Risk evaluation with enhaced covariance matrix

We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data set then has similar statistical properties in terms of their probability distributions. The method is tested using historical data from both the New York and Warsaw Stock Exchanges.Comment: see urbanowicz.org.p

Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact

This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we show that the function is continuous and has the semigroup property, which is strongly related to the Hamilton-Jacobi-Bellman quasi-variational inequality. Moreover, we show that noise in market impact causes risk-neutral assessment to underestimate the impact cost. We also study typical examples under a log-linear/quadratic market impact function with Gamma-distributed noise.Comment: 24 pages, 14 figures. Continuation of the paper arXiv:1301.648

International diversification with securitized real estate and the veiling glare from currency risk

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the perspective of a US investor, it is shown that first, international diversification is superior to a US mixed-asset portfolio, second, adding international real estate to an already internationally diversified stock and bond portfolio results in a further significant improvement of the risk-return trade-off and, third, considering unhedged international assets could lead to biased asset allocation decisions not realizing the true diversification benefits from international assets. Our in-sample results are quite robust in out-of-sample analysis and when investment frictions like short selling constraints are introduced

Die bestuursbevoegdheid van persone wat as rampverpleegsters by die Pretoriase Burgerlike Beskerming geregistreer is

The essential management role of the disaster nurse during disaster action was outlined, researched and described. Her competency to execute effectively disaster relief tasks before, during and after a disaster occurring outside a hospital, was studied Management tasks were identified which nurses should have mastered regarding disaster situations occurring outside hospital boundaries. Research data were gathered by means of a questionnaire on the biographic detail of disaster nurses registered with Civil Defence in Pretoria, in order to recommend a course specially aimed at fulfilling their requirements. The research project identified requirements of the disaster nurse for appropriate further training, practise and guidance regarding the identified management tasks. It became evident that training is required in most of the tasks, and a training course for nurses in disaster management was designed

New Trading Practices and Short-run Market Efficiency

We document a large decrease in autocorrelation and increase in variance of recent short-run returns on several broad stock market indexes, over the 1983-89 period, 15-minute returns went from being highly positively serially correlated to practically uncorrelated. Over the past twenty years, daily and weekly autocorrelations have also fallen, we use transactions data to decompose short-run index autocorrelation into three components: bid-ask bounce, nontrading effects, and noncomtemporaneous cross-stock correlations in specialists' quotes. The first two factors do not explain the autocorrelation's decline. We argue that new trading practices have improved the processing of market-wide information, and that the recent decreases in autocorrelation and increases in volatility simply reflect these improvements.

Veteran athletes exercise at higher maximum heart rates than are achieved during standard exercise (stress) testing

Objective. The stress electrocardiogram (sECG) is routinely used to screen individuals for underlying cardiac pathology before an exercise programme is prescribed. The underlying assumption is that the cardiac responses elicited during the sECG test are similar to those achieved during participation in sportiilg activities. However, this premise may be incorrect since the physical demands of different modes of exercise vary substantially.Design. Ten veteran league squash players (LSP), 10 social squash players (SSP), 10 league runners (LR), 10 social runners (SR) and 10 sedentary individuals (SED) were recruited for the study. All subjects completed a lifestyle questionnaire, a full medical examination and a routine sECG. Thereafter each subject's heart rate (HR) was monitored on two separate occasions while participating in sporting activity.Results. No sECG exercise-induced abnormalities were observed, although five subjects showed resting abnormalities. Maximal HR during the sECG, and maximal and mean HR during the field tests, were not significantly diHerent between groups. However, maximal HR was significantly higher in all groups during their sporting activities than during stress testing in the laboratory (P < 0.01).Conclusions. Maximal HR in veteran athletes during specific sporting activities was significantly higher than that attained during a routine sECG. This finding was not sport-specific, nor was it related to the level of competitiveness of the trial participants. These data show that a routine sECG is a submaximal test of exercise performance, and should be interpreted as such

Estimating Portfolio Risk for Tail Risk Protection Strategies

We forecast portfolio risk for managing dynamic tail risk protection strategies, based on extreme value theory, expectile regression, Copula-GARCH and dynamic GAS models. Utilizing a loss function that overcomes the lack of elicitability for Expected Shortfall, we propose a novel Expected Shortfall (and Value-at-Risk) forecast combination approach, which dominates simple and sophisticated standalone models as well as a simple average combination approach in modelling the tail of the portfolio return distribution. While the associated dynamic risk targeting or portfolio insurance strategies provide effective downside protection, the latter strategies suffer less from inferior risk forecasts given the defensive portfolio insurance mechanics