Asset liability modelling and pension schemes: the application of robust optimization to USS

This paper uses a novel numerical optimization technique - robust optimization - that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real-world pension scheme, and the first ALM model of a pension scheme to maximise the Sharpe ratio. We disaggregate pension liabilities into three components - active members, deferred members and pensioners, and transform the optimal asset allocation into the scheme’s projected contribution rate. The robust optimization model is extended to include liabilities and used to derive optimal investment policies for the Universities Superannuation Scheme (USS), benchmarked against the Sharpe and Tint, Bayes-Stein, and Black-Litterman models as well as the actual USS investment decisions. Over a 144 month out-of-sample period robust optimization is superior to the four benchmarks across 20 performance criteria, and has a remarkably stable asset allocation – essentially fix-mix. These conclusions are supported by six robustness checks.

Private or public? a taxonomy of optimal ownership and management regimes

We develop a theory of public versus private ownership based on value diversion by managers. Government is assumed to face stronger institutional constraints than has been assumed in previous literature. The model which emerges from these assumptions is fexible and has wide application. We provide amapping between the qualitative characteristics of an asset, its main use - including public goods characteristics, and spillovers toother assets values - and the optimal ownership and management regime. The model is applied to single and multiple related assets. We address questions such as; when is it optimal to have one of a pair ofr elated assets public and the other private; when is joint management desirable; and when should a public asset be managed by the owner of a related private asset? We show that while private ownership can be judged optimal in some cases solely on the basis of qualitative information, the optimality of any other ownership and management regimes relies on quantitative analysis. Our results reveal the situations in which policy makers will have difficulty in determining the opimal regime.

Public debt management, monetary policy and financial institutions

Despite the large size of the Brazilian debt market, as well the large diversity of its bonds, the picture that emerges is of a market that has not yet completed its transition from the role it performed during the megainflation years, namely that of providing a liquid asset that provided positive real returns. This unfinished transition is currently placing the market under severe stress, as fears of a possible default from the next administration grow larger. This paper analyzes several aspects pertaining to the management of the domestic public debt. The causes for the extremely large and fast growth ofthe domestic public debt during the seven-year period that President Cardoso are discussed in Section 2. Section 3 computes Value at Risk and Cash Flow at Risk measures for the domestic public debt. The rollover risk is introduced in a mean-variance framework in Section 4. Section 5 discusses a few issues pertaining to the overlap between debt management and monetary policy. Finally, Section 6 wraps up with policy discussion and policy recommendations.

PHOTOGRAPHIC RECORDS — THEIR IMPORTANCE IN TODAY'S ENVIRONMENTALLY SENSITIVE BIRD MANAGEMENT PROGRAMS

We are living in a day of change. Environmental awareness is a part of our everyday life in a way unprecedented in history. The courts, in their infinite wisdom, have initiated the joint and several liability (deep pocket) rules that make everyone at risk in almost all situations. Bird management programs, by their very nature, are extremely sensitive. Any project, if not evaluated, planned, carried out, and documented properly can result in adverse regulatory agency action, bad publicity, and even fines or lawsuits. Proper photographic documentation can play a vital part in helping to provide the necessary records to help prevent problems and/or defend yourself in case of lawsuit or regulatory action. In the preparation of this paper, we surveyed state pesticide lead agencies, state Department of Conservation (Fish and Wildlife) agencies, some U.S. Fish and Wildlife Law Enforcement personnel, and several individuals to get their reaction to and their comments about this concept of supplemental recordkeeping. Of those responding, a majority thought the concept of supplemental photographic recordkeeping would be an asset to individuals and organi¬zations conducting bird management projects.

La administración del patrimonio arqueológico en la provincia de Las Palmas (1940-1969)

[ES] En el presente artículo se estudia la gestión del patrimonio arqueológico en la provincia de Las Palmas durante la etapa del Comisariado de Excavaciones Arqueológicas (1939- 1955) y del Servicio Nacional de Excavaciones Arqueológicas (1955-1969), en la que destacó la figura de Sebastián Jiménez Sánchez como responsable de estas tareas en las Canarias orientales. Se presta especial atención a las relaciones existentes entre Jiménez Sánchez y El Museo Canario, institución que hasta el inicio de la dictadura franquista había monopolizado el estudio de los restos arqueológicos prehispánicos de Canarias.

Consecuencias geomorfológicas del abandono agrícola en la cuenca del Guiniguada (Gran Canaria, Islas Canarias) : aplicación a la conservación del patrimonio de bancales

Doctorado en Geografía y ordenación del territorio

Challenges for an Integrated Water Resource Management in the Merguellil basin (Tunisia)

La risorsa acqua in zone semi-aride è sottoposta a un'estrema variabilità climatica nello spazio e nel tempo. La gestione della risorsa acqua è quindi soggetta a un insieme di sfide quando i vincoli naturali vengono uniti agli effetti indotti da attività umana come per esempio l'aumento dello sfruttamento dell'acqua di sottosuolo, cambiamento dell'uso del suolo e presenza di infrastruttura mista. Si spera che il cambiamento climatico e l'attività risultanti dallo sviluppo economico, a corto termine aumentino la pressione su un sistema ormai sensibile. Se pianificato e gestito correttamente, lo stoccaggio dell'acqua, nelle sue varie forme, funge come un meccanismo di controllo della variabilità climatica e può potenziare la capacità adattiva. Lo uadi Merguellil è un corso d'acqua a carattere non perenne al centro della Tunisia, più specificamente a est della città di Kairouan. Il Merguellil drena la pioggia sulla dorsale Tunisina insieme al uadi Zeroud e Nebhana, ed è tra i principali fiumi che scorre sulla piana di Kairouan. Lo stoccaggio dell'acqua nel bacino assume diverse forme come i laghi collinari, i terrazzi, acqua di sottosuolo e una diga. Alcune delle opzioni per lo stoccaggio dell'acqua sono state costruite per preservare la risorsa acqua, mantenere la popolazione rurale e mantenere l'equità tra le zone a monte ed a valle ma solitamente non è mai stata fatta un'analisi comprensiva dei "trade-offs" coinvolti in tali sviluppi. Anche se la ricerca è sviluppata in questa zona, finora nessuna analisi ha cercato di combinare le dinamiche del sistema idrologico con scenari gestionali. L'analisi di scenari gestionali consente ai decisori di valutare delle alternative di pianificazione e può incrementare positivamente la loro abilità di creare delle politiche che si basino sulle necessità fisiche ma anche sociali di un particolare sistema. Questo lavoro è un primo passo verso un Sistema di Gestione Integrata della Risorsa Idrica (inglese: IWMR) capace di mettere in prospettiva strategie future su diverse scale. L'uso di uno strumento metodologico illustra le sfide associate nell'affrontare questo compito. In questo caso, un modello WEAP (Water Evaluation and Planning System) è stato sviluppato in collaborazione con partners Tunisini in modo da integrare le conoscenze su processi fisici e valutare diverse tendenze come l'aumento dell'irrigazione o il cambio di alcuni aspetti climatici. Lo strumento ora è disponibile ai ricercatori locali dove potrà essere sviluppato ulteriormente a fine di indirizzare domande più specifiche. Questo lavoro focalizza lo stoccaggio dell'acqua per poter evidenziare le interazioni dinamiche tra le diverse opzioni di stoccaggio nella zona di studio e valutare i "trade-offs" tra di esse. I risultati iniziali dimostrati in questo lavoro sono: - Se lo sfruttamento degli acquiferi fosse ristretto ai livelli delle loro ricarica, la domanda d'acqua dei diversi utilizzatori non sarebbe soddisfatta al 25% dei livelli di consumo attuale. - La tendenza di incremento dell'agricoltura di irrigazione crea un impatto più accentuato nelle risorse di sottosuolo di quello creato da un'ipotetica riduzione della piovosità all'85% - L'aumento del numero di laghi collinari riduce la quantità d'acqua che arriva a valle, allo stesso tempo aumenta la quantità d'acqua "persa" per evaporazione.

Il risk management tecnico nel trading di portafoglio

Il problema che si cerca di risolvere attraverso la gestione quantitativa del portafoglio è la riduzione del rischio tramite strategie che non dipendano dalla diversificazione dei titoli che compongono il portafoglio. Nel momento in cui si decide di applicare un trading system su un determinato gruppo di asset, il capitale non viene allocato automaticamente su tutti i titoli e si deve affrontare invece un continuo investimento tramite l’apertura dinamica di posizioni sul mercato.Questo significa che la diversificazione non è più una misura adeguata del rischio sostenuto poiché i rendimenti attesi dell’investimento non dipendono più dalle proprietà stesse degli strumenti scelti, ma dalla profittabilità dei segnali generati dalla logica del trading system su questi. Bisogna testare in questo caso le performance del sistema a livello statistico e prevedere anche, per esempio, che l’algoritmo possa generare dei segnali errati che portano a delle posizioni in perdita. Il portafoglio a livello quantitativo deve essere gestito tramite dei trading system che abbiano la possibilità di valutare aspetti globali, come il profitto totale di tutte le posizioni attualmente aperte, o l’intero rischio sostenuto dal capitale gestito. Le decisioni non vengono prese dall’analisi delle prestazioni individuali che la strategia ottiene operando sui singoli titoli. Per affrontare una possibile soluzione a questa problematica si sono quindi selezionati due trading system le cui prestazioni fossero robuste su un intero portafoglio e non solo su determinati titoli. In un successivo momento vengono analizzate le prestazioni del portafoglio aggiungendo ai test due ulteriori strategie di uscita: lo stoploss di portafoglio e il target di portafoglio. Nonostante esse ricalchino idee ampiamente utilizzate per la gestione delle singole posizioni su un titolo, per i test si è deciso di modificarle implementando la gestione globale del capitale all’interno del trading system di portafoglio.

Contributi della Geomatica nella salvaguardia e gestione dei Beni Culturali

Il territorio italiano presenta una grandissima ricchezza nel campo dei Beni Culturali, sia mobili che immobili; si tratta di un patrimonio di grande importanza che va gestito e tutelato nel migliore dei modi e con strumenti adeguati, anche in relazione ai problemi ad esso legati in termini di manutenzione e di salvaguardia dai fattori di rischio a cui può essere esposto. Per una buona conoscenza del Patrimonio Culturale, è fondamentale un’acquisizione preliminare di informazioni condotte in modo sistematico e unitario, che siano diffuse ed organiche, ma anche utili ad una valutazione preventiva e ad una successiva programmazione degli interventi di restauro di tipo conservativo. In questo ambito, l'impiego delle tecniche e tecnologie geomatiche nel campo dei Beni Culturali, può fornire un valido contributo, che va dalla catalogazione e documentazione del bene culturale al suo controllo e monitoraggio. Oggigiorno il crescente sviluppo di nuove tecnologie digitali, accompagnato dai notevoli passi avanti compiuti dalle discipline della geomatica (in primo luogo topografiche e fotogrammetriche), rende possibile una efficace integrazione tra varie tecniche, favorita anche dalla diffusione di soluzioni per l’interscambio dati e per la comunicazione tra differenti dispositivi. Lo studio oggetto della presente tesi si propone, di approfondire gli aspetti legati all’uso delle tecniche e tecnologie della Geomatica, per mettere in risalto le condizioni di un bene ed il suo stato di degrado. Per la gestione e la salvaguardia di un bene culturale , si presenta il SIT Carta del Rischio che evidenzia le pericolosità legate al patrimonio, e come esse sommate alla vulnerabilità di un singolo bene, contribuiscano all’individuazione del grado di rischio. di approfondire gli aspetti legati all’uso delle tecniche e tecnologie delle Geomatica, per mettere in risalto le condizioni di un bene ed il suo stato di degrado.

Socialism and intrafirm asset allocation

We rely on a survey of Swiss firms to document deviation from first-best for reasons of internal 'fairness' when allicating resources. This 'socialist' practice is more widespread in smaller than in larger firms. It ignores the reputation and past performance of the managers who apply for dunding, but takes into account their hierarchical position and their past use of resources. Socialism is only partially explained by concerns about empire building and managerial optimism, and it is not meant to benefit shareholders.

