Evaluación de fondos de inversión garantizados por medio de portfolio insurance

La elaboración de un índice de performance para la evaluación de carteras de inversión tiene como base la correcta definición de la medida de riesgo a emplear. Este trabajo tiene como objetivo proponer una medida de performance adecuada a la evaluación de carteras de fondos de inversión garantizados. Las particularidades de este tipo de fondos hacen necesario definir una medida explicativa de las características especificas de riesgo de este tipo de carteras. Partiendo de la estrategia de porfolio insurance se define una nueva medida de riesgo basada en el downside risk. Proponemos como medida de downside risk aquella parte del riesgo total de una cartera de títulos que se elimina con la estrategia de portfolio insurance. Por contraposición, proponemos como medida de upside risk aquella otra parte del riesgo total de la cartera que no desaparece con la estrategia de portfolio insurance. De este modo, la suma del upside risk y del downside risk es el riesgo total. Partiendo de la medida de riesgo upside risk y del modelo de valoración de activos C.A.P.M. se propone una medida de performance específica para evaluar los fondos de inversión garantizados.

Single period Markowitz portfolio selection, performance gauging and duality: a variation on Luenberger's shortage function

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

In search of mathematical primitives for deriving universal projective hash families

We provide some guidelines for deriving new projective hash families of cryptographic interest. Our main building blocks are so called group action systems; we explore what properties of this mathematical primitives may lead to the construction of cryptographically useful projective hash families. We point out different directions towards new constructions, deviating from known proposals arising from Cramer and Shoup's seminal work.

When does universal peace prevail? Secession and group formation in rent seeking contests and policy conflicts

This paper analyzes secession and group formation in a general model of contest inspired by Esteban and Ray (1999). This model encompasses as special cases rent seeking contests and policy conflicts, where agents lobby over the choice of a policy in a one-dimensional policy space. We show that in both models the grand coalition is the efficient coalition structure and agents are always better off in the grand coalition than in a symmetric coalition structure. Individual agents (in the rent seeking contest) and extremists (in the policy conflict) only have an incentive to secede when they anticipate that their secession will not be followed by additional secessions. Incentives to secede are lower when agents cooperate inside groups. The grand coalition emerges as the unique subgame perfect equilibrium outcome of a sequential game of coalition formation in rent seeking contests.

How universal is behavior? A four country comparison of spite, cooperation and errors in voluntary contribution mechanisms

This paper studies behavior in experiments with a linear voluntary contributions mechanism for public goods conducted in Japan, the Netherlands, Spain and the USA. The same experimental design was used in the four countries. Our 'contribution function' design allows us to obtain a view of subjects' behavior from two complementary points of view. If yields information about situations where, in purely pecuniary terms, it is a dominant strategy to contribute all the endowment and about situations where it is a dominant strategy to contribute nothing. Our results show, first, that differences in behavior across countries are minor. We find that when people play "the same game" they behave similarly. Second, for all four countries our data are inconsistent with the explanation that subjects contribute only out of confusion. A common cooperative motivation is needed to explain the date.

La Accesibilidad universal y el diseño para todos: los ejes determinantes de las políticas de igualdad de oportunidades III

Capítol del llibre "Tratado sobre la discapacidad", R. De Lorenzo, L. Cayo Pérez Bueno. Navarra: Thomson Aranzadi,2007. Planteja el significat dels conceptes "Accessibilitat Universal", que és fonamentalment la condició que han de complir els entorns, processos, bens, productes i serveis, així com els objectes o instruments, eines i dispositius, per a ser comprensibles, utilitzables i practicables per a totes les persones en condicions de seguretat i comoditat i de la manera més autònoma possible.. Això pressuposa el "Disseny per a tothom" i s'entén que sense perjudici dels ajustos raonables que s'hagin d'adoptar.

La Accesibilidad universal en los municipios: guía para una política integral de promoción y gestión

Conscientes de las complejidades que presenta la organización administrativa local y la diversidad que caracteriza a los Ayuntamientos de España, y lejos de querer establecer fórmulas mágicas o generalizar soluciones, con esta Guía se pretende aportar ideas útiles mediante propuestas y algunos ejemplos; con ella se quiere ayudar a promover distintas intervenciones a favor de la accesibilidad en los municipios. En este sentido, esta Guía pretende ser soporte para desarrollar una nueva etapa de intervención municipal en accesibilidad, que vaya más allá de la mera supresión de barreras y se prevenga su creación. Las medidas que se desarrollan son posibles vías para que los gobiernos locales puedan gestionar y promocionar de forma eficaz la accesibilidad en el municipio y así establecer una base sobre la cual todos los ciudadanos puedan desarrollar sus libertades individuales plenamente.

