The Experts below are selected from a list of 273 Experts worldwide ranked by ideXlab platform

David J Kilpatrick - One of the best experts on this subject based on the ideXlab platform.

  • The effect of concentrate feed level on the response of lactating dairy cows to a Constant Proportion of fodder beet inclusion in a grass silage-based diet
    Grass and Forage Science, 2003
    Co-Authors: C. P. Ferris, D. C. Patterson, F. J. Gordon, David J Kilpatrick
    Abstract:

    The effects of level of concentrate supplementation on the response of dairy cows to grass silage-based diets containing a Constant Proportion of fodder beet were examined. Forty Holstein-Friesian dairy cows of mixed parity were used in a 2 × 5 factorial design experiment. Two basal diet types [grass silage alone or grass silage mixed with fodder beet in a 70:30 dry matter (DM) ratio] were offered ad libitum, and the effects of five levels of concentrate supplementation (mean = 3·0, 5·3, 7·5, 9·8 and 12·0 kg DM per cow d−1) were examined. Concentrate supplements were offered via an out-of-parlour feeding system. These treatments were examined in a three-period (period length = 4 weeks) partially balanced changeover design experiment. Fodder beet inclusion had no significant effect on the estimated metabolizable energy (ME) concentration of the ration (P > 0·001). Total DM intake, estimated ME intake, milk yield, milk protein content and milk energy output all showed significant linear increases with increasing level of concentrate inclusion (P   0·05), while increasing milk protein content and milk energy output (P ≤ 0·05). Milk energy output, as a Proportion of estimated ME intake, was significantly (P 

  • the effect of concentrate feed level on the response of lactating dairy cows to a Constant Proportion of fodder beet inclusion in a grass silage based diet
    Grass and Forage Science, 2003
    Co-Authors: C. P. Ferris, D. C. Patterson, F. J. Gordon, David J Kilpatrick
    Abstract:

    The effects of level of concentrate supplementation on the response of dairy cows to grass silage-based diets containing a Constant Proportion of fodder beet were examined. Forty Holstein-Friesian dairy cows of mixed parity were used in a 2 × 5 factorial design experiment. Two basal diet types [grass silage alone or grass silage mixed with fodder beet in a 70:30 dry matter (DM) ratio] were offered ad libitum, and the effects of five levels of concentrate supplementation (mean = 3·0, 5·3, 7·5, 9·8 and 12·0 kg DM per cow d−1) were examined. Concentrate supplements were offered via an out-of-parlour feeding system. These treatments were examined in a three-period (period length = 4 weeks) partially balanced changeover design experiment. Fodder beet inclusion had no significant effect on the estimated metabolizable energy (ME) concentration of the ration (P > 0·001). Total DM intake, estimated ME intake, milk yield, milk protein content and milk energy output all showed significant linear increases with increasing level of concentrate inclusion (P   0·05), while increasing milk protein content and milk energy output (P ≤ 0·05). Milk energy output, as a Proportion of estimated ME intake, was significantly (P < 0·001) reduced by fodder beet inclusion (0·44 vs. 0·38). Despite large increases in estimated ME intake with the inclusion of fodder beet at all levels of concentrate supplementation, milk energy output responses were small, resulting in an overall reduction in the efficiency of conversion of ME intake into milk energy output. An increased partitioning of dietary ME intake to tissue gain is suggested as the most likely explanation for the observations made.

Shan Jiang - One of the best experts on this subject based on the ideXlab platform.

  • a theoretical model of jump diffusion mean reversion Constant Proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor
    Business Process Management Journal, 2017
    Co-Authors: Anindya Chakrabarty, Rameshwar Dubey, Shan Jiang
    Abstract:

    Purpose The purpose of this paper is to develop a theoretical model of a jump diffusion-mean reversion Constant Proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor as opposed to the deterministic floor used in the previous literatures. Design/methodology/approach The paper adopts Merton’s jump diffusion (JD) model to simulate the price path followed by risky assets and the CIR mean reversion model to simulate the path followed by the short-term interest rate. The floor of the CPPI strategy is linked to the stochastic process driving the value of a fixed income instrument whose yield follows the CIR mean reversion model. The developed model is benchmarked against CNX-NIFTY 50 and is back tested during the extreme regimes in the Indian market using the scenario-based Monte Carlo simulation technique. Findings Back testing the algorithm using Monte Carlo simulation across the crisis and recovery phases of the 2008 recession regime revealed that the portfolio performs better than the risky markets during the crisis by hedging the downside risk effectively and performs better than the fixed income instruments during the growth phase by leveraging on the upside potential. This makes it a value-enhancing proposition for the risk-averse investors. Originality/value The study modifies the CPPI algorithm by re-defining the floor of the algorithm to be a stochastic mean reverting process which is guided by the movement of the short-term interest rate in the economy. This development is more relevant for two reasons: first, the short-term interest rate changes with time, and hence the Constant yield during each rebalancing steps is not practically feasible; second, the historical literatures have revealed that the short-term interest rate tends to move opposite to that of the equity market. Thereby, during the bear run the floor will increase at a higher rate, whereas the growth of the floor will stagnate during the bull phase which aids the model to capitalize on the upward potential during the growth phase and to cut down on the exposure during the crisis phase.

