Modelo de covariância bayesiana para seleção de protfólios de investimentos

The portfolio theory is a field of study devoted to investigate the decision-making by investors of resources. The purpose of this process is to reduce risk through diversification and thus guarantee a return. Nevertheless, the classical Mean-Variance has been criticized regarding its parameters and it is observed that the use of variance and covariance has sensitivity to the market and parameter estimation. In order to reduce the estimation errors, the Bayesian models have more flexibility in modeling, capable of insert quantitative and qualitative parameters about the behavior of the market as a way of reducing errors. Observing this, the present study aimed to formulate a new matrix model using Bayesian inference as a way to replace the covariance in the MV model, called MCB - Covariance Bayesian model. To evaluate the model, some hypotheses were analyzed using the method ex post facto and sensitivity analysis. The benchmarks used as reference were: (1) the classical Mean Variance, (2) the Bovespa index's market, and (3) in addition 94 investment funds. The returns earned during the period May 2002 to December 2009 demonstrated the superiority of MCB in relation to the classical model MV and the Bovespa Index, but taking a little more diversifiable risk that the MV. The robust analysis of the model, considering the time horizon, found returns near the Bovespa index, taking less risk than the market. Finally, in relation to the index of Mao, the model showed satisfactory, return and risk, especially in longer maturities. Some considerations were made, as well as suggestions for further work

Os estilos de liderança nas organizações não governamentais da região metropolitana de Belém

This study aimed to analyze the leadership style adopted by managers of nongovernmental organizations in the metropolitan region of Belem on the theory of Hersey and Blanchard. This theory is called situational leadership ranks E1, E2, E3, E4 and the styles of leadership and maturity in parallel classes M1, M2, M3 and M4. This study examined the relationship of leadership styles with the maturity of work, identified the relationship of leadership styles as related to psychological maturity and job maturity and psychological maturity. The main objectives were to analyze and relate leadership styles with the maturity of the leaders and understand the phenomenon of leadership from the self-perception of those who lead the organizations studied. To achieve the objectives we used a questionnaire already validated the theory of situational leadership and applied in 320 non-governmental organizations in the metropolitan region of Belem The methodology was quantitative, descriptive and exploratory. The analysis was by descriptive statistics and inferential statistics for univariate and bivariate form, applying the chi-square, the V Crammer and Spearman correlation. The data analysis shows safety, attested to the frequencies, and average margin of error and after application of the tests it was found that a relationship between the leadership style of work with the maturity and psychological maturity. The managers of nongovernmental organizations practicing various styles of leadership and focus on the quadrant of high maturity. It was diagnosed when the manager uses only one style of leadership was the predominance of E3 "share or support", which represents 24% of the sample. As uses two styles of leadership is the predominance of E3 and E2, which represents 76%. So the managers of nongovernmental organizations in the metropolitan region of Belem, practicing a style of leadership support, sharing ideas for decision making using a democratic style

Fatores determinantes da decisão sobre a prática da cesariana em Natal-RN

O objetivo deste estudo é analisar os fatores que contribuíram para as diferentes decisões para o parto cesáreo e a ligadura de trompas entre as mulheres de 18 a 45 anos de idade no Município de Natal, no Nordeste do Brasil, no ano de 2000. Tratou-se de um estudo longitudinal, originado da base de dados de um Estudo Multicêntrico, envolvendo outras localidades do Brasil, composta de mulheres em idade fértil que procuraram o serviço público ou privado. Foram realizadas três entrevistas: no início da gestação, no mês anterior à data provável do parto e até um mês após o parto, perfazendo um total de 433 entrevistas, sendo finalizada com uma amostra de 269 mulheres. O estudo satisfez a um critério de elegibilidade, abrangendo uma amostra das mulheres de 18 a 40 anos de idade, que residiam em Natal e que estavam grávidas no máximo, na 22a semana de gestação, e procuraram o serviço público ou privado para a realização do pré-natal. Não entraram no estudo, aquelas mulheres que faziam um acompanhamento em ambulatórios especiais (hipertensão ou diabetes gestacional, HIV/AIDS). A análise consistiu, primeiramente, num estudo descritivo, seguido de uma discussão sobre a trajetória do desejo à realização do parto e testou-se a significância estatística dos partos com variáveis socioeconômicas. Sequencialmente adotou-se uma análise bivariada centrada nos testes de associação, onde foi considerada a variável tipo de parto como sendo a variável resposta e as demais variáveis, relacionadas à condição sóciodemográfica e a saúde reprodutiva da mulher, como sendo as variáveis de risco ou independentes. Para o cálculo da razão de chance (OR), foi utilizado o modelo de regressão logística múltipla. Das 269 mulheres entrevistadas, 56,0% foram submetidas ao parto normal. Este tipo de parto foi desejado independente da categoria, por 71% das entrevistadas. Os resultados mostraram como fatores determinantes para cesárea, o serviço ser privado (OR = 5,6), a mulher ter idade acima de 20 anos (OR=2,87), ser primípara (OR=4,56) e a realização de ligadura de trompas (OR=12,94). Independente da parturição, 84% das mulheres do serviço público foram submetidas a um parto normal, enquanto que, 74% das primíparas do serviço privado, fizeram uma cesárea. Os resultados sinalizam um distanciamento efetivo entre o desejo por um tipo de parto e a sua realização, quando os fatores considerados, não foram somente técnicos, podendo, também, refletir a falta de prática do parto normal, pelo obstetra e a necessidade de uma maior consciência ética nos procedimentos obstétricos, de modo a favorecer uma maior abertura na participação da gestante na escolha pelo tipo de parto

