We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets.Both the asset value and the volatility processes are correlated through systemic Brownian motions,with d...We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets.Both the asset value and the volatility processes are correlated through systemic Brownian motions,with default determined by the asset value reaching a lower boundary.We prove that if our volatility models are picked from a class of mean-reverting diffusions,the system converges as the portfolio becomes large and,when the vol-of-vol function satisfies certain regularity and boundedness conditions,the limit of the empirical measure process has a density given in terms of a solution to a stochastic initial-boundary value problem on a half-space.The problem is defined in a special weighted Sobolev space.Regularity results are established for solutions to this problem,and then we show that there exists a unique solution.In contrast to the CIR volatility setting covered by the existing literature,our results hold even when the systemic Brownian motions are taken to be correlated.展开更多
Since standardized tests do not cover the full range of important instructional objectives, this presentation deals with the use of a variety of activities in the classroom for the assessment of class participation, a...Since standardized tests do not cover the full range of important instructional objectives, this presentation deals with the use of a variety of activities in the classroom for the assessment of class participation, and explores creativity as an alternative way to conventional methods of monitoring students’ language progress and performance.展开更多
The paper proposes a projected management method to organize,select and rolling configure the projects for multiple strategic stages. We illustrate the definitions of project portfolio rolling benefits,gain of resourc...The paper proposes a projected management method to organize,select and rolling configure the projects for multiple strategic stages. We illustrate the definitions of project portfolio rolling benefits,gain of resources and risk accumulation according to the correspondence between project life cycle and phased strategy scenarios. A heuristic-genetic algorithm has been designed to optimize the configuration model at the same time.The rolling configuration model and optimization algorithm are proved effectively by testing the case study of Y enterprise through the Matlab simulation.展开更多
This article studies European contingent claims in a randomly constrained market and derives their lower-hedging costs by means of a family of auxiliary risk premiums.
Since the emergence of Bitcoin,cryptocurrencies have grown significantly,not only in terms of capitalization but also in number.Consequently,the cryptocurrency market can be a conducive arena for investors,as it offer...Since the emergence of Bitcoin,cryptocurrencies have grown significantly,not only in terms of capitalization but also in number.Consequently,the cryptocurrency market can be a conducive arena for investors,as it offers many opportunities.However,it is difficult to understand.This study aims to describe,summarize,and segment the main trends of the entire cryptocurrency market in 2018,using data analysis tools.Accord-ingly,we propose a new clustering-based methodology that provides complementary views of the financial behavior of cryptocurrencies,and one that looks for associations between the clustering results,and other factors that are not involved in clustering.Particularly,the methodology involves applying three different partitional clustering algorithms,where each of them use a different representation for cryptocurrencies,namely,yearly mean,and standard deviation of the returns,distribution of returns that have not been applied to financial markets previously,and the time series of returns.Because each representation provides a different outlook of the market,we also examine the integration of the three clustering results,to obtain a fine-grained analysis of the main trends of the market.In conclusion,we analyze the association of the clustering results with other descriptive features of cryptocurrencies,including the age,technological attributes,and financial ratios derived from them.This will help to enhance the profiling of the clusters with additional descriptive insights,and to find associations with other variables.Consequently,this study describes the whole market based on graphical information,and a scalable methodology that can be reproduced by investors who want to understand the main trends in the market quickly,and those that look for cryptocurrencies with different financial performance.In our analysis of the 2018 and 2019 for extended period,we found that the market can be typically segmented in few clusters(five or less),and even considering the intersections,the 6 more populations account fo展开更多
Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as gla...Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.展开更多
Portfolios is a well-known investment technique of handling multiple stocks, bonds and securities. However, the previous portfolios investment lack of incorporating the various possible opinions from several experts o...Portfolios is a well-known investment technique of handling multiple stocks, bonds and securities. However, the previous portfolios investment lack of incorporating the various possible opinions from several experts on an given portfolios investment problem. This paper proposes an MC2 linear programming approach to determining weighted coefficients of portfolios that involves multiple experts. The numerical example of the paper shows that the proposed approach likely outperforms the current techniques of portfolios in dealing with the case of multiple experts.展开更多
In order to deal with the problem that exists in current teaching of English writing,this thesis aims to explore a new process writing approach which combines process-based approach with portfolios assessment.
