Search results for " Mark"
showing 10 items of 4118 documents
Integrated simulation and optimization models for tracking international fixed income indices
2001
Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…
Value preserving portfolio strategies and the minimal martingale measure
1998
We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.
Forecasting Latin America’s Country Risk Scores by Means of a Dynamic Diffusion Model
2013
Over the last years, worldwide financial market instability has shaken confidence in global economies. Global financial crisis and changes in sovereign debts ratings have affected the Latin American financial markets and their economies. However, Latin American s relative resilience to the more acute rise in risk seen in other regions like Europe during last years is offering investors new options for improving risk-return trade-offs. Therefore, forecasting the future of economic situation involves high levels of uncertainty. The Country Risk Score (CRS) represents a broadly used indicator to measure the current situation of a country regarding measures of economic, political, and financial…
A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market
2007
In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.
Initial Enlargement in a Markov chain market model
2011
Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by Norberg. In the enlarged filtration, several things can happen: some of the jumps times can be accessible or predictable, but in the original filtration all the jumps times are totally inaccessible. But even if the jumps times change to accessible or predictable, the insider does not necessarily have arbitrage possibilities.
Estimating the size of the loan sharking market in Italy
2014
In the current economic crisis, the risk is so high that entrepreneurs, commercial activities and even families may turn to the illegal market to obtain liquidity. This article proposes an estimate of the size of the usury credit market in Italy. The estimate is based on the assumption, provided by Guiso1, that before coming to a moneylender the borrower seeks to obtain credit through official channels. The results of our estimates confirm the seriousness of the problem, but provide much lower data than those reported periodically by the media. It is estimated that 372,000 economic activities may have been potentially involved in the usury market in 2012. The volume of loans disbursed in th…
Surface Marker Analysis by Monoclonal Antibodies: A Valuable Technique in Childhood Acute Myeloid Leukemia
1987
A considerable number of monoclonal antibodies (MoAbs) with myeloid activity have been described during the last few years (summarized in [1]). These MoAbs have been applied to the study of normal myeloid differentiation, as well as to the surface marker analysis of acute myeloid leukemia (AML) [2–6]. Although there is a strong tendency for morphological differentiation to correspond to surface antigen differentiation of malignant myeloid cells [2, 3], a recent report has failed to correlate the FAB classification system with immunologic categories of AML [6].
Smart Urban Profiling And Management – New Insights For Enhancing Innovative And Sustainable City Development
2020
Rapidly changing framework conditions for city development such as globalization, demographic trends, deindustrialization, technological developments or the increasing urbanization as well as the economic, social and political changes are profound and change our urban life. This leads, that the cities of tomorrow will differ essentially from today´s city principles. Therefore innovative, strategically wise and quick action becomes a criterion for success. Here, more than ever, local conditions and requirements must be taken into account as well as global framework conditions. The responsible parties have to set the course so that the “City” remains competitive and sustainable in the future.…
Prediction of stock index futures prices based on fuzzy sets and multivariate fuzzy time series
2015
Abstract This paper makes a prediction of Chinese stock index (CSI) future prices using fuzzy sets and multivariate fuzzy time series method. We select Chinese CSI 300 index futures as the research object. The fuzzy time series model combines the fuzzy theory and the time series theory, thus this model can solve the fuzzy data in stock index futures prices. This paper establishes a multivariate model and improves the accuracy of computation. By combing traditional fuzzy time series models and rough set method, we use fuzzy c-mean algorithm to make the data into discrete. Further more, we deal with the rules in mature modules of the rough set and then refine the rules using data mining algor…
Relationship between apoptosis and survival molecules in human cumulus cells as markers of oocyte competence
2017
SummaryTo select from a single patient the best oocytes able to reach the blastocyst stage, we searched for valuable markers for oocytes competence. We evaluated the DNA fragmentation index (DFI) and the level of some survival molecules, such as AKT, pAKT and pERK1/2, in individual cumulus cell–oocyte complexes (COC). The study included normo-responder women. The average age of the patients was 34.3. DFI in cumulus cells was evaluated using the terminal deoxynucleotidyl transferase (TdT) dUTP nick-end labelling (TUNEL) assayin situ. AKT, pAKT and pERK1/2 were measured by immunological assay and densitometric analysis of fluorescent signals using NIS-Elements BR 3.10 image software. Statisti…