Search results for "Actuarial science"
showing 10 items of 289 documents
Superiority of Optimized Portfolios to Naive Diversification: Fact or Fiction?
2017
Abstract DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where they demonstrated that none of the optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the academic community on whether portfolio optimization adds value. Nowadays several studies claim to defend the value of portfolio optimization. The commonality in all these studies is that various portfolio optimization methods are implemented using the datasets generously provided by Kenneth French and the performance is measured by means of the Sharpe ratio. This paper aims to provide a cautionary note regarding the use of Kenneth French datasets …
Optimal Dynamic Portfolio Risk Management
2016
Numerous econometric studies report that financial asset volatilities and correlations are time-varying and predictable. Over the past decade, this knowledge has stimulated increasing interest in various dynamic portfolio risk control techniques. The two basic types of risk control techniques are: risk control across assets and risk control over time. At present, the two types of risk control techniques are not implemented simultaneously. There has been surprisingly little theoretical study of optimal dynamic portfolio risk management. In this paper, the author fills this gap in the literature by formulating and solving the multi-period portfolio choice problem. In terms of dynamic portfoli…
Eliciting expert knowledge to inform stock status for data-limited stock assessments
2019
Data-limited fisheries are a major challenge for stock assessment analysts, as many traditional data-rich models cannot be implemented. Approaches based on stock reduction analysis offer simple ways to handle low data availability, but are particularly sensitive to assumptions on relative stock status (i.e., current biomass compared to unperturbed biomass). For the vast majority of data-limited stocks, stock status is unmeasured. The present study presents a method to elicit expert knowledge to inform stock status and a novel, user-friendly on-line application for expert elicitation. Expert opinions are compared to stock status derived from data-rich models. Here, it is evaluated how expert…
Improving stock index forecasts by using a new weighted fuzzy-trend time series method
2017
Define a new technical indicator for measuring the trend of the fuzzy time series.Introduce a new weighted fuzzy-trend time series method to forecast stock indices.Compare ex-post performances of weighted FTS methods using stock market indices.Assess statistical significance of ex-post forecast accuracy for weighted FTS methods. We propose using new weighted operators in fuzzy time series to forecast the future performance of stock market indices. Based on the chronological sequence of weights associated with the original fuzzy logical relationships, we define both chronological-order and trend-order weights, and incorporate our proposals for the ex-post forecast into the classical modeling…
Forecasting portfolio returns using weighted fuzzy time series methods
2016
We propose using weighted fuzzy time series (FTS) methods to forecast the future performance of returns on portfolios. We model the uncertain parameters of the fuzzy portfolio selection models using a possibilistic interval-valued mean approach, and approximate the uncertain future return on a given portfolio by means of a trapezoidal fuzzy number. Introducing some modifications into the classical models of fuzzy time series, based on weighted operators, enables us to generate trapezoidal numbers as forecasts of the future performance of the portfolio returns. This fuzzy forecast makes it possible to approximate both the expected return and the risk of the investment through the value and a…
Safety regulations : implications of the new risk perspectives
2016
Abstract The current safety regulations for industrial activities are to a large extent functionally oriented and risk-based (informed), expressing what to achieve rather than the means and solutions needed. They are founded on a probability-based perspective on risk, with the use of risk assessment, risk acceptance criteria and tolerability limits. In recent years several risk researchers have argued for the adoption of some new types of risk perspectives which highlight uncertainties rather than probabilities in the way risk is defined, the point being to better reflect the knowledge, and lack of knowledge, dimension of risk. The Norwegian Petroleum Safety Authority has recently implement…
Relative risk rather than absolute risk reduction should be preferred to sensitise the public to preventive actions.
2021
We thank Lawrence and colleagues1 for their interest in our work,2 about which they raised some comments as the need of expressing results in absolute rather than relative risks. As they appropriately mentioned in their correspondence, absolute risk is an important parameter for the estimation of the effect of an intervention and must sometimes be preferred to relative risk. However, when discussing with health professionals and policymakers, using absolute risk reductions, expressed as percentages, may incorrectly lead to an intervention being considered unnecessary. As example, what would be the point of reducing by 30% the occurrence of an event affecting 2% of the population? This is ex…
Are There Any Parameters Missing in the Mathematical Models Applied in the Process of Spreading COVID-19?
2021
Simple Summary Nowadays, enhancing development of mathematical models is very important to help in the prediction of coronavirus disease 2019 (COVID1-19). However, the vast majority of published model-based predictions do not cover people who left the epidemic COVID-19 positive (alive) and they must be included in studies to guarantee a more accurate model for application in public health. The epidemic development phenomenon can be obtained with a modelling framework. Abstract On 11 March 2020, coronavirus disease 2019 (COVID-19) was declared a pandemic by the World Health Organization (WHO). As of 12.44 GMT on 15 January 2021, it has produced 93,640,296 cases and 2,004,984 deaths. The use …
Assessing the costs and cost-effectiveness of ICare internet-based interventions (protocol)
2019
Background: Mental health problems are common and place a burden on the individual as well as on societal resources. Despite the existence of evidence-based treatments, access to treatment is often prevented or delayed due to insufficient health care resources. Effective internet-based self-help interventions have the potential to reduce the risk for mental health problems, to successfully bridge waiting time for face-to-face treatment and to address inequities in access. However, little is known about the cost-effectiveness of such interventions. This paper describes the study protocol for the economic evaluation of the studies that form the ICare programme of internet-based interventions …
Fuzzy Portfolio Selection Models for Dealing with Investor’s Preferences
2017
This chapter provides an overview of the authors’ previous work about dealing with investor’s preferences in the portfolio selection problem. We propose a fuzzy model for dealing with the vagueness of investor preferences on the expected return and the assumed risk, and then we consider several modifications to include additional constraints and goals.