Análise de Agrupamentos Com Base na Teoria da Informação: Uma Abordagem Representativa

Currently, one of the biggest challenges for the field of data mining is to perform cluster analysis on complex data. Several techniques have been proposed but, in general, they can only achieve good results within specific areas providing no consensus of what would be the best way to group this kind of data. In general, these techniques fail due to non-realistic assumptions about the true probability distribution of the data. Based on this, this thesis proposes a new measure based on Cross Information Potential that uses representative points of the dataset and statistics extracted directly from data to measure the interaction between groups. The proposed approach allows us to use all advantages of this information-theoretic descriptor and solves the limitations imposed on it by its own nature. From this, two cost functions and three algorithms have been proposed to perform cluster analysis. As the use of Information Theory captures the relationship between different patterns, regardless of assumptions about the nature of this relationship, the proposed approach was able to achieve a better performance than the main algorithms in literature. These results apply to the context of synthetic data designed to test the algorithms in specific situations and to real data extracted from problems of different fields

Aplicações da teoria da percolação à modelagem e simulação de reservatórios de petróleo

In this thesis we study some problems related to petroleum reservoirs using methods and concepts of Statistical Physics. The thesis could be divided percolation problem in random multifractal support motivated by its potential application in modelling oil reservoirs. We develped an heterogeneous and anisotropic grid that followin two parts. The first one introduce a study of the percolations a random multifractal distribution of its sites. After, we determine the percolation threshold for this grid, the fractal dimension of the percolating cluster and the critical exponents ß and v. In the second part, we propose an alternative systematic of modelling and simulating oil reservoirs. We introduce a statistical model based in a stochastic formulation do Darcy Law. In this model, the distribution of permeabilities is localy equivalent to the basic model of bond percolation

Conexão entre as redes complexas e estatística de Kaniadakis e busca eficiente das propriedades críticas do processo epidêmico difusivo 1D

In this work we study a connection between a non-Gaussian statistics, the Kaniadakis statistics, and Complex Networks. We show that the degree distribution P(k)of a scale free-network, can be calculated using a maximization of information entropy in the context of non-gaussian statistics. As an example, a numerical analysis based on the preferential attachment growth model is discussed, as well as a numerical behavior of the Kaniadakis and Tsallis degree distribution is compared. We also analyze the diffusive epidemic process (DEP) on a regular lattice one-dimensional. The model is composed of A (healthy) and B (sick) species that independently diffusive on lattice with diffusion rates DA and DB for which the probabilistic dynamical rule A + B → 2B and B → A. This model belongs to the category of non-equilibrium systems with an absorbing state and a phase transition between active an inactive states. We investigate the critical behavior of the DEP using an auto-adaptive algorithm to find critical points: the method of automatic searching for critical points (MASCP). We compare our results with the literature and we find that the MASCP successfully finds the critical exponents 1/ѵ and 1/zѵ in all the cases DA =DB, DA DB. The simulations show that the DEP has the same critical exponents as are expected from field-theoretical arguments. Moreover, we find that, contrary to a renormalization group prediction, the system does not show a discontinuous phase transition in the regime o DA >DB.

Teoria cinética não extensiva: efeitos físicos em gases e plasmas

The standard kinetic theory for a nonrelativistic diluted gas is generalized in the spirit of the nonextensive statistic distribution introduced by Tsallis. The new formalism depends on an arbitrary q parameter measuring the degree of nonextensivity. In the limit q = 1, the extensive Maxwell-Boltzmann theory is recovered. Starting from a purely kinetic deduction of the velocity q-distribution function, the Boltzmann H-teorem is generalized for including the possibility of nonextensive out of equilibrium effects. Based on this investigation, it is proved that Tsallis' distribution is the necessary and sufficient condition defining a thermodynamic equilibrium state in the nonextensive context. This result follows naturally from the generalized transport equation and also from the extended H-theorem. Two physical applications of the nonextensive effects have been considered. Closed analytic expressions were obtained for the Doppler broadening of spectral lines from an excited gas, as well as, for the dispersion relations describing the eletrostatic oscillations in a diluted electronic plasma. In the later case, a comparison with the experimental results strongly suggests a Tsallis distribution with the q parameter smaller than unity. A complementary study is related to the thermodynamic behavior of a relativistic imperfect simple fluid. Using nonequilibrium thermodynamics, we show how the basic primary variables, namely: the energy momentum tensor, the particle and entropy fluxes depend on the several dissipative processes present in the fluid. The temperature variation law for this moving imperfect fluid is also obtained, and the Eckart and Landau-Lifshitz formulations are recovered as particular cases

Estimação clássica e Bayesiana em modelos de sobrevida com fração de cura

In Survival Analysis, long duration models allow for the estimation of the healing fraction, which represents a portion of the population immune to the event of interest. Here we address classical and Bayesian estimation based on mixture models and promotion time models, using different distributions (exponential, Weibull and Pareto) to model failure time. The database used to illustrate the implementations is described in Kersey et al. (1987) and it consists of a group of leukemia patients who underwent a certain type of transplant. The specific implementations used were numeric optimization by BFGS as implemented in R (base::optim), Laplace approximation (own implementation) and Gibbs sampling as implemented in Winbugs. We describe the main features of the models used, the estimation methods and the computational aspects. We also discuss how different prior information can affect the Bayesian estimates

Fundamentação cinética da estatística não gaussiana : efeitos em politrópicas

Considering a non-relativistic ideal gas, the standard foundations of kinetic theory are investigated in the context of non-gaussian statistical mechanics introduced by Kaniadakis. The new formalism is based on the generalization of the Boltzmann H-theorem and the deduction of Maxwells statistical distribution. The calculated power law distribution is parameterized through a parameter measuring the degree of non-gaussianity. In the limit = 0, the theory of gaussian Maxwell-Boltzmann distribution is recovered. Two physical applications of the non-gaussian effects have been considered. The first one, the -Doppler broadening of spectral lines from an excited gas is obtained from analytical expressions. The second one, a mathematical relationship between the entropic index and the stellar polytropic index is shown by using the thermodynamic formulation for self-gravitational systems

Física estatística aplicada a sistemas sociais através do estudo de redes complexas

In this work a study of social networks based on analysis of family names is presented. A basic approach to the mathematical formalism of graphs is developed and then main theoretical models for complex networks are presented aiming to support the analysis of surnames networks models. These, in turn, are worked so as to be drawn leading quantities, such as aggregation coefficient, minimum average path length and connectivity distribution. Based on these quantities, it can be stated that surnames networks are an example of complex network, showing important features such as preferential attachment and small-world character

A teoria da ruína aplicada em um modelo de empresa financeira com risco de crédito

In this work we study a new risk model for a firm which is sensitive to its credit quality, proposed by Yang(2003): Are obtained recursive equations for finite time ruin probability and distribution of ruin time and Volterra type integral equation systems for ultimate ruin probability, severity of ruin and distribution of surplus before and after ruin

Teoria da Ruína em um Modelo de Markov com dois Estados

In this work, we present a risk theory application in the following scenario: In each period of time we have a change in the capital of the ensurance company and the outcome of a two-state Markov chain stabilishs if the company pays a benece it heat to one of its policyholders or it receives a Hightimes c > 0 paid by someone buying a new policy. At the end we will determine once again by the recursive equation for expectation the time ruin for this company

Sobre a integração indefinida de funções racionais complexas: teoria e implementação de algoritmos racionais

