Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

The relationship of capitalization period length with market portfolio composition and betas

Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

[The World's Columbian Exposition. Portfolio of views issued by the Department of photography, C.D. Arnold, chief. Chicago and St. Louis, National Chemigraph Company, 1893, 36 phot., don du marquis Davidsard en 1930]

Donateur : Davidsard (18..-18.. ; marquis)

Portfolio kliinisen eläinlääketieteen erikoistumiskoulutuksen apuvälineenä

Summary: Professional development portfolio as a tool for veterinarians specializing in small animal diseases, equine diseases and production medicine

El principio del Universal Design. Concepto y desarrollos en la enseñanza superior

Los principios, las prácticas y la investigación sobre diseño universal han sidoimplantados progresivamente en diferentes ámbitos, respecto al diseño y la preparación de entornos para la atención a las necesidades de las personas con discapacidad. En el contexto internacional, este desarrollo ha estado vinculado al avance en derechos sobre igualdad de oportunidades. En el contexto legislativo español, en la Ley 51/2003 se introducen definiciones sobre «accesibilidad universal» y «diseño para todos», con lo que se genera un marco que posibilita el análisis de fuentes conceptuales y de aplicación en nuestro contexto, de las aportaciones del diseño universal, así como su consideración para la fundamentación de prácticas de innovación e investigación en nuestros ámbitos universitarios. En este trabajo, a partir de una amplia revisión de fuentes y aportaciones de gran trayectoria en este campo, se presentan y analizan distintos enfoques, a través de los cuales se están desarrollando y aplicando prácticas de diseño universal en el ámbito de la enseñanza universitaria, y se plantean sus implicaciones educativas. Este análisis permite concluir que las aplicaciones del diseño universal parecen más prometedoras para el progreso hacia metas de inclusión en el entorno universitario que una perspectiva de «adaptación curricular»; aunque se pone de manifiesto la necesidad de que la investigación que se desarrolle en nuestros contextos aporte pruebas y elementos que favorezcan su implementa- ción. Aplicar prácticas docentes y de planificación en la enseñanza universitaria con bases en el diseño universal podría contribuir a superar, eliminar o evitar en un futuro barreras en el aprendizaje, no solo limitadoras del progreso de las personas con discapacidad, sino también del conjunto del alumnado. Asimismo, las conclusiones de este trabajo plantean aplicaciones y estimaciones de nuevas muestras empíricas como puntos de partida para futuras y posibles determinaciones de enfoques conceptuales.

La metàfora en les teories de la imatge: l’«analogia universal» i el «correlat objectiu»

Aquest treball posa en funcionament una gran xarxa d’intertextualitat generada al voltant d’un fenomen molt complex, que és la metàfora. La metàfora és segurament el motiu pel qual avui ens expressem i pel qual avui escrivim textos. Ja no ho diem pel fet que la metàfora sigui una figura literària molt eficaç per crear bellesa estètica, sinó perquè està implicada en la formació del llenguatge i en l’estructuració de la ment per assimilar i per figurar el coneixement. Per aquest motiu, en el nostre treball, hem volgut donar un enfocament pluridisciplinar a l’estudi de la metàfora, perquè, creiem, que sense aquesta visió àmplia, no es pot arribar a copsar ni entendre aquesta figura retòrica, que és molt més que això.

New universal definition of myocardial infarction applicable after complex percutaneous coronary interventions?

OBJECTIVES: This study aimed to characterize myocardial infarction after percutaneous coronary intervention (PCI) based on cardiac marker elevation as recommended by the new universal definition and on the detection of late gadolinium enhancement (LGE) by cardiovascular magnetic resonance (CMR). It is also assessed whether baseline inflammatory biomarkers are higher in patients developing myocardial injury. BACKGROUND: Cardiovascular magnetic resonance accurately assesses infarct size. Baseline C-reactive protein (CRP) and neopterin predict prognosis after stent implantation. METHODS: Consecutive patients with baseline troponin (Tn) I within normal limits and no LGE in the target vessel underwent baseline and post-PCI CMR. The Tn-I was measured until 24 h after PCI. Serum high-sensitivity CRP and neopterin were assessed before coronary angiography. RESULTS: Of 45 patients, 64 (53 to 72) years of age, 33% developed LGE with infarct size of 0.83 g (interquartile range: 0.32 to 1.30 g). A Tn-I elevation >99% upper reference limit (i.e., myocardial necrosis) (median Tn-I: 0.51 μg/l, interquartile range: 0.16 to 1.23) and Tn-I > 3× upper reference limit (i.e., type 4a myocardial infarction [MI]) occurred in 58% and 47% patients, respectively. LGE was undetectable in 42% and 43% of patients with periprocedural myocardial necrosis and type 4a MI, respectively. Agreement between LGE and type 4a MI was moderate (kappa = 0.45). The levels of CRP or neopterin did not significantly differ between patients with or without myocardial injury, detected by CMR or according to the new definition (p = NS). CONCLUSIONS: This study reports the lack of substantial agreement between the new universal definition and CMR for the diagnosis of small-size periprocedural myocardial damage after complex PCI. Baseline levels of CRP or neopterin were not predictive for the development of periprocedural myocardial damage.

Towards a universal sampling protocol for soil biotas in the humid tropics

This paper reviews the methods for the inventory of below-ground biotas in the humid tropics, to document the (hypothesized) loss of soil biodiversity associated with deforestation and agricultural intensification at forest margins. The biotas were grouped into eight categories, each of which corresponded to a major functional group considered important or essential to soil function. An accurate inventory of soil organisms can assist in ecosystem management and help sustain agricultural production. The advantages and disadvantages of transect-based and grid-based sampling methods are discussed, illustrated by published protocols ranging from the original "TSBF transect", through versions developed for the alternatives to Slash-and-Burn Project (ASB) to the final schemes (with variants) adopted by the Conservation and Sustainable Management of Below-ground Biodiversity Project (CSM-BGBD). Consideration is given to the place and importance of replication in below-ground biological sampling and it is argued that the new sampling protocols are inclusive, i.e. designed to sample all eight biotic groups in the same field exercise; spatially scaled, i.e. provide biodiversity data at site, locality, landscape and regional levels, and link the data to land use and land cover; and statistically robust, as shown by a partial randomization of plot locations for sampling.

The lower quality of preventive care among forced migrants in a country with universal healthcare coverage.

OBJECTIVE: To assess the association between socio-demographic factors and the quality of preventive care and chronic care of cardiovascular (CV) risk factors in a country with universal health care coverage. METHODS: Our retrospective cohort assessed a random sample of 966 patients aged 50-80years followed over 2years (2005-2006) in 4 Swiss university primary care settings (Basel/Geneva/Lausanne/Zürich). We used RAND's Quality Assessment Tools indicators and examined recommended preventive care among different socio-demographic subgroups. RESULTS: Overall patients received 69.6% of recommended preventive care. Preventive care indicators were more likely to be met among men (72.8% vs. 65.4%; p<0.001), younger patients (from 71.0% at 50-59years to 66.7% at 70-80years, p for trend=0.03) and Swiss patients (71.1% vs. 62.7% in forced migrants; p=0.001). This latter difference remained in multivariate analysis adjusted for gender, age, civil status and occupation (OR 0.68; 95% CI 0.54-0.86). Forced migrants had lower scores for physical examination and breast and colon cancer screening (all p≤0.02). No major differences were seen for chronic care of CV risk factors. CONCLUSION: Despite universal healthcare coverage, forced migrants receive less preventive care than Swiss patients in university primary care settings. Greater attention should be paid to forced migrants for preventive care.