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STYLE OF THINKING ABOUT DOPING AMONG SPORTSPERSONS: CHARACTERIZING THE ATTITUDES OF RISK-TAKERS AND RISK-AVOIDERS
Helena Mroczkowska
Biology of Sport , 2012,
Abstract: The aim of the study is to describe the style of thinking about doping among risk-takers and risk-avoiders in three hypothetical situations varying according to the level of objective probability of an anti-doping test. A group of competitive athletes was assessed (N=23; modern pentathlon), mean age ~16.7 years, mean experience in sport 8 years. As the criterion for categorisation of athletes into risk-takers (N-6) and risk-avoiders (N-9), the scope of personally accepted risk in a situation of very high probability of an anti-doping test was assumed. An experimental technique developed for the use of these studies was applied to measure: 1) individual hierarchy of values possible to be lost as a consequence of using doping; 2) personally accepted level of risk of losing values in the three experimental situations: a) low objective risk (2 to 10), b) medium objective risk (5 to 10), c) high objective risk (8 to 10). In the attitude of the risk-avoiders the reluctance to risk the loss of each studied value grows together with the increase of the objective danger until the critical moment that they do not exceed (null risk tolerance). In the style of thinking of the risk-avoiders about doping, a logical translation occurs between what they value most and what they protect most. In the attitude of the risk-takers there is no such translation, and moreover, together with the increase of the objective danger of losing the valued goods, the readiness to sacrifice them as the result of the risky decisions does not weaken. The true character of a risk-taker and the personal need to take risks is revealed most strongly under circumstances of a high probability of losing the mostly highly valued goods. The risk-avoiders value their emotional health significantly more highly than do the risk-takers, while for the risk-takers winning medals is valued significantly more highly.
Portfolio Value-at-Risk with Time-Varying Copula: Evidence from Latin America  [PDF]
Alper Ozun,Atilla Cifter
Journal of Applied Sciences , 2007,
Abstract: Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial investments. The degree of the model risk increases when the estimation process is constructed with a portfolio in the emerging markets. The proper model should both provide flexible joint distributions by splitting the marginality from the dependencies among the financial assets within the portfolio and also capture the non-linear behaviours and extremes in the returns arising from the special features of the emerging markets. In this study, we use time-varying copula to estimate the value-at-risk of the portfolio comprised of the Bovespa and the IPC Mexico in equal and constant weights. The performance comparison of the copula model to the EWMA portfolio model made by the Christoffersen back-test shows that the copula model captures the extremes most successfully. The copula model, by estimating the portfolio value-at-risk with the least violation number in the back-tests, provides the investors to allocate the minimum regulatory capital requirement in accordance with the Basel II Accord.
Risk Correlation Based on Time-Varying Copula Function and Extreme Value Theory  [PDF]
Xinlong Ji, Lu Zhou
Theoretical Economics Letters (TEL) , 2017, DOI: 10.4236/tel.2017.77151
Abstract: The dependence structure of financial assets in financial risk measurement is very important, the tail relations in particular. Authors of extant studies in this field tended to focus on the linear analysis of the financial assets, rarely considering nonlinear, asymmetric and thick-tail characteristics. Here, we apply the copulas connection function with time-varying factors to discuss the risk dependency relationship between financial assets. Moreover, we develop an SV-EVT model to fit variables’ marginal distribution combined with stochastic volatility and extreme value theory. Finally, we present an empirical comparative study of static and dynamic copula models applied to the sample comprising of the Chinese mainland A-shares and Hong Kong stock market. The results show that the CSJC copulas connection function describes the tail features of stock index better than the normal copulas connection function. Similarly, the time-varying model outperforms the static copulas model. Furthermore, we observe an asymmetry dependence change rule between Chinese mainland A-shares market and the Hong Kong stock market; the correlation of lower tail is significantly higher than that of the upper tail, and the bear market effect is remarkable. These findings indicate that time-varying Copulas-SV-EVT model can depict the correlation of financial asset tails exactly, and can thus be used to control investment risk and forecast abnormal fluctuations.
Financial Attributes and Investor Risk Tolerance at the Nairobi Securities Exchange – A Kenyan Perspective  [cached]
T. Olweny,G. S. Namusonge,S. Onyango
Asian Social Science , 2013, DOI: 10.5539/ass.v9n3p138
Abstract: The inclination for optimizing returns by taking maximum risk has implications for both individual investors, as well as fund managers. For the former, risk tolerance will determine the appropriate composition of assets in a portfolio, which is optimal in terms of risk and returns relative to the needs of the individual. For fund managers, the inability to effectively determine investor risk tolerance may lead to homogeneity among investment funds. This paper investigates the extent to which financial attributes affect individual investor risk tolerance at the Nairobi Securities Exchange (NSE), Kenya. Financial attributes in this study were measured in two main aspects: individual monthly earnings income and home ownership. A sample of 500 Central Depository System (CDS) account holders was selected from a population of 932,510 investors at the NSE. Single independent variable cross tabulation on risk tolerance as well as paired cross tabulation on the dependent variable was performed. Analysis of variance was also used to determine how each group of the independent variable affects the dependent variable. Ordinal logistic regression model (OLRM) was employed to establish the contribution of financial attributes on risk tolerance. Single independent variable cross tabulation revealed that home owners were more risk tolerant than non owners. However, one way Analysis of Variance revealed that the variable had a P value of 0.710, hence not significantly affecting risk tolerance. The result of ANOVA on income was significant at a P value of 0.014 individual earnings, hence influences risk tolerance. Risk tolerance increased with earnings up to very high, except for those who earned more than 120,000 per month. OLMR fitted well with a significance level of 0.027 less than ?=5%, although it showed that home ownership is not a significant determinant at a P value of 0.761. For every single unit of home ownership for those with homes to those without, the expected log of odds increased by 0.060 as the threshold of risk tolerance increased, holding other factors constant. Income levels for those earning 90,000-120,000 per month showed a P value of 0.006, hence income was a major determinant of risk tolerance. For every single unit increase of investors earning 90,000-120,000, the expected ordered log of odds of risk tolerance reduced by 1.077 as the threshold of risk tolerance increased, holding other factors constant. Therefore fund managers, investment advisors and individual investors should consider the contribution of financial attributes in financial deci
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework  [PDF]
A. Gabrielsen,P. Zagaglia,A. Kirchner,Z. Liu
Quantitative Finance , 2012,
Abstract: This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over time using a modified form of the Gram-Charlier density in which skewness and kurtosis appear directly in the functional form of this density. In this setting VaR can be described as a function of the time-varying higher moments by applying the Cornish-Fisher expansion series of the first four moments. An evaluation of the predictive performance of the proposed model in the estimation of 1-day and 10-day VaR forecasts is performed in comparison with the historical simulation, filtered historical simulation and GARCH model. The adequacy of the VaR forecasts is evaluated under the unconditional, independence and conditional likelihood ratio tests as well as Basel II regulatory tests. The results presented have significant implications for risk management, trading and hedging activities as well as in the pricing of equity derivatives.
Hypoadiponectinemia: Association with risk of varying degrees of gestational hyperglycemia and with maternal ethnicity  [PDF]
Xinhua Chen, Theresa O. Scholl, T. Peter Stein
Journal of Diabetes Mellitus (JDM) , 2012, DOI: 10.4236/jdm.2012.22031
Abstract: Objective: The aims of this study were to examine the influence of maternal hypoadiponectinemia on the risk of varying degrees of gestational hyperglycemia as well as on ethnic differences in circulating levels of adiponectin. Methods: A case-control study nested within a prospective cohort of healthy pregnant women compared those who developed gestational diabetes mellitus (GDM, N = 80), or had an impaired glucose challenge test (GCT) non-GDM (defined as 1hr plasma glucose >140 mg/dl after a 50-g oral glucose load when screening for GDM but did not meet the diagnostic criteria for GDM by a diagnostic oral glucose tolerance test, N = 128) to normal controls (N = 557). Concentrations of serum adiponectin were determined at entry (~17 weeks) and during the 3rd trimester. Results: With multivariable adjustment, entry hypoadiponectinemia (the lowest tertile vs. other tertiles pooled) was strongly associated with an increased risk of GDM (AOR 2.68, 95% CI 1.62 - 4.41) and with impaired GCT non-GDM (AOR 1.58, 95% CI 1.05 - 2.38). This association persisted after adjustment for pregravid BMI despite the fact that the risk in obese women with low adiponectin was higher. Similar data were obtained during the 3rd trimester. The concentration of adiponectin during the 3rd trimester was significantly lower in African Americans compared to Hispanics or Caucasians and this difference was detectable in both cases and controls (p < 0.05 or p < 0.01 for each). Conclusions: The present results identified a unique graded association between hypoadiponectinemia during early pregnancy with risk of GDM and less severe hyperglycemia non-GDM independent of maternal BMI. The relationship persisted to the 3rd trimester. African American women have lower adiponectin level than Caucasian or Hispanic women. Hypoadiponectinemia may play a significant pathophysiological role in the development of GDM and of less severe gestational hyperglycemia.
The value of routine mid-trimester ultrasound in low-risk pregnancies at primary care level
B van Dyk,JA Motto,EJ Buchmann
Health SA Gesondheid , 2008, DOI: 10.4102/hsag.v13i4.403
Abstract: This study investigated the effect of routine second-trimester ultrasound scanning on obstetric management and pregnancy outcomes. This was an open cluster, randomised, controlled trial. Clusters of women with low-risk pregnancies presenting in the second trimester were randomised to receive an ultrasound scan followed by usual antenatal care, or to an unscanned control group undergoing conventional antenatal care only. Out of the 962 women randomised, follow-up was successful for 804 (83.6%), with 416 allocated to the ultrasound scan group and 388 controls. There were no significant differences between the ultrasound scan group and the control group in terms of prenatal hospitalisation, mode of delivery, miscarriage, perinatal mortality rate and low birthweight rate. Ultrasound dating was associated with a lower rate of induction of labour for post-term pregnancy (1.4% vs. 3.6%; P=0.049). However, ultrasound scanning in low-risk pregnancies was not associated with improvements in pregnancy outcome. Opsomming Hierdie studie het die effek van roetine mid-trimester ultraklankskandering op swangerskapsorg en –uitkomste ondersoek. Dit was ’n oop tros, lukrake, beheerde proef. Groepe vroue met laerisikoswanger- skap in die midtrimester is lukraak toegewys vir ’n ultraklank-skandering, gevolg deur voorgeskrewe voorgeboor-tesorg, of vir ’n kontrolegroep wat voorgeboortesorg volgens nasionaal voorgeskrewe protokol sonder skandering ontvang het. Van die 962 vroue wat aan die steekproef deelgeneem het kon data vir 804 (83.6%) suksesvol opgevolg word, met 416 in die ultraklankgroep en 388 in die kontrolegroep. Geen beduidende verskille is tussen die twee groepe gevind ten opsigte van voorgeboorte-hospitalisasie, geboortemetode, miskraamstatistiek, perinatale komplikasies of laegeboortegewig nie. Ultraklankdatering van swangerskappe is met minder kraaminduksie (1.4% teen 3.6%; P=0.049) vir natrimesterswangerskap geassosieer. Roetine ultraklankskandering in laerisikoswangerskap het egter geen verbetering in swangerskapsuitkomste te weeg gebring nie.
A Birandom Job Search Problem with Risk Tolerance
Guoli Wang,Wansheng Tang,Ruiqing Zhao
Journal of Applied Mathematics , 2012, DOI: 10.1155/2012/161573
Abstract: This paper considers a novel class of birandom job search problem, in which the job offers are sampled by the job searcher from a finite job set with equivalent probability and their wages are characterized as independent but maybe not identically nonnegative random variables. The job searcher knows the job offer's wage distribution when he samples the job offer. Since the offered wage is a random variable and the reservation wage is a deterministic number, it is meaningless to make comparison directly. In order to rank the random wage and the reservation wage and provide decision support, a risk tolerance criterion is designed, and the job searcher then accepts or rejects the sampled job offer depending on whether the risk tolerance criterion is met or not. Since the offered wages are random variables and the search process is random, it's impossible to obtain the job searcher's real return; in this case, its expected value can be calculated via birandom theory. Simultaneously, some propositions on the expected return as well as the average search times are also studied which may provide some valuable suggestions to the job searcher. Numerical examples are given to illustrate the decision process of the risk tolerance-based birandom job search problem.
Bracketing effects on risk tolerance  [PDF]
Ester Moher,Derek J. Koehler
Judgment and Decision Making , 2010,
Abstract: Research has shown that risk tolerance increases when multiple decisions and associated outcomes are presented together in a broader ``bracket'' rather than one at a time. The present studies disentangle the influence of problem bracketing (presenting multiple investment options together) from that of outcome bracketing (presenting the aggregated outcomes of multiple decisions), factors which have been deliberately confounded in previous research. In the standard version of the bracketing task, in which participants decide how much of an initial endowment to invest into each in a series of repeated, identical gambles, we find a problem bracketing effect but not an outcome bracketing effect. However, this pattern of results does not generalize to the cases of non-identical gambles nor discrete choice, where we fail to find the standard bracketing effect.
Time Varying Risk Aversion: An Application to Energy Hedging  [PDF]
John Cotter,Jim Hanly
Quantitative Finance , 2011,
Abstract: Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of energy hedgers. We find that the risk aversion based hedges differ significantly from simpler OLS hedges. When implemented in-sample, risk aversion hedges for short hedgers outperform the OLS hedge ratio in a utility based comparison.
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