DISPOSITION EFFECT AMONG BRAZILIAN EQUITY FUND MANAGERS

The disposition effect predicts that investors tend to sell winning stocks too soon and ride losing stocks too long. Despite the wide range of research evidence about this issue, the reasons that lead investors to act this way are still subject to much controversy between rational and behavioral explanations. In this article, the main goal was to test two competing behavioral motivations to justify the disposition effect: prospect theory and mean reversion bias. To achieve it, an analysis of monthly transactions for a sample of 51 Brazilian equity funds from 2002 to 2008 was conducted and regression models with qualitative dependent variables were estimated in order to set the probability of a manager to realize a capital gain or loss as a function of the stock return. The results brought evidence that prospect theory seems to guide the decision-making process of the managers, but the hypothesis that the disposition effect is due to mean reversion bias could not be confirmed.

The risk-return trade-off in Europe: A temporal and cross-sectional analysis

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to obtain the covariance matrix between excess market returns and the industrial portfolios and the existence of a risk-return trade-off is analyzed through a cross-sectional approach using the information in all portfolios. It is obtained evidence for a positive and significant risk-return trade-off in the European market. This conclusion is robust for different GARCH specifications and is even more evident after controlling for the main financial crisis during the sample period.

A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

Os Gestores, as empresas, e as estratégias empreendedoras: O caso das empresas industriais e da construção na região do Vale do Sousa

In the present paper, entrepreneurship strategies and its relations with managers and management are analysed in order to evaluate who are the real entrepreneurs. This study was done in a region of northern Portugal (Vale do Sousa) and focus on Industrial and Construction sectors. The region is composed of six concelhos in some of which it is possible to identify some industrial districts. In order to get a valid sample, a group of 251 firms were analysed. The results present a high level of risk aversion and some findings that go with literature on innovation, such as higher levels of education lead to more innovative managers, or young managers are more innovative. It was concluded, that those managers that were able to search and explore opportunities in the past, present better levels of entrepreneurship in their firms.

Perfil de risco do investidor: diferenças entre homens e mulheres

Mestrado em Contabilidade

Animação e Animadores Socioculturais: incertezas e controvérsias de uma ocupação profissional

A presente comunicação tem como propósito dar conta das controvérsias públicas em torno de problemáticas suscitadas no seio da Animação Sociocultural e do tipo de envolvimento dos seus atores7 nessas mesmas controvérsias. Faz-se, em primeiro lugar, uma abordagem introdutória à Animação Sociocultural enquanto atividade profissional, realçando a imprecisão, a ambiguidade e a incerteza que esta atividade comporta. Em seguida, relaciona-se a Animação Sociocultural com as transformações ocorridas na sociedade. Por último, evidenciam-se as problemáticas existentes, as controvérsias em que os seus atores se envolvem publicamente em face dessas mesmas problemáticas e, ainda, a diversidade de meios utilizados para a sua expressão.

Radiatively induced Lorentz and CPT violation in Schwinger constant field approximation

The Schwinger proper-time method is an effective calculation method, explicitly gauge-invariant and nonperturbative. We make use of this method to investigate the radiatively induced Lorentz- and CPT-violating effects in quantum electrodynamics when an axial-vector interaction term is introduced in the fermionic sector. The induced Lorentz- and CPT-violating Chern-Simons term coincides with the one obtained using a covariant derivative expansion but differs from the result usually obtained in other regularization schemes. A possible ambiguity in the approach is also discussed. (C) 2001 Published by Elsevier Science B.V.

Optimal offering strategies for wind power producers considering uncertainty and risk

This paper provides a two-stage stochastic programming approach for the development of optimal offering strategies for wind power producers. Uncertainty is related to electricity market prices and wind power production. A hybrid intelligent approach, combining wavelet transform, particle swarm optimization and adaptive-network-based fuzzy inference system, is used in this paper to generate plausible scenarios. Also, risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study, based on a wind farm in Portugal, are provided and analyzed. Finally, conclusions are duly drawn.

Otimização estocástica para a exploração de centrais de concentração solar considerando incerteza e risco

Dissertação para obtenção do grau de Mestre em Engenharia Eletrotécnica

Towards a Mobile Three-dimensional Modelling System for Underground Structures

Robotica 2012: 12th International Conference on Autonomous Robot Systems and Competitions April 11, 2012, Guimarães, Portugal

Application of Visual-Inertial SLAM for 3D Mapping of Underground Environments

The underground scenarios are one of the most challenging environments for accurate and precise 3d mapping where hostile conditions like absence of Global Positioning Systems, extreme lighting variations and geometrically smooth surfaces may be expected. So far, the state-of-the-art methods in underground modelling remain restricted to environments in which pronounced geometric features are abundant. This limitation is a consequence of the scan matching algorithms used to solve the localization and registration problems. This paper contributes to the expansion of the modelling capabilities to structures characterized by uniform geometry and smooth surfaces, as is the case of road and train tunnels. To achieve that, we combine some state of the art techniques from mobile robotics, and propose a method for 6DOF platform positioning in such scenarios, that is latter used for the environment modelling. A visual monocular Simultaneous Localization and Mapping (MonoSLAM) approach based on the Extended Kalman Filter (EKF), complemented by the introduction of inertial measurements in the prediction step, allows our system to localize himself over long distances, using exclusively sensors carried on board a mobile platform. By feeding the Extended Kalman Filter with inertial data we were able to overcome the major problem related with MonoSLAM implementations, known as scale factor ambiguity. Despite extreme lighting variations, reliable visual features were extracted through the SIFT algorithm, and inserted directly in the EKF mechanism according to the Inverse Depth Parametrization. Through the 1-Point RANSAC (Random Sample Consensus) wrong frame-to-frame feature matches were rejected. The developed method was tested based on a dataset acquired inside a road tunnel and the navigation results compared with a ground truth obtained by post-processing a high grade Inertial Navigation System and L1/L2 RTK-GPS measurements acquired outside the tunnel. Results from the localization strategy are presented and analyzed.

Provisões, passivos contingentes e activos contingentes

A adopção do Sistema de Normalização Contabilística constitui um marco muito importante na organização da contabilidade das empresas portuguesas. As inovações trazidas por este normativo e o maior pormenor de algumas matérias contabilísticas levam a que temáticas que eram pouco abordadas suscitem agora um maior interesse. Neste sentido, o presente trabalho, assente na Norma Contabilística e de Relato Financeiro (NCRF) 21, pretende demonstrar as alterações e melhorias trazidas por esta norma no reconhecimento e divulgação das provisões, passivos contingentes e activos contingentes, tendo como referências comparativas o anterior normativo contabilístico, o Plano Oficial de Contabilidade (POC). Através da presente dissertação pretende-se compreender a aplicação da norma ao nível do relato financeiro, através da análise dos Relatórios e Contas de 2010 e 2009 de empresas do sector da Construção. Pelo estudo realizado pode constatar-se que o cumprimento da NCRF 21 trouxe aperfeiçoamento no reconhecimento e divulgação das provisões, e principalmente na divulgação das contingências, praticamente omitidas com o POC. No entanto, deve destacar-se a subjectividade implícita nas provisões, sendo ainda, uma norma de difícil aplicação pela sua ambiguidade. Deve também realçar-se a importância da NCRF 3 - Adopção pela primeira vez das Normas Contabilísticas e de Relato Financeiro, que implicou uma reexpressão das contas de saldos de abertura em 2010 de acordo com o novo referencial contabilístico, o que obrigou as empresas a rever as provisões constituídas até à data Uma breve revisão bibliográfica referente ao tema da problemática fiscal foi ainda realizada.

Competências transversais: a importância das competências transversais nas missões internacionais

A competitividade contemporânea e a globalização impulsionaram as empresas a explorar novos mercados, e a munir-se de recursos distintivos e de valor acrescentado. Para além da expansão dos mercados, Le Boterf (2006) afirma que a solicitação social de confiança tem aumentado, e as empresas têm de ser capazes de proporcionar e garanti-la. Neste sentido a adequação dos Recursos Humanos é imperativo na estratégia das organizações. Este estudo tem como objetivos compreender qual a importância das competências transversais na missão internacional, compreender quais as competências transversais que são mais valorizadas pelos recrutadores e como é feita a sua avaliação. Para conseguir responder a estas questões, emerge a investigação que se segue, com um cariz qualitativo. O método de recolha de dados utilizado foi a entrevista semiestruturada e foram entrevistados dez recrutadores de expatriados. Os resultados sugerem que as competências transversais são características importantes na missão internacional, uma vez que atuam em fatores que influenciam o sucesso da missão. Das competências mais importantes é enumerado o relacionamento interpessoal, trabalho em equipa, comunicação, capacidade de adaptação e a tolerância à ambiguidade. No final do trabalho são apresentados os resultados da investigação, bem como a sua discussão.

A learning approach to swarm-based path detection and tracking

Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores