capm arbitrage and linear factor models

... or favouritism and the contents of the chapters reflect the importance and central position that linear factor models hold in portfolio formation and risk management John Knight and Stephen Satchell ... The MSN factor model offers different measures of sensitivity to the linear effects of the chosen factors as well as a time-varying non -linear component 2.1 Introduction Linear factor models are ... empirical factor models The paper by Jacobs and Levy (1988) is a well-known example, as are papers by Arnott et al (1990) and Jones (1990) More recently, interest in linear factor models has...

Ngày tải lên: 18/03/2014, 00:20

... E BW ⎞ ⎟ for BN and BSt models, using ⎟  E BW ⎠ ( ) R E = R and R E = R   where ν > 2, respectively, − given by Stranden and Gianola [4] and Cardoso et al [7] Heritabilities and genetic correlations ... Piemontese GL and BW data Posterior inferences on sire-MGS and HYS (co)variances for GL and BW are summarized in Tables and 10, using posterior means and 95% PPIs from BSt and BN models Posterior ... than those from BSt and BS models Posterior means of HYS variances from BSt and BN models were similar and ranged from to 4.25 for GL, and 2.43 to 2.56 for BW from the two models Posterior inference...

Ngày tải lên: 14/08/2014, 13:21

... Bayes factor between Student t and Gaussian linear models The Bayes factor developed by Verdinelli and Wasserman [25], and applied to the animal breeding context by Garcıa-Cortes et al [5] and ... development of this Bayes factor to make comparisons between Gaussian and Student t processes, and we tested its performance on both simulated and real data sets, using DIC as the standard reference criterion ... approaches to Bayes factors [6] have been used to make comparisons between Gaussian and Student t mixed models However, they imply high computational demands because both the Gaussian and the Student...

Ngày tải lên: 14/08/2014, 13:22

... is developed and used to investigate the frequency transfer functions for large linear FE models of beams and assembled plates with linear and nonlinear stochastic parameters The random frequency ... the mean values and rq and rE are the associated standard deviations The coefficient of hysteretic damping is assumed to be deterministic and given by g = 5% For this linear random effect only ... deterministic Different approaches based on the CMS and polynomial chaos expansions are elaborated Stochastic beams and assembled plates with linear and nonlinear random parameters are analysed The efficiency...

Ngày tải lên: 03/12/2014, 23:42

... The entry and exit section length were 250 mm and 125 mm respectively ASHRAE standard 97-77 [32] recommends the minimum entry and exit length of 5√ (WH) and 2.5√ (WH), i.e 236.6 mm and1 18.3 mm ... Nusselt number and Friction factor is ± 1.01, 3.32 and 1.04% respectively Validity test Both Nusselt number and friction factor calculated from the experimental data for smooth duct and also compared ... height ratio, spacing in square rib shape and angle of attack on heat transfer and friction factor Vaun et al [8] investigated heat transfer and friction factor characteristics of combined transverse...

Ngày tải lên: 05/09/2013, 15:28

... within another context, e.g non -linear error-in-variable models and non -linear time-series models Regarding these two topics, I recommend Wolter and Fuller (1978) and Priestley (1978) Finally, ... regions, and worked out examples: Draper and Smith (1966) Bard (1974) and Judge, Griffiths, Hill and Lee (1980) Several chapters in Goldfeld and Quandt (1972) are devoted to the discussion of non -linear ... Multivariate models Simultaneous equations models 5.1 Non -linear 5.2 Other single equation two-stage least squares estimator 5.3 Non -linear simultaneous 5.4 Non -linear three-stage 5.5 Non -linear full...

Ngày tải lên: 23/10/2013, 10:15

... objects with masses m1 and m2 , r r r r initial velocities v1i and v2i and final velocities v1 f and v2 f , respectively Both linear momentum and kinetic energy are conserved Linear momentum conservation: ... but the linear momentum is Momentum and Kinetic Energy in Collisions Consider two colliding objects with masses m1 and m2 , r r r r initial velocities v1i and v2i and final velocities v1 f and v2 ... The Linear Momentum of a System of Particles In this section we will extedend the definition of linear momentum to a system of particles The r i -th particle has mass mi , velocity vi , and linear...

Ngày tải lên: 23/12/2013, 00:16

... First, linear algebra has top priority It is better to go forward and more linear algebra than to stop and more group and ring theory Second, it is more important that students learn to organize and ... a and b are integers, not both zero, and G is the collection of all linear combinations of a and b, then G is a subgroup of Z, and its positive generator is the greatest common divisor of a and ... of a and b Note that c is a multiple of a and b, and if n is a multiple of a and b, then n is a multiple of c Finally, if a and b are positive, their least common multiple is c = ab/(a, b), and...

Ngày tải lên: 17/01/2014, 04:20

... the NF-kappa B transcription factor and HIV-1 EMBO J 10, 2247–2258 Shi C, Zhao X, Wang X & Andersson R (2005) Role of nuclear factor- kappaB, reactive oxygen species and cellular signaling in the ... levels of interleukin (IL)-1b and IL-6 in the SP began to rise at h, and reached their peak levels between 48 and 96 h Over the dose range of 0.2–5.0 ngÆmL)1 of SEC1, IL-1b and IL-6 in the SP displayed ... SP and attenuated the febrile response in rabbits (Table 2) Apocynin also inhibited the SEC1-induced nuclear NF-jB expression (Fig 2C, lanes and 4) and its DNA-binding activity (Fig 2D, lanes and...

Ngày tải lên: 19/02/2014, 00:20

... ligand was essentially enwrapped, and its solvent accessible surface decreased to % 7% with only the ribose moiety exposed In total, 34 hydrogen and hydrophobic contacts between TC and the ligand ... CBC and the full length IF (Fig 3A and Table 1) The time course of the binding between CBC and peptides is presented in Fig 3B,C The corresponding rate constants k+CBC and kCBC for IF20 and IF30 ... of IF, TC and HC for Cbl The probable scheme of interaction between IF, the ligand and the receptor is presented in 4750 Fig Schematic presentation of IF interaction with the ligands and the receptor...

Ngày tải lên: 19/02/2014, 05:20

... discriminative models have been compared and discussed a great deal (Ng and Jordan, 2002), including for NLP models (Johnson, 2001; Klein and Manning, 2002) Sutton and McCallum (2005) present approximate ... Johnson 2001 Joint and conditional estimation of tagging and parsing models In Proc of ACL D Klein and C D Manning 2002 Conditional structure vs conditional estimation in NLP models In Proc of ... EMNLP J Lafferty, A McCallum, and F Pereira 2001 Conditional random fields: Probabilistic models for segmenting and labeling sequence data In Proc of ICML D C Liu and J Nocedal 1989 On the limited...

Ngày tải lên: 20/02/2014, 12:20

... curves for bigram and unigram models have similar shapes, but the trigram models outperform the lower-order models Error rates for the bigram models range from 37-45% and the unigram models have error ... e.g Lee and Myaeng’s (2002) genre and subject detection work and Boulis and Ostendorf’s (2005) work on feature selection for topic classification For our LM classifiers, we followed Boulis and Ostendorf’s ... Britannica and CNN articles to train models of three n-gram orders on “child” text and “adult” text This resulted in 12 LM perplexity features per article based on trigram, bigram and unigram...

Ngày tải lên: 20/02/2014, 15:20

... between alignment and consistency (Pickering and Garrod, 2004; Halliday and Hasan, 1976) on the one hand, and variation (to improve text quality and readability) on the other hand (Belz and Reiter, ... approach using the (hand-crafted) hierarchy of generation subtasks in Figure It consists of a root agent (M0 ), and subtasks for low-level (M0 ) ) navigation strategies (M ), and and high-level (M1 ... generation using graphical models and active learning In Proc of the Annual Meeting of the Association for Computational Linguistics (ACL), pages 1552–1561 Alice H Oh and Alexander I Rudnicky 2000...

