Search results for "Finance"
showing 10 items of 4676 documents
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 …
The value of integrative risk management for insurance products with guarantees
2001
Insurance liabilities are converging with capital markets products (e.g. derivatives and securitizations), thereby increasing the demand for integrated asset and liability management strategies. This article compares the value-added by an integrative approach-based on scenario optimization modelling-relative to traditional risk management methods. The authors present some examples of products offered by the insurance industry in Italy, and apply the results of the analysis to the design of competitive insurance policies. © Emerald Backfiles 2007.
Does bonus deferral reduce risk-taking?
2015
AbstractThe common thinking that deferring bonus payments makes an agent more risk averse isfalse. We characterize continuous-time risk taking and show that the introduction of deferralincreases risk taking at any time when the realized asset value is large or small. For realizedasset values in-between we characterize the parameterizations of deferral for which risk tak-ing decreases and discuss trade-offs in setting the deferral parameters.Keywordsbonus, risk taking, risk aversion, deferral ratioJEL Classi cationG28, G38 ∗ This paper circulated previously under the title \Bonus Deferral Does Not Choke Excessive Risk Taking."We are grateful for comments and suggestions from seminar participa…
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…
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.
Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
2015
Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.
Acute effects of different foam rolling volumes in the interset rest period on maximum repetition performance
2017
Background - Foam rolling (FR) is a ubiquitous intervention utilised for the purpose of acutely increasing the range of motion without subsequent decreases in performance. Thus, it is commonly used during the periworkout period—that is, prior to, during, or after an athlete's workout.\ud \ud Objective - This study investigated how different FR durations applied to the quadriceps during the interset rest periods affects the numbers of repetitions in the knee extension exercise.\ud \ud Methods - Twenty-five females completed four sets of knee extensions with 10 repetitions of maximum load to concentric failure on four occasions. Between each set, a 4-minute rest interval was implemented in wh…
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…
Evaluation of serum levels of soluble CD4, CD8 and β2-microglobulin in visceral human leishmaniasis
1994
SUMMARY The levels of soluble CD4 (sCD4), sCD8 and β2-microglobulin (β2-M) were measured in sera from patients with visceral leishmaniasis during the course of infection. Levels of sCD4. sCD8 and β2-M were raised significantly above levels In normal sera and returned to the normal range after recovery. The decrease in the levels of CDS was related to a reduction of anaemia, leukopenia and thrombocytopenia. In contrast, sCD4 levels fluctuated during the period of infection. β2-M returned within normal range more rapidly than sCD8 secretion. Our results suggest that T cells are activated during infection, and that it is also possible that the raised levels of these soluble molecules play a ro…
Neutralizing antibodies against SARS-CoV-2 variants of concern elicited by the comirnaty COVID-19 vaccine in nursing home residents.
2022
Immunosenescence may impact the functionality and breadth of vaccine-elicited humoral immune responses. The ability of sera to neutralize the SARS-CoV-2 spike protein (S) from Beta, Gamma, Delta, and Epsilon variants of concern (VOCs) relative to the ancestral Wuhan-Hu-1 strain was compared in Comirnaty COVID-19-vaccinated elderly nursing home residents, either SARS-CoV-2 naïve (n = 22) or experienced (n = 8), or SARS-CoV-2 naïve younger individuals (n = 18) and non-vaccinated individuals who recovered from severe COVID-19 (n = 19). In all groups, except that including SARS-CoV-2-experienced nursing home residents, some participants lacked NtAb against one or more VOCs, mainly the Beta vari…