Search results for " Port"
showing 10 items of 944 documents
Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach
2019
Abstract This paper develops a novel approach to assess liquidity-adjusted Value-at-Risk (LVaR) optimization of multi-asset portfolios based on vine copulas and LVaR models. This framework is applied to stock markets of the G-7 countries, gold, commodities and Bitcoin. The results show that our approach is superior to the classical mean–variance Markowitz portfolio technique in terms of the optimal portfolio selection under a number of realistic operational and budget constraints. We find that both Bitcoin and gold improves the risk-return performance of the G-7 stock portfolio. However, Bitcoin (gold) performs better under a scenario of only long-positions (when short-selling is allowed).
Designing and pricing guarantee options in defined contribution pension plans
2015
Abstract The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. However, for DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio and we develop a discrete model that selects the reference portfolio to minimize the cost of a guarantee. While the relation DB–DC is typically viewed as a binary one, the model shows how to price a wide range of guarantees creating a continu…
Portfolio optimisation with strictly positive transaction costs and impulse control
1998
One crucial assumption in modern portfolio theory of continuous-time models is the no transaction cost assumption. This assumption normally leads to trading strategies with infinite variation. However, following such a strategy in the presence of transaction costs will lead to immediate ruin. We present an impulse control approach where the investor can change his portfolio only finitely often in finite time intervals. Further, we consider transaction costs including a fixed and a proportional cost component. For the solution of the resulting control problems we present a formal optimal stopping approach and an approach using quasi-variational inequalities. As an application we derive a non…
L'architettura del viaggio: le stazioni per l'alta velocità di Torino, Firenze e Roma
2012
The recent launching in Italy of a number of large scale urban operations centered around High Speed Railway (HSR) stations has added a wealth of examples and themes to the overall European picture; these go to make up a global point of reference for other countries that are, in this period, undertaking the construction of their own HSR networks. Above and beyond the territorial questions often linked to the issue, further research investigating the architectural aspect of these operations would be highly relevant, but is rather lacking. Instead, we shall be focusing on current HSR stations in Italy, such as Turin Porta Susa, Florence Belfiore and Rome Tiburtina, and comparing them briefly,…
Palazzo Alliata di Pietratagliata, già Termine
2013
Palazzo Termine Pietratagliata esemplifica bene, con le sue vicende plurisecolari, la storia complessa e stratificata della gran parte delle residenze nobiliari palermitane, risultato di una successione pressoché ininterrotta di interventi di ampliamento, di consolidamento strutturale, di ammodernamento distributivo degli interni, di aggiornamento stilistico degli apparati decorativi. Il suo portale, d'altro canto, appare come uno degli elementi del prospetto meno manomessi e con il suo sesto lievemente acusesto testimonia a quella data la lenta transizione verso l’architettura rinascimentale, lentezza ascrivibile al consapevole radicamento in Sicilia dei saperi e delle tradizioni costrutti…
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
2004
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…
L'aprenentatge de la traducció a través de l'ús del port-folio: descripció de una experiència
2011
En aquest treball es descriu una experiència pedagògica consistent en la introducció del *portafolio com a eina d'aprenentatge i avaluació en un curs universitari de traducció. La descripció es basa en dades arreplegades durant dos anys i en els resultats d'un qüestionari administrat als participants. Després d'una breu contextualització de l'experiència i la reflexió sobre els aspectes més rellevants del *portafolio per a l'ensenyament de la traducció, específicament en la universitat, s'ofereix una descripció exhaustiva dels efectes positius de la utilització de l'instrument en el curs. El treball acaba amb una valoració de l'experiència per part dels participants.
Voice and authorial body in Juana Manso
2021
El estilo de Juana Manso fue calificado por Sarmiento como «escandaloso». Esa manera inequívoca de presentarse públicamente delimitó desde entonces un modo de existencia, de circulación y de funcionamiento de su figura autorial en el campo cultural argentino de mediados de siglo XIX. Este artículo se propone rastrear esta singular «puesta en escena» de la escritora como un dispositivo de enunciación que no se limita a sus textos, en la doble dimensión que ocupa, como autora y como actora de ese campo. ¿Cómo se construye, en esta puesta escena, su voz y su imagen?, ¿Cómo se difunde ese cuerpo de autora? En la conjunción de género y profesión, la función-Manso se concreta en un tono de escrit…