182 resultados para Modern Portfolio Theory


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In the literature on risk, one generally assume that uncertainty is uniformly distributed over the entire working horizon, when the absolute risk-aversion index is negative and constant. From this perspective, the risk is totally exogenous, and thus independent of endogenous risks. The classic procedure is "myopic" with regard to potential changes in the future behavior of the agent due to inherent random fluctuations of the system. The agent's attitude to risk is rigid. Although often criticized, the most widely used hypothesis for the analysis of economic behavior is risk-neutrality. This borderline case must be envisaged with prudence in a dynamic stochastic context. The traditional measures of risk-aversion are generally too weak for making comparisons between risky situations, given the dynamic �complexity of the environment. This can be highlighted in concrete problems in finance and insurance, context for which the Arrow-Pratt measures (in the small) give ambiguous.

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The first main result of the paper is a criterion for a partially commutative group G to be a domain. It allows us to reduce the study of algebraic sets over G to the study of irreducible algebraic sets, and reduce the elementary theory of G (of a coordinate group over G) to the elementary theories of the direct factors of G (to the elementary theory of coordinate groups of irreducible algebraic sets). Then we establish normal forms for quantifier-free formulas over a non-abelian directly indecomposable partially commutative group H. Analogously to the case of free groups, we introduce the notion of a generalised equation and prove that the positive theory of H has quantifier elimination and that arbitrary first-order formulas lift from H to H * F, where F is a free group of finite rank. As a consequence, the positive theory of an arbitrary partially commutative group is decidable.

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We present a solution to the problem of defining a counterpart in Algebraic Set Theory of the construction of internal sheaves in Topos Theory. Our approach is general in that we consider sheaves as determined by Lawvere-Tierney coverages, rather than by Grothen-dieck coverages, and assume only a weakening of the axioms for small maps originally introduced by Joyal and Moerdijk, thus subsuming the existing topos-theoretic results.

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We extend the theory of Quillen adjunctions by combining ideas of homotopical algebra and of enriched category theory. Our results describe how the formulas for homotopy colimits of Bousfield and Kan arise from general formulas describing the derived functor of the weighted colimit functor.

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Les comunicacions cooperatives estan guanyant un gran interès en les comunicacions modernes degut a que permeten millorar la transmissió dʼinformació entre un emissor i un receptor utilitzant una sèrie de terminals situats entre ells. Aquest projecte és un estudi complet del sistemes cooperatius, analitzant el seu rendiment i comparant lʼús dʼun sol dʼaquests terminals amb lʼús del codi Alamouti, que utilitza dos terminals. Primer hi ha una introducció als sistemes cooperatius i a la teoria de la informació. Després hem estudiat un sistema cooperatiu amb la teoria de la informació com a base, en termes de probabilitat de fallada del sistema, i posteriorment lʼhem adaptat a un sistema cooperatiu real utilitzant una modulació QPSK, estudiant la seva probabilitat dʼerror de paquet. Finalment es proposen diversos protocols que permeten millorar el rendiment del sistema cooperatiu estudiat.

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We propose a new theory of the demographic transition based on the evidence that body development during childhood is an important predictor of adult life expectancy. This theory is embodied in an OLG framework where fertility, longevity and education all result from individual decisions. The model displays different regimes, allowing the economy to move slowly from an initial Malthusian regime towards the Modern era. The dynamics reproduces the key features of the demographic transition, including the permanent increase in life expectancy, resulting from improvements in body development, the hump in both population growth and fertility, and a late increase in secondary educational attainments.

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The remarkable increase in trade flows and in migratory flows of highly educated people are two important features of globalization of the last decades. This paper extends a two-country model of inter- and intraindustry trade to a rich environment featuring technological differences, skill differences and the possibility of international labor mobility. The model is used to explain the patterns of trade and migration as countries remove barriers to trade and to labor mobility. We parameterize the model to match the features of the Western and Eastern European members of the EU and analyze first the effects of the trade liberalization which occured between 1989 and 2004, and then the gains and losses from migration which are expected to occur if legal barriers to labor mobility are substantially reduced. The lower barriers to migration would result in significant migration of skilled workers from Eastern European countries. Interestingly, this would not only benefit the migrants and most Western European workers but, via trade, it would also benefit the workers remaining in Eastern Europe. Key Words: Skilled Migration, Gains from Variety, Real Wages, Eastern-Western Europe. JEL Codes: F12, F22, J61.

