Search results for "variance"
showing 10 items of 2030 documents
Risk forecasting models and optimal portfolio selection
2005
This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry and time varying risk are analysed. Specifically, it studies whether ARCH-type based models obtain portfolios whose risk-adjusted returns exceed those of the classical Markowitz model. The same analysis is performed with models based on the Lower Partial Moment (LPM) which take into account the assymetry in the distribution of returns. The results suggest that none of the models achieve a clearly su…
Risk-Managed Industry Momentum and Momentum Crashes
2016
This is the first paper that investigates Barosso and Santa-Clara’s (2015) risk-managed momentum strategy in an industry momentum setting. We investigate traditional momentum strategies and Novy-Marx (2012) strategy. We also explore the impact of different variance forecast horizons on the average payoffs. We find that risk-managed industry momentum payoffs generate considerably higher returns than plain momentum strategies. Notably, risk-managed payoffs increase linearly as the time window for variance forecasts are contracted which is consistent for all different strategies.
Operator mixing and scaling deviations in asymptotically free field theories
1976
Predictions of asymptotically free field theories for scaling deviations of the structure functions are compared with recent SLAC and Fermilab data on deep-inelastic lepton-hadron scattering. Contributions of nonsinglet as well as singlet Wilson operators are taken into account. The latter contributions are found to be non-negligible; specifically it is observed, in agreement with neutrino data, that about 60% of the proton's momentum is due to gluons. The expected quantitative pattern of scaling violations is given for a large range of ..omega.. and Q/sup 2/. (AIP)
Differential Greek and northern African migrations to Sicily are supported by genetic evidence from the Y chromosome
2009
The presence or absence of genetic heterogeneity in Sicily has long been debated. Through the analysis of the variation of Y-chromosome lineages, using the combination of haplogroups and short tandem repeats from several areas of Sicily, we show that traces of genetic flows occurred in the island, due to ancient Greek colonization and to northern African contributions, are still visible on the basis of the distribution of some lineages. The genetic contribution of Greek chromosomes to the Sicilian gene pool is estimated to be about 37% whereas the contribution of North African populations is estimated to be around 6%. In particular, the presence of a modal haplotype coming from the southern…
Lipid profiling following intake of the Omega 3 fatty acid DHA identifies the peroxidized metabolites F-4-Neuroprostanes as the best predictors of at…
2014
International audience; The anti-atherogenic effects of omega 3 fatty acids, namely eicosapentaenoic (EPA) and docosahexaenoic acids (DHA) are well recognized but the impact of dietary intake on bioactive lipid mediat or profiles remains unclear. Such a profiling effort may offer novel targets for future studies into the mechanism of action of omega 3 fatty acids. The present study aimed to determine the impact of DHA supplementation on the profiles of polyunsaturated fatty acids (PUFA) oxygenated metabolites and to investigate their contribution to therosclerosis prevention. A special emphasis was given to the non-enzymatic metabolites knowing the high susceptibility of DHA to free radical…
Validation of the Five-Factor Self-Concept Questionnaire AF5 in Brazil: Testing factor structure and measurement invariance across language (Brazilia…
2018
Self-concept is widely conceptualized as multidimensional (Shavelson et al., 1976). The Five-Factor Self-Concept Questionnaire (AF5, Garcia and Musitu, 2009) assesses five specific dimensions (i.e., academic, social, emotional, family, and physical). It is a psychometrically sound questionnaire, developed, and normed in Spain, which is widely used with Spanish-speaking samples. The validation of the AF5 in Brazil would expand its potential, and would facilitate cross-cultural research. To validate the Brazilian version of the AF5, the present study apply confirmatory factor analysis and multi-sample invariance analysis across sex (women vs. men), age (11-18 years old), and language (Brazili…
Testing Measurement Invariance of Hedonic and Eudaimonic Entertainment Experiences Across Media Formats
2016
ABSTRACTThe aim of this study is to investigate the measurement invariance of media users’ entertainment experiences as conceptualized by two-process models of entertainment (i.e., enjoyment and appreciation) across different media formats. With this purpose, the present research relates to the recent rise of entertainment research, embracing more and more media types and formats with which entertainment experiences may occur. At the same time, it addresses a methodological issue that has rarely been addressed in communication research. Focusing on one of the most often used measurement instruments in entertainment research, on three different media formats (political talk shows, comedies, …
Applying a web-based training to foster self-regulated learning — Effects of an intervention for large numbers of participants
2016
Trainings on self-regulated learning (SRL) have been shown to be effective in improving both competence of self-regulated learning and objective measures of performance. However, human trainers can reach only a limited number of people at a time. Web-based trainings (WBT) could improve efficiency, as they can be distributed to potentially unlimited numbers of participants. We developed a WBT based on the process model of SRL by Schmitz and Wiese (2006) and tested it with 211 university students in a randomized control evaluation study including additional process analyses of learning diaries. Results showed that the training had significant effects on SRL knowledge, SRL behavior measured by…
Multivariate nonparametric tests in a randomized complete block design
2003
AbstractIn this paper multivariate extensions of the Friedman and Page tests for the comparison of several treatments are introduced. Related unadjusted and adjusted treatment effect estimates for the multivariate response variable are also found and their properties discussed. The test statistics and estimates are analogous to the traditional univariate methods. In test constructions, the univariate ranks are replaced by multivariate spatial ranks (J. Nonparam. Statist. 5 (1995) 201). Asymptotic theory is developed to provide approximations for the limiting distributions of the test statistics and estimates. Limiting efficiencies of the tests and treatment effect estimates are found in the…
Association between climate and new daily diagnoses of COVID-19
2020
AbstractBackgroundAlthough evidence is accumulating that climate conditions may positively or negatively influence the scale of coronavirus disease 2019 (COVID-19) outbreaks, uncertainty remains concerning the real impact of climate factors on viral transmission. Methods. The number of new daily cases of COVID-19 diagnosed in Verona (Italy) was retrieved from the official website of Veneto Region, while information on daily weather parameters in the same area was downloaded from IlMeteo website, a renowned Italian technological company specialized in weather forecasts. The search period ranged between March 1 to November 11, 2020. The number of new daily COVID-19 cases and meteorological da…