Minimum Var Research Articles

The green, the dirty and the stable: Diversifying equity portfolios by adding tokens of different nature

In this study we propose to empirically assess the potential diversification benefits of three types of cryptocurrencies (traditional: Bitcoin, green: Cardano and stablecoins: Tether) by including them in equity-based asset allocation strategies. We build monthly rebalanced minimum VaR portfolios based on different wavelet scales or investment horizons. We use the ADCC-GARCH model to fit the dynamic dependence structure. We find that traditional and green cryptocurrencies provide diversification opportunities when considering portfolio strategies based on short-term investment horizons. We also demonstrate that stablecoins may play the role of safe haven assets for those portfolio strategies based on long-term investment horizons.

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

This research empirically evaluates the potential diversification benefits of Gold during the COVID-19 pandemic period, when including it in equity-based asset allocation strategies. This study proposes minimum VaR portfolios, with monthly rebalance and different wavelet scales (short-run, mid-run and long-run), doing both an in-sample and out-of-sample analysis. We find much more unstable weights as the frequency of the decomposition becomes lower, and strong evidence of the outperformance of the mid-run decompositions over the rest of active management strategies and the passive management of buy and hold the variety of single equity indices. Thus, we may shed some light on the role of Gold as a safe haven when properly filtering aggregated data.

Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study

Optimality of the minimum VaR portfolio using CVaR as a risk proxy in the context of transition to Basel III: methodology and empirical study

Online VAR support estimation for voltage stability enhancement

The existing resources in present day power systems are inadequate to meet the ever-growing load demand and as a result the grids are operated closer to the voltage stability boundaries. The system is therefore prone to voltage collapse even for a small increase in load demand. VAR support appears to be the only viable remedial measure. This paper develops a fuzzy based online tool to determine the minimum VAR support required for a projected load demand with a view to ensure voltage stability in a power system. The tool incarnates a methodology through which the operator can initiate steps to improve the voltage profile and bring the system far away from the point of voltage collapse. It includes the test results of three IEEE systems to exhibit the viability and effectiveness of the proposed method.

Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved that the estimated weights as well as the estimated performance measures are asymptotically multivariate normally distributed. We also present an asymptotic test for the weights and a joint test for the characteristics of both portfolios. Moreover, the asymptotic densities of the estimated performance measures are compared with the corresponding exact densities. It is shown that the asymptotic approximation performs well even for the moderate sample size.

Proliferation of Amphidinium carterae (Gymnodiniales: Gymnodiniaceae) in Bahía de La Paz, Gulf of California

During a sampling on 15 December 2011 in Bahía de La Paz, a bloom of the benthic dinoflagellateAmphidinium carterae was detected. Its abundance ranged from 28.2 to 64.8 × 103 cells L–1. Cells of A. carterae varied in length from 18 to 28 µm and 13 to 18 µm in wide (n = 30). The presence of A. carterae and benthic species of diatoms and dinoflagellates at the surface could be an indicator of upwelling water generated by northwestern winds. Seawater temperature during the bloom was 20 °C. Also, new records of dinoflagellates for the Mexican coast of the Pacific are here reported: Amphidiniopsis hirsuta, Amphidiniopsis sp., Amylax buxus,Cochlodinium pulchellum, Cochlodinium virescens, Durinskia cf. baltica, Gyrodinium sp., Thecadinium sp., and Prorocentrum minimum var. triangulatum.

Contingency Constrained VAr Planning Using Penalty Successive Conic Programming

This paper presents a new method for VAr planning under multiple operating scenarios, optimizing sizes and locations of new reactive compensation equipment to ensure that both the system voltage profile and voltage stability requirements are met. The approach is based on mbi L1-norm regularization for finding a solution with minimum VAr installation sites and on the mbi L2-norm penalty function for satisfying the multiple state constraints. The mbi L2-norm penalty function is exact in the sense that a finite penalty parameter is required to establish equivalence with the VAr planning problem, thus avoiding numerical ill-conditioning. The solution is obtained from a successive conic programming algorithm which makes use of adaptive trust-region control. The results of the new method are compared with those of an optimal power flow-based program for VAr planning.

Optimizing Forest Sampling by Using Lagrange Multipliers

In two-phase sampling, or double sampling, from a population with size N we take one, relatively large, sample size n. From this relatively large sample we take a small sub-sample size m, which usually costs more per sample unit than the first one. In double sampling with regression estimators, the sample of the first phase n is used for the estimation of the average of an auxiliary variable X, which should be strongly related to the main variable Y (which is estimated from the sub-sample m). Sampling optimization can be achieved by minimizing cost C with fixed var Y, or by finding a minimum var Y for fixed C. In this paper we optimize sampling with use of Lagrange multipliers, either by minimizing variance of Y and having predetermined cost, or by minimizing cost and having predetermined variance of Y.