Impacts of out-migration on land management in mountain areas

INTRODUCTION Out-migration from mountain areas is leaving behind half families and elderly to deal with managing the land alongside daily life challenges. A potential reduction of labour force as well as expertise on cropping practices, maintenance of terraces and irrigation canals, slope stabilization, grazing, forest and other land management practices are further challenged by changing climate conditions and increased environmental threats. An understanding of the resilience of managed land resources in order to enhance adaptation to environmental and socio-economic variability, and evidence of the impact of Sustainable Land Management (SLM) on the mitigation of environmental threats have so far not sufficiently been tackled. The study presented here aims to find out how land management in mountains is being affected by migration in the context of natural hazards and climate change in two study sites, namely Quillacollo District of Bolivia and Panchase area of Western Nepal, and which measures are needed to increase resilience of livelihoods and land management practices. The presentation includes draft results from first field work periods in both sites. A context of high vulnerability According to UNISDR, vulnerability is defined as “the characteristics and circumstances of a community, system or asset that make it susceptible to the damaging effects of a hazard”.Hazards are another threat affecting people’s livelihood in mountainous area. They can be either natural or human induced. Landslides, debris flow and flood are affecting peopleGood land management can significantly reduce occurrence of hazards. In the opposite bad land management or land abandonment can lead to negative consequences on the land, and thus again increase vulnerability of people’s livelihoods. METHODS The study integrates bio-physical and socio-economic data through a case study as well as a mapping approach. From the social sciences, well-tested participatory qualitative methodologies, typically used in Vulnerability and Capacity Analyses, such as semi-structured interviews with so-called ‘key informants’, transect walks, participatory risk and social resource mapping are applied. The bio-physical analysis of the current environmental conditions determining hazards and structural vulnerability are obtained from remote sensing analysis, field work studies, and GIS analysis The assessment of the consequences of migration in the area of origin is linked with a mapping and appraisal of land management practices (www.wocat.net, Schwilch et al., 2011). The WOCAT mapping tool (WOCAT/LADA/DESIRE 2008) allows capturing the major land management practices / technologies, their spread, effectiveness and impact within a selected area. Data drawn from a variety of sources are compiled and harmonised by a team of experts, consisting of land degradation and conservation specialists working in consultation with land users from various backgrounds. The specialists’ and land users’ knowledge is combined with existing datasets and documents (maps, GIS layers, high-resolution satellite images, etc.) in workshops that are designed to build consensus regarding the variables used to assess land degradation and SLM. This process is also referred to as participatory expert assessment or consensus mapping. The WOCAT mapping and SLM documentation methodologies are used together with participatory mapping and other socio-economic data collection (interviews, questionnaires, focus group discussions, expert consultation) to combine information about migration types and land management issues. GIS and other spatial visualization tools (e.g. Google maps) will help to represent and understand these links. FIRST RESULTS Nepal In Nepal, migration is a common strategy to improve the livelihoods. Migrants are mostly men and they migrate to other Asian countries, first to India and then to the Gulf countries. Only a few women are migrating abroad. Women migrate essentially to main Nepali cities when they can afford it. Remittances are used primarily for food and education; however they are hardly used for agricultural purposes. Besides traditional agriculture being maintained, only few new practices are emerging, such as vegetable farming or agroforestry. The land abandonment is a growing consequence of outmigration, resulting in the spreading of invasive species. However, most impacts of migration on land management are not yet clear. Moreover, education is a major concern for the respondents; they want their children having a better education and get better opportunities. Linked to this, unemployment is another major concern of the respondents, which in turn is “solved” through outmigration. Bolivia Migration is a common livelihood strategy in Bolivia. In the area of study, whole families are migrating downward to the cities of the valleys or to other departments of Bolivia, especially to Chapare (tropics) for the coca production and to Santa Cruz. Some young people are migrating abroad, mostly to Argentina. There are few remittances and if those are sent to the families in the mountain areas, then they are mainly used for agriculture purpose. The impacts of migration on land management practices are not clear although there are some important aspects to be underlined. The people who move downward are still using their land and coming back during part of the week to work on it. As a consequence of this multi-residency, there is a tendency to reduce land management work or to change the way the land is used. As in Nepal, education is a very important issue in this area. There is no secondary school, and only one community has a primary school. After the 6th grade students have therefore to go down into the valley towns to study. The lack of basic education is pushing more and more people to move down and to leave the mountains. CONCLUSIONS This study is on-going, more data have to be collected to clearly assess the impacts of out-migration on land management in mountain areas. The first results of the study allow us to present a few interesting findings. The two case studies are very different, however in both areas, young people are not staying anymore in the mountains and leave behind half families and elderly to manage the land. Additionally in both cases education is a major reason for moving out, even though the causes are not always the same. More specifically, in the case of Nepal, the use of remittances underlines the fact that investment in agriculture is not the first choice of a family. In the case of Bolivia, some interesting findings showed that people continue to work on their lands even if they move downward. The further steps of the study will help to explore these interesting issues in more detail. REFERENCES Schwilch G., Bestelmeyer B., Bunning S., Critchley W., Herrick J., Kellner K., Liniger H.P., Nachtergaele F., Ritsema C.J., Schuster B., Tabo R., van Lynden G., Winslow M. 2011. Experiences in Monitoring and Assessment of Sustainable Land Management. Land Degradation & Development 22 (2), 214-225. Doi 10.1002/ldr.1040 WOCAT/LADA/DESIRE 2008. A Questionnaire for Mapping Land Degradation and Sustainable Land Management. Liniger H.P., van Lynden G., Nachtergaele F., Schwilch G. (eds), Centre for Development and Environment, Institute of Geography, University of Berne, Berne

