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Tytuł:
Construction of a k-immunization strategy with the highest convexity
Autorzy:
Zaremba, L.
Powiązania:
https://bibliotekanauki.pl/articles/206561.pdf
Data publikacji:
1998
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
immunizacja
wypukłość
convexity
immunization
K-T conditions
unanticipated return
Opis:
Assuming that interest rate shocks are proportional to their values plus one, we prove in Theorem 1 the existence of and construct a portfolio Z[sup *] with the highest convexity in the class of portfolios that solve the immunization problem to meet the liability to pay C dollars K years from now. Z[sup *] appears to be a barbell strategy with two zero-coupon bonds with the shorest and the longest maturities. This intuitively clear result has been obtained here in a rigorous way by means of the K-T conditions. In addition, we show that our result is stricly related to the problem of maximization of the unanticipated rate of return on a portfolio solving the above immunization problem (Theorem 2). Two more results concerning the unanticipated return after K years are provided with proofs. An example illustrating the role of convexity in maximization of the unanticipated return is included. Despite the fact that there exists a pretty vast literature on bond portfolio strategies, the present paper offers a new methodological approach to this area (see Ingersoll, Skelton, Weil, 1978).
Źródło:
Control and Cybernetics; 1998, 27, 1; 135-144
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Portfolio optimization - two rules approach
Autorzy:
Kulikowski, R.
Powiązania:
https://bibliotekanauki.pl/articles/206858.pdf
Data publikacji:
1998
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
optymalizacja
optymalizacja portfela
expected return
investment allocation
optimum investment strategies
portfolio optimization
portfolio variance
risk aversion
utility function
worse case return
Opis:
The new approach to the portfolio optimization, based on the concept of two-factor utility function, is proposed. The first factor describes the expected average profit, while the second - the worse case profit. Then, two rules enabling one to compose an optimum portfolio are formulated. The first rule determines the level of acceptance for all assets with given risk/return ratio. The second rule enables one to allocate the investment fund among all the accepted assets. The methodology proposed does not require to specify the individual utility function in an explicit form. It can be used to optimize portfolios composed of equities as well as bond and other securities, using a passive or - active management strategy.
Źródło:
Control and Cybernetics; 1998, 27, 3; 429-446
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Two factors utility approach
Autorzy:
Kulikowski, R.
Powiązania:
https://bibliotekanauki.pl/articles/206747.pdf
Data publikacji:
1998
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
optymalizacja
expected return
investment allocation
optimum investment strategies
portfolio optimization
portfolio variance
risk aversion
utility function
worse case return
Opis:
This paper deals with optimization of portfolios composed of securities (equities). The drawbacks of existing methodologies, based on a single factor utility function, are indicated. The two-factor utility function introduced takes into account the expected excess return and expected worst case return (both in monetary units). Assuming that utility is "risk averse" and "constant returns to scale", a theorem on existence of optimum strategy of investments is proven. The optimum strategy is derived in an explicit form. A numerical example is also given.
Źródło:
Control and Cybernetics; 1998, 27, 3; 417-428
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Multiobjective duality for the Markowitz portfolio optimization problem
Autorzy:
Wanka, G.
Powiązania:
https://bibliotekanauki.pl/articles/206011.pdf
Data publikacji:
1999
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
dualność
optymalizacja
duality
expected return
investment
Markowitz model
optimality conditions
portfolio optimization
Opis:
The classical Markowitz approach to portfolio selection leads to a biobjective optimization problem where the objectives are the expected return and the variance of a portfolio. In this paper a biobjective dual optimization problem to the Markowitz portfolio optimization problem is introduced and analyzed. For the Markowitz problem and its dual, weak and strong vector duality assertions are derived. The optimality conditions are also verified.
Źródło:
Control and Cybernetics; 1999, 28, 4; 691-702
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On influenece of the Taylor series remainder on unanticipated rates of return on fixed income bond portfolios
Autorzy:
Olbryś, J.
Powiązania:
https://bibliotekanauki.pl/articles/206662.pdf
Data publikacji:
1999
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
wypukłość
bond portfolios
convexity
duration
fixed income bonds
rate of return
Taylor series
Opis:
Changes in spot rates, unknown aprriori to investors, induce unanticipated rates of return on all financial market instruments. In this paper we introduce and investigate a concept of the rest of a bond. The concept is related to the Taylor series remainder and gives a better approximation to an unanticipated rate of return of fixed income bonds and bond portfolios. It is shown that the rest of the portfolio composed of fixed income bounds is a convex combination of the rests of these bonds. A stronger version of the theorem on rates of return on fixed income bond portfolios is given.