We present indefinite integration algorithms for rational functions over subfields of the complex numbers, through an algebraic approach. We study the local algorithm of Bernoulli and rational algorithms for the class of functions in concern, namely, the algorithms of Hermite; Horowitz-Ostrogradsky; Rothstein-Trager and Lazard-Rioboo-Trager. We also study the algorithm of Rioboo for conversion of logarithms involving complex extensions into real arctangent functions, when these logarithms arise from the integration of rational functions with real coefficients. We conclude presenting pseudocodes and codes for implementation in the software Maxima concerning the algorithms studied in this work, as well as to algorithms for polynomial gcd computation; partial fraction decomposition; squarefree factorization; subresultant computation, among other side algorithms for the work. We also present the algorithm of Zeilberger-Almkvist for integration of hyperexpontential functions, as well as its pseudocode and code for Maxima. As an alternative for the algorithms of Rothstein-Trager and Lazard-Rioboo-Trager, we yet present a code for Benoulli’s algorithm for square-free denominators; and another for Czichowski’s algorithm, although this one is not studied in detail in the present work, due to the theoretical basis necessary to understand it, which is beyond this work’s scope. Several examples are provided in order to illustrate the working of the integration algorithms in this text

A motivação de licenciandos em música sob a perspectiva da teoria da autodeterminação

This research had as main aim to verify the motivational quality of music students at four public universities in the Northeast of Brazil, based on the Self-Determination Theory (SDT). This perspective was proposed by Edward Deci and Richard Ryan (1985, 2000, 2008a, 2008b), and considers the qualitative aspects of motivation. It defends that the individuals have a natural tendency to self-regulation; it adopts the concept of internalizations through a continuum of self-determination conceived in the mini-theory of organismic integration. The research presents a descriptive, exploratory and correlational approach. To collect data, it was submitted a self-report questionnaire, based on the Academic Motivational Scale, translated and validated by Guimarães and Bzuneck (2008), which allow us to verify the motivation types according to a selfdeterminational continuum. According to this application, the instrument has shown evidence of satisfactory validity, with a good internal consistence and correlations from weak to moderate scale. The obtained data were collected from 380 music students, analyzed through a descriptive and inferential statistics, considering a few procedures: frequencies, averages, standard deviation, factorial analysis, internal consistence analysis through Cronbach Alpha, Pearson’s correlational analysis and variance analysis. The analyzed data show that high averages in the evaluation of self-determined motivation and low evaluation in demotivation and less autonomy motivation. Many students revealed strong intention to conclude the course. It was identified less autonomous motivation and more motivation among the students with intention to work in other areas, some of them concluded the final training process in Music Course, and say that they are in this course because they had no other option. We conclude that those graduated in Music Course, represented in this sample, show a good motivational quality. But after a few time there is a tendency in decreasing autonomous motivation because of some requirements of an academic course. In this sense, the courses must create strategies to maintain a self-determined behavior so that students can realize their autonomous motivation, identifying its importance, value and meaning along the Course.

Modelagem estatística e atribuições dos eventos de precipitação extrema na Amazônia brasileira

Intense precipitation events (IPE) have been causing great social and economic losses in the affected regions. In the Amazon, these events can have serious impacts, primarily for populations living on the margins of its countless rivers, because when water levels are elevated, floods and/or inundations are generally observed. Thus, the main objective of this research is to study IPE, through Extreme Value Theory (EVT), to estimate return periods of these events and identify regions of the Brazilian Amazon where IPE have the largest values. The study was performed using daily rainfall data of the hydrometeorological network managed by the National Water Agency (Agência Nacional de Água) and the Meteorological Data Bank for Education and Research (Banco de Dados Meteorológicos para Ensino e Pesquisa) of the National Institute of Meteorology (Instituto Nacional de Meteorologia), covering the period 1983-2012. First, homogeneous rainfall regions were determined through cluster analysis, using the hierarchical agglomerative Ward method. Then synthetic series to represent the homogeneous regions were created. Next EVT, was applied in these series, through Generalized Extreme Value (GEV) and the Generalized Pareto Distribution (GPD). The goodness of fit of these distributions were evaluated by the application of the Kolmogorov-Smirnov test, which compares the cumulated empirical distributions with the theoretical ones. Finally, the composition technique was used to characterize the prevailing atmospheric patterns for the occurrence of IPE. The results suggest that the Brazilian Amazon has six pluvial homogeneous regions. It is expected more severe IPE to occur in the south and in the Amazon coast. More intense rainfall events are expected during the rainy or transitions seasons of each sub-region, with total daily precipitation of 146.1, 143.1 and 109.4 mm (GEV) and 201.6, 209.5 and 152.4 mm (GPD), at least once year, in the south, in the coast and in the northwest of the Brazilian Amazon, respectively. For the south Amazonia, the composition analysis revealed that IPE are associated with the configuration and formation of the South Atlantic Convergence Zone. Along the coast, intense precipitation events are associated with mesoscale systems, such Squall Lines. In Northwest Amazonia IPE are apparently associated with the Intertropical Convergence Zone and/or local convection.