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81 results on '"Ba, M."'

16. Recovering copulas from limited information and an application to asset allocation

Author

Ba M. Chu

Subjects
Economics and Econometrics, Empirical research, Computer science, Econometrics, Entropy (information theory), Asset allocation, Finance
Abstract

This paper proposes an entropy -based method to construct a new class of copulas – the most entropic canonical copulas (MECC). Our empirical study focuses on an investment problem for an investor with a constant relative risk aversion (CRRA) utility function allocating wealth between the Dow Jones Large-Cap and Small-Cap indices, of which the contemporaneous dependence can be modeled by the MECC or other commonly-used copulas. Both the theoretical analysis of the method and the empirical study indicate the potential for enormous statistical and economic gains as a result of using the MECC.

Published
2011
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17. Large deviations theorems for optimal investment problems with large portfolios

Author

Ba M. Chu, Stephen Satchell, and John Knight

Subjects
Information Systems and Management, General Computer Science, business.industry, Equity (finance), Asset allocation, Management Science and Operations Research, Edgeworth series, Upper and lower bounds, Industrial and Manufacturing Engineering, Hedge fund, Rate of return on a portfolio, Computer Science::Computational Engineering, Finance, and Science, Modeling and Simulation, Economics, Large deviations theory, Project portfolio management, business, Mathematical economics
Abstract

The thrust of this paper is to develop a new theoretical framework, based on large deviations theory, for the problem of optimal asset allocation in large portfolios. This problem is, apart from being theoretically interesting, also of practical relevance; examples include, inter alia, hedge funds where optimal strategies involve a large number of assets. In particular, we also prove the upper bound of the shortfall probability (or the risk bound) for the case where there is a finite number of assets. In the two-assets scenario, the effects of two types of asymmetries (i.e., asymmetry in the portfolio return distribution and asymmetric dependence among assets) on optimal portfolios and risk bounds are investigated. We calibrate our method with international equity data. In sum, both a theoretical analysis of the method and an empirical application indicate the feasibility and the significance of our approach.

Published
2011
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18. Cadre conceptuel pour l’intégration de la santé de la reproduction en milieu scolaire : expérience au Sénégal

Author

Ndianor Mbodj A, Sembène M, and Gueye Ba M

Subjects
Program evaluation, Strategic planning, Medical education, education.field_of_study, medicine.medical_specialty, business.industry, Public health, education, Population, Obstetrics and Gynecology, General Medicine, Conceptual framework, Reproductive Medicine, General partnership, medicine, The Conceptual Framework, Sociology, business, Reproductive health
Abstract

Resume But La sante de la reproduction des adolescent(e)s est une preoccupation de sante publique. Le but de cet article est de relater le cadre conceptuel de l’integration de la sante de la reproduction en milieu scolaire a partir d’un projet pilote mene au Senegal. Materiels et methodes Dans le cadre du Programme decennal pour l’education et la formation (PDEF) (2000 a 2010) du ministere de l’Education, une sous-composante « Sante et nutrition » avait ete etablie a la charge de la division du controle medical scolaire (DCMS), structure chargee de la sante des eleves au Senegal. C’est dans la mise en œuvre de cette sous-composante qu’un projet pilote intitule « Integration des services de sante de la reproduction en milieu scolaire » avait ete elabore et mis en œuvre de 2002 a 2006. Ce projet avait pour site un etablissement scolaire d’enseignement secondaire et une structure sanitaire specialement destinee aux eleves. Resultats L’elaboration de politiques en faveur de la sante scolaire par le ministere de l’Education Nationale et la designation de la DCMS comme cadre institutionnel ont permis de definir un cadre de reference permettant de mener des interventions en sante de la reproduction en direction des eleves. Ainsi, l’equipe de coordination, assistee d’experts en sante, a execute le projet qui a suivi une demarche participative depuis sa phase de conception grâce a un plaidoyer, impliquant outre les autorites ministerielles, les eleves, les professeurs, les parents d’eleves et le personnel medical des sites d’intervention. Un renforcement des capacites et des competences des differents acteurs par la formation, la sensibilisation et l’information a ete effectue grâce a un partenariat avec signature d’un protocole d’accord entre le Ministere de l’Education et le Ministere de la Sante. Conclusion L’ampleur des problemes de sante de la reproduction chez les adolescent(e)s justifie l’integration de cette composante dans les services de sante offerts en milieu scolaire.

Published
2010
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19. Modeling the contemporaneous duration dependence for high-frequency stock prices

Author

Marcel Voia and Ba M. Chu

Subjects
Copula (linguistics), Statistics, Econometrics, Economics, Gamma distribution, Estimator, Duration dependence, Bivariate analysis, Finance, Stock (geology)
Abstract

This paper proposes a novel copula approach to model the contemporaneous duration dependence for high-frequency (HF) stock prices via the bivariate hazard function. This method is useful in understanding the mechanism through which the prices of financial assets jointly adjust to reflect new information. In the empirical analysis, we use the HF data on the APPLE and IBM stocks to illustrate the feasibility of our approach. In brief, the main findings are as follows: (1) there is a strong evidence of contemporaneous duration dependence between the prices of these stocks and (2) as a result the estimators of the bivariate hazard function are sensitive to the choice of copulas under our study.

