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k**k
发帖数: 61 | 2 大家好，请教个问题。
已有一组simulated returns of constituent stocks (20*10000,即20个stock,共
10000组correlated returns)。想在某个portfolio target return的constraint下通
过变化stock weights来minimize portfolio expected shortfall，不知道该如何设
objective function。主要是如何将每个scenario下portfolio expected shortfall的
计算直接体现在objective function中不知道如何处理。optimization打算直接用
fmincon函数做。大家有什么建议没有？ |
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E*****5
发帖数: 1068 | 4 http://www.cnbc.com/2016/08/08/social-securitys-looming-32-trillion-shortfall.html
有人说这几年经济好转，就算这个假设成立，那钱也没去填社保和医保的窟窿，打肿脸
冲胖子，去当救世祖。总统和当官的有了好名声，有着大把退休金以及演讲带来的收入
，根本不考虑千千万万老百姓。
这八年，说实话，最肥的是华尔街，脑子活络的老中跟着喝了点汤。脑子不活络的，苦
日子还在后头。现在白人亚裔都不愿意生娃是为啥，归根结底是钱不够多，很多妈妈也
需要出去干活，没时间精力照顾孩子。中产确实是被盘剥的越来越狠，背负房子，孩子
的教育，年老了还不一定有足够的退休金应付日常支出和日益增长的医疗。民主党承诺
的这些东西，都需要钱，钱哪里来？好比一个小家，帮助人也是力所能及。现在为了选
票拉进那么多非移和难民，就是为了一己之利牺牲了千千万万普通老百姓的利益。 |
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d****n
发帖数: 2507 | 5 By Michael Sluss |The Roanoke Times
Gov. Tim Kaine told General Assembly budget-writers this morning
that Virginia faces a revenue shortfall of $1.5 billion, requiring
more cuts to the state budget.
“They will be painful to those who rely on public services at
this very challenging time,” Kaine said in a speech to the
legislature’s money committees.
Kaine said lingering economic weakness led him to reduce projected
revenue for the current fiscal year by about $1.2 billion,
or 1.2 percent. The st |
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k**k
发帖数: 61 | 6 matlab感觉更实用也更方便些. 这个问题也看到过一些解法，比如设objective
function为:
a + max(- portfolioReturn - a, 0)/(0.05 * number of sample)
其中a是一个适当的初始值, 对于每一个weight scenario， portfolioReturn就是对应
的10000个simulated portfolio returns (从之前的10000个correlated stock return
里算出）. 0.05代表的是5%的confidence interval下的expected shortfall
由此直接用fmincon就能找出最后的优化weight。对此不怎么理解，但试验了一下这个
确实是给出了正确解，不知道有没有懂行的能comment一下？或者建议一个更合适的版
问问？ |
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k**k
发帖数: 61 | 7 从概念上讲，这个优化问题没什么难的．但我想用matlab中现有的功能去实现，比如说
最常用的constrained optimization中的fmincon函数．难点就是如何设objective
function.要能做到在每一个weight scenario下能自动找出对应的expected shortfall
．之前我提的objective function就是一个workable的例子，只是我没看懂．谁能有具
体的idea? |
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m***s
发帖数: 605 | 8 non-parametric CVaR 是个 linear programming， 你这种没什么特别好的办法吧， 就
把tail平均吧。
shortfall |
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m***s
发帖数: 605 | 9 你不能sort之后去尾部平均吗？ 我觉得你现在的这个方法下的cvar恐怕不是convex的，
需要很多起始点。 另外cvar不是万能的， 你这种parametric的方法解出来的不比non
-parametric解出来的好。 因为你的non-normal distribution在fit的过程中paramete
r的uncertainty很大， 加上cvar是个尾部量， 本身的variance很大。
shortfall |
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s***e
发帖数: 267 | 10 Interesting...