Źródło:
Control and Cybernetics; 1999, 28, 4; 789-797
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the construction of the common optimal market index in the Sharpe model
Autorzy:
Kuryłek, W.
Powiązania:
https://bibliotekanauki.pl/articles/205979.pdf
Data publikacji:
1999
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
regresja liniowa
zastosowanie teorii systemów w ekonomii
investment
linear regression
loss function
market index
maximal eigenvalue
portfolio analysis
principal components
rates of return
Sharpe model
stock markets
Opis:
The purpose of this paper is to determine one factor which represents the whole market behavior on the basis of the rates of return of all equities traded oo this market. In the seminaal Sharpe model the factor is an exogenous varialble which is not determined by the model itself. This paper extends Sharpe's idea, as it assumes that the factor is a linear combination of all the rates of return of all traded equities. To determine this coefiicients of this linear combination we minimize the loss function which expresses the weighted mean square deviation of all rates of return from their predictions, having given the linear combination form of the market index. It is found that the vector of linear coeffcients has to be a nonzero eigenvector associated with the maximal eigenvalue of the appropriately transformed and estimated covariance matrix. The optimal market index for the Warsaw Stock Exchange was compared with the standard index. It occurs that there is only a very small difference between the standard index of this market and the optimal index.
Źródło:
Control and Cybernetics; 1999, 28, 4; 779-787
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stopień zwrotu ankiet pocztowych w badaniach marketingowych w świetle doświadczeń nauczycieli akademickich polskich uczelni
The Rate of Return of Postal Reviews in Marketing Research in the Light of Experiences of Polish University Professors
Autorzy:
Gorbaniuk, Oleg
Powiązania:
https://bibliotekanauki.pl/articles/1857969.pdf
Data publikacji:
1999
Wydawca:
Katolicki Uniwersytet Lubelski Jana Pawła II. Towarzystwo Naukowe KUL
Tematy:
ankieta pocztowa
stopień zwrotu
szybkość zwrotu
efektywność
koperta zwrotna
opłata za przesyłkę
list motywacyjny
zawiadomienie
przypomnienie
powtórne wysłanie
sponsor
długość kwestionariusza
temat
gratyfikacja finansowa
nauczyciele akademiccy
mail survey
academics
response rate
response speed
cost effectiveness
return envelope
postage
covering letter
prenotification
reminder postcard
follow-up
length questionnaire
topic
financial gratification
Opis:
Postal reviews are widely used in social sciences research because of their great popularity both with respondents and researchers. In Poland postal reviews are used less often than other methods of communication. A low or very low percentage of returned questionnaires is most often mentioned as the reason. This opinion results first of all from not knowing that condition the rate of their return, and particularly from not knowing the cultural peculiarity of Poland in this respect. The sources of this state should be looked for in underestimating the importance of the problem in academic handbooks that only popularise and deepen negative stereotypes about postal review, and in a small number of specialist publications on the variables that are significant for the rate of return in the case of Polish population. In order to fill the existing gap in the knowledge of peculiarity as far as the reaction of potential respondents in Poland is concerned to marketing research with the use of postal review it was decided that opinions and experiences connected with postal review should be collected and analysed. They came from people who occupy themselves in marketing research, first of all in its theoretical aspect, but also having practical knowledge in this field. 89 professors were chosen who specialise in the field of marketing. They were sent aquestionnaire, specially worked out for the study. The questions were concerned, among others, with the peculiar character of postal reviews done by those people. The rate of return after two contacts was 43.7%. The article contains a specification of the rate of return of questionnaires depending on the used factors of review personalisation, financial gratification, the number and form of contacts with respondents and factors connected with the specificity of sending and returning the research materials by respondents. The obtained results are compared and analysed against the background of results of research done in the West. These specifications and analyses may be a good source of hypotheses for future research of cultural conditioning and combination of factors that allow maximising the rate of return of postal review questionnaires in Poland.
Źródło:
Roczniki Nauk Społecznych; 1999, 27, 1; 167-181
0137-4176
Pojawia się w:
Roczniki Nauk Społecznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Average convergence rate of the first return time
Autorzy:
Choe, Geon
Kim, Dong
Powiązania:
https://bibliotekanauki.pl/articles/965737.pdf
Data publikacji:
2000
Wydawca:
Polska Akademia Nauk. Instytut Matematyczny PAN
Tematy:
entropy
the first return time
period of an irreducible matrix
Wyner-Ziv-Ornstein-Weiss theorem
data compression
Markov chain
Opis:
The convergence rate of the expectation of the logarithm of the first return time $R_{n}$, after being properly normalized, is investigated for ergodic Markov chains. I. Kontoyiannis showed that for any β > 0 we have $log[R_{n}(x)P_{n}(x)] =o(n^{β})$ a.s. for aperiodic cases and A. J. Wyner proved that for any ε >0 we have $-(1 + ε)log n ≤ log[R_{n}(x)P_{n}(x)] ≤ loglog n$ eventually, a.s., where $P_{n}(x)$ is the probability of the initial n-block in x. In this paper we prove that $ E[log R_{(L,S)} - (L-1)h]$ converges to a constant depending only on the process where $R_{(L,S)}$ is the modified first return time with block length L and gap size S. In the last section a formula is proposed for measuring entropy sharply; it may detect periodicity of the process.
Źródło:
Colloquium Mathematicum; 2000, 84/85, 1; 159-171
0010-1354
Pojawia się w:
Colloquium Mathematicum
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Optimization of survival strategy by application of safety dependent utility model
Autorzy:
Kulikowski, R.
Powiązania:
https://bibliotekanauki.pl/articles/205749.pdf
Data publikacji:
2000
Wydawca:
Polska Akademia Nauk. Instytut Badań Systemowych PAN
Tematy:
optymalizacja
prawdopodobieństwo
ryzyko
teoria decyzji
teoria systemów
wzór użytkowy
death-averting
decision support
expcted return
life saving
optimization
optimum life-saving strategy
probability of death and survival
risk
safety
utility models
Opis:
This paper deals with life-saving decisions. The decision maker can buy a number of death-averting devices or services which increase his safety S at the expense of the discounted future consumption R. The safety and consumption depend parametrically on the death probability p and the probability reducing strategy x, i.e. S(p/x); R(p/x). The two-factors utility function U(S, R) is used to find the optimum strategy x = [...]. which maximizes U(x). One can show that the unique strategy [...] exists and can be effectively derived. Many applications of proposed methodology are indicated.
Źródło:
Control and Cybernetics; 2000, 29, 1; 167-178
0324-8569
Pojawia się w:
Control and Cybernetics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Uwarunkowania stopnia zwrotu ankiet pocztowych w Polsce w świetle badań eksperymentalnych
Factors conditioning the return rate of mailed questionnaires in the light of experimental studies
Autorzy:
Gorbaniuk, Oleg
Powiązania:
https://bibliotekanauki.pl/articles/1857658.pdf
Data publikacji:
2001
Wydawca:
Katolicki Uniwersytet Lubelski Jana Pawła II. Towarzystwo Naukowe KUL
Tematy:
ankieta pocztowa
stopień zwrotu
szybkość zwrotu
anonimowość
loteria
temat
długość
zawiadomienie
sponsor
przypomnienie
powtórne wysłanie
premia
mail survey
return rate
return speed
anonymity
lottery
subject
length
prenotification
sponsorship
postcard follow-up
second mailing
incentive
Opis:
The basic task of the experimental studies related in the article was to learn about the specificity of the Polish population as far as response of potential respondents is concerned to marketing research conducted with the use of the method of postal survey. To this end significance of effect of 15 variables on the return rate of the questionnaires was checked. The variables were distinguished on the basis of analysis of the relevant literature as well as of study results and Polish university teachers' experiences. A900 person random sample was drawn with the help of acomputer algorithm that was representative of the whole of adult Lublin residents with respect to age and sex. The whole drawn sample was divided into 16 experimental groups, each group numbering 50 subjects, and one control numbering 100 subjects. Each of the distinguished groups represented a different variable that was studied. The study results show that enclosing an envelope for the reply, reminding of the reply, enclosing a greater sum of money with the questionnaire, and a higher education and older age of the possible respondents had a positive effect on the percentage of returned questionnaires. The percentage was decreased when the envelopes containing the questionnaires were franked, the volume of the questionnaires was bigger, the survey was under the auspices of a private study centre, the subject was prenotified about his participation in the survey and when too small a sum of money was offered for the participation (50 gr). However, such variables as the subject of the survey, anonymity of the respondents, a repeated dispatch of the questionnaires, lottery and the sex of the respondents did not have a significant effect on the degree of return in the light of the obtained results. If anonymity was not guaranteed, or respondents were offered taking part in the study in return for filling in the questionnaire, and in the case of female respondents we can only talk about tendencies to decrease the return rate.
