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ARE IMMUNIZATION STRATEGIES EFFECTIVE? AN EMPIRICAL STUDY BASED ON QUOTATIONS FROM MTS POLAND MARKET

100%
Klimkowska J.
Roczniki Kolegium Analiz Ekonomicznych
|
2008
|
vol. 18
165-181
EN
This paper presents results of an empirical study designed to test effectiveness of immunization strategies for a portfolio of default-free fixed-income bonds, where immunization strategy consists in selecting a portfolio for which the exposure of its terminal value to arbitrary interest rate changes is minimized. Two immunization strategies were tested: M(2) minimization strategy - based on the second order duration, and M(A) minimization strategy - based on the absolute value duration. Immunization strategies were applied to RP Treasury fixed-coupon bonds traded on the MTS Poland Market. Upon deriving the empirical term structure of interest rates, three types of portfolio have been constructed for 25 different investment horizons: one for each immunization strategy, while portfolios of the third type were composed of two bonds selected quasi-randomly. Next, relative changes in the terminal value of all portfolios have been calculated on three dates: one day after, one week after, and four weeks after portfolios were constructed. The two immunization strategies have performed equally well in terms of the relative decrease in the end-of-horizon value of portfolio, and much better than the quasi-random portfolios. Results, therefore, do not support claims of superiority of the M(A) strategy over the M(2) strategy, reported by some researchers. .
2

SCHAEFER'S MODEL AND ITS MODIFICATION IN INVESTIGATING CHANGES IN THE YIELD TO MATURITY CURVE FOR POLAND

100%
Górska R.
Przegląd Statystyczny
|
2005
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vol. 52
|
issue 2
103-120
EN
The paper investigates the applicability of Schaefer's model for explaining changes in the yield to maturity (YTM) curve for the case of Poland and proposes some modification to the model. The YTM curve is a plot of yield to maturity against term to maturity for bonds with similar risk characteristics that changes over time. There exist many approaches for modeling changes of YTM curve, based on different assumptions. The correct use of Macaulay duration as a measure of the sensitivity of bond or portfolio price to small changes of interest rates is based on the assumption that the YTM curve is subject to proportional shifts. This assumption is not always satisfied in reality. One way of modelling deformation of the YTM curve is to use the two-factor Schaefer model. Schaefer (1984) expresses the change in each 'm'-year maturity rate by two explanatory variables - the change in the long rate (maturity 20 years) and the change in the spread - and then estimates structural parameters of these regressions. Empirical investigation of applicability of Schaefer's model for Poland needs construction of YTM curve. The data used in the present study of the Polish market is from the Reuter agency and covers the period 17.07.2002 - 7.01.2004. Estimation was carried out in E-views using the ordinary least squares method. The results of the empirical investigation show that Schaefer's model can be used to model the changes of the YTM curve in Poland, but his choice of explanatory variables is not optimal. Instead of using the change in the long-term rate as an explanatory variable it is better to use the change in the 4-year rate. With this modification, the model provides a much better representation of the changes of the curve. The stability of the structural parameters was investigated. Stability tests available in E-views showed that there is no structural change in the modeled relationships, except in the case of September - November 2003, where the hypothesis of parameter constancy was rejected at the 5 percent level for two of models. This temporary instability can be enplained by the faci that the YTM curve become more steep in this period. The results confirm the usefulness of applying two measures of risk instead of the traditional Macaulay duration. The models make it possble to obtain so called 'long' duration (or duration of other rate of reference) and 'spread' duration. If changes in the YTM curve can be described by Schaefer's model, these measures can be applied to interest risk management in the construction of bond portfolios.
3

CHILDREN'S COGNITIVE DEVELOPMENT OF LIVED-EXPERIENCED TIME AND PHYSICAL TIME

75%
Stavroula S.
Studia Psychologica
|
2011
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vol. 53
|
issue 3
307-311
EN
Cognitive processing of temporal information is based on multiple domains of knowledge including psychological and physical ones. The notion of age is an aspect of psychological time that can be conceived as a 'lived-experienced' time, whereas the notion of duration is an aspect of physical time. This research examines whether the acquisition of the notions of age and duration during cognitive development is simultaneous, as is suggested by the piagetian thesis, or successive, as recent research has shown. Four problems concerning past and future age and duration notions were presented to 146 Greek pupils aged 6 to 9 yrs. Pupils were asked to answer the questions and justify their answers. It is shown that a) in problems asking about past events, both age and duration are very difficult for children, b) problems asking about the future are easier and, contrary to the piagetian thesis, the acquisition of age in fact precedes duration. Moreover, cognitive boundaries during development are considered.
4

TURNIKETOM LEVINASOVHO ČASU

75%
Sucharek P.
Filozofia (Philosophy)
|
2006
|
vol. 61
|
issue 8
642-658
EN
Basically it is not possible to fully understand to the Levinas' ethical axioms without the comprehension of his time scheme. This is to be defended here as it is important to show the time awareness apparent in its relationship to the infinity which is essentially preconditioned by the death. The term time does not necessarily include the 'conatus essendi', however, especially the ontological excess 'extra sui' is present. The death and the nihility are not the last possible instances of the question of the being; on the contrary, they are the essential conditions for the constitution of the time. It is not possible for the time to be realized without the approach of the Other's future, within the hypostatic isolation of the subject. It is on the background of the neutrality that the subjectivity arises. The time is not the question of subjectivity. The presence of the existing essentially relates to the duration. The nihility is a destructive moment of the duration and it lies in the detachedness of the present moments. In this sense the sociability - the space of time - is actually 'contra tempus'.
5

Dualizm psychofizyczny w koncepcji Malebranche`a i Bergsona na podstawie charakteru postrzeżenia zmysłowego. Próba porównania

63%
Walerich E.
Kwartalnik Filozoficzny
|
2015
|
vol. 43
|
issue 4
61-82
EN
In the article I compare the psycho-physical dualism of Nicolas Malebranche and Henri Bergson. The study of these two systems is important because Bergson is often critical of modern theories claiming a parallelism of soul and body. Malebranche bases his system on the category of space, while Bergson rejects the spatial view of reality and bases his conception on the notion of duration. On the one hand, Bergson criticizes the Cartesian dualistic conception. Yet, on the other hand, he builds his system in reference to modern solutions. The comparison of these two significantly different conceptions gives a more profound understanding of the problem of psycho-physical dualism. Furthermore, it makes possible a better appreciation of the innovative character of Bergson’s proposal. I consider the relation between mind and brain by means of an analysis of sensation because in both theories it is here that soul and body meet.
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