发布求助
文献互助 智能选刊 最新文献

Journal of interaction science最新文献

筛选
英文 中文
Bootstrapping the relative performance of yield curve strategies 自举收益率曲线策略的相对表现
Journal of interaction science Pub Date : 2015-03-01 DOI: 10.21314/JOIS.2015.055
Razvan Pascalau, Ryan Poirier
{"title":"Bootstrapping the relative performance of yield curve strategies","authors":"Razvan Pascalau, Ryan Poirier","doi":"10.21314/JOIS.2015.055","DOIUrl":"https://doi.org/10.21314/JOIS.2015.055","url":null,"abstract":"The present study assesses the relative performance of yield curve strategies involving bullet and barbell portfolios due to changes in the shape of the yield curve via shocks to the Dow Jones index. We employ three different yield curve models and bootstrap the bond portfolio performance using a block bootstrap approach to compute the 66 percent confidence intervals. We allow for co-movement among the yield curve factors. The study finds that a new parametrization we propose yields tighter confidence intervals than the usual approaches. In addition, we show that the shape of the confidence curves with respect to changes in terms to maturity, coupon rates, and market changes depends on the choice of the yield curve parametrization. This finding yields several important implications for bond portfolio strategies. JEL: Bootstrapping, Yield Curve, Barbell and Bullet Portfolios","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"4 1","pages":"55-81"},"PeriodicalIF":0.0,"publicationDate":"2015-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705987","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets 你投资组合中的股票数量应该比你想象的要多:来自五个发达市场的多样化证据
Journal of interaction science Pub Date : 2014-12-01 DOI: 10.21314/JOIS.2015.037
Alexeev, F. Tapon
{"title":"The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets","authors":"Alexeev, F. Tapon","doi":"10.21314/JOIS.2015.037","DOIUrl":"https://doi.org/10.21314/JOIS.2015.037","url":null,"abstract":"In this study of five developed markets, we analyze the sizes of portfolios required \u0000to achieve the most diversification benefits. We compute several widely accepted \u0000measures of risk and use an extreme risk measure to account for black swan \u0000events. In addition to providing portfolio size recommendations for an average \u0000investor, we estimate confidence bands around central measures of risk and offer \u0000recommendations for attaining the most diversification benefits 90% of the time, \u0000instead of on average. In contrast to previous literature that suggests between \u000010 and 15 stocks are enough to provide adequate diversification for an average \u0000investor, we find that in fact more than 73 stocks are needed to achieve the same \u0000level of diversification most of the time, instead of on average.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"4 1","pages":"43-82"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705842","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
The stock–bond correlation 股票-债券相关性
Journal of interaction science Pub Date : 2014-12-01 DOI: 10.21314/JOIS.2015.034
Nicole Bastian Johnson, Vasant Naik, Sébastien Page, N. Pedersen, Steven G. Sapra
{"title":"The stock–bond correlation","authors":"Nicole Bastian Johnson, Vasant Naik, Sébastien Page, N. Pedersen, Steven G. Sapra","doi":"10.21314/JOIS.2015.034","DOIUrl":"https://doi.org/10.21314/JOIS.2015.034","url":null,"abstract":"The correlation between stocks and bonds is one of the most important inputs to the asset allocation decision. However, it is difficult to estimate reliably, and can change drastically with macroeconomic conditions.1 From 1927 to 2012, the correlation between the S&P 500 and long-term Treasuries – as calculated by calendar year based on monthly data – has changed sign 29 times, and has ranged from −93% to +86%.","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"4 1","pages":"3-18"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 34
Predicting upper-bound text entry speeds for discrete-tilt-based input on smartphones 预测智能手机上离散倾斜输入的上限文本输入速度
Journal of interaction science Pub Date : 2014-09-30 DOI: 10.1186/s40166-014-0003-6
