Portfolio selection in the Spanish stock market by interactive multiobjective programming

This study examines new versions of two interactive methods to address multiobjective problems, the aim of which is to enable the decision maker to reach a solution within the range of those considered efficient in a portfolio selection model, in which several objectives are pursued concerning risk and return and given that these are clearly conflicting objectives, the profile of the model proposed is multicriteria. Normally the range of efficient portfolios is fairly extensive thus making the selection of a single one an onerous task. In order to facilitate this process, interactive methods are used aimed at guiding the decision maker towards the optimal solution based on his preferences. Several adaptations were carried out on the original methods in order to facilitate the interactive process, improving the quality of the obtained portfolios, and these were applied to data obtained from the Madrid Stock Market, interaction taking place with two decision makers, one of whom was more aggressive than the other in their selections made.     

The uncertainties about the relationships risk–return–volatility in the Spanish stock market

The relationships between the market risk premium, its conditional variance and the risk-free rate in the Spanish stock market are studied in this paper. Using daily data, the above mentioned relations are analyzed by quasi maximum likelihood for an EGARCH-M(1,1) model with normal innovations and by nonparametric maximum likelihood for a semiparametric EGARCH-M(1,1) model with arbitrarily distributed innovations. It is worth mentioning that the conclusions differ from one model to the other.     

Strategic bidding in continuous electricity auctions: an application to the Spanish electricity market

In this paper we introduce an asymmetric model of continuous electricity auctions with limited production capacity and bounded supply functions. The strategic bidding is studied with this model by means of an electricity market game. We prove that for every electricity market game with continuous cost functions a mixed-strategy Nash equilibrium always exists. In particular, we focus on the behavior of producers in the Spanish electricity market. We consider a very simple form for the Spanish electricity market: an oligopoly consisting just of independent hydro-electric power production units in a single wet period. We show that a pure-strategy Nash equilibrium for the Spanish electricity market game always exists.     

Is there a role for statistics in artificial intelligence?

Advances in Data Analysis and Classification - The research on and application of artificial intelligence (AI) has triggered a comprehensive scientific, economic, social and political discussion....     

Is mathematics “Out there”?

The Opinion column offers mathematicians the apportunity to write about any issue of interest to the international mathematical community. Disagreement and controversy are welcome. The views and opinions expressed here, however, are exclusively those of the author, and neither the publisher nor the editor-chief endorses or accepts responsibility for them. An Opinion should be submitted to the editor-in-chief, Chandler Davis.     

Is the dying individual the oldest?

Consider a population in which the birth times are a Poisson process with rate γ lifetimes are independent and identically distributed and lifetimes are independent of the birth process. In the paper we provide methods for calculation of several quantities involving the oldest member (senior) of the population. In particular we study the senior's age process and the point process of seniors' deaths obtained by dependent thinning of a Poisson process.     

Evolving to the edge of chaos: Chance or necessity?

We show that ecological systems evolve to edges of chaos (EOC). This has been demonstrated by analyzing three diverse model ecosystems using numerical simulations in combination with analytical procedures. It has been found that all these systems reside on EOC and display short-term recurrent chaos (strc). The first two are non-linear food chains and the third one is a linear food chain. The dynamics of first two is dictated by deterministic changes in system parameters. In contrast to this, dynamics of the third model system (the linear food chain) is governed by both deterministic changes in system parameters as well as exogenous stochastic perturbations (unforeseen changes in initial conditions) of these dynamical systems.     

Is there always an extremal Teichmüller mapping?

Given a quasisymmetric self-homeomorphismh of the unit circleS ¹, letQ(h) be the set of all quasiconformal mappings with the boundary correspondenceh. In [1], it was shown that there existsh for which no extremal extension inQ(h) as a Teichmüller mapping is possible. This disproved some conjectures of long standing. In the example constructed there, the boundary correspondence has a single extremal quasiconformal extension. We show that even when there are infinitely many extremal extensions of the boundary values, it may still happen that none of the extensions is a Teichmüller mapping. An infinitesimal version of this result is also obtained. The research was supported by the China Postdoctoral Science Foundation and by the National Natural Science Foundation of China (Grant No. 10401036).     

How Fast Is the Bandit?

Abstract

In this article we investigate the rate of convergence of the so-called two-armed bandit algorithm. The behavior of the algorithm turns out to be highly non standard: no central limit theorem, possible occurrence of two different rates of convergence with positive probability.     

Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective

Single-name Credit Default Swaps (CDS) are considered the main providers of direct information related with a reference entity’s creditworthiness and, for this reason, they have often been the core of news on the current financial crisis. The academic research has focused mainly on the capacity of CDS in anticipating agencies’ official rating changes and—in this respect—on their superior signalling power, compared to bond and stock markets. The aim of this work is, instead, to investigate the ability of fluctuations in CDS indexes in anticipating the occurrence of stock market crises. Our goal is to show that CDS indexes may provide investors and institutions with early warning signals of financial distresses in the stock market. We make use of a Markov switching model with states characterized by increasing levels of volatility and compare the times in which the first switch in a high volatility state occurs, respectively, in CDS and stock market index quotes. The data set consists of daily closing quotes for 5 years CDS and stock market index prices, covering the time period from 2004 to 2010. In order to capture possible geographic differences in CDS index capacity of foreseeing stock market distresses, data referring to two different regions, Europe and United States, are analyzed.     

Is simulation in health different?

It is often stated that health simulation is quite different and even that it is more difficult than in other sectors. But is simulation in health really different to simulation elsewhere? In this paper we explore this question through a survey of simulation modellers and academics. We elicit their opinions across a range of factors concerning the difficulties of health modelling against modelling in other domains. The analysis considers the responses of the whole group of respondents and the sub-group of respondents who have experience both in and outside of health modelling. The results show that overall, there is a perception that health modelling is different and that it is more difficult across a range of factors. The implications for simulation research and practice in health are discussed.     

Low-dimensional chaos in high-dimensional phase space: how does it occur?

A fundamental observation in nonlinear dynamics is that the asymptotic chaotic invariant sets in many high-dimensional systems are low-dimensional. We argue that such a behavior is typically associated with chaos synchronism. Numerical support using coupled chaotic systems including a class derived from a nonlinear partial differential equation is provided.     

Is there a Trade-Off between Quality and Productivity? The Case of Diagnostic Technologies in Portugal

The purpose of this paper is twofold: first, we compute quality-adjusted measures of productivity change for the three most important diagnostic technologies (i.e., the Computerised Tomography Scan, Electrocardiogram and Echocardiogram) in the major Portuguese hospitals. We use the Malmquist–Luenberger index, which allows to measure productivity growth while controlling for the quality of the production. Second, using non-parametric tests, we analyse whether the implementation of the Prospective Payment System may have had a positive impact on the movements of productivity over time. The results show that the PPS has helped hospitals to use these tools more efficiently and to improve their effectiveness.