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M-Squared and ranking issues for risky assets
Applied Economics Letters, 2014Adjusting returns for risk is essential and the methodology employed should be universally representative. M-Squared is an attempt to provide a risk-adjusted measure of performance, but it has two serious shortcomings: the absence of a benchmark return and the use of leverage. Analytical and empirical observations highlight these issues. Jensen’s alpha
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Designing an immunized portfolio: Is M-squared the key?
Journal of Banking & Finance, 1993Abstract The theoretical and empirical properties of M -squared, a measure of cash flow dispersion used in designing duration-hedged portfolios, are examined. Contrary to prior research, minimizing M -squared is not independent of the stochastic process and the minimum M -squared portfolio is a ‘bullet’ only under a specific, convexity condition ...
Gerald O. Bierwag +2 more
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Bulletin of the Malaysian Mathematical Sciences Society, 2016
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Olcay Karaatlı, Refik Keskin
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Olcay Karaatlı, Refik Keskin
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Least-squares fitting of multiple M-dimensional point sets
The Visual Computer, 2006Based on the classic absolute orientation technique, a new method for least-squares fitting of multiple point sets in m-dimensional space is proposed, analyzed and extended to a weighted form in this paper. This method generates a fixed point set from k corresponding original m-dimensional point sets and minimizes the mean squared error between the ...
Gaojin Wen +3 more
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Best mean-square approximation of functions of m variables
Mathematical Notes of the Academy of Sciences of the USSR, 1973Let\(E_\sigma (f;l_q )_{L_2 } (R_m )\) be the best mean-square approximation of a functionf(x)e L2(Rm) (m=1, 2, ...) by integral functions of the exponential spherical type (in the sense of thelq metric, 0 0, whereω(f,Π/σ; lp)L2(Rm) is the spherical (in the sense of the metriclp ...
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Total least squares fitting of point sets in m-D
International 2005 Computer Graphics, 2005The absolute orientation technique, minimizing the mean squared error between two matched point sets under similarity transformations, has numerously applied in the areas of photogrammetry, robotics, object motion analysis as well as object pose estimation following recognition. Based on it, in this paper, a total least squares fitting algorithm, which
null Gaojin Wen +3 more
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A box corer 30 cm square and 4 m long
Continental Shelf Research, 1988Abstract To collect long, large-volume cores of diatomaceous sediment on the continental shelf off Namibia, we built a box corer that is 30 cm square and 4 m long. This paper describes the corer and the tools and procedures for sampling the covers. In terms of volume of sediment recovered in a single penetration, the corer may be among the largest ...
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Model selection of M-estimation models using least squares approximation
Statistics & Probability Letters, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Square lattice antiferromagnets (NO)M(NO3)3 (M = Co, Ni): Effects of anisotropy
Journal of Alloys and Compounds, 2022A. Vorobyova +8 more
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The weighted least squares ratio (WLSR) method to M-estimators
2016 SAI Computing Conference (SAI), 2016The regression analysis is a considerable statistical instrument applied in many sciences. The ordinary least squares is a conventional method used by Regression Analysis. In regression analysis, the least squares ratio method outperforms than the ordinary least squares method, especially in case of the presence of outliers. This paper includes a novel
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