S. Ljubic, V. Glavinic, M. Kukec
{"title":"Predicting upper-bound text entry speeds for discrete-tilt-based input on smartphones","authors":"S. Ljubic, V. Glavinic, M. Kukec","doi":"10.1186/s40166-014-0003-6","DOIUrl":"https://doi.org/10.1186/s40166-014-0003-6","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"2 1","pages":"1-15"},"PeriodicalIF":0.0,"publicationDate":"2014-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-014-0003-6","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65836588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Quantifying irrational sentiment 量化非理性情绪
Journal of interaction science Pub Date : 2014-09-01 DOI: 10.21314/JOIS.2014.038
Todd J. Feldman
{"title":"Quantifying irrational sentiment","authors":"Todd J. Feldman","doi":"10.21314/JOIS.2014.038","DOIUrl":"https://doi.org/10.21314/JOIS.2014.038","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"3 1","pages":"3-18"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study 对冲iTraxx信用违约掉期指数盘中交易:实证研究
Journal of interaction science Pub Date : 2014-09-01 DOI: 10.21314/JOIS.2014.041
Cheng-Ran Du, Tim Brunne
{"title":"Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study","authors":"Cheng-Ran Du, Tim Brunne","doi":"10.21314/JOIS.2014.041","DOIUrl":"https://doi.org/10.21314/JOIS.2014.041","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"3 1","pages":"83-106"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67705994","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interactive cognitive artifacts for enhancing situation awareness of incident commanders in mass casualty incidents 在大规模伤亡事件中增强事件指挥官的态势意识的交互式认知人工制品
Journal of interaction science Pub Date : 2014-09-01 DOI: 10.1186/s40166-015-0012-0
T. Mentler, M. Herczeg
{"title":"Interactive cognitive artifacts for enhancing situation awareness of incident commanders in mass casualty incidents","authors":"T. Mentler, M. Herczeg","doi":"10.1186/s40166-015-0012-0","DOIUrl":"https://doi.org/10.1186/s40166-015-0012-0","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"3 1","pages":"1-9"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-015-0012-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65836997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Efficient computer operation for users with a neuromuscular disease with OnScreenDualScribe 使用onscreendalscribe为患有神经肌肉疾病的用户提供高效的计算机操作
Journal of interaction science Pub Date : 2014-06-25 DOI: 10.1186/s40166-014-0002-7
T. Felzer, I. Mackenzie, S. Rinderknecht
{"title":"Efficient computer operation for users with a neuromuscular disease with OnScreenDualScribe","authors":"T. Felzer, I. Mackenzie, S. Rinderknecht","doi":"10.1186/s40166-014-0002-7","DOIUrl":"https://doi.org/10.1186/s40166-014-0002-7","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"2 1","pages":"1-10"},"PeriodicalIF":0.0,"publicationDate":"2014-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s40166-014-0002-7","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65836534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Risk–return-efficient target-volatility strategies 风险回报高效的目标波动策略
Journal of interaction science Pub Date : 2014-06-01 DOI: 10.21314/JOIS.2014.042
G. Giese
{"title":"Risk–return-efficient target-volatility strategies","authors":"G. Giese","doi":"10.21314/JOIS.2014.042","DOIUrl":"https://doi.org/10.21314/JOIS.2014.042","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"3 1","pages":"3-18"},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706089","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Bayesian roots of risk balancing 风险平衡的贝叶斯根
Journal of interaction science Pub Date : 2014-06-01 DOI: 10.21314/JOIS.2014.044
Hakan Kaya
{"title":"The Bayesian roots of risk balancing","authors":"Hakan Kaya","doi":"10.21314/JOIS.2014.044","DOIUrl":"https://doi.org/10.21314/JOIS.2014.044","url":null,"abstract":"","PeriodicalId":90597,"journal":{"name":"Journal of interaction science","volume":"89 1","pages":"19-39"},"PeriodicalIF":0.0,"publicationDate":"2014-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67706162","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信