ABSTRACT We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on own‐signal predictability, assuming equal strength across securities, our includes cross‐predictability—leading to three main results. First, we derive optimal strategy closed form. It consists of eigenvectors “prediction matrix,” call “principal por...

In this document we describe the technique used to configure the sequential portfolios submitted to the 2013 SAT Competition. We have submitted eight portfolios to the core solvers and sequential (SAT and SAT+UNSAT) tracks and one to the open track accounting for nine different portfolios in total.

In 1990, Miller wrote that no tools were available for assessment of what a learner does when functioning independently at the clinical workplace (Miller 1990 ). Since then portfolios have filled this gap and found their way into medical education, not only as tools for assessment of performance in the workplace, but also as tools to stimulate learning from experience. We give an overview of th...

This paper tests whether information advantages help explain why some individual investors concentrate their stock portfolios in a few stocks. Slock investments made by households that choose lo concentrate their brokerage accounts in a few stocks outperform those made by households with more diversified accounts (especially among those with large portfolios). Excess returns of concentrated rel...

Incorporating the Poisson jumps and exchange rate risk, this paper provides an analytical VaR to manage market risk of international portfolios over the subprime mortgage crisis. There are some properties in the model. First, different from past studies in portfolios valued only in one currency, this model considers portfolios not only with jumps but also with exchange rate risk, that is vital ...

In the light of the increasing interest in efficient algorithms for solving abstract argumentation problems and the pervasive availability of multicore machines, a natural research issue is to combine existing argumentation solvers into parallel portfolios. In this work, we introduce six methodologies for the automatic configuration of parallel portfolios of argumentation solvers for enumeratin...

Despite a number of papers that discuss the advantages of increased size on risk levels in real estate portfolios there is remarkably little empirical evidence based on actual portfolios. The objective of this paper is to remedy this deficiency by examining the portfolio risk of a large sample of actual property data over the period 1981 to 1996. The results show that all that can be said is th...

Portfolio-based solvers are both effective and robust, but their promise for parallel execution with constraint satisfaction solvers has received relatively little attention. This paper proposes an approach that constructs algorithm portfolios intended for parallel execution based on a combination of case-based reasoning, a greedy algorithm, and three heuristics. Empirical results show that thi...

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi...