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Long-range dependence and asset return anomaly 长期依赖与资产回报异常
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-20 DOI: 10.1007/s10479-024-06376-9
Yun Xiang, Shijie Deng
{"title":"Long-range dependence and asset return anomaly","authors":"Yun Xiang,&nbsp;Shijie Deng","doi":"10.1007/s10479-024-06376-9","DOIUrl":"10.1007/s10479-024-06376-9","url":null,"abstract":"<div><p>We investigate the significance of long-range dependence effect of asset prices in forecasting asset returns. By modeling asset price dynamics as a fractional Brownian motion process and using the corresponding Hurst parameter as a proxy to the long-range dependence of prices, a long-range dependence factor is constructed as the Hurst parameters estimated from daily logarithm returns of assets. Portfolio-level analysis and firm-level cross-sectional regressions reveal an abnormally negative returns associated with the long-range dependence factor, which is statistically significant. Specifically, a long-short strategy formed by sorting stocks with respect to the estimated Hurst parameters and then longing/shorting stocks in the lowest/highest deciles offers a <span>(13.13%)</span> return per annum after accounting for transaction costs. The predictive regression method confirms that there is an anomalous return associated with the long-range dependence factor. Such anomalous returns is not explained by the identified risk factors in the existing literature and it is robust with respect to factor construction and portfolio formation parameters.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"369 - 391"},"PeriodicalIF":4.4,"publicationDate":"2024-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638565","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The cooperative analysis of oligopoly TU markets with infinitely many firms 具有无穷多企业的寡头垄断TU市场的合作分析
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-13 DOI: 10.1007/s10479-024-06392-9
Zhe Yang
{"title":"The cooperative analysis of oligopoly TU markets with infinitely many firms","authors":"Zhe Yang","doi":"10.1007/s10479-024-06392-9","DOIUrl":"10.1007/s10479-024-06392-9","url":null,"abstract":"<div><p>Our paper develops the work of cooperative oligopoly TU markets. Inspired by Zhao (Int J Game Theory 28(1):25–34, 1999) and Zhao (Games Econ Behav 27(1):153–168, 1999), our paper investigates the TU stable profit allocations of cooperative oligopoly TU markets with countably many firms. We first show that the set of <span>(alpha -)</span>TU stable profit allocations coincides with the set of <span>(beta -)</span>TU stable profit allocations. Furthermore, under some regular conditions, we shall prove the existence theorem of <span>(alpha -)</span>TU stable profit allocations for oligopoly TU markets with countably many firms.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"345 1","pages":"517 - 532"},"PeriodicalIF":4.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143108547","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Age replacement policies for discrete and continuous heterogeneous k-out-of-n systems 离散和连续异构k-out- n系统的年龄替换策略
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-13 DOI: 10.1007/s10479-024-06371-0
Serkan Eryilmaz, İrem Bulanik
{"title":"Age replacement policies for discrete and continuous heterogeneous k-out-of-n systems","authors":"Serkan Eryilmaz,&nbsp;İrem Bulanik","doi":"10.1007/s10479-024-06371-0","DOIUrl":"10.1007/s10479-024-06371-0","url":null,"abstract":"<div><p>This paper studies age replacement policy for the <i>k</i>-out-of-<i>n</i> system that consists of independent but nonidentical components. Both continuously and discretely distributed components’ lifetimes are considered. The failed components are replaced by new components and non-failed components are rejuvenated. Because the components are non-identical, the acquisition and rejuvenation costs of the components are chosen differently. The policy and the associated optimization problem are presented for general <i>k</i> and <i>n</i>, and 2-out-of-3 systems are studied in detail. The findings of the present paper extend the results in the literature from parallel systems to <i>k</i>-out-of-<i>n</i> systems.\u0000</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"347 3","pages":"1249 - 1263"},"PeriodicalIF":4.4,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143925557","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A guided tour of multiple criteria sorting models and methods 多标准排序模型和方法导览
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-12 DOI: 10.1007/s10479-024-06278-w
Khaled Belahcène, Vincent Mousseau, Wassila Ouerdane, Marc Pirlot, Olivier Sobrie
{"title":"A guided tour of multiple criteria sorting models and methods","authors":"Khaled Belahcène,&nbsp;Vincent Mousseau,&nbsp;Wassila Ouerdane,&nbsp;Marc Pirlot,&nbsp;Olivier Sobrie","doi":"10.1007/s10479-024-06278-w","DOIUrl":"10.1007/s10479-024-06278-w","url":null,"abstract":"<div><p>Multiple criteria sorting methods assign objects into ordered categories while objects are characterized by a vector of <i>n</i> attributes values. Categories are ordered, and the assignment of the object is monotonic w.r.t. to some underlying order on the attributes scales (criteria). Our goal is to offer a survey of the literature on multiple criteria sorting methods, since the origins, in the 1980’s, focusing on the underlying models. In the first part of the paper, we start by recalling two main models, one based on additive value functions (UTADIS) and the other one an outranking relation (<span>Electre Tri</span>). Then we draw a (structured) picture of multiple criteria sorting models and the methods designed for eliciting their parameters or learning them based on assignment examples. In a second part of the paper, we attempt to provide a theoretical view of the field and position some existing models within it. We then discuss issues related to imperfect or insufficient information.\u0000</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"343 2021-2023)","pages":"785 - 845"},"PeriodicalIF":4.4,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142826235","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Seasonal affective disorder and currency markets 季节性情感失调与货币市场
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-12 DOI: 10.1007/s10479-024-06364-z
John Arabadjis, Michael Melvin, Robert Savage, John Velis
{"title":"Seasonal affective disorder and currency markets","authors":"John Arabadjis,&nbsp;Michael Melvin,&nbsp;Robert Savage,&nbsp;John Velis","doi":"10.1007/s10479-024-06364-z","DOIUrl":"10.1007/s10479-024-06364-z","url":null,"abstract":"<div><p>Harry Markowitz is known as the grandfather of behavioral finance based on his 1952 work on utility theory. We study a behavioral issue applied to the currency market: seasonal affective disorder (SAD). As the days grow shorter (longer) in fall (spring), investors become more (less) risk averse due to changes in depression related to SAD. Our empirical results are consistent with changes in risk-taking in global equities and the associated change in currency hedging portfolios. In the spring/summer season of long daylight hours, we find evidence of greater short positions for the euro. This is consistent with investors taking more risk in global equities and adding to their currency shorts to hedge the FX exposure. Such changes in euro holdings are reversed in the season of shorter daylight hours, consistent with risky investments being reduced due to greater risk aversion so currency hedges are reduced. For currency returns, we find that the greater shorting in spring–summer is associated with currency depreciation over the season of long days. In the season of short days, currency buying associated with cutting hedging positions leads to currency appreciation. We find that the SAD influence on seasonal currency returns is much like the evidence for equity returns. Finally, we construct and backtest a SAD-inspired currency portfolio. We find that trading the spring/summer risk-on SAD effect from longer days and recovery from SAD-related depression had a decent positive risk-adjusted performance and displayed fairly consistent performance over time.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"549 - 565"},"PeriodicalIF":4.4,"publicationDate":"2024-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06364-z.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638140","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Statistical methods for decision making in public sector: from the quality assessment to the citizen satisfaction 公共部门决策的统计方法：从质量评估到公民满意度
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-08 DOI: 10.1007/s10479-024-06374-x
Luigi D’Ambra, Rosella Castellano, Pierpaolo D’Urso, Sandra De Iaco
{"title":"Statistical methods for decision making in public sector: from the quality assessment to the citizen satisfaction","authors":"Luigi D’Ambra,&nbsp;Rosella Castellano,&nbsp;Pierpaolo D’Urso,&nbsp;Sandra De Iaco","doi":"10.1007/s10479-024-06374-x","DOIUrl":"10.1007/s10479-024-06374-x","url":null,"abstract":"","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"342 3","pages":"1369 - 1377"},"PeriodicalIF":4.4,"publicationDate":"2024-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142714439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Correction: Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage 修正：投资组合保险、投资组合理论、市场模拟、投资组合杠杆风险
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-07 DOI: 10.1007/s10479-024-06367-w
Bruce I. Jacobs, Kenneth N. Levy
{"title":"Correction: Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage","authors":"Bruce I. Jacobs,&nbsp;Kenneth N. Levy","doi":"10.1007/s10479-024-06367-w","DOIUrl":"10.1007/s10479-024-06367-w","url":null,"abstract":"","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"344 1","pages":"563 - 563"},"PeriodicalIF":4.4,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142912767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The absolute quickest 1-center problem on a cycle and its reverse problem 在一个循环中绝对最快的单中心问题和它的反向问题
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-07 DOI: 10.1007/s10479-024-06361-2
Kien Trung Nguyen
{"title":"The absolute quickest 1-center problem on a cycle and its reverse problem","authors":"Kien Trung Nguyen","doi":"10.1007/s10479-024-06361-2","DOIUrl":"10.1007/s10479-024-06361-2","url":null,"abstract":"<div><p>The concept of the quickest path refers to the path with the minimum transmission time, considering both its length and capacity. We investigate the problem of finding a point on a cycle such that the maximum quickest distance from any vertex to that point is minimized. We refer to this problem as the quickest 1-center problem on cycles. First, we solve the problem on paths in linear time based on the optimality criterion. Then, we address the problem on cycles in <span>(O(n^2))</span> time by leveraging the solution approach on the induced path in each iteration, where <i>n</i> is the number of vertices. We also consider the problem of reducing the quickest distance objective at a predetermined vertex of a cycle as much as possible by augmenting the edge capacities within a given budget. This problem is called the reverse quickest 1-center problem on cycles. We develop a combinatorial algorithm that solves the problem in <span>(O(n^2))</span> time by solving each subproblem in linear time.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"347 3","pages":"1473 - 1491"},"PeriodicalIF":4.4,"publicationDate":"2024-11-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143925591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dollarization in Ecuador: 2000–2024 厄瓜多尔的美元化：2000-2024
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-06 DOI: 10.1007/s10479-024-06365-y
Michael B. Connolly
{"title":"Dollarization in Ecuador: 2000–2024","authors":"Michael B. Connolly","doi":"10.1007/s10479-024-06365-y","DOIUrl":"10.1007/s10479-024-06365-y","url":null,"abstract":"<div><p>This paper adopts a Markowitz inspired treatment of uncertainty in inflation and the exchange rate in analyzing the dollarization of Ecuador in 2000. The adoption of the U.S. dollar set a fixed price of foreign (and domestic) currency of one, with zero nominal return and zero variance. Dollarization thus stabilized inflation, guaranteed convertibility in foreign trade and resuscitated the stock exchange in Quito. The dollar served the role of the risk-free asset, save for the risk of U.S. inflation. However, in over 20 years, Ecuador has paid seigniorage to the U.S. Treasury of an accumulated $20 billion in outside money, dollar currency and coin. In 2023, we estimate an operational expense in terms of new seigniorage and the inflationary tax of slightly more than 1% of its GDP. Yet Ecuador has stabilized prices and grown more rapidly, coincidently, by 1.2%.</p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"693 - 701"},"PeriodicalIF":4.4,"publicationDate":"2024-11-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06365-y.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638347","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Portfolio selection revisited 重新审视投资组合的选择
IF 4.4 3区 管理学
Annals of Operations Research Pub Date : 2024-11-04 DOI: 10.1007/s10479-024-06340-7
Alex Shkolnik, Alec Kercheval, Hubeyb Gurdogan, Lisa R. Goldberg, Haim Bar
{"title":"Portfolio selection revisited","authors":"Alex Shkolnik,&nbsp;Alec Kercheval,&nbsp;Hubeyb Gurdogan,&nbsp;Lisa R. Goldberg,&nbsp;Haim Bar","doi":"10.1007/s10479-024-06340-7","DOIUrl":"10.1007/s10479-024-06340-7","url":null,"abstract":"<div><p>In 1952, Harry Markowitz formulated portfolio selection as a trade-off between expected, or mean, return and variance. This launched a massive research effort devoted to finding suitable inputs to mean-variance optimization. The estimation problem is high dimensional and a factor model is at the core of many attempts. A factor model can reduce the number of parameters that need to be estimated to a manageable size, but these parameters may incorporate substantial, hidden estimation error. Recent analysis elucidates the nature of this error, identifies a mechanism by which it can corrupt optimization and provides a method for its mitigation. We explore this analysis here by illustrating how to improve the volatility ratio of large optimized portfolios, leading to superior portfolio selection.<span>(^{*})</span></p></div>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"346 1","pages":"137 - 155"},"PeriodicalIF":4.4,"publicationDate":"2024-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10479-024-06340-7.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143638332","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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