In: International Review of Financial Analysis, 2009, vol. 18, no. 1-2, p. 34-39
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...
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In: EFMA 2002 London meeting, 2003, p. 1-25
To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes the major international asset allocation methods based on mean-variance analysis that have been proposed...
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In: EFMA 2003 Helsinki Meeting, 2003, p. 1-31
This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and a macroeconomic implementation of the model are performed for the period 1986-2002 with monthly returns...
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In: Financial Markets and Portfolio Management, 1999, vol. 13, no. 1, p. 9-26
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In: Arctic Antarctic and Alpine Research, 2005, vol. 37(3), p. 387-395
Three major rainfall events have caused considerable damage in the Valais region (Swiss Alps) since 1987. While important debris flows originating from periglacial environments were recorded during the August 1987 and September 1993 rainfall events, no debris flows occurred in October 2000. This paper aims at putting these large area events and the apparent increase in debris flow frequency into...
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In: Theoretical and Applied Climatology, 2002, vol. 73(3-4), p. 133-150
A study has been conducted to assess the reasons for a significant decrease in the astronomic observing period since the Very Large Telescope of ESO (the European Southern Observatory) went into operation in 1998. Following a multi-year monitoring of meteorological parameters at the site of the ESO telescope in Paranal (northern Chile), the optimal climatic conditions observed there prior to the...
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In: Climatic Change, 2004, vol. 65, p. 11
The Earth's climate system is highly nonlinear: inputs and outputs are not proportional, change is often episodic and abrupt, rather than slow and gradual, and multiple equilibria are the norm. While this is widely accepted, there is a relatively poor understanding of the different types of nonlinearities, how they manifest under various conditions, and whether they reflect a climate system...
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In: Norwegian Journal of Geography
The winter ascending circulation of air throughout an accumulation of coarse slope sediments (the so-called chimney effect) facilitates the cooling of the ground and even the occurrence of permafrost in the lower part of a deposit. Simultaneously, any freezing is unlikely to occur in the upper part. The chimney effect has been reported to date mainly for cold and sometimes perennially frozen...
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