Forecasting of dependence,market, and investment risks of a global index portfolio

This paper undertakes an in-sample and rolling-window comparative analysis of dependence, market, and portfolio investment risks on a 10-year global index portfolio of developed, emerging, and commodity markets. We draw our empirical results by fitting vine copulas (e.g., r-vines, c-vines, d-vines), IGARCH(1,1) RiskMetrics value-at-risk (VaR), and portfolio optimization methods based on risk measures such as the variance, conditional value-at-risk, conditional drawdown-at-risk, minimizing regret (Minimax), and mean absolute deviation. The empirical results indicate that all international indices tend to correlate strongly in the negative tail of the return distribution; however, emerging markets, relative to developed and commodity markets, exhibit greater dependence, market, and portfolio investment risks. The portfolio optimization shows a clear preference towards the gold commodity for investment, while Japan and Canada are found to have the highest and lowest market risk, respectively. The vine copula analysis identifies symmetry in the dependence dynamics of the global index portfolio modeled. Large VaR diversification benefits are produced at the 95% and 99% confidence levels by the modeled international index portfolio. The empirical results may appeal to international portfolio investors and risk managers for advanced portfolio management, hedging, and risk forecasting.     

Debunking material induction

In this paper, we present an explanatory objection to Norton's material theory of induction, as applied to predictive inferences. According to the objection we present, there is an explanatory disconnect between our beliefs about the future and the relevant future facts. We argue that if we recognize such a disconnect, we are no longer rationally entitled to our future beliefs.     

Wolves in sheep’s clothing: three new cases of aggressive mimicry in Red Sea coral reef fishes

ABSTRACT

Here we document three cases of mimicry in coral reef fishes not previously reported in the literature involving two groupers (Epinephelus leucogrammicus and Plectropomus marisrubri) and a soapfish (Diploprion drachi) as mimics, and two wrasses (Larabicus quadrilineatus and Cheilinus quinquecinctus) and a blenny (Meiacanthus nigrolineatus) as models. All three cases are of aggressive mimicry, with a predatory species mimicking a harmless one, and in one of the cases, the mimicry is also Müllerian, where both the predator and harmless species are unpalatable.     

Diversity and dispersal history of the talitrids (Crustacea: Amphipoda: Talitridae) of Bermuda

Five taxa of talitrid amphipods were found in the archipelago of Bermuda, of which three were recorded there for the first time. Four of these are supralittoral wrack generalists: Platorchestia monodi BOLD:AAB3402, (a unique Molecular Operational Taxonomic Unit according to the Barcode Index Number system), a related species recognized by molecular methods, Platorchestia platensis BOLD:AAA2949, Mexorchestia carpenteri carpenteri BOLD:AAC1491 and Tethorchestia antillensis; and one a terrestrial leaf-litter generalist: Talitroides alluaudi. A key is provided to discriminate between the formally described talitrids of Bermuda. Dispersal mechanisms from the American continent to Bermuda were considered for all taxa based on species distributions along the North American Atlantic coast and also investigated by molecular methods, using genetic population differentiation and haplotype network analysis based on the barcode region of cytochrome c oxidase subunit I gene. For P. monodi BOLD:AAB3402 the genetic results suggest that some dispersal events occurred before human colonization of Bermuda but are equivocal about the source population and therefore the direction of dispersal. Some very recent synanthropic dispersal is possible with this species. For the other two species studied genetically, P. platensis BOLD:AAA2949 and M. c. carpenteri BOLD:AAC1491, the small population samples analysed support dispersal to Bermuda from the American mainland, before human occupation of Bermuda, although the available sample size was limited for these species. The available limited direct, non-genetic evidence supports synanthropic transport for Talitroides alluaudi. Platorchestia monodi BOLD:AAB3402 is found in the same wrack habitat as P. platensis BOLD:AAA2949 on Bermuda, apparently without interbreeding. No evidence was found that driftwood specialist talitrids had become established in Bermuda.     

Baronia brevicornis caterpillars build shelters to avoid predation

In at least 18 Lepidoptera families, caterpillars build shelters that mainly serve to regulate microclimate (humidity, temperature) and/or to avoid predation. We aimed to explore the function of the tubular structures built with the leaves of the host plant, Acacia cochliacantha Humboldt and Bonpland ex Willdenow (Fabaceae), by a lepidopteran endemic to Mexico, Baronia brevicornis Salvin. We experimentally evaluated whether tubular structure building behaviour is induced by high temperature or predator odour, and if shelters reduce or enhance predation of B. brevicornis caterpillars. We used Calosoma angulatum as predator. Our analyses showed that caterpillars did not make the tubular structures in response to high temperature. We also found no difference in predators’ visual recognition of sheltered versus unsheltered caterpillars. Caterpillars did not build shelters but they moved more often when exposed to predator odour. Unsheltered caterpillars were more frequently consumed when predators were allowed to interact with sheltered and unsheltered caterpillars. Hence, the tubular structures built by B. brevicornis are most likely a strategy for reducing predation, for example by C. angulatum.