If you assume a is the correct 95% Var, then you get the right weights which
minimizes the expected shortfall. Now if you have the right weights, and
just try to vary "a", you should get the right a, i.e. the 95% var.
So it turns out that a* and w* (the optimal var and optimal weights) are
solution of the optimization problem.
you
returns |
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r*g
发帖数: 3159 | 11 似乎笔误，max前少一个求和，然后就是 - expected shortfall 定义。
return |
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p****r
发帖数: 9164 | 12 People on 2p2 used to bet the chance of getting FTP money back, now they
start to bet how many will suicide after Sept 15, when FTP may annouce
bankruptcy.
Do not be surprised if you never see me again after Sept 15.... I
was staying on a sinking boat , sadly I never know it was sinking before
April 15.
http://www.subjectpoker.com/2011/08/ftps-60m-shortfall-actually-much-larger/
On June 16th, Subject: Poker reported that Full Tilt Poker had credited
$60 million to playe... 阅读全帖 |
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l****z
发帖数: 29846 | 13 Durbin (Again) Denies Social Security’s Red Ink
by Eugene Kiely
Sen. Richard Durbin says that “Social Security does not add one penny to
our debt.” That’s false. It was wrong 21 months ago, when Durbin said it
once before, and it’s even more off the mark now.
The federal government for the first time in its history had to borrow money
in 2010 to cover Social Security benefits to retired and disabled workers
— a trend that worsened in 2011 and will not change at any point in the
future unless cha... 阅读全帖 |
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g******4
发帖数: 6339 | 14 Posted: Dec 09, 2013 4:57 PM CST Updated: Dec 09, 2013 5:01 PM CST
CHICAGO (Associated Press) -
By SARA BURNETT
Associated Press
It's not the vision of a world class city that Chicago Mayor Rahm Emanuel
typically likes to portray.
More teachers losing their jobs, thousands fewer police and firefighters on
duty, less frequent trash collection and miles of potholed roads going
unrepaired -- all as property taxes soar.
But that's the scenario Emanuel and others have said could befall the nation
's ... 阅读全帖 |
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p*******1
发帖数: 102 | 15 Congress’s Six-Figure Benefits Add to $674 Billion Pension Gap
By Charles R. Babcock and Frank Bass - Jan 18, 2012 9:01 PM PT
Almost 15,000 federal retirees, including former leaders of Congress, a
university president and a banker, are receiving six-figure pensions from a
system that faces a $674.2 billion shortfall.
About one of every 125 retired federal civilian workers collects more than $
100,000 in benefits annually. They include physicians, postal workers and
presidential candidate Ne... 阅读全帖 |
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l****z
发帖数: 29846 | 16 As Brad Williams walked the halls of the California state capitol in
Sacramento on a recent afternoon, he spotted a small crowd of protesters
battling state spending cuts. They wore shiny white buttons that said "We
Love Jobs!" and argued that looming budget reductions will hurt the Golden
State's working class.
Mr. Williams shook his head. "They're missing the real problem," he said.
The working class may be taking a beating from spending cuts used to close a
cavernous deficit, Mr. Williams sai... 阅读全帖 |
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l****z
发帖数: 29846 | 17 The Wall Street Journal
23 Feb 2012
Investigators probing the collapse of MF Global are scrutinising two money
transfers made during the securities firm's final days in an effort to
uncover what happened to $1.6bn in missing customer funds.
Investigators probe cash moves at MF Global
Federal regulators at the Commodity Futures Trading Commission and the US
bankruptcy trustee for MF Global's brokerage unit are examining two separate
transfers from customer accounts, including a previously undiscl... 阅读全帖 |
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l****z
发帖数: 29846 | 18 The U.S. budget deficit widened in May from a year earlier on a 10 percent
increase in spending, the Treasury Department said.
Outlays exceeded receipts by $138.7 billion last month compared with a $124.
