Search results for "fol"
showing 10 items of 7082 documents
GEOV1: LAI, FAPAR essential climate variables and FCOVER global time series capitalizing over existing products. Part 2: Validation and intercomparis…
2013
International audience; This paper describes the scientific validation of the first version of global biophysical products (i.e., leaf area index, fraction of absorbed photosynthetically active radiation and fraction of vegetation cover), namely GEOV1, developed in the framework of the geoland-2/BioPar core mapping service at 1 km spatial resolution and 10-days temporal frequency. The strategy follows the recommendations of the CEOS/WGCV Land Product Validation for LAI global products validation. Several criteria of performance were evaluated, including continuity, spatial and temporal consistency, dynamic range of retrievals, statistical analysis per biome type, precision and accuracy. The…
Phytosociology and ecology of deciduous forests in Tajikistan (Middle Asia)
2017
Aims: To present the first syntaxonomical classification for the mesophilous deciduous forests of the PamirAlai Mountains in Tajikistan with some remarks on its environmental gradients. Location: Tajikistan. Methods: Altogether 201 relevés were sampled between 2008‒2013 using the seven-degree cover-abundance scale of Braun-Blanquet. They were classified by the modified TWINSPAN method using the four-step interval scale with cutoff levels of 0%, 2%, 5% and 10% and total inertia as a measure of cluster heterogeneity. Diagnostic species were identified using the phi coefficient as a fidelity measure. Detrendended Correspondence Analysis was used to determine the relation between samples, veget…
Geodetic and geological evidence of active tectonics in south-western Sicily (Italy)
2014
Abstract Integrated geological, geodetic and marine geophysical data provide evidence of active deformation in south-western Sicily, in an area spatially coincident with the macroseismic zone of the destructive 1968 Belice earthquake sequence. Even though the sequence represents the strongest seismic event recorded in Western Sicily in historical times, focal solutions provided by different authors are inconclusive on possible faulting mechanism, which ranges from thrusting to transpression, and the seismogenic source is still undefined. Interferometric (DInSAR) observations reveal a differential ground motion on a SW–NE alignment between Campobello di Mazara and Castelvetrano (CCA), locate…
Contingent claim valuation in a market with different interest rates
1995
The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems.
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.
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.
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 …
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.