The Impact of Human Asset Specificity on the Sourcing of Application Services

The question concerning the circumstances under which it is advantageous for a company to outsource certain information systems functions has been a controversial issue for the last decade. While opponents emphasize the risks of outsourcing based on the loss of strategic potentials and increased transaction costs, proponents emphasize the strategic benefits of outsourcing and high potentials of cost-savings. This paper brings together both views by examining the conditions under which both the strategic potentials as well as savings in production and transaction costs of developing and maintaining software applications can better be achieved in-house as opposed to by an external vendor. We develop a theoretical framework from three complementary theories and test it empirically based on a mail survey of 139 German companies. The results show that insourcing is more cost efficient and advantageous in creating strategic benefits through IS if the provision of application services requires a high amount of firm specific human assets. These relationships, however, are partially moderated by differences in the trustworthiness and intrinsic motivation of internal versus external IS professionals. Moreover, capital shares with an external vendor can lower the risk of high transaction costs as well the risk of loosing the strategic opportunities of an IS.

The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach

The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the optimal value function for the infinite horizon stochastic control problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that obtained from a benchmark Markowitz-type dynamic optimization framework to determine which specification adequately reflects the optimal terminal investment returns and strategy under credit and market risks. The paper shows that an investor's optimal terminal return is lower than typically indicated under the traditional mean-variance framework during periods of elevated credit risk. Hence I conclude that, while the traditional dynamic mean-variance approach may indicate the ideal, in the presence of credit-risk it does not accurately reflect the observed optimal returns, terminal wealth and portfolio selection strategies.

El paisaje como patrimonio : paisaje costero del canal Zanjón Cacique Guaymallén : investigación, sistematización y propuesta

El objetivo del trabajo ha sido la revalorización del Canal Zanjón Cacique Guaymallén como un patrimonio cultural ambiental de los mendocinos. La metodología aplicada incluye el análisis de la trayectoria histórica del asentamiento del Gran Mendoza, el zanjón como parte de la cuenca del río Mendoza, como parte del sistema de drenaje, como parte del sistema de riego. Luego, el reconocimiento de los paisajes particulares del zanjón y una posterior catalogación y ordenación, con el fin de ser material útil al planificador territorial primero y al diseñador urbano después. A modo de conclusión el autor menciona la necesidad implícita de proteger, enriquecer e integrar a la vida y memoria urbanos el cauce, las márgenes, el entorno y el oasis al que da vida el zanjón; junto con la urgencia de proyectar a futuro nuevamente los cursos de agua como potenciales ordenadores del territorio y su rol central en la planificación urbana.

Patrimonio geológico. Identificación, valoración y gestión de sitios de interés geológico

En las investigaciones en Ciencias Geológicas, en nuestro país y en especial en la Provincia de Buenos Aires, ha sido escaso el desarrollo relacionado con los sitios que requieran una preservación y protección especial. Sin embargo, son abundantes los sitios conocidos y nombrados en la bibliografía geológica que es necesario valorar y preservar como Patrimonio Geológico. El Patrimonio Geológico es un elemento más del patrimonio natural y constituye una parte importante de nuestra herencia natural. En la Conferencia de París auspiciada por la UNESCO en 1972 sobre la protección del patrimonio mundial, cultural y natural, algunos países pusieron en marcha investigaciones dirigidas hacia el conocimiento, su protección y la puesta en valor, lo cual resulta un recurso de indudable significación y una pieza clave para el desarrollo turístico de un territorio. Para conocer en forma exhaustiva el patrimonio geológico de un área es indispensable realizar inventarios, archivar la información necesaria para su descripción y poder recoger datos de interés para mantener actualizados los inventarios. Los diseños de las fichas presentan inconvenientes que se relacionan, en algunos casos, con que son muy sintéticas y demasiado subjetivas, y en otros, muy detalladas y rigurosas.