Jeanluc Prigent - One of the best experts on this subject based on the ideXlab platform.

C. P. Ferris - One of the best experts on this subject based on the ideXlab platform.

  • The effect of concentrate feed level on the response of lactating dairy cows to a Constant Proportion of fodder beet inclusion in a grass silage-based diet
    Grass and Forage Science, 2003
    Co-Authors: C. P. Ferris, D. C. Patterson, F. J. Gordon, David J Kilpatrick
    Abstract:

    The effects of level of concentrate supplementation on the response of dairy cows to grass silage-based diets containing a Constant Proportion of fodder beet were examined. Forty Holstein-Friesian dairy cows of mixed parity were used in a 2 × 5 factorial design experiment. Two basal diet types [grass silage alone or grass silage mixed with fodder beet in a 70:30 dry matter (DM) ratio] were offered ad libitum, and the effects of five levels of concentrate supplementation (mean = 3·0, 5·3, 7·5, 9·8 and 12·0 kg DM per cow d−1) were examined. Concentrate supplements were offered via an out-of-parlour feeding system. These treatments were examined in a three-period (period length = 4 weeks) partially balanced changeover design experiment. Fodder beet inclusion had no significant effect on the estimated metabolizable energy (ME) concentration of the ration (P > 0·001). Total DM intake, estimated ME intake, milk yield, milk protein content and milk energy output all showed significant linear increases with increasing level of concentrate inclusion (P   0·05), while increasing milk protein content and milk energy output (P ≤ 0·05). Milk energy output, as a Proportion of estimated ME intake, was significantly (P 

  • the effect of concentrate feed level on the response of lactating dairy cows to a Constant Proportion of fodder beet inclusion in a grass silage based diet
    Grass and Forage Science, 2003
    Co-Authors: C. P. Ferris, D. C. Patterson, F. J. Gordon, David J Kilpatrick
    Abstract:

    The effects of level of concentrate supplementation on the response of dairy cows to grass silage-based diets containing a Constant Proportion of fodder beet were examined. Forty Holstein-Friesian dairy cows of mixed parity were used in a 2 × 5 factorial design experiment. Two basal diet types [grass silage alone or grass silage mixed with fodder beet in a 70:30 dry matter (DM) ratio] were offered ad libitum, and the effects of five levels of concentrate supplementation (mean = 3·0, 5·3, 7·5, 9·8 and 12·0 kg DM per cow d−1) were examined. Concentrate supplements were offered via an out-of-parlour feeding system. These treatments were examined in a three-period (period length = 4 weeks) partially balanced changeover design experiment. Fodder beet inclusion had no significant effect on the estimated metabolizable energy (ME) concentration of the ration (P > 0·001). Total DM intake, estimated ME intake, milk yield, milk protein content and milk energy output all showed significant linear increases with increasing level of concentrate inclusion (P   0·05), while increasing milk protein content and milk energy output (P ≤ 0·05). Milk energy output, as a Proportion of estimated ME intake, was significantly (P < 0·001) reduced by fodder beet inclusion (0·44 vs. 0·38). Despite large increases in estimated ME intake with the inclusion of fodder beet at all levels of concentrate supplementation, milk energy output responses were small, resulting in an overall reduction in the efficiency of conversion of ME intake into milk energy output. An increased partitioning of dietary ME intake to tissue gain is suggested as the most likely explanation for the observations made.

Anindya Chakrabarty - One of the best experts on this subject based on the ideXlab platform.

  • a theoretical model of jump diffusion mean reversion Constant Proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor
    Business Process Management Journal, 2017
    Co-Authors: Anindya Chakrabarty, Rameshwar Dubey, Shan Jiang
    Abstract:

    Purpose The purpose of this paper is to develop a theoretical model of a jump diffusion-mean reversion Constant Proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor as opposed to the deterministic floor used in the previous literatures. Design/methodology/approach The paper adopts Merton’s jump diffusion (JD) model to simulate the price path followed by risky assets and the CIR mean reversion model to simulate the path followed by the short-term interest rate. The floor of the CPPI strategy is linked to the stochastic process driving the value of a fixed income instrument whose yield follows the CIR mean reversion model. The developed model is benchmarked against CNX-NIFTY 50 and is back tested during the extreme regimes in the Indian market using the scenario-based Monte Carlo simulation technique. Findings Back testing the algorithm using Monte Carlo simulation across the crisis and recovery phases of the 2008 recession regime revealed that the portfolio performs better than the risky markets during the crisis by hedging the downside risk effectively and performs better than the fixed income instruments during the growth phase by leveraging on the upside potential. This makes it a value-enhancing proposition for the risk-averse investors. Originality/value The study modifies the CPPI algorithm by re-defining the floor of the algorithm to be a stochastic mean reverting process which is guided by the movement of the short-term interest rate in the economy. This development is more relevant for two reasons: first, the short-term interest rate changes with time, and hence the Constant yield during each rebalancing steps is not practically feasible; second, the historical literatures have revealed that the short-term interest rate tends to move opposite to that of the equity market. Thereby, during the bear run the floor will increase at a higher rate, whereas the growth of the floor will stagnate during the bull phase which aids the model to capitalize on the upward potential during the growth phase and to cut down on the exposure during the crisis phase.