scholarly journals A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach

Risks ◽  
2019 ◽  
Vol 7 (2) ◽  
pp. 60
Author(s):  
Stanislaus Maier-Paape ◽  
Andreas Platen ◽  
Qiji Jim Zhu
Keyword(s):  
General Framework ◽  
Optimization Problem ◽  
Risk Measure ◽  
Efficient Frontier ◽  
Portfolio Theory ◽  
Trading Strategies ◽  
Performance Criteria ◽  
Market Model ◽  
Constant Weight ◽  
New Approach

This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53] to multi-period markets. This extension is reasonable for applications. More importantly, we take a new approach, the “modular portfolio theory”, which is built from the interaction among four related modules: (a) multi period market model; (b) trading strategies; (c) risk and utility functions (performance criteria); and (d) the optimization problem (efficient frontier and efficient portfolio). An important concept that allows dealing with the more general framework discussed here is a trading strategy generating function. This concept limits the discussion to a special class of manageable trading strategies, which is still wide enough to cover many frequently used trading strategies, for instance “constant weight” (fixed fraction). As application, we discuss the utility function of compounded return and the risk measure of relative log drawdowns.

scholarly journals A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures

Risks ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 76 ◽  
Author(s):  
Stanislaus Maier-Paape ◽  
Qiji Zhu
Keyword(s):  
Standard Deviation ◽  
General Framework ◽  
Risk Measures ◽  
Risk Measure ◽  
Portfolio Theory ◽  
Portfolio Risk ◽  
Convex Risk Measures ◽  
Efficient Portfolios ◽  
The Absolute

The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to classical portfolio risk measures such as the standard deviation, we, in particular, construct risk measures related to the “current” drawdown of the portfolio equity. In contrast to references Chekhlov, Uryasev, and Zabarankin (2003, 2005), Goldberg and Mahmoud (2017), and Zabarankin, Pavlikov, and Uryasev (2014), who used the absolute drawdown, our risk measure is based on the relative drawdown process. Combined with the results of Part I, Maier-Paape and Zhu (2018), this allows us to calculate efficient portfolios based on a drawdown risk measure constraint.

scholarly journals Unimodular vs nilpotent superfield approach to pure dS supergravity

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Sukruti Bansal ◽  
Silvia Nagy ◽  
Antonio Padilla ◽  
Ivonne Zavala
Keyword(s):  
String Theory ◽  
General Framework ◽  
Recent Progress ◽  
High Energy ◽  
De Sitter Spacetime ◽  
De Sitter ◽  
New Approach ◽  
Sitter Spacetime ◽  
Novel Approach ◽  
De Sitter Vacua

Abstract Recent progress in understanding de Sitter spacetime in supergravity and string theory has led to the development of a four dimensional supergravity with spontaneously broken supersymmetry allowing for de Sitter vacua, also called de Sitter supergravity. One approach makes use of constrained (nilpotent) superfields, while an alternative one couples supergravity to a locally supersymmetric generalization of the Volkov-Akulov goldstino action. These two approaches have been shown to give rise to the same 4D action. A novel approach to de Sitter vacua in supergravity involves the generalisation of unimodular gravity to supergravity using a super-Stückelberg mechanism. In this paper, we make a connection between this new approach and the previous two which are in the context of nilpotent superfields and the goldstino brane. We show that upon appropriate field redefinitions, the 4D actions match up to the cubic order in the fields. This points at the possible existence of a more general framework to obtain de Sitter spacetimes from high-energy theories.

scholarly journals Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic

Economies ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 86
Author(s):  
Renata Guobužaitė ◽  
Deimantė Teresienė
Keyword(s):  
Financial Markets ◽  
Risk Premium ◽  
Trading Strategies ◽  
Economic Factors ◽  
Momentum Strategies ◽  
New Approach ◽  
Managed Futures ◽  
Asset Classes ◽  
Momentum Trading ◽  
Insight Into

Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID-19 had a solid but short-lived impact on financial markets, and therefore gives a unique insight into momentum strategies’ performance during such critical moments of market stress. We offer a new approach to implementing momentum strategies by adding macroeconomic variables to the model. We test a managed futures strategy’s performance with a well-diversified futures portfolio across different asset classes. The research concludes that constructing a portfolio based on academically/economically sound momentum signals with its allocation timing based on broader economic factors significantly improves managed futures strategies and adds significant diversification benefits to the investors’ portfolios.

scholarly journals The Theory of the Integrated Library and Information Systems Development in “Science towns” (“Naukograd”)

2011 ◽  
pp. 43-47
Author(s):  
Valerii V. Stupkin
Keyword(s):  
Information Systems ◽  
General Framework ◽  
Transition Process ◽  
Systems Development ◽  
Information Design ◽  
Information Systems Development ◽  
New Approach ◽  
Information Characteristics ◽  
The Impact ◽  
Practical Recommendations

The article is devoted to the urgency and necessity of developing the theoretical base and practical recommendations for construction of the integrated library and information systems in science towns (ILIS “Science Town”). It describes the general framework of the information design model. The new approach to research of transition process from traditional libraries cooperation and information services to their alliance, based on the analysis of the impact the interacting elements have on changing the set of their properties and information characteristics.

scholarly journals A New Approach to Predicting Cryptocurrency Returns Based on the Gold Prices with Support Vector Machines during the COVID-19 Pandemic Using Sensor-Related Data

Sensors ◽  
2021 ◽  
Vol 21 (18) ◽  
pp. 6319
Author(s):  
Esam Mahdi ◽  
Víctor Leiva ◽  
Saed Mara’Beh ◽  
Carlos Martin-Barreiro
Keyword(s):  
Investment Decisions ◽  
Trading Strategies ◽  
Support Vector ◽  
Uncertain Environments ◽  
New Approach ◽  
Adverse Conditions ◽  
Related Data ◽  
Svm Algorithm ◽  
Vector Machines ◽  
Real World Situation

In a real-world situation produced under COVID-19 scenarios, predicting cryptocurrency returns accurately can be challenging. Such a prediction may be helpful to the daily economic and financial market. Unlike forecasting the cryptocurrency returns, we propose a new approach to predict whether the return classification would be in the first, second, third quartile, or any quantile of the gold price the next day. In this paper, we employ the support vector machine (SVM) algorithm for exploring the predictability of financial returns for the six major digital currencies selected from the list of top ten cryptocurrencies based on data collected through sensors. These currencies are Binance Coin, Bitcoin, Cardano, Dogecoin, Ethereum, and Ripple. Our study considers the pre-COVID-19 and ongoing COVID-19 periods. An algorithm that allows updated data analysis, based on the use of a sensor in the database, is also proposed. The results show strong evidence that the SVM is a robust technique for devising profitable trading strategies and can provide accurate results before and during the current pandemic. Our findings may be helpful for different stakeholders in understanding the cryptocurrency dynamics and in making better investment decisions, especially under adverse conditions and during times of uncertain environments such as in the COVID-19 pandemic.

scholarly journals Control Force Recalculation for Balancing Problems

2019 ◽  
Vol 19 (05) ◽  
pp. 1941010
Author(s):  
Bálint Bodor ◽  
László Bencsik ◽  
Tamás Insperger
Keyword(s):  
Optimization Problem ◽  
Control Mechanism ◽  
Numerical Differentiation ◽  
Open Loop ◽  
Second Step ◽  
Control Force ◽  
New Approach ◽  
Numerical Errors ◽  
Linearized System ◽  
Control Forces

Understanding the mechanism of human balancing is a scientifically challenging task. In order to describe the nature of the underlying control mechanism, the control force has to be determined experimentally. A main feature of balancing tasks is that the open-loop system is unstable. Therefore, reconstruction of the trajectories using the measured control force is difficult, since measurement inaccuracies, noise and numerical errors increase exponentially with time. In order to overcome this problem, a new approach is proposed in this paper. In the presented technique, first the solution of the linearized system is used. As a second step, an optimization problem is solved which is based on a variational principle. A main advantage of the method is that there is no need for the numerical differentiation of the measured data for the calculation of the control forces, which is the main source of the numerical errors. The method is demonstrated in case of a human stick balancing.

A Study on Efficient Computing Budget Allocation for a Two-Stage Problem

2021 ◽  
pp. 2050044
Author(s):  
Tianxiang Wang ◽  
Jie Xu ◽  
Jian-Qiang Hu
Keyword(s):  
Optimization Problem ◽  
Simulation Optimization ◽  
Risk Measure ◽  
Budget Allocation ◽  
Optimal Decision ◽  
Two Stage ◽  
Second Stage ◽  
Allocation Procedure ◽  
Optimal Computing Budget Allocation ◽  
Sequential Allocation

We consider how to allocate simulation budget to estimate the risk measure of a system in a two-stage simulation optimization problem. In this problem, the first stage simulation generates scenarios that serve as inputs to the second stage simulation. For each sampled first stage scenario, the second stage procedure solves a simulation optimization problem by evaluating a number of decisions and selecting the optimal decision for the scenario. It also provides the estimated performance of the system over all sampled first stage scenarios to estimate the system’s reliability or risk measure, which is defined as the probability of the system’s performance exceeding a given threshold under various scenarios. Usually, such a two-stage procedure is very computationally expensive. To address this challenge, we propose a simulation budget allocation procedure to improve the computational efficiency for two-stage simulation optimization. After generating first stage scenarios, a sequential allocation procedure selects the scenario to simulate, followed by an optimal computing budget allocation scheme that determines the decision to simulate in the second stage simulation. Numerical experiments show that the proposed procedure significantly improves the efficiency of the two-stage simulation optimization for estimating system’s reliability.

scholarly journals A General Framework for Portfolio Theory—Part I: Theory and Various Models

Risks ◽  
2018 ◽  
Vol 6 (2) ◽  
pp. 53 ◽  
Author(s):  
Stanislaus Maier-Paape ◽  
Qiji Zhu
Keyword(s):  
General Framework ◽  
Portfolio Theory

Optimal Viscous Damper Placement Using Level Set Topology Optimization Method

2010 ◽  
Author(s):  
Masoud Ansari ◽  
Amir Khajepour ◽  
Ebrahim Esmailzadeh
Keyword(s):  
Topology Optimization ◽  
Level Set ◽  
Discrete Optimization ◽  
Optimization Problem ◽  
Minimum Energy ◽  
Optimization Method ◽  
Discrete Optimization Problem ◽  
Placement Problem ◽  
New Approach ◽  
Optimal Damping

Vibration control has always been of great interest for many researchers in different fields, especially mechanical and civil engineering. One of the key elements in control of vibration is damper. One way of optimally suppressing unwanted vibrations is to find the best locations of the dampers in the structure, such that the highest dampening effect is achieved. This paper proposes a new approach that turns the conventional discrete optimization problem of optimal damper placement to a continuous topology optimization. In fact, instead of considering a few dampers and run the discrete optimization problem to find their best locations, the whole structure is considered to be connected to infinite numbers of dampers and level set topology optimization will be performed to determine the optimal damping set, while certain number of dampers are used, and the minimum energy for the system is achieved. This method has a few major advantages over the conventional methods, and can handle damper placement problem for complicated structures (systems) more accurately. The results, obtained in this research are very promising and show the capability of this method in finding the best damper location is structures.

scholarly journals Optimal Design of Dynamic Default Risk Measures

2012 ◽  
Vol 49 (4) ◽  
pp. 967-977 ◽  
Author(s):  
Leo Shen ◽  
Robert Elliott
Keyword(s):  
Optimal Design ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Continuous Time ◽  
Default Risk ◽  
Optimization Problem ◽  
Risk Measures ◽  
Risk Measure ◽  
Jump Process ◽  
Entropic Risk Measure

We consider the question of an optimal transaction between two investors to minimize their risks. We define a dynamic entropic risk measure using backward stochastic differential equations related to a continuous-time single jump process. The inf-convolution of dynamic entropic risk measures is a key transformation in solving the optimization problem.

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