Search results for "Econometrics"
showing 10 items of 3730 documents
Fuzzy Portfolio Selection Models: A Numerical Study
2012
In this chapter we analyze the numerical performance of some possibilistic models for selecting portfolios in the framework of risk-return trade-off. Portfolio optimization deals with the problem of how to allocate wealth among several assets, taking into account the uncertainty involved in the behavior of the financial markets. Different approaches for quantifying the uncertainty of the future return on the investment are considered: either assuming that the return on every individual asset is modeled as a fuzzy number or directly measuring the uncertainty associated with the return on a given portfolio. Conflicting goals representing the uncertain return on and risk of a fuzzy portfolio a…
Dynamic Volatility Weighting in the Presence of Transaction Costs
2015
Numerous empirical studies demonstrate the superiority of dynamic strategies with volatility weighting over time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, in order to reap all benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this paper we propose a modified volatility weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …
Linear and nonlinear interest rate exposure in Spain
2010
PurposeThis paper aims to carry out a comprehensive analysis of the influence of interest rate risk on Spanish firms at the industry level.Design/methodology/approachThe methodology employed has its origin in the two‐index linear regression model proposed by Stone. This traditional interest rate exposure model has been extended in this paper to allow for a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern.FindingsInterest rate exposure is not homogeneous for all the Spanish industries. In line with other markets, highly leveraged industries (construction and real estate), regulated industries (electrical and utilities), and banking industry…
The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds
2010
It is widely accepted that, when return distributions are non-normal, the use of the Sharpe ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund return distributions from normality are statistically significant. The literature on performance evaluation that takes into account the non-normality of return distributions is a vast one. However, there is another stream of research that advocates that the choice of performance measure does not influence the evaluation of hedge funds. For example, Eling and Schuhmacher (2007) and Eling (2008) performed empirical studies and, judging by the values of rank correlations, concluded that the choice of performanc…
Portfolio performance evaluation with loss aversion
2011
In this paper we consider a loss-averse investor equipped with a specific, but still quite general, utility function motivated by behavioral finance. We show that, under certain concrete assumptions concerning the form of this utility, one can derive closed-form solutions for the investor's portfolio performance measure. We investigate the effects of loss aversion and demonstrate its important role in performance measurement. The framework presented in this paper also provides a sound theoretical foundation for all known performance measures based on partial moments of the distribution.
Childcare, height and BMI among female Polish university students, 2005
2007
The aim of this study is to consider whether socio-economic factors are related to the type of childcare and whether the type of childcare, in turn, affects adult stature and BMI. The sample includes 783 female students aged 20-24 (birth cohort of 1981-1985) from the south of Poland. Those whose parents have university education, live in a city and have no siblings attend day-care facilities more frequently than others of the same age, while those who grew up at home under their mothers' care, most frequently live in villages, come from large families and their parents have vocational education. Variables which are associated with being taller include material conditions and the type of chi…
Sign effect in adolescents: Within‐subject comparison of delay discounting of hypothetical monetary gains and losses
2020
The purpose of this article is to contribute to the research on the sign effect, steeper discounting of gains compared to losses, by offering results from an experiment using a "double-delay" procedure on adolescents. Twenty-four 14-year-old schoolchildren completed a computer-based test consisting of choices of Smaller-Sooner (SS) and Larger-Later (LL) hypothetical monetary gains and losses. Within-subject comparison and analysis of the aggregated data were conducted. Current results were also examined in light of prior research with adult participants, and variations in behavioral patterns were identified. Although the sign effect appears to be more profound in adolescents compared to adu…
Optimal selection of individuals for repeated covariate measurements in follow-up studies
2016
Repeated covariate measurements bring important information on the time-varying risk factors in long epidemiological follow-up studies. However, due to budget limitations, it may be possible to carry out the repeated measurements only for a subset of the cohort. We study cost-efficient alternatives for the simple random sampling in the selection of the individuals to be remeasured. The proposed selection criteria are based on forms of the D-optimality. The selection methods are compared with the simulation studies and illustrated with the data from the East–West study carried out in Finland from 1959 to 1999. The results indicate that cost savings can be achieved if the selection is focuse…
Mixed predictability and cross-validation to assess non-linear Granger causality in short cardiovascular variability series
2006
A method to evaluate the direction and strength of causal interactions in bivariate cardiovascular and cardiorespiratory series is presented. The method is based on quantifying self and mixed predictability of the two series using nearest-neighbour local linear approximation. It returns two causal coupling indexes measuring the relative improvement in predictability along direct and reverse directions, and a directionality index indicating the preferential direction of interaction. The method was implemented through a cross-validation approach that allowed quantification of directionality without constraining the embedding of the series, and fully exploited the available data to maximise th…
Did the Finnish depression of the early 1990s have a silver lining? : The effect of unemployment on long-term physical activity
2022
This paper studies the impact of long-term unemployment on physical activity. We examined the effects 6 and 15 years following a severe business cycle downturn in Finland over the period 1991–1994. The study sample comprised residents of Northern Finland. The unemployed individuals were 23–26 years old during the downturn. Physical activity, measured by MET minutes and meeting WHO guidelines, was higher 15 years later among those people who experienced the longest periods of unemployment in 1991–1994. Physical activity was somewhat lower among people with relatively shorter periods of unemployment. peerReviewed