Investment horizons : A time-dependent measure of asset performance

How to quantify the influence of correlations on investment diversification

When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both artificial and real situations. We show that in most cases, the effective portfolio size is much smaller than the actual number of assets in the portfolio and that it lowers even further during financial crises.

Dynamic instability in a phenomenological model of correlated assets

We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This captures the fact that correlations determine the optimal portfolio but are affected by investment based on it. We show that such a feedback on correlations gives rise to an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical correlations very similar to those observed in real markets. …

评估供水系统减少漏损与资产管理的用水绩效指标

Assessing Water Performance Indicators for Leakage Reduction and Asset Management in Water Supply Systems

本文分析了供水系统百分比漏损指标（M1b）因数学公式和定义模糊导致的不一致性问题，并通过真实案例验证其对管理决策的影响。

Optimal Investment Horizons for Stocks and Markets

The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $τ^*_ρ$, which defines the most likely waiting time for obtaining a given return $ρ$. By considering equal positive and negative levels of return, we reported in \cite{gainloss} on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, the inverse statistics for 2/3 of the…