Guía para el diseño e implementación de un master en accesibilidad universal. La aplicación del diseño para todos en entornos, productos y servicios

Esta Guía nace con la intención de impulsar en esta situación poco favorable el desarrollo del mencionado curso de postgrado en la universidad española. En ese sentido, pretende ser un recurso a utilizar por el profesorado universitario y el grupo de expertos en accesibilidad que constituya el futuro equipo docente de esta iniciativa formativa, como punto de partida para el necesario proceso de concreción curricular que tendrán que realizar. Queremos destacar aquí que esta guía no se concibe, por tanto, como el programa de un Master en accesibilidad Universal, aunque incluye a modo de ejemplo una propuesta concreta, sino como un conjunto de recursos a utilizar para elaborarlo, respetando así el principio de autonomía universitaria y docente en el que creemos firmemente.

Clean Development Mechanism and Sustainable Development: a discussion on the link between the CDM and Sustainable Development, an analysis of the current status of the CDM portfolio, and an multicriteria evaluation of the effects of additional incentives in order to foster broad local Sustainable Development dividends from the CDM projects

vegeu resum en el fitxer adjunt a l'inici del treball de recerca

Haar wavelets-based approach for quantifying credit portfolio losses

This paper proposes a new methodology to compute Value at Risk (VaR) for quantifying losses in credit portfolios. We approximate the cumulative distribution of the loss function by a finite combination of Haar wavelet basis functions and calculate the coefficients of the approximation by inverting its Laplace transform. The Wavelet Approximation (WA) method is specially suitable for non-smooth distributions, often arising in small or concentrated portfolios, when the hypothesis of the Basel II formulas are violated. To test the methodology we consider the Vasicek one-factor portfolio credit loss model as our model framework. WA is an accurate, robust and fast method, allowing to estimate VaR much more quickly than with a Monte Carlo (MC) method at the same level of accuracy and reliability.

Cultural relativism in the Universal Periodic Review of the Human Rights Council

This Working Paper aims to offer an up-to-date list of cultural relativist players and arguments with respect to human rights, constituted by China, Viet Nam, Myanmar, Iran, Pakistan, Yemen, Syria, Malaysia and Cuba. This working paper argues that Indonesia, Iraq, Colombia and Mexico are not in the same cultural relativist group of states maintained by renowned scholars, notably Cristina Cerna and Dianne Otto. As such, apart from this form of cultural relativism based on the respect for the self-determination of indigenous peoples and communities, this working paper exposes two different categories of radical cultural relativism based on revolutionary discourse and/or radical Islamism, as well as targets the credibility on the latter two based on the information facilitated by the United Nations (UN) Human Rights Council (HRC) Universal Periodic Review (UPR).

A New open economy macroeconomic model with endogenous portfolio diversification and firms entry

This paper provides a new benchmark for the analysis of the international diversi…cation puzzle in a tractable new open economy macroeconomic model. Building on Cole and Obstfeld (1991) and Heathcote and Perri (2009), this model speci…es an equilibrium model of perfect risk sharing in incomplete markets, with endogenous portfolios and number of varieties. Equity home bias may not be a puzzle but a perfectly optimal allocation for hedging risk. In contrast to previous work, the model shows that: (i) optimal international portfolio diversi…cation is driven by home bias in capital goods, independently of home bias in consumption, and by the share of income accruing to labour. The model explains reasonably well the recent patterns of portfolio allocations in developed economies; and (ii) optimal portfolio shares are independent of market dynamics.

Creació d'una ontologia universal

L'objectiu d'aquest treball és introduir al lector en les tecnologies que condueixen al desenvolupament de la web semàntica, destacant-ne les parts més importants d'aquestes i veient com cadascuna amplia la funcionalitat de la seva predecessora a l'hora d'aportar un sentit semàntic als documents.

Creació d'una ontologia universal

Aquest treball consisteix en el disseny d'una ontologia universal sobre el domini de l'alimentació. L'ontologia es definirà utilitzant les eines necessàries proposades pel W3C per a la construcció de la web semàntica.

Universal complex structures in written language

Quantitative linguistics has provided us with a number of empirical laws that characterise the evolution of languages and competition amongst them. In terms of language usage, one of the most influential results is Zipf’s law of word frequencies. Zipf’s law appears to be universal, and may not even be unique to human language. However, there is ongoing controversy over whether Zipf’s law is a good indicator of complexity. Here we present an alternative approach that puts Zipf’s law in the context of critical phenomena (the cornerstone of complexity in physics) and establishes the presence of a large-scale “attraction” between successive repetitions of words. Moreover, this phenomenon is scale-invariant and universal – the pattern is independent of word frequency and is observed in texts by different authors and written in different languages. There is evidence, however, that the shape of the scaling relation changes for words that play a key role in the text, implying the existence of different “universality classes” in the repetition of words. These behaviours exhibit striking parallels with complex catastrophic phenomena.