6 billion shortfall in May 2012, the Treasury said today in Washington. The
gap was in line with the $139 billion median estimate in a Bloomberg survey
of 23 economists.
The Congressional Budget Office last week said that spending in May would’
ve been $4 billion less than a year earlier were it... 阅读全帖 |
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g******4
发帖数: 6339 | 20
CHICAGO (FOX 32 News) -
The latest battle over Illinois pension reform is expected to come to a head
on Tuesday in Springfield. Governor Quinn and legislative leaders are
pushing hard for a "yes" vote. Meanwhile, opponents have been working to
drum up opposition, including having retirees flood lawmakers offices before
the vote. The outcome is still up in the air.
State Senator Daniel Biss, from Chicago's North Shore, is one of ten
legislators appointed last June to a special committee to come ... 阅读全帖 |
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H****g
发帖数: 14447 | 21 Grada论文摘要
Frank Dikötter’s Mao’s Great Famine {henceforth “MGF”} is the
longest and most detailed study of the Great Leap Forward (GLF) famine to
appear in English to date.{…} The tone throughout is one of abhorrence and
outrage, and sometimes MGF reads more like a catalogue of anecdotes about
atrocities than a sustained analytic argument. In style and approach it
recalls Jung Chang and Jon Halliday’s controversial Mao: The Unknown Story
(2005); indeed, Chang leads the ”praise” for MGF on t... 阅读全帖 |
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d*******q
发帖数: 553 | 22 看见一个更搞笑的分析。Dean自己的办公室养了不做research不教书折合72个全职，
开销一年从3.6M涨到5.1M。 然后把CS砍掉节约1.8M. 太黑色幽默了。 感觉跟相声里
才应该有的事情。
Anonymous says:
April 23, 2012 at 11:16 pm
Here is how to find the 1.5 million “fat” in the dean’s office.
While the proposal to dissolve UF CISE during the time when there is a
national shortage on Software Engineers is uttermost absurd, I decided to
analyze the public salary data in UF College of Engineering. To my
surprise,
I found several instances of extravagant compensation and recent
expa... 阅读全帖 |
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s*********8
发帖数: 901 | 23 From: Governor Christine Gregoire [mailto:Governor.ChristineGregoire@
GOVERNOR.WA.GOV]
Sent: Thursday, November 18, 2010 3:02 PM
To: A*****************[email protected]
Subject: Message from the Governor
Dear Colleague:
Two words sum up my reaction to this morning’s revenue forecast: enough
already.
Like you, I can’t stomach more bad fiscal news. Today’s forecast took an
already difficult situation and made it worse. The projection takes $385
million from this year’s budget and $809 million from... 阅读全帖 |
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k**0
发帖数: 19737 | 25 一句话概括全文，实际油耗大于PPT油耗， 类似你永远开不到汽车的最大标示MPG。
原文连接：http://www.flightglobal.com/blogs/the-dewline/2011/05/breaking-f-35as-legs-too-short.html
The Federation of American Scientists posted a copy of the latest selected
acquisition report on the Lockheed Martin F-35 program, a 53-page gold mine
of cost and performance data. Data on pages 10 and 12 are the basis for our
breaking news article:
F-35A may need mod's to fix range shortfall
A new internal report predicts the Lockheed Martin F-35A conventional ... 阅读全帖 |
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l****z
发帖数: 29846 | 26 By George Scaggs
Across the nation, as states struggle fiscally, Republican-led legislatures
are reining in spending to balance state budgets. What a refreshing sight
to behold: government actually spending less today than it did yesterday,
eliminating government programs, and reducing the number of public-sector
workers where necessary.
A complete contrast to the way in which government works at the federal
level, such measures are foreign to many Americans. We are conditioned to
the standard... 阅读全帖 |
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l****z
发帖数: 29846 | 27 By Karin McQuillan
Democrats say that government can create jobs through borrowing, printing
money and spending. They warn that trimming bureaucrats from payrolls will
be an economic disaster. Republicans argue that the bigger the government
is, the smaller the private sector. The Tea Party prescription: shrink
government, lower taxes, decrease regulation, and the economy will rebound
through private enterprise.