Published
2010
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24. Estimation and Inference in Semiparametric Moment Conditions Models with Dependent Data

Author

David T. Jacho-Chávez, Ba M. Chu, and Francesco Bravo

Subjects
Moment (mathematics), Mathematical optimization, Empirical likelihood, Monte Carlo method, Applied mathematics, Asymptotic distribution, Estimator, Stochastic equicontinuity, Mathematics, Generalized method of moments, Central limit theorem
Abstract

This paper considers the problem of estimation and inference for smooth semiparametric models with weakly dependent data using two-step smoothed Generalized Method of Moment, Generalized Empirical Likelihood and Exponentially Tilted methods. The resulting estimators are asymptotically normal whereas the asymptotic distribution of the proposed test statistics depends crucially on the presence of the estimation effect. The proofs utilize a new uniform strong law of large numbers with a sharp logarithmic probability bound as well as two new central limit theorems for U-statistics with varying kernels that are of independent interest. Both the theoretical results and the Monte Carlo finite sample performance of some of the proposed estimators and test statistics are illustrated using a partially linear instrumental variable model.

Published
2012
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26. Pediatric invasive pneumococcal disease in Senegal

Author

Ba, I.D., primary, Ba, A., additional, Faye, P.M., additional, Thiongane, A., additional, Attiyé/Kane, M., additional, Sonko, A., additional, Diop, A., additional, Deme/Ly, I., additional, Diouf, F.N., additional, Ndiaye, O., additional, Leye, M.M.M., additional, Cissé, M.F., additional, and Ba, M., additional

Published
2015
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29. When Do the Discount Sums of Moving Averages Converge to the Normality?

Author

Soosung Hwang and Ba M. Chu

Subjects
Heteroscedasticity, Weak convergence, Moving average, Simple (abstract algebra), media_common.quotation_subject, Mathematical analysis, Applied mathematics, Unit root, Normality, Mathematics, media_common
Abstract

This paper is concerned with the weak convergence of the discount sums (so-called Abel summations) of moving averages. We extends the results established by Omey (1984) into the dependent case. As a simple illustration, we derive the asymptotic distributions of the Dicky-Fuller test for unit root in the case when the innovations of an AR(1) process are serially correlated and nearly heteroskedastic.

Published
2008
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30. Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach

Author

Ba M. Chu, John Knight, and Steve Satchell

Subjects
Rate of return on a portfolio, Jump diffusion, Equity (finance), Econometrics, Economics, Portfolio, Large deviations theory, Exponential utility function, Asset return, Mathematical economics, Parametric statistics
Abstract

In this study, we propose a new method based on the large deviations theory to select an optimal investment for a large portfolio such that the risk, which is defined as the probability that the portfolio return underperforms an investable benchmark, is minimal. As a particular case, we examine the effect of two types of asymmetric dependence; 1) asymmetry in a portfolio return distribution, and 2) asymmetric dependence between asset returns, on the optimal portfolio invested in two risky assets. Furthermore, since our analysis is based on a parametric framework, this allows us to formulate a close-form relationship between the measures of correlation and the optimal portfolio. Finally, we calibrate our method with equity data, namely S&P 500 and Bangkok SET. The empirical evidences confirm that there is a significant impact of asymmetric dependence on optimal portfolio and risk.

Published
2006
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31. La cytostéatonécrose du nouveau-né : à propos de trois observations

Author

Ba, A., primary, Faye, P.M., additional, Diagne/Guéye, N.R., additional, Ba, I.D., additional, Cissé, D.F., additional, Fall, A.L., additional, Ba, A., additional, Déme/Ly, I., additional, Keita, Y., additional, Basse, I., additional, Niang, B., additional, Djeng, Y.J., additional, Thiognane, A., additional, Ould Moustapha Hoa, H., additional, Diouf, S., additional, Signaté/Sy, A., additional, Ba, M., additional, and Sarr, M., additional

Published
2014
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36. Fistules vésicovaginales posthystérectomie

Author

Sarr, A., primary, Sow, Y., additional, Thiam, A., additional, Ngom, I., additional, Fall, B., additional, Diao, B., additional, Fall, P.A., additional, Ndoye, A.K., additional, Ba, M., additional, and Diagne, B.A., additional

Published
2013
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44. Amibiase pulmonaire chez l’enfant

Author

Faye, P.M., primary, Diagne-Gueye, N.R., additional, Ba, I.D., additional, Fall, A.L., additional, Gueye, M., additional, Camara, B., additional, Diagne, I., additional, and Ba, M., additional

Published
2011
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