day 38 was observed in the Aloe vera gel group (p0.05). In addition, the greatest antibody level against Newcastle disease virus was obtained on days 25 and 35 in the vitamin E group, with no significant difference from the Aloe vera gel group (p>0.05). Conclusion: in general, our findings demonstrated that both Aloe vera gel and vitamin E can enhance humoral and cellular immune responses of broilers, while Aloe vera gel can be used as an immunostimulant in chickens.Resumo Antecedentes: na indústria avícola, a melhoria nas respostas do sistema imunológico é importante, no sentido de aumentar a resistência contra patógenos. As ervas estão entre os suplementos que podem substituir os antibióticos na dieta com o objetivo de melhorar as respostas imunes humoral e celular. Objetivo: o presente estudo avaliou o uso potencial da Aloe vera (Aloe barbadensis Miller) e Vitamina E como imunoestimulantes sobre as respostas imunes humoral e celular em frangos de corte. Métodos: frangos de corte foram aleatoriamente distribuídos em 3 tratamentos, conforme a dieta: controle (dieta basal + sem aditivos), dieta basal + 1% de gel Aloe vera na água de bebida e dieta basal + 100 mg/Kg de vitamina E na dieta. Títulos de anticorpos contra células sanguíneas vermelhas de ovelha e o vírus da doença de Newcastle foram utilizados para avaliar a resposta imune humoral. A resposta imune celular foi avaliada através do teste da fitohemaglutinina-P. Resultados: o maior título de anticorpos contra células sanguíneas vermelhas de ovelha, aos 28 e 38 dias, e a maior resposta à injeção de fitohemaglutinina-P, aos 38 dias, foram observados no grupo recebendo o gel de Aloe vera (p0,05). Além disso, o maior título de anticorpos contra o vírus da doença de Newcastle foi observado aos 25 e 35 dias no grupo que recebeu vitamina E sem diferença com o grupo que recebeu gel Aloe vera (p>0,05). Conclusão: em geral, nossos resultados indicam que tanto o gel Aloe vera quanto a vitamina E, podem ser utilizados para aumentar as respostas imune humoral e celular em frangos de corte, enquanto que o gel Aloe vera (adicionado à água de bebida) pode ser utilizado como um imunoestimulante em frangos.Resumen Antecedentes: en la industria avícola, es particularmente importante mejorar el rendimiento del sistema inmune con el objetivo de incrementar la resistencia contra patógenos. Las plantas están dentro de los suplementos alimenticios que podrían reemplazar a los antibióticos con el propósito de mejorar la respuesta inmune humoral y celular en aves. Objetivo: el presente estudio evaluó el potencial del Aloe vera (Aloe barbadensis Miller) y la vitamina E como inmunoestimulantes sobre la respuesta inmune humoral y celular en pollos de engorde. Métodos: los pollos de engorde fueron asignados aleatoriamente a tres tratamientos (dietas): un control negativo (dieta base sin aditivo), dieta base + 1% de gel de Aloe vera en el agua de bebida, y una dieta base + 100 mg/Kg de vitamina E en el alimento. Se usó la titulación de anticuerpos contra glóbulos rojos de oveja y contra la enfermedad viral Newcastle para examinar la respuesta inmune humoral. La respuesta inmune celular fue evaluada usando las pruebas de fitohemaglutinina-P. Resultados: el mayor nivel de titulación de anticuerpos contra glóbulos rojos de oveja en los días de experimentación 28 y 38, y la mayor respuesta a la inyección de fitohemaglutinina-P en el día 38 se observó en el grupo del gel de Aloe vera (p0,05). Además, el más alto nivel de anticuerpos contra la enfermedad viral Newcastle fue obtenida en los días 25 y 35 en el grupo que recibió vitamina E, sin diferencia significativa con respecto al grupo con gel de Aloe vera (p>0,05). Conclusión: en general, nuestros resultados demuestran que tanto el gel de Aloe vera como la vitamina E pueden mejorar la respuesta inmune humoral y celular en pollos de engorde, mientras que el gel de Aloe vera (agregado al agua) puede usarse como un inmunoestimulante en pollos de engorde

Non-Standard Errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants