The purpose of this study is two-fold. First, it is to invert an insurance industry index(s) from a linearly independent factor structure derived from the application of the Ross (1976) arbitrage-pricing model (APT) on a sample of insurance industry returns. The second objective is to identify the effect this index has on the performance of the Sharpe multi-index model in the formation of the m...

In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only level risk, found that cocoa had highest risk losses, followed by orange juice. Cotton and coffee lowest losses. However, according output, cotton was worst asset in which invest because it negative average returns. contradistinction, sugar a rel...

Sundberg, Fawcett, Illner & McCann (1975) have shown that high concentrations of indomethacin (1 and 2\m=.\7mM) can increase the release of LH and FSH from rat pituitary tissue in vitro. Such concentrations, however, have other actions in addition to the inhibition of prostaglandin (PG) synthetase for which the drug is commonly used experimentally (Flower, 1974). The effects of lower concentrat...

The classical mean-variance investment model is simple, elegant, and popular. As such, it is also subject to criticisms. One unsatisfactory feature of the model is that variance treats the upside and downside equally as risks. In this regard, the downside Lower Partial Moments (LPM) are more attractive as alternative risk measures, since they only penalize the downside. In the meanwhile, consid...

Studying the susceptibility of peach trees to Grapholita molesta (Busck) is one of the major steps in the development of pest-resistant peach varieties. This work evaluated the susceptibility of 55 genotypes of the "Prunus Rootstock Collection" ("Coleção Porta-enxerto de Prunus") of Embrapa Temperate Climate (Pelotas, Rio Grande do Sul, Brazil) to the natural infestation of G. molesta, assessed...

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities. One result of our paper is that the value of the life annuity is identical to the upper go...

The paper analyzes the asset pricing implications of performance fees linking the compensation of fund managers to the return of the managed portfolio relative to that of a benchmark portfolio. Symmetric (“fulcrum”) performance fees distort the allocation of managed portfolios in a way that induces a significant positive effect on the equilibrium prices of stocks included in the benchmark portf...