Ngày tải lên: 07/03/2014, 22:20

... sense strand sequence of the tmRNA 5¢-end and the T7 promoter, and the second primer 5¢-CGTGAATTCATGCATGGTGGA GGTGGGGGGAG-3¢, containing the antisense strand sequence of the tmRNA-3¢-end and a NsiI ... tRNA and tmRNA alanylation under standard reaction conditions and 50 °C should be close to 0.8 s)1 and 0.03 s)1, respectively This is to be compared with kcat values of 0.93 s)1 [27], 1.1 s)1 and ... The Ala$tRNAAla decay in the presence of the elongation factor was described by the Eqns (7) and (11), where P and S represented alanylated and deacylated tRNAAla, respectively The calculated rate...

Ngày tải lên: 08/03/2014, 08:20

... output and factors of production observed in the data In Section we introduce the labor and capital friction and show that they are necessary to account for the fall in output in each sector and ... supplies labor and rents capital to each sector, demands final goods, invests in capital goods, and borrows or lends from abroad at the world interest rate At each period, all factor and goods markets ... prices pT and pN from equations (11) and (12) respectively We substitute for rt from t t (14) and pM from (17) MtT is given by equation (15) Rt and pM are defined from equations (4) t t and (3)...

Ngày tải lên: 15/03/2014, 22:20

... in research and to diagnosis and/ or treatment in further depth, and to investigate alternative models The models include patent pools, clearinghouse mechanisms, open source models and liability ... rights law, patents and biotechnology, IP and biodiversity, and IP and ethics She is author of numerous articles and monographies in the field of patent law in a national and international context ... preparing and prosecuting patent applications; contesting interferences, oppositions and arbitrations; litigating in District and Appellate courts, both as counsel and expert witness; and counseling...

Ngày tải lên: 16/03/2014, 12:20

... Emission databases, models and scenarios Inverse methods and adjoint models Atmospheric chemistry and transport models Aerosol dynamics models Radiative & optic properties models Ocean dynamics ... Meso-Meteorological and Chemical Transport Models Alexander Baklanov Alexander Mahura Ranjeet S Sokhi l l Integrated Systems of Meso-Meteorological and Chemical Transport Models Editors Prof Alexander Baklanov ... scientific understanding and computational demand In this work, the history and current status of development and application of on-line models are reviewed Several representative models developed...

Ngày tải lên: 16/03/2014, 23:20

... 163 and 166 in sTF are adjacent to the Gla domain of FVIIa, and positions 200 and 201 are situated near EGF1 and the so-called hydrophobic stack, which is a linker between the Gla domain and ... blood coagulation factor VIIa with soluble tissue factor Nature 380, 41–46 Huang, Q., Neuenschwander, P.F., Rezaie, A.R & Morrissey, J.H (1996) Substrate recognition by tissue factor- factor VIIa Evidence ... substrates factor IX and factor X Biochemistry 39, 7380–7387 Roy, S., Hass, P.E., Bourell, J.H., Henzel, W.J & Vehar, G.A (1991) Lysine residues 165 and 166 are essential for the cofactor function...

Ngày tải lên: 17/03/2014, 03:20

... double- and single-stranded DNA-binding activity Because the single-stranded DNA-binding activity can be competed away by a single-stranded DNA oligonucleotide, but not by a double-stranded one (and ... strand of the )35 to +6 region of Ad-MLP (B) EMSAs used 32P-labelled single-stranded DNA from the coding strand of the )35 to +6 region of Ad-MLP as the probe The double- (dsDNA) and single-stranded ... dependent on Mediator and TFIIA, but independent of TAFs Furthermore, PC4 is able to bind to double- and single-stranded DNA and to interact with TFIIB, TBP, TFIIA, Mediator, TFIIH and the gene-specific...

Ngày tải lên: 23/03/2014, 07:20

... LM, reordering model, word and phrase counts, and phrase and lexicon translation models Given the focus of this paper, we review only the phrase and lexicon translation models below 3.1 Phrase translation ... training of both the phrase translation models (PT) and the lexicon models (LEX) The BLEU scores on training phrase models are shown in blue, and on training lexicon models in red 5.3 Experiments on ... lexicon models alone gives a gain of 0.7 and 0.5 BLEU points, respectively, on the test set For a full training of both phrase and lexicon models, we adopt two learning schedules: update both models...

Ngày tải lên: 23/03/2014, 14:20