"Facts are hard to argue with," Governor Walker of Wisconsin declared in a
Herit... 阅读全帖 |
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h********n
发帖数: 15 | 28 http://www.jewishworldreview.com/cols/sowell1.asp
保守派作家中最为睿智的一位，总是能非常简单的说明一个问题。Limbaugh, Coulter,
Hannity 还有FOX的王牌R'reilly虽然都很能舌辩，但是深度上要差一些。
The ‘Ponzi’ Sound Bite
By Thomas Sowell
Many in the media and in politics have gone ballistic over the fact that
Texas Governor Rick Perry called Social Security "a Ponzi scheme."
Although many act shocked, shocked, as if Rick Perry had said something
unthinkable, Governor Perry is not even among the first thousand people to
call Social Security a Ponzi sch... 阅读全帖 |
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l****z
发帖数: 29846 | 29 Treasury announces 2011 deficit is second highest in history
By Erik Wasson - 10/14/11 02:26 PM ET
The U.S budget deficit for fiscal year 2011 is $1.299 trillion, the second
largest shortfall in history.
The nation only ran a larger deficit for the 2009 fiscal year, which
included the dramatic collapse of financial markets and a huge bailout
effort by the government. The nation's deficit that year was $1.412 trillion.
This year's deficit is slightly higher than fiscal year 2010, when the
nat... 阅读全帖 |
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l****z
发帖数: 29846 | 30 MF’s Corzine Ordered Funds Moved to JP Morgan, Memo Says
By Phil Mattingly and Silla Brush - Mar 23, 2012
Jon S. Corzine, MF Global Holding Ltd. (MFGLQ)’s chief executive officer,
gave “direct instructions” to transfer $200 million from a customer fund
account to meet an overdraft in a brokerage account with JPMorgan Chase & Co
. (JPM), according to a memo written by congressional investigators.
Edith O’Brien, a treasurer for the firm, said in an e-mail quoted in the
memo that the transfer was “... 阅读全帖 |
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l****z
发帖数: 29846 | 31 July 11, 2013 Posted by Ken Marrero
According to Fox and Hounds, a California watchdog site that monitors
business and politics in the Golden State, the California Senate fast
tracked SB 768, a bill that would raise taxes on a pack of cigarettes by a
whopping $2.00 per pack; a 230% increase over the current $0.87 per pack.
Did I mention the bill includes automatic tax increases down the road, too?
Why is this a bad idea? Because nothing the bill’s sponsors want to
accomplish will happen. Meanwhi... 阅读全帖 |
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l****z
发帖数: 29846 | 32 While residents across Chicago continue to struggle facing a 10.3 percent
unemployment rate and a median household income of $47,371, according to the
2010 U.S. Census the city of Chicago is paying 2,409 of its employees over
$100,000 per year.
The city’s roughly $2.4 billion payroll includes over 32,000 police,
firefighters, emergency responders, city council (aldermen and their staff),
mayoral staff, water management staff, transportation, budget management,
animal control, crossing guards, li... 阅读全帖 |
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k****k
发帖数: 3322 | 33 看看下面的数字，一个是台上的数字，一个是台下的数字。
As of September 3, 2013, the official debt of the United States government
is $16.7 trillion ($16,738,618,787,875).[1] This amounts to:
� $52,909 for every person living in the U.S.[2]
� $138,240 for every household in the U.S.[3]
� 100% of the U.S. gross domestic product.[4]
� 526% of annual federal revenues.[5]
* Publicly traded companies are legally required to account for "explicit"
and "implicit" future obligations such as employee pens... 阅读全帖 |
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g********2
发帖数: 6571 | 34 Temple provost removed
Temple University on Tuesday announced the sudden departure of its provost,
Hai-Lung Dai, saying he "has been relieved of his administrative
responsibilities effective immediately."
