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Portfolio choice and estimation risk : a comparison of Bayesian approaches to resampled efficiency
(2002)
Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. Several approaches to incorporate estimation risk into portfolio selection are suggested in the earlier literature. These papers regularly discuss heuristic approaches (e.g., placing restrictions on portfolio weights) and Bayesian estimators. Among the Bayesian class of estimators, we will focus in this paper on the Bayes/Stein estimator developed by Jorion (1985, 1986), which is probably the most popular estimator. We will show that optimal portfolios based on the Bayes/Stein estimator correspond to portfolios on the original mean-variance efficient frontier with a higher risk aversion. We quantify this increase in risk aversion. Furthermore, we review a relatively new approach introduced by Michaud (1998), resampling efficiency. Michaud argues that the limitations of MV efficiency in practice generally derive from a lack of statistical understanding of MV optimization. He advocates a statistical view of MV optimization that leads to new procedures that can reduce estimation risk. Resampling efficiency has been contrasted to standard Markowitz portfolios until now, but not to other approaches which explicitly incorporate estimation risk. This paper attempts to fill this gap. Optimal portfolios based on the Bayes/Stein estimator and resampling efficiency are compared in an empirical out-of-sample study in terms of their Sharpe ratio and in terms of stochastic dominance.
This study is an introduction to the systems theory developed by the German sociologist Niklas Luhmann (1927-1998) and its significance for literaty studies. It departs from a historical point of view which understands the period around 1800 as the climax of the transformation from a stratified European society into a modern society with a social order structured by differentiated systems such as education, economy, law or literature, each with its specific function and characterized by its typical form of communication. In Germany, the literary system reflects this process in the poetology of Romantic writers. Literary communication is defined as a second order observation that oscillates between the real and potential and makes the ordered forms clearer. The autonomous and differentiated literary system becomes a field that is being observed by its environment. The history of literature in the 19th century instrumentalizes it for political goals, while the new copyright laws and the idea of the book as a profitable merchandise imbued the system of literature with accelerated dynamics.
Although the first travels to America were largely motivated by material interests, the news about native peoples published in Europe by the travellers little by little influenced a conception of the world, which was still dominated by medieval traditions. In general, the experience of the alien was still described in the forms of the own, but gradually the empirical knowledge began to structure a new discourse. The author analyses the earliest books on voyages to Brazil in the middle of the l6th century by Hans Staden, Jean de Léry and André Thevet. He observes how they develop discursive orders of their own, trying to deal with strange phenomena. They mark a first step for Western thought in the process of creating a space for the alien, who really exists – in this case on the coast of Brazil.
In the concentration on his text, the author Franz Kafka is often reduced to the phantom of a deadly sick and Oedipus-struck inventor of abstract labyrinths in an absurd bureaucratic universe. This talk intends to reintegrate him into the landscape of various conterts of modernicy at the beginriing of the 20Ih century such as: the movement of life-reform, intellectual debates, academic research in the field of industrial accidents, changing erotic relations and the enthusiasm for new technical products. As a result, the author claims that Kafka could well be imagined as a member of the pre-war-society described by Thomas Mann in the "Magic Mountain".
Glücksschuh und goldne Waage : Eduard Mörikes artistische Balance zwischen Klassik und Moderne
(2002)
This talk analyses the poems and narrative text of Eduard Mörike, who wrote in the period of Romanticism and Realism, emphasizing the considerable sensitivity necessary to describe realistic details, which can be seen in his highly artistic writings. Mörike is nor an epigone writer, but has a very individual style to represent the experience of perceiving and losing sensual objects. The article also demonstrates the potential of hermeneutic procedures following the spirit of Adorno, rejecting the tendencies to transform literary criticism into a cultural science as is done by Kittler.
Instituto Martius-Staden is a German-Brazilian institution of culture, history, and language in São Paulo. Founded in 1916 as an association of German teachers, the institute survived difficult times in the fourth and fifth decades of the century. The main problems were the laws and rules of the Vargas-period and the attempted ideological expansion of Nazi-Germany. The institute set up arquives and a library of German immigration and gathered a huge collection of mainly Brazilian-based German newspapers. In later years library sections of arts, German literature, and history were added. Since 1953 the institute has issued an annual publication named "Staden Jahrbuch" with contributions of renowned authors mainly on Brazil.
The author presents the concept of testimony in two different literary and theoretical backgrounds, namely the German and the Spanish-American. Testimonio and Zeugnis an not be mutually translated because the first is thought as a literary gender inside the literary tradition of mimesis/imitatio. Whereas the notion of Zeugnis was created in Germany on the grounds of Shoah literature, and was strongly impregnated by the psychoanalytical idea of trauma, and by the awareness of the simultaneous necessity and impossibility of the testimonial writing.
In this article, we analyse the use of modality markers in a German text taken from the Freiburger Korpus. We notice how the necessity of preserving face influences the speakers' choices of downgraders and upgraders, devices that determine the intensity of the speech acts and, therefore, the mood of the interaction.
Foreign immigration has become a very controversial subject in German speaking countries. This essay stresses the need to consider the problem in German language teaching in Brasil and to make the pupils aware of the situation. Proceeding on the theoretical context of the discourse analysis (Pêcheux, 1969; Orlandi, 1990 und 1999), the author discusses four newspaper articles, published between 1999 and 2001, on different aspects of Turkish immigration to Austria and discusses about the Interlocutionary Position (lugar de interlocução, Pecheux, 1969) of Turks in Austria.
This paper presents an overview of Corpus Linguistics and some possibilities of studies with corpora. It gives suggestions on how to build a corpus and shows the application of Corpus Linguistics in different areas of linguistic research.