This paper investigates optimal portfolio and wealth strategy of an institutional investor under the Value-at-Risk (VaR) constraint in an economy under jump diffusion. We show that overlooking or underestimating jump risk factor could be the cause of failure to satisfy the VaR constraint in the recent financial crisis for many financial institutions. We also find that the introduction of the ju...

The var genes of Plasmodium falciparum code for the antigenically variant erythrocyte membrane proteins 1 (PfEMP1), a major factor for cytoadherence and immune escape of the parasite. Herein, we analyzed the var gene transcript turnover in two ongoing, non-symptomatic infections at sequential time points during two weeks. The number of different circulating genomes was estimated by microsatelli...

Given a finite set of m scenarios, computing a portfolio with the minimium Value-at-Risk (VaR) is computationally difficult: the portfolio VaR function is non-convex, non-smooth, and has many local minima. Instead of formulating an n-asset optimal VaR portfolio problem as minimizing a loss quantile function to determine the asset holding vector R, we consider it as a minimization problem in an ...

This paper reconsiders the developments of model evaluation in macroeconometrics over the last forty years. Our analysis starts from the failure of Cowles foundation models. The different diagnosis of this failure are then analyzed to classify them in two groups: explanations related to problems in the theoretical models that lead to problems in the identification of the relevant econometric mo...

The cytokinins (benzyladenine or benzyladenosine) decreased spermidine and spermine contents despite increasing putrescine content, when administered to isolated cotyledons of Cucumis sativus L. var. Guntur in organ culture. KCl decreased putrescine contents, although marginally increasing polyamine contents. The cytokinins and/or KCl augmented nucleic acid biosynthesis and accumulation, result...

Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...

Plasmodium falciparum erythrocyte membrane protein 1 (PfEMP1) is a major pathogenicity factor in falciparum malaria that mediates cytoadherence. PfEMP1 is encoded by approximately 60 var genes per haploid genome. Most var genes are grouped into 3 subgroups: A, B, and C. Evidence is emerging that the specific expression of these subgroups has clinical significance. Using field samples from child...

Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989 and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This paper compares estimation performance for the impulse response coefficients based on a VAR approximation to this class of models ...

The study aims to find a long-run empirical correlation between crude prices and the Nigerian Economy. Therefore, Independent Variable for is natural log of Dependent would be economic activity in Nigeria (Operationalized using GDP). research explores Vector Autoregression Model (VAR Model), Serial Correlation LM Test, VAR Granger Causality/Block Exogeneity Wald Tests, Forecast Error Variance D...