The announcement came on the same day that the university acknowledged that
it had exceeded its financial aid budget for its merit scholarship program
for 2016-17 by $22 million and had already taken steps to balance the budget.
Several sources with ties to the university said that president Ne... 阅读全帖 |
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p****e
发帖数: 1028 | 36 how do you define risks?
daily mtm risk or shortfall risks?
i can show a few government bond strategies that bear little shortfall risks
, given you are willing to bear the credit risk of the US government. |
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f*******t
发帖数: 1978 | 37 Schwarzenegger Calls for Deep Health, Welfare Cuts
By STU WOO
SACRAMENTO, Calif.—California Gov. Arnold Schwarzenegger proposed a revised
spending plan Friday that pegs the state's budget shortfall at $19.1
billion and calls for deep cuts to welfare and health programs to fill the
gap.
The new shortfall estimate is slightly higher than the previous projection
of $18.6 billion because the state collected less tax revenue than expected
in April for the 2009 tax year.
The Republican governor propos |
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m*****u
发帖数: 5534 | 38 Greece Announces New Measures to Close Budget Gap
By NIKI KITSANTONIS
Published: September 11, 2011
ATHENS — With foreign creditors and global markets piling pressure on
Greece to meet the conditions of an international bailout and stave off a
default that would shake the euro zone, the debt-ridden government announced
further budget cuts on Sunday and introduced a one-time property tax, even
as thousands of Greeks protested months of austerity.
The announcement of the new fiscal measures, made ... 阅读全帖 |
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V******n
发帖数: 881 | 39 My pick of next week 1/28~2/1 is $LF, right before its ER release on 2/6/
2013
The stock leaps from 7.56->10 between12/13/2012 and 1/17/2013. There was a
pull back in the past week and the current price is 9.23, -4.15% drop today
with the news that its competitor Hasbro's profit shortfalls and a suspect
that the toy industry shortfall during holiday season. However, I believe
with quite a few products on top seller lists and kids are moving from toys
to tabs. It's not that the parents are not bu... 阅读全帖 |
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r******d
发帖数: 1879 | 40 摘要:
- Median price to household income ratio is history low at 153%
- history low mortgage interest
- Median mortgage payment is only 78% of median asking rent, and it used to
be 105% before 2005
- new house price is only 25% higher than construction cost, and it is twice
as much in 2005
全文:
With the debt crisis in Europe still unresolved and economic growth in the U
.S. sluggish, the capital markets continue to exhibit elevated volatility.
However, this does not mean that no investment opportun... 阅读全帖 |
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m*********t
发帖数: 1250 | 41 这是什么逻辑？PA公立不靠State和Fed的资助，那靠啥？
好学区还是有不少人上私立，到时候钱还不是带到私立去了，公立肯定会受影响啊，只
是大小不同而已~
----------
http://paloaltoonline.com/news/2016/07/15/palo-alto-school-district-stunned-
by-tax-shortfall
UPDATE: The school board will discuss the tax shortfall in a special budget
study session on Wednesday, July 27, 4-6 p.m. at the district office, 25 Chu
rchill Ave.
The Palo Alto school district is suddenly facing a $3.7 million budget gap d
ue to a new property-tax revenue estimate from the Santa Clara County Asse... 阅读全帖 |
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j****i
发帖数: 68152 | 42 就这还叫有钱？
Johns Hopkins University endowment drop brings hiring freeze, cost cuts
Baltimore Business Journal - by Ryan Sharrow, Staff
Date: Friday, February 13, 2009, 12:23pm EST - Last Modified: Friday,
February 13, 2009, 4:45pm EST
Related:
Education
Enlarge Image
Johns Hopkins University President Dr. William R. Brody.
Click here to find out more!
Johns Hopkins University President William R. Brody outlined a series of
cost-cutting measures Friday in an attempt to guide the institution through... 阅读全帖 |
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x*****g
发帖数: 2118 | 43 salary要下调了，哎
UC Plans Employee Salary Reductions, Furloughs to Address Budget Shortfall
A memo issued by University of California President Mark Yudof Wednesday (
June 17) outlines three salary reduction and furlough options for UC
employees. These reductions will help the university address the severe
fiscal challenges it is facing. The combination of actual and proposed cuts
by the State to UC’s budget for the current and upcoming fiscal years will
result in shortfall of nearly $800 million.
T |
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p********a
发帖数: 2 | 44 by using exponential tilling you can contracts a
more efficient estimator (the variance is lower, the confidence
interval in more narrow)
请教为什么Monte Carlo Method方法计算expected shortfall改成Exponential
Tilting计算expected shortfall之后,方差更小和置信区间更窄?
谢谢! |
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q*****i
发帖数: 1957 | 45 We are the Academic Council of the University: we are the chairs of the ten
campus divisions, as well as the chairs of the systemwide committees. We
write to address the protests on many of UC campuses over the Regents’
decision to increase student fees by $2,500 per year. This decision followed
budget shortfalls that have entailed significant staff layoffs and cuts to
a range of student services. Faculty and staff also are suffering from
significant reductions in compensation due to the current... 阅读全帖 |
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g********n
发帖数: 2314 | 46 【 以下文字转载自 SanFrancisco 讨论区 】
发信人: gjq (who am i?), 信区: SanFrancisco
标 题: 伯克里大学也顶不住了 (转载)
发信站: BBS 未名空间站 (Wed Jun 17 13:26:22 2009, 美东)
发信人: vickistorm (vickistorm), 信区: Military
标 题: 伯克里大学也顶不住了
发信站: BBS 未名空间站 (Wed Jun 17 08:47:47 2009, 美东)
Dear Campus Colleagues:
As you are undoubtedly aware, California's financial crisis has worsened
severely in recent weeks; this means that the likelihood of unprecedented
cuts in State funding of the University has risen dramatically. UC Berkeley
is facing t... 阅读全帖 |
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m******o
发帖数: 542 | 48 Bloomberg
China to Accelerate Exports of Rare-Earth Metals, Japan Says
Nov. 15 (Bloomberg) -- China, the world’s largest producer of rare-earth
metals, intends to speed up exports after delays disrupted supply of the
elements used in Toyota Motor Corp’s hybrid vehicles and turbines made by
Vestas Wind Systems A/S.
“I got the impression that this will be resolved soon,” Japan’s Trade
Minister Akihiro Ohata told reporters on Nov. 13 after meeting his Chinese
counterpart, Zhang Ping, at the Asia-Pa... 阅读全帖 |
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s****n
发帖数: 4902 | 49 无产阶级VS资产阶级贵族
http://www.nytimes.com/2010/11/27/opinion/27herbert.html?hp
ovember 26, 2010
Winning the Class War
By BOB HERBERT
The class war that no one wants to talk about continues unabated.
Even as millions of out-of-work and otherwise struggling Americans are
tightening their belts for the holidays, the nation’s elite are lacing up
their dancing shoes and partying like royalty as the millions and billions
keep rolling in.
Recessions are for the little people, not for the corporate chiefs and... 阅读全帖 |
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t*****9
发帖数: 10416 | 50 Texas slashes budget to close budget deficit
Tami Luhby, senior writer, On Wednesday January 19, 2011, 12:11 pm
Texas lawmakers unveiled a Spartan budget late Tuesday night that slashes $
31 billion in spending to close the state's massive budget deficit. Schools,
Medicaid and corrections would be hit particularly hard.
The spending plan calls for a 13% cut to public education and a 7.6% drop in
higher education support. Health and human services would see funding
plummet by nearly a quarter, wh... 阅读全帖 |
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