We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance finan...We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.展开更多
基金supported financially by the United Kingdom Engineering and Physical Sciences Research Council (Grant No.EP/L015811/1)by the Foundation for Education and European Culture (founded by Nicos&Lydia Tricha).
文摘We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets.Both the asset value and the volatility processes are correlated through systemic Brownian motions,with default determined by the asset value reaching a lower boundary.We prove that if our volatility models are picked from a class of mean-reverting diffusions,the system converges as the portfolio becomes large and,when the vol-of-vol function satisfies certain regularity and boundedness conditions,the limit of the empirical measure process has a density given in terms of a solution to a stochastic initial-boundary value problem on a half-space.The problem is defined in a special weighted Sobolev space.Regularity results are established for solutions to this problem,and then we show that there exists a unique solution.In contrast to the CIR volatility setting covered by the existing literature,our results hold even when the systemic Brownian motions are taken to be correlated.
文摘Since standardized tests do not cover the full range of important instructional objectives, this presentation deals with the use of a variety of activities in the classroom for the assessment of class participation, and explores creativity as an alternative way to conventional methods of monitoring students’ language progress and performance.
基金supported by National Natural Science Foundation of China under Grant No.71172123Aviation Science Fund under Grant No.2012ZG53083
文摘The paper proposes a projected management method to organize,select and rolling configure the projects for multiple strategic stages. We illustrate the definitions of project portfolio rolling benefits,gain of resources and risk accumulation according to the correspondence between project life cycle and phased strategy scenarios. A heuristic-genetic algorithm has been designed to optimize the configuration model at the same time.The rolling configuration model and optimization algorithm are proved effectively by testing the case study of Y enterprise through the Matlab simulation.
文摘This article studies European contingent claims in a randomly constrained market and derives their lower-hedging costs by means of a family of auxiliary risk premiums.
基金Funding was provided by EIT Digital(Grant no 825215)European Cooperation in Science and Technology(COST Action 19130).
文摘Since the emergence of Bitcoin,cryptocurrencies have grown significantly,not only in terms of capitalization but also in number.Consequently,the cryptocurrency market can be a conducive arena for investors,as it offers many opportunities.However,it is difficult to understand.This study aims to describe,summarize,and segment the main trends of the entire cryptocurrency market in 2018,using data analysis tools.Accord-ingly,we propose a new clustering-based methodology that provides complementary views of the financial behavior of cryptocurrencies,and one that looks for associations between the clustering results,and other factors that are not involved in clustering.Particularly,the methodology involves applying three different partitional clustering algorithms,where each of them use a different representation for cryptocurrencies,namely,yearly mean,and standard deviation of the returns,distribution of returns that have not been applied to financial markets previously,and the time series of returns.Because each representation provides a different outlook of the market,we also examine the integration of the three clustering results,to obtain a fine-grained analysis of the main trends of the market.In conclusion,we analyze the association of the clustering results with other descriptive features of cryptocurrencies,including the age,technological attributes,and financial ratios derived from them.This will help to enhance the profiling of the clusters with additional descriptive insights,and to find associations with other variables.Consequently,this study describes the whole market based on graphical information,and a scalable methodology that can be reproduced by investors who want to understand the main trends in the market quickly,and those that look for cryptocurrencies with different financial performance.In our analysis of the 2018 and 2019 for extended period,we found that the market can be typically segmented in few clusters(five or less),and even considering the intersections,the 6 more populations account fo
文摘Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.
基金Thisresearch is supported by Naiton Excellent Youth Science Foundation of China (No.7972 50 0 2 )
文摘Portfolios is a well-known investment technique of handling multiple stocks, bonds and securities. However, the previous portfolios investment lack of incorporating the various possible opinions from several experts on an given portfolios investment problem. This paper proposes an MC2 linear programming approach to determining weighted coefficients of portfolios that involves multiple experts. The numerical example of the paper shows that the proposed approach likely outperforms the current techniques of portfolios in dealing with the case of multiple experts.
文摘In order to deal with the problem that exists in current teaching of English writing,this thesis aims to explore a new process writing approach which combines process-based approach with portfolios assessment.
文摘We establish, through solving semi-infinite programming problems, bounds on the probability of safely reaching a desired level of wealth on a finite horizon, when an investor starts with an optimal mean-variance financial investment strategy under a non-negative wealth restriction.