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We present existence, uniqueness and continuous dependence results for some kinetic equations motivated by models for the collective behavior of large groups of individuals. Models of this kind have been recently proposed to study the behavior of large groups of animals, such as flocks of birds, swarms, or schools of fish. Our aim is to give a well-posedness theory for general models which possibly include a variety of effects: an interaction through a potential, such as a short-range repulsion and long-range attraction; a velocity-averaging effect where individuals try to adapt their own velocity to that of other individuals in their surroundings; and self-propulsion effects, which take into account effects on one individual that are independent of the others. We develop our theory in a space of measures, using mass transportation distances. As consequences of our theory we show also the convergence of particle systems to their corresponding kinetic equations, and the local-in-time convergence to the hydrodynamic limit for one of the models.

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In this article, we present a new approach of Nekhoroshev theory for a generic unperturbed Hamiltonian which completely avoids small divisors problems. The proof is an extension of a method introduced by P. Lochak which combines averaging along periodic orbits with simultaneous Diophantine approximation and uses geometric arguments designed by the second author to handle generic integrable Hamiltonians. This method allows to deal with generic non-analytic Hamiltonians and to obtain new results of generic stability around linearly stable tori.

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Much of the self-image of the Western university hangs on the idea that research and teaching are intimately connected. The central axiom here is that research and teaching are mutually supportive of each other. An institution lacking such a set of relationships between research and teaching falls short of what it means to be a university. This set of beliefs raises certain questions: Is it the case that the presence of such a mutually supportive set of relationships between research and teaching is a necessary condition of the fulfilment of the idea of the university? (A conceptual question). And is it true that, in practice today, such a mutually supportive set of relationships between research and teaching characterises universities? (An empirical question). In my talk, I want to explore these matters in a critical vein. I shall suggest that: a) In practice today, such a mutually supportive set of relationships between research and teaching is in jeopardy. Far from supporting each other, very often research and teaching contend against each other. Research and teaching are becoming two separate ideologies, with their own interest structures. b) Historically, the supposed tight link between research and teaching is both of recent origin and far from universally achieved in universities. Institutional separateness between research and teaching is and has been evident, both across institutions and even across departments in the same institution. c) Conceptually, research and teaching are different activities: each is complex and neither is reducible to the other. In theory, therefore, research and teaching may be said to constitute a holy alliance but in practice, we see more of an unholy alliance. If, then, in an ideal world, a positive relationship between research and teaching is still a worthwhile goal, how might it be construed and worked for? Seeing research and teaching as two discrete and unified sets of activity is now inadequate. Much better is a construal of research and teaching as themselves complexes, as intermingling pools of activity helping to form the liquid university that is emerging today. On this view, research and teaching are fluid spaces, ever on the move, taking up new shapes, and themselves dividing and reforming, as the university reworks its own destiny in modern society. On such a perspective, working out a productive relationship between research and teaching is a complex project. This is an alliance that is neither holy nor unholy. It is an uneasy alliance, with temporary accommodations and continuous new possibilities.

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Is there a link between decentralized governance and conflict prevention? This article tries to answer the question by presenting the state of the art of the intersection of both concepts. Provided that social conflict is inevitable and given the appearance of new threats and types of violence, as well as new demands for security based on people (human security), our societies should focus on promoting peaceful changes. Through an extensive analysis of the existing literature and the study of several cases, this paper suggests that decentralized governance can contribute to these efforts by transforming conflicts, bringing about power-sharing and inclusion incentives of minority groups. Albeit the complexity of assessing its impact on conflict prevention, it can be contended that decentralized governance might have very positive effects on the reduction of causes that bring about conflicts due to its ability to foster the creation of war/violence preventors. More specifically, this paper argues that decentralization can have a positive impact on the so-called triggers and accelerators (short- and medium-term causes).