A5036350376- Particle Accelerators and Free-Electron Lasers
- Particle accelerators and beam dynamics
- Superconducting Materials and Applications
- Particle Detector Development and Performance
- Advanced X-ray Imaging Techniques
- Gyrotron and Vacuum Electronics Research
- Nuclear Physics and Applications
- Financial Markets and Investment Strategies
- Atomic and Subatomic Physics Research
- Radiation Detection and Scintillator Technologies
- Magnetic confinement fusion research
- Housing Market and Economics
- Laser-Plasma Interactions and Diagnostics
- Particle physics theoretical and experimental studies
- Complex Systems and Time Series Analysis
- Radiation Therapy and Dosimetry
- Photonic and Optical Devices
- Sensor Technology and Measurement Systems
- Laser Design and Applications
- IoT-based Smart Home Systems
- Advancements in Photolithography Techniques
- Monetary Policy and Economic Impact
- Electron and X-Ray Spectroscopy Techniques
- Integrated Circuits and Semiconductor Failure Analysis
- Spacecraft and Cryogenic Technologies
Uppsala University
2016-2025
Organisation de Coopération et de Développement Economiques
2012-2023
Centre for Policy Studies
2019-2021
KTH Royal Institute of Technology
2021
Orange County Department of Education
2021
Swedish University of Agricultural Sciences
2019
Ecolab (United States)
2019
Ecole des Hautes Etudes Commerciales du Nord
2006-2012
Ministry of Economy, Trade and Industry
2009
Chiang Mai University
2007
In the presence of nonnormally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with higher-order moments and comoments return distribution. This is a formidable challenge that severely exacerbates dimensionality problem already present mean-variance analysis. article extends existing literature, which has mostly focused on covariance matrix, by introducing improved estimators coskewness cokurtosis parameters. We...
Abstract In this paper we extend Hasanhodzic and Lo (2007) by assessing the out‐of‐sample performance of various non‐linear conditional hedge fund replication models. We find that going beyond linear case does not necessarily enhance power. On other hand, selecting factors on basis an economic analysis allows for a substantial improvement in quality, whatever underlying form factor model. Overall, confirm findings replicating strategies is systematically inferior to actual funds.
1. Noël Amenc is a professor of finance at EDHEC Business School and the director Risk Asset Management Research Center in Nice, France. (noel.amenc{at}edhec.edu) 2. Lionel Martellini scientific (lionel.martellini{at}edhec.edu) 3. Volker Ziemann an economist French Ministry Economy, Industry Employment Paris, (volker.ziemann{at}dgtpe.fr) <!-- --> To order reprints this article, please contact Dewey Palmieri dpalmieri{at}iijournals.com or 212-224-3675. Recent increases inflation uncertainty...
Extension of the Black-Litterman Bayesian approach to portfolio construction in presence non-trivial preferences about higher moments asset return distributions has a particular application active style allocation decisions hedge fund investing. Results here suggest that systematic implementation can add significant value portfolio, provided sound investment process account for non-normality and parameter uncertainty distributions. <bold>TOPICS:</bold> <ext-link>VAR use alternative risk...
A new quasi-monoenergetic neutron beam facility has been constructed at The Svedberg Laboratory (TSL) in Uppsala, Sweden. Key features include a energy range of 11–175 MeV, high fluxes, user flux control, flexible field size and shape, spacious easily accessible area. first results the characterisation measurements are reported.
Debt levels have surged since the mid-1990s and reached historic highs across OECD. High debt can create vulnerabilities, which amplify transmit macroeconomic asset price shocks. Furthermore, high hinder ability of households enterprises to smooth consumption investment governments cushion adverse The empirical evidence suggests that when private sector levels, particularly for households, rise above trend likelihood recession increases. Measures financial leverage give less warning...
The objective of this article is to shed light on the potential benefits asset-liability management techniques, originally developed for institutional money management, in a private wealth context. authors show that much complexity optimal asset allocation decisions investors can be captured through addition single state variable—liability value—which accounts parsimonious way investors9 specific constraints and objectives. An approach has direct impact selection classes because it requires...