Źródło:
Roczniki Nauk Społecznych; 2001, 1; 241-267
0137-4176
Pojawia się w:
Roczniki Nauk Społecznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Zametka о performativach sо značeniem načala dejstvija v češskich zagovorach
SOME REMARKS ON ACTION-INITIATING PERFORMATIVES IN CZECH MAGIO SPELLS
Autorzy:
Vel’mezova, Ekaterina V.
Powiązania:
https://bibliotekanauki.pl/articles/611808.pdf
Data publikacji:
2001
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
performative verbs
Czech spells related to diseases
casting [a spell]
parallelism
Jesus Christ
magic force
the return to the “mythical proto-time”
cyclical time
mythical time
czasowniki performatywne
czeskie zamówienia chorób
zamawianie
paralelizm
Jezus Chrystus
siła magiczna
powrót do „mitycznego praczasu”
czas cykliczny
mityczny
Opis:
Czasowniki performatywne ze znaczeniem początku czynności, występujące w czeskich zamówieniach chorób, np. počinati, začinati ‘zaczynać’, počiti, započiti ‘zacząć’, łączą się z czasownikami performatywnymi, oznaczającymi magiczny proces mówienia, zamawiania, leczenia: žehnati ‘zamawiać’, vzývati ‘wzywać’, zaháneti ‘przegnać’. Czasowniki pierwszego typu, tj. oznaczające początek czynności, uczestniczą w tworzeniu paralelizmu, angażującego z jednej strony subiekt zamówienia (zamawiającego), z drugiej – czynności Jezusa Chrystusa, jedynie bowiem spośród wszystkich działających rozpoczynają magiczne działania. Czynności magiczne zamawiającego uzyskują na skali czasu charakter otwarty: przy każdej realizacji zamówienie otrzymuje magiczną siłę dzięki możliwości powrotu do „mitycznego praczasu”, a ludzkie czynności upodabniane są do aktów kosmogonicznych. Paralelizm czynności, konkretnych wykonawców i sił zewnętrznych wznosi się na poziom ważnych archetypów ludzkiej działalności i otrzymuje możliwość nieskończonego powtarzania. Zamówienie funkcjonuje w czasie cyklicznym, mitycznym, łączącym w sobie pojęcia początku i końca w odróżnieniu od profanum – liniowego czasu historycznego. Performatywne czasowniki wyrażające początek czynności okazują się w czeskiej tradycji punktami styku tego, co świeckie i ludzkie (zamawiający) z sakralnym i magicznym (życie i działania Chrystusa).
In spells relating to diseases, Czech performative verbs such as počinati, začinati ‘to begin-IMPERF’, počiti, začiti ‘to begin-PERF‘, designating the beginning of an activity, can be associated with performatives designating the process of speaking, casting a spell or healing: žehnati ‘to cast a spell’, vzývati ‘to call (somebody)’, zaháneti ‘to chase away’. The first category of verbs participate in creating a parallelism in which the active agents are, on the one hand, the subject of the spell (the sorcerer), and on the other hand Jesus Christ. For, it is only the sorcerer, similarly to Christ, that can initiate meaningful magic actions. The magic actions of the sorcerer acquire an open character on the time arrow: with each instance of its realization, a spell receives magic power thanks to is ability to return to the ‘mythical primeval time’. In the process, human actions are likened to cosmogonic acts. The parallelism of actions, concrete doers and external forces is raised onto the level of important archetypes of human activity and receives the ability to reappear infinitely. Contrary to the profane linear historical time, a spell functions in cyclical, mythical time, which combines the ideas of the beginning and end. In the Czech tradition, performative verbs of the beginning of an action prove to be points of convergence of what is human and secular (the sorcerer) with magie and the sacred (the life and deeds of Jesus Christ).