Analysis of mean-VaR model for financial risk control

Financial risk control is a kind of complicated system engineering. This paper studies validity of portfolio investment of the mean-VaR model under holding period condition. The model is analyzed through Lagrange multiplier method, and the portfolio weight of global minimum VaR is also given by the portfolio weight combined of minimum variance and maximum Sharpe ratio.

On the performance of the minimum VaR portfolio

Alexander and Baptista [2002. Economic implications of using a mean-value-at-risk (VaR) model for portfolio selection: A comparison with mean–variance analysis. Journal of Economic Dynamics and Control 26: 1159–93] develop the concept of mean-VaR efficiency for portfolios and demonstrate its very close connection with mean–variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean–variance efficient portfolio. Our empirical analysis finds that, for commonly used VaR breach probabilities, minimum VaR portfolios yield ex post returns that conform well with the specified VaR breach probabilities and with return/risk expectations. These results provide a considerable extension of evidence supporting the empirical validity and tractability of the mean-VaR efficiency concept.

The strategic asset allocation optimization model of sovereign wealth funds based on maximum CRRA utility & minimum VAR

Abstract This paper presents a new optimum model to reflect the strategic assets allocation of SWFs. According to the risk value of assets of SWFs, it can be classified into four kinds of assets listed as high risk asset, middle risk asset, low risk asset and risk free asset. Thus the optimization model will be developed to decide the corresponding weight number of above four classified assets including maximum CRRA utility and minimum VAR objectives subject to some subjective and objective conditions. In the last, a numerical simulation will be drawn to achieve the Pareto solutions to illustrate the application of developed model by using NSGA-II.

A hybrid PSO technique for procuring VAR ancillary service in the deregulated electricity markets

This paper develops a new market-based technique for acquiring VAR ancillary service in the electricity market. The main objective of the developed market is to enable transmission operator “TO” to procure VAR service in a long term contract from the critical VAR providers that satisfy minimum VAR service payment while maintaining system security. Reactive power control problem for voltage stability is introduced into the VAR market problem in an explicit manner for normal and emergency states. An integration of particle swarm optimization “PSO” is presented with successive linear programming “SLP” for dealing with the VAR ancillary service problem. The problem is formulated as a large-scale nonlinear constrained optimization problem with a non-differentiable objective function representing VAR payment and operational costs. This type of problem is hard to be treated straightforwardly by the classical optimization methods. Therefore, we propose here a two-layer hybrid PSO/SLP approach, which is suited for carrying out the difficulties associated with non-differentiable and discontinuous objective functions. The proposed method has been examined on the standard IEEE 57 bus-system and compared with GA/SLP method to demonstrate its capability.

Criptógamos do Parque Estadual das Fontes do Ipiranga, São Paulo, SP: algas, 26: Chlorophyceae (famílias Chlorococcaceae e Coccomyxaceae)

Levantamento florístico das Chlorococcaceae e Coccomyxaceae (Chlorophyceae) do Parque Estadual das Fontes do Ipiranga, Município e Estado de São Paulo, Brasil sudeste. Foram identificados 11 gêneros, 30 espécies e três variedades e uma forma taxonómica que não são as típicas de suas respectivas espécie e variedade. Tetraëdron foi o gênero representado pelo maior número de espécies: oito; e Tetraëdron minimum var. scrobiculatum a espécie que apresentou a maior distribuição geográfica na área do PEFI, ocorrendo em quatro localidades. Ankyra judayi, Apodochloris polymorpha, Characium acuminatum, C. ensiforme, C. ornithocephalum var. adolescens, C. ornithocephalum var. pringsheimii, C. strictum, C. transvaalense, Chlorococcum acidum, C. minutum, Elakatothrix gelatinosa, Keratococcus mucicola, K. suecicus, Schroederia indica, S. spiralis, Tetraëdron gracile, T. minimum var. minimum, T. planctonicum, T. quadrilobatum, T. triangulare, T. trigonum f. trigonum e T. trigonum f. gracile apresentaram as distribuições mais restritas, ocorrendo em uma localidade cada uma.

Three new varieties in Ocimum L. (Lamiaceae)

Three new infraspecifc taxa in Ocimum are described from Northeastern Brazil, which were based in vegetative morphology, habit, stem indumentum or purple pigmentation; these were O. minimum var. religiosum Albuquerque var. nov., O. campechianum var. pubescens Albuquerque var. nov. and O. campechianum var. congestifolium Albuquerque var. nov.