Aplicação da moderna teoria do Portfólio em ativos não financeiros

The Markowitz's objective functions, Value-at-Risk and Conditional Value-at-Risk, are largely used tools in the financial Market for portfolio optimization. This paper tries to analyze these functions having as a target to adapt them for application in non-financial assets portfolios. The paper uses as an example the Electricity Market to analyze and optimize a fictitious investment portfolio of a possible electric power utility. Showing that, besides being possible, which considerations must be taken and which analysis must be made to apply the Modern Portfolio Theory in the non-financial universe

Tsallis statistics and gradually truncated Levy flight - distribution of an economical index

Tsallis postulated a generalized form for entropy and give rise to a new statistics now known as Tsallis statistics. In the present work, we compare the Tsallis statistics with the gradually truncated Levy flight, and discuss the distribution of an economical index-the Standard and Poor's 500-using the values of standard deviation as calculated by our model. We find that both statistics give almost the same distribution. Thus we feel that gradual truncation of Levy distribution, after certain critical step size for describing complex systems, is a requirement of generalized thermodynamics or similar. The gradually truncated Levy flight is based on physical considerations and bring a better physical picture of the dynamics of the whole system. Tsallis statistics gives a theoretical support. Both statistics together can be utilized for the development of a more exact portfolio theory or to understand better the complexities in human and financial behaviors. A comparison of both statistics is made. (C) 2002 Published by Elsevier B.V. B.V.

O cinema de Manoel de Oliveira: um caso singular

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Robust fault diagnosis in power distribution systems based on fuzzy ARTMAP neural network-aided evidence theory

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

On the algebraic K theory of the massive D8 and M9-branes

In this paper we review some basic relations of algebraic K theory and we formulate them in the language of D-branes. Then we study the relation between the D8-branes wrapped on an orientable, compact manifold W in a massive Type IIA, supergravity background and the M9-branes wrapped on a compact manifold Z in a massive d = 11 supergravity background from the K-theoretic point of view. By interpreting the D8-brane charges as elements of K-0(C(W)) and the (inequivalent classes of) spaces of gauge fields on the M9-branes as the elements of K-0(C(Z) x ((k) over bar*) G) where G is a one-dimensional compact group, a connection between charges and gauge fields is argued to exists. This connection could be realized as a composition map between the corresponding algebraic K theory groups.

Quantum state density and critical temperature in M-theory

We discuss the asymptotic properties of quantum states density for fundamental p-branes which can yield a microscopic interpretation of the thermodynamic quantities in M-theory. The matching of the BPS part of spectrum for superstring and supermembrane gives the possibility of getting membrane's results via string calculations. In the weak coupling limit of M-theory, the critical behavior coincides with the first-order phase transition in the standard string theory at temperature less than the Hagedorn's temperature T-H. The critical temperature at large coupling constant is computed by considering M-theory on manifold with topology R-9 circle times T-2. Alternatively we argue that any finite temperature can be introduced in the framework of membrane thermodynamics.

Duffin-Kemmer-Petiau theory in the causal approach

In this paper we consider the scalar sector of Duffin-Kemmer-Petiau theory in the framework of Epstein-Glaser causal method. We calculate the lowest order distributions for Compton scattering, vacuum polarization, self-energy and vertex corrections. By requiring gauge invariance of the theory we recover, in a natural way, the scalar propagator of the usual effective theory.

Free electromagnetic field in Riemannian space-time via DKP theory

We study the massless Duffin-Kemmer-Petiau (DKP) equation in Riemannian space-times, particularly the massless spin 1 sector which reproduces the free Maxwell's equations.

BROKEN SU(8) AND HADRONIC MASS RELATIONS IN HEAVY-QUARK EFFECTIVE THEORY

Mass relations for hadrons containing a single heavy quark (charm or beauty) are studied from the viewpoint of a quark model with broken SU(8) symmetry, developed by Hendry and Lichtenberg some time ago, in comparison to that of the heavy quark effective theory. The interplay of the two approaches is explored and spectroscopic consequences derived.

Consistent higher derivative quantum field theory: A model without tachyons and ghosts

We present a higher derivative gauge theory in (2 + 1) dimensions which can have its parameters suitably tuned in order to become a consistent quantum field theory, in the sense that both tachyons and ghosts are absent from the particle spectrum of the theory.

Chiral asymmetry and gravitation theory

In this letter we apply an alternative approach, recently developed, to the description of massless particles of arbitrary spin to the case of spin-two particles. This provides a non-geometrical approach to the theory of linearized gravitation. Within this method the chiral components of a spinor field are treated as independent field variables. The free field Lagrangian is built up from the requirement of chiral invariance. This formulation is parallel to the neutrino theory and leads to a formulation that generalizes, to particles of spin-two, the two-component neutrino theory. At the free field level the analog of curvature tensor, spin connection tensor, and metric tensor are independent quantities. By introducing left-right asymmetric linear interactions of these chiral components we get the linearized gravitation theory.

Application of open string ?eld theory to the in?ationary scenario

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

RIEMANN ZETA ZEROS AND PRIME NUMBER SPECTRA IN QUANTUM FIELD THEORY

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Otimização de portfólio utilizando como métricas de retorno medidas de posição central

This paper consists in applying the Modern Theory of Portfolio (MPT) using central position measurements for modeling the return on investment fund of a renowned financial institution and compare with the Medium- CVaR model. The measurement of risks and returns becomes increasingly important for investors to minimize their losses to maximize thus their possibilities of earnings, taking into account sudden change scenarios. We present concepts of investment funds used as data and research on central position measurements to determine which measure was more suitable. To assemble the Efficient Frontier of assets considering the method proposed measure of central position-CVaR position is used MatLab. Then, after getting the Frontier, it was possible to compare it with the Medium-CVaR model, already proven effective. Finally, we analyze the viability of the proposed model in portfolio management