Benchmarking regions using a heteroskedastic grouped random parameters model with heterogeneity in mean and variance: Applications to grade crossing safety analysis
Sign Up to like & getrecommendations! Published in 2018 at "Analytic Methods in Accident Research"
DOI: 10.1016/j.amar.2018.06.003
Abstract: Abstract Comparing regions while adjusting for differences in characteristics of sites located in those regions is valuable since it identifies possible inter-regional dissimilarities in crash risk propensities according to specific safety performance measures (e.g., crash… read more here.
Keywords: heterogeneity mean; grouped random; heterogeneity; mean variance ... See more keywords
Cryptocurrency-portfolios in a mean-variance framework
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.05.008
Abstract: Abstract We apply the Markowitz mean-variance framework in order to assess risk-return benefits of cryptocurrency-portfolios. Using daily data of the 500 most capitalized cryptocurrencies for the time span 1/1/2015 to 12/31/2017, we relate risk and… read more here.
Keywords: cryptocurrency portfolios; variance; variance framework; mean variance ... See more keywords
How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures
Sign Up to like & getrecommendations! Published in 2019 at "Finance Research Letters"
DOI: 10.1016/j.frl.2018.08.012
Abstract: Abstract In this paper, we study the tail mean-variance (TMV) model, which incorporates variation and tail risks and allocates the capital corresponding to the asset’s risk, by using several risk measures including the Value-at-Risk (VaR)… read more here.
Keywords: tail mean; mean variance; risk; risk measures ... See more keywords
Mean-variance model and investors’ diversification attitude: A theoretical revisit
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.101360
Abstract: Abstract In this paper, we re-examine investors’ diversification attitude in the mean-variance model from the perspective of Markowitz’s (1952) principle of diversification. Our analysis is based on diversification returns, the specific Markowitz’s (1952) principle of diversification… read more here.
Keywords: mean variance; variance model; diversification attitude; investors diversification ... See more keywords
On mean–variance analysis of a bank’s behavior
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102292
Abstract: Abstract We consider the mean–variance utility maximization problem for banks. In particular, we consider the utility maximization problems of the portfolio return and accounting profit. Moreover, we consider balance sheet models for both conditions irrespective… read more here.
Keywords: utility maximization; bank behavior; balance sheet; mean variance ... See more keywords
Investor sentiment and mean-variance relation: Evidence from emerging futures markets
Sign Up to like & getrecommendations! Published in 2021 at "Finance Research Letters"
DOI: 10.1016/j.frl.2021.102397
Abstract: Abstract We examine the role of news sentiment in determining the mean-variance relation in the emerging futures market. The relation is significantly negative for the Kuala Lumpur Composite Index Futures (KLCIF) in high and low… read more here.
Keywords: mean variance; variance relation; sentiment; emerging futures ... See more keywords
Optimal reinsurance under the α-maxmin mean-variance criterion
Sign Up to like & getrecommendations! Published in 2021 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2021.08.004
Abstract: Abstract This paper studies an optimal reinsurance problem under the α-maximin mean-variance criterion proposed in Li et al. (2016) . We generalize ( Li et al., 2016 ) by considering a full range of ambiguity… read more here.
Keywords: ambiguity loving; mean variance; variance criterion; ambiguity ... See more keywords
A mean-variance benchmark for household portfolios over the life cycle
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2020.105833
Abstract: We embed human capital as an innate, illiquid asset in Markowitz' one-period mean-variance framework. By solving the Markowitz problem for different values of the ratio of human capital to financial wealth, we emulate life-cycle effects… read more here.
Keywords: life; life cycle; variance benchmark; mean variance ... See more keywords
Dung beetles show metabolic plasticity as pupae and smaller adult body size in response to increased temperature mean and variance.
Sign Up to like & getrecommendations! Published in 2021 at "Journal of insect physiology"
DOI: 10.1016/j.jinsphys.2021.104215
Abstract: Though organisms may use thermal plasticity to cope with novel temperature regimes, our understanding of plastic responses is limited. Research on thermal plasticity has traditionally focused on the response of organisms to shifts in mean… read more here.
Keywords: temperature; response; thermal plasticity; mean variance ... See more keywords
Fast mean and variance computation of the diffuse sound transmission through finite-sized thick and layered wall and floor systems
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Sound and Vibration"
DOI: 10.1016/j.jsv.2018.02.001
Abstract: Abstract A method is developed for computing the mean and variance of the diffuse field sound transmission loss of finite-sized layered wall and floor systems that consist of solid, fluid and/or poroelastic layers. This is… read more here.
Keywords: mean variance; wall floor; sound transmission; method ... See more keywords
Generating probabilistic predictions using mean-variance estimation and echo state network
Sign Up to like & getrecommendations! Published in 2017 at "Neurocomputing"
DOI: 10.1016/j.neucom.2016.09.064
Abstract: In conventional time series prediction techniques, uncertainty associated with predictions are usually ignored. Probabilistic predictors, on the other hand, can measure the uncertainty in predictions, to provide better supports for decision-making processes. A dynamic probabilistic… read more here.
Keywords: echo state; mean variance; variance estimation; variance ... See more keywords