Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Analysis of NDVI time series using cross-correlation and forecasting methods for monitoring sugarcane fields in Brazil

Brazil is the largest sugarcane producer in the world and has a privileged position to attend to national and international market places. To maintain the high production of sugarcane, it is fundamental to improve the forecasting models of crop seasons through the use of alternative technologies, such as remote sensing. Thus, the main purpose of this article is to assess the results of two different statistical forecasting methods applied to an agroclimatic index (the water requirement satisfaction index; WRSI) and the sugarcane spectral response (normalized difference vegetation index; NDVI) registered on National Oceanic and Atmospheric Administration Advanced Very High Resolution Radiometer (NOAA-AVHRR) satellite images. We also evaluated the cross-correlation between these two indexes. According to the results obtained, there are meaningful correlations between NDVI and WRSI with time lags. Additionally, the adjusted model for NDVI presented more accurate results than the forecasting models for WRSI. Finally, the analyses indicate that NDVI is more predictable due to its seasonality and the WRSI values are more variable making it difficult to forecast.

Do charges to freight trucks and trains in the European Union reflect their social marginal costs? Application to the case of Spain

In the last few years, the European Union (EU) has become greatly concerned about the environmental costs of road transport in Europe as a result of the constant growth in the market share of trucks and the steady decline in the market share of railroads. In order to reverse this trend, the EU is promoting the implementation of additional charges for heavy goods vehicles (HGV) on the trunk roads of the EU countries. However, the EU policy is being criticised because it does not address the implementation of charges to internalise the external costs produced by automobiles and other transport modes such as railroad. In this paper, we first describe the evolution of the HGV charging policy in the EU, and then assess its practical implementation across different European countries. Second, and of greater significance, by using the case study of Spain, we evaluate to what extent the current fees on trucks and trains reflect their social marginal costs, and consequently lead to an allocative-efficient outcome. We found that for the average case in Spain the truck industry meets more of the marginal social cost produced by it than does the freight railroad industry. The reason for this lies in the large sums of money paid by truck companies in fuel taxes, and the subsidies that continue to be granted by the government to the railroads.

A comparative analysis of outpatient costs in HIV treatment programs

OBJECTIVE: To analyze the costs of human immunodeficiency virus (HIV) outpatient treatment for individuals with different CD4 cell counts in the Brazilian public health system, and to compare to costs in other national health systems. METHODS: A retrospective survey was conducted in five public outpatient clinics of the Brazilian national HIV program in the city of São Paulo. Data on healthcare services provided for a period of one year of HIV outpatient treatment were gathered from randomly selected medical records. Prices of inputs used were obtained through market research and public sector databases. Information on costs of HIV outpatient treatment in other national health systems were gathered from the literature. Annual costs of HIV outpatient treatment from each country were converted into 2010 U.S. dollars. RESULTS: Annual cost of HIV outpatient treatment for the Brazilian national public program was US$ 2,572.92 in 2006 in São Paulo, ranging from US$ 1,726.19 for patients with CD4 cell count > 500 to US$ 3,693.28 for patients with 51 < CD4 cell count < 200. Antiretrovirals (ARVs) represented approximately 62.0% of annual HIV outpatient costs. Comparing among different health systems during the same period, HIV outpatient treatment presented higher costs in countries where HIV treatment is provided by the private sector. CONCLUSION: The main cost drivers of HIV outpatient treatment in different health systems were: ARVs, other medications, health professional services, and diagnostic exams. Nevertheless, the magnitude of cost drivers varied among HIV outpatient treatment programs due to health system efficiency. The data presented may be a valuable tool for public policy evaluation of HIV treatment programs worldwide.