This paper investigates optimal portfolio and wealth strategy of an institutional investor under the Value-at-Risk (VaR) constraint in an economy under jump diffusion. We show that overlooking or underestimating jump risk factor could be the cause of failure to satisfy the VaR constraint in the recent financial crisis for many financial institutions. We also find that the introduction of the ju...

We formulate a four-dimensional Ensemble Kalman Filter (4D-LETKF) that minimizes a cost function similar to that in a 4D-VAR method. Using perfect model experiments with the Lorenz-96 model, we compare assimilation of simulated asynchronous observations with 4D-VAR and 4D-LETKF. We find that both schemes have comparable error when 4D-LETKF is performed sufficiently frequently and when 4D-VAR is...

Practical use of the contamination technique in stress testing for risk measures Value at Risk (VaR) and Conditional Value at Risk (CVaR) and for optimization problems with these risk criteria is discussed. Whereas for CVaR its application is straightforward, the presence of the simple chance constraint in the definition of VaR requires that various distributional and structural properties are ...

Let X1, . . . , Xn and Y1, . . . , Yn be two independent sequences of i.i.d Bernoulli variables with parameter > 0. Let X designate the string X := X1X2 . . . Xn and let Y := Y1Y2 . . . Yn. Let Ln designate the length of the longest common subsequence (LCS) of X and Y . We prove that for a constant c > 0, VAR[Ln] > cn if > 0 is taken small enough. Hence for small , the order of magnitude of VAR...

In this paper, we briefly review the basics of copula theory and the problem of estimating Value at Risk (VaR) of portfolio composed by several assets. We present two VaR estimation models in which each return series is assumed to follow AR(1)-GARCH(1, 1) model and the innovations are simultaneously generated using Gaussian copula and Student t copula. The presented models are applied to estima...

In cointegrated vector autoregressive (VAR) analyses various nonlinear functions of the co-eecients are of interest. Notable examples are impulse responses. A general theory for asymptotic inference on such functions is developed under the assumption that the actual data generation process (DGP) is of potentially innnite VAR order although nite order VAR models are tted to the data and are used...

Plasmodium falciparum relies on monoallelic expression of 1 of 60 var virulence genes for antigenic variation and host immune evasion. Each var gene contains a conserved intron which has been implicated in previous studies in both activation and repression of transcription via several epigenetic mechanisms, including interaction with the var promoter, production of long noncoding RNAs (lncRNAs)...

P. falciparum phenotypic plasticity is linked to the variant expression of clonal multigene families such as the var genes. We have examined changes in transcription and histone modifications that occur during sporogonic development of P. falciparum in the mosquito host. All var genes are silenced or transcribed at low levels in blood stages (gametocyte/ring) of the parasite in the human host. ...

Copyright: © 2015 Silva D , et al . This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Cryptococcosis is a systemic human and animal infection that has emerged as a life-threatening opportunistic mycoses since th...