Źródło:
Etnolingwistyka. Problemy Języka i Kultury; 2001, 13; 149-154
0860-8032
Pojawia się w:
Etnolingwistyka. Problemy Języka i Kultury
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Powracające formy wyrazowe
The Recurring Forms of Words
Autorzy:
Kucała, Marian
Powiązania:
https://bibliotekanauki.pl/articles/2127785.pdf
Data publikacji:
2002
Wydawca:
Katolicki Uniwersytet Lubelski Jana Pawła II. Towarzystwo Naukowe KUL
Tematy:
wyraz
forma
cofać się
powracać
przyczyna
word
form
go back
return
cause
Opis:
In a language, like in other disciplines, some phenomena recede, disappear, and after some time reappear and recur. There are various reasons for that: the interlingual reasons (e.g. the ancient ir, yr have changed into er it into ir, yr, and again into er − in relation with the pronunciation of the slanting e), the actions of linguists (e.g. standardization of the ancient instrumental case -im, -ym, -imi, -ymi the adjectival-pronominal variations in the reform of orthography), borrowing (e.g. diler, tir, trik, sinus with d', t', ŕ, s'), the recurring designates (e.g. lombard), rhyming needs in poetry, and others. The phenomena reappearing in language most often do not result from some developmental tendencies, and with the ancient ones, which have disappeared, are usually loosely linked, often completely by accident.
Źródło:
Roczniki Humanistyczne; 2002, 49-50, 6; 219-227
0035-7707
Pojawia się w:
Roczniki Humanistyczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Miernik napięć powrotnych - budowa i wzorcowanie
The return voltage meter - the construction and calibration
Autorzy:
Szadkowski, B.
Tokarski, J.
Guzik, J.
Powiązania:
https://bibliotekanauki.pl/articles/158310.pdf
Data publikacji:
2004
Wydawca:
Stowarzyszenie Inżynierów i Techników Mechaników Polskich
Tematy:
konstrukcja miernika napięć powrotnych
parametry napięć powrotnych
wzorcowanie miernika napięć powrotnych
metoda napięć powrotnych (MNP)
return voltage method (RVM)
RVM meter
RVM parameters
RVM meter calibration
Opis:
W artykule przedstawiono opis miernika napięcia powrotnego o oryginalnej konstrukcji obwodu wejściowego, zapewniającego skuteczną redukcję prądów upływu. Określono źródła możliwych błędów, a następnie przeprowadzono pomiary sprawdzające opisanego miernika z wykorzystaniem 4-elementowego modelu RC wzorca izolacji elektrycznej z uwzględnieniem zjawiska absorpcji elektrycznej.
In this paper the description of return voltage meter with original construction of input circuit affirmer and the effective reduction of loss currents are presented. The sources of possible return voltage meter error and the estimation of these errors values are defined. Then the checking measurements of the described return voltage meter with the use of constructed 4-element electrical insulation RC based standard (with regards to absorption phenomenon) are conducted.
Źródło:
Pomiary Automatyka Kontrola; 2004, R. 50, nr 6, 6; 17-21
0032-4140
Pojawia się w:
Pomiary Automatyka Kontrola
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Reakcja rynku kapitałowego na ogłoszenie wezwania do sprzedaży akcji notowanych na Warszawskiej Giełdzie Papierów Wartościowych
Capital Market Reactions to Public Bids for the Sale of WSE- Listed Stock
Autorzy:
Michalewski, Michał
Palica, Zofia
Powiązania:
https://bibliotekanauki.pl/articles/575692.pdf
Data publikacji:
2006-02-28
Wydawca:
Szkoła Główna Handlowa w Warszawie. Kolegium Analiz Ekonomicznych
Tematy:
capital market
stock trades
rate of return
Opis:
The authors set out to examine the reactions of the Polish capital market to public bids for the sale of listed stock. The basic method for evaluating the results of public bids for shareholders was an analysis of the rates of return for investment in shares in relation to the date of the bid. In their research, the authors limited themselves to analyzing the reactions of the capital market to transactions involving public bids. The article discusses the results of research on a sample of 140 cases, with a specific date of the public bid and the behavior of stock quotations. The study shows that the bids substantially influenced rates of return for shares on the Polish capital market. Investments ranging from 30 days prior to the bid to 30 days after the bid usually yielded positive rates of return. Moreover, the first public bids on the Polish market, as a new trend, usually yielded higher rates of return than the next bids because the market quickly grew accustomed to them. The behavior of the Polish market-whereby relatively high rates of return continue for about two weeks after the bid-is in line with mature market standards.
Źródło:
Gospodarka Narodowa. The Polish Journal of Economics; 2006, 205, 1-2; 77-93
2300-5238
Pojawia się w:
Gospodarka Narodowa. The Polish Journal of Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
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