Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

As métricas de avaliação da performance e a sua contribuição na tomada de decisão, na concessão de crédito e avaliação de risco, numa instituição bancária

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Return premiums of sustainable companies listed on the Spanish stock market

The purpose of this paper is to analyze whether companies with a greater commitment to corporate social responsibility (SRI companies) perform differently on the stock market compared to companies that disregard SRI. Over recent years, this relationship has been taken up at both a theoretical and practical level, and has led to extensive scientific research of an empirical nature involving the examination of the relationships existing between the financial and social, environmental and corporate governance performance of a company and the relationship between SRI and investment decisions in the financial market. More specifically, this work provides empirical evidence for the Spanish market as to whether or not belonging to a group of companies the market classes as sustainable results in return premiums that set them apart from companies classed as conventional, and finds no differences in the stock market performance of companies considered to be SRI or conventional.

The risk-return trade-off in Europe: A temporal and cross-sectional analysis

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to obtain the covariance matrix between excess market returns and the industrial portfolios and the existence of a risk-return trade-off is analyzed through a cross-sectional approach using the information in all portfolios. It is obtained evidence for a positive and significant risk-return trade-off in the European market. This conclusion is robust for different GARCH specifications and is even more evident after controlling for the main financial crisis during the sample period.

The impact of family control on firm's return

Family firm is a field of growing interest. The aim of this article is to understand whether CEOs identity impacts family firm’s stock returns. From a sample of Portuguese and Spanish family firms findings show that who manages the firms result in significantly different risk exposure. Moreover, we find that the abnormal return found by Fahlenbrach (2009) to founder-controlled firms disappear when we use valueweighted portfolios and include two new factors: market aggregate illiquidity and debt intensity to the four-factor Carhart model. Finally, our results explain why the majority of family firm is controlled by its founder.

Criação de valor, gestão de risco e as medidas de performance ajustadas ao risco: aplicação do RAROC - Risk Adjustment Return on Capital - ao grupo crédito agrícola

Mestrado em Contabilidade e Gestão das Instituições Financeiras

A gestão baseada no valor: Métricas tradicionais e medidas de performance ajustada ao risco. Risk Adjusted Return on Capital (RAROC) - Aplicação prática à actividade bancária

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Assimetria na volatilidade dos principais índices bolsistas de Portugal, Irlanda, Itália, Grécia e Espanha : um estudo comparativo

Mestrado em Controlo de Gestão e dos Negócios

Estudo sobre a memória longa na volatilidade das rendibilidades do índice Nasdaq 100: uma abordagem com base nos modelos tipo Arch

Mestrado em Controlo de Gestão e dos Negócios

A systematic procedure to enhance reproducibility of SWASV cycles in the determination of toxic metals in real samples

This work presents for the first time a systematic study on the optimization of the electrochemical cleaning time of a mercury film when it is used as a working electrode material in the analysis of toxic metals, such as Pb2+, used as model metal, in real samples by SWASV. The optimization study for the film’s cleaning time aimed at attaining a Pb2+ minimum value in the film after the re-oxidation step of the pre-concentrated metal, given the impossibility of complete removal of traces of the electroactive species from the film. This value was kept constant in each concentration range studied ensuring thus that all assays were performed in initial identical conditions. An assay performed on a synthetic sample was taken as reference. In it, given the absence of matrix effects, and after the electrochemical cleaning step, a direct proportionality was observed between the residual amounts of Pb2+ in the film (which for the cleaning time used was never completely removed) and Pb2+ concentration in the solution. This fact determined a high correlation between Pb2+ peak current and Pb2+ concentration which was not observed when real samples (tree leaves) were analyzed. This behavior may result from the presence of the interfering surfactants always present in real samples of complex matrix. Cleaning time optimization was performed for the following Pb2+ concentration ranges in the real samples of complex matrix: 0.006-0.020, 0.020-0.080, 0.060-0.200 and 0.100-0.600 ppb. As expected, in order to obtain identical levels of film’s cleaning efficiency, the need for longer cleaning times has been observed for higher concentrations. The optimized cleaning times for the concentration ranges under study were 120, 150, 180 e 300 s, respectively.

Quantifying chaos for ecological stoichiometry

The theory of ecological stoichiometry considers ecological interactions among species with different chemical compositions. Both experimental and theoretical investigations have shown the importance of species composition in the outcome of the population dynamics. A recent study of a theoretical three-species food chain model considering stoichiometry [B. Deng and I. Loladze, Chaos 17, 033108 (2007)] shows that coexistence between two consumers predating on the same prey is possible via chaos. In this work we study the topological and dynamical measures of the chaotic attractors found in such a model under ecological relevant parameters. By using the theory of symbolic dynamics, we first compute the topological entropy associated with unimodal Poincareacute return maps obtained by Deng and Loladze from a dimension reduction. With this measure we numerically prove chaotic competitive coexistence, which is characterized by positive topological entropy and positive Lyapunov exponents, achieved when the first predator reduces its maximum growth rate, as happens at increasing delta(1). However, for higher values of delta(1) the dynamics become again stable due to an asymmetric bubble-like bifurcation scenario. We also show that a decrease in the efficiency of the predator sensitive to prey's quality (increasing parameter zeta) stabilizes the dynamics. Finally, we estimate the fractal dimension of the chaotic attractors for the stoichiometric ecological model.

Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer

In this paper, a mixed-integer nonlinear approach is proposed to support decision-making for a hydro power producer, considering a head-dependent hydro chain. The aim is to maximize the profit of the hydro power producer from selling energy into the electric market. As a new contribution to earlier studies, a risk aversion criterion is taken into account, as well as head-dependency. The volatility of the expected profit is limited through the conditional value-at-risk (CVaR). The proposed approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems.

Predictive Optimal Matrix Converter Control for a Dynamic Voltage Restorer with Flywheel Energy Storage

This paper presents a predictive optimal matrix converter controller for a flywheel energy storage system used as Dynamic Voltage Restorer (DVR). The flywheel energy storage device is based on a steel seamless tube mounted as a vertical axis flywheel to store kinetic energy. The motor/generator is a Permanent Magnet Synchronous Machine driven by the AC-AC Matrix Converter. The matrix control method uses a discrete-time model of the converter system to predict the expected values of the input and output currents for all the 27 possible vectors generated by the matrix converter. An optimal controller minimizes control errors using a weighted cost functional. The flywheel and control process was tested as a DVR to mitigate voltage sags and swells. Simulation results show that the DVR is able to compensate the critical load voltage without delays, voltage undershoots or overshoots, overcoming the input/output coupling of matrix converters.

Analysis of constructed wetland performance for irrigation reuse

Most of the wastewater treatment systems in small rural communities of the Cova da Beira region (Portugal) consist of constructed wetlands (CW) with horizontal subsurface flow (HSSF). It is believed that those systems allow the compliance of discharge standards as well as the production of final effluents with suitability for reuse. Results obtained in a nine-month campaign in an HSSF bed pointed out that COD and TSS removal were lower than expected. A discrete sampling also showed that removal of TC, FC and HE was not enough to fulfill international irrigation goals. However, the bed had a very good response to variation of incoming nitrogen loads presenting high removal of nitrogen forms. A good correlation between mass load and mass removal rate was observed for BOD5, COD, TN, NH4-N, TP and TSS, which shows a satisfactory response of the bed to the variable incoming loads. The entrance of excessive loads of organic matter and solids contributed for the decrease of the effective volume for pollutant uptake and therefore, may have negatively influenced the treatment capability. Primary treatment should be improved in order to decrease the variation of incoming organic and solid loads and to improve the removal of COD, solids and pathogenic. The final effluent presented good physical-chemical quality to be reused for irrigation, which is the most likely application in the area.

Consumo energético e eficiência da marcha com dois modelos de joelhos protésicos: estudo de caso

Introdução – Os componentes protésicos têm um papel fundamental na eficiência energética da marcha dos indivíduos amputados. Esta é uma área de conhecimento ainda em desenvolvimento, onde a investigação desempenha um papel central. Objectivos – Comparar e analisar o efeito de dois joelhos protésicos, 3R34, monocêntrico modular, de fricção constante, com auxiliar de extensão incorporado (A) e 3R92, monocêntrico modular, com travão de fricção e controlo pneumático da fase de balanço (B) no consumo energético e eficiência da marcha. Metodologia – Um indivíduo do sexo masculino de 27 anos, com amputação transfemural longa, foi sujeito a um protocolo submáximo de avaliação da resposta ao exercício em passadeira rolante (H/P/Cosmos(R) Mercury), através de um sistema de análise de gases breath‑by‑breath (Cosmed Quark PFT Ergo). Foi efetuado o mesmo protocolo com intervalo de dois dias, primeiro utilizando o joelho A e depois o B. As variáveis analisadas foram o consumo de O2 (VO2), o equivalente metabólico (MET) e a eficiência energética da marcha (Quociente de VO2 esperado de um individuo saudável e o VO2 do individuo em estudo). O esforço percecionado foi medido com a escala RPE de Borg. Resultados – O consumo energético com o joelho A (24,2 ml O2/kg/min; 6,9 MET) foi inferior ao obtido com o joelho B (28,68 ml O2/kg/min; 8,2 MET). A eficiência energética da marcha foi mais elevada para o joelho A (43%) do que para o joelho B (39%). Conclusão – A utilização do joelho A na prótese do indivíduo em estudo resulta numa marcha de menor consumo energético e maior eficiência. No entanto, este valor poderá estar influenciado pelo curto período de adaptação ao joelho B, sendo necessários mais estudos para confirmar os resultados do estudo e a influência deste fator. ABSTRACT - Background – Prosthetic components have a crucial role in the energy efficiency of amputee’s gait. This is an area of knowledge still in development, where research plays a central role. Objective – The purpose of this case study is to compare the impact in energy consumption of two prosthetic knees, titanium single‑axis constant friction knee joint with internal extension assist, 3R34 (A) and a single‑axis pneumatic swing phase control, 3R92 (B). Methodology – The participant was a transtibial amputee, male, with 27 years old, with no other clinical or functional impairments. To measure the energy expenditure a submaximal treadmill (H/P/Cosmos(R) Mercury) exercise stress test combined with a breath‑by‑breath analysis system (Cosmed Quark PFT Ergo) was used. The same test was applied to both knees, separated by two days. The analyzed variables were O2 consumption (VO2), metabolic equivalent (MET) and gait efficiency (VO2 ratio expected from a healthy individual and the studied individual). A rate of perceived exertion (Borg’s Scale) was used. Results – The results were favorable to knee A (24.2 ml O2/kg/min; 6.9 MET, 43% efficiency) compared with knee B (28.68 ml O2/kg/min; 8.2 MET, 39% efficiency). Conclusion – In this case, a less energy consumption gait corresponds to the prosthesis with knee A. These values may be influenced by the short adaptation period with knee B, so it’s necessary to perform more studies to confirm the previous results and to understand the truly impact of correct adaptation factor to the best prosthetics components for different patients.