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.

Soil functioning in a toposequence under rainforest in São Paulo, Brazil

Studies of soil-water dynamics using toposequences are essential to improve the understanding of soil-water-vegetation relationships. This study assessed the hydro-physical and morphological characteristics of soils of Atlantic Rainforest in the Parque Estadual de Carlos Botelho, state of São Paulo, Brazil. The study area of 10.24 ha (320 x 320 m) was covered by dense tropical rainforest (Atlantic Rainforest). Based on soil maps and topographic maps of the area, a representative transect of the soil in this plot was chosen and five soil trenches were opened to determine morphological properties. To evaluate the soil hydro-physical functioning, soil particle size distribution, bulk density (r), particle density (r s), soil water retention curves (SWRC), field saturated hydraulic conductivity (Ks), macroporosity (macro), and microporosity (micro) and total porosity (TP) were determined. Undisturbed samples were collected for micromorphometric image analysis, to determine pore size, shape, and connectivity. The soils in the study area were predominantly Inceptisols, and secondly Entisols and Epiaquic Haplustult. In the soil hydro-physical characterization of the selected transect, a change was observed in Ks between the surface and subsurface layers, from high/intermediate to intermediate/low permeability. This variation in soil-water dynamics was also observed in the SWRC, with higher water retention in the subsurface horizons. The soil hydro-physical behavior was influenced by the morphogenetic characteristics of the soils.

Pedotransfer functions to estimate retention and availability of water in soils of the state of Santa Catarina, Brazil

Studies on water retention and availability are scarce for subtropical or humid temperate climate regions of the southern hemisphere. The aims of this study were to evaluate the relations of the soil physical, chemical, and mineralogical properties with water retention and availability for the generation and validation of continuous point pedotransfer functions (PTFs) for soils of the State of Santa Catarina (SC) in the South of Brazil. Horizons of 44 profiles were sampled in areas under different cover crops and regions of SC, to determine: field capacity (FC, 10 kPa), permanent wilting point (PWP, 1,500 kPa), available water content (AW, by difference), saturated hydraulic conductivity, bulk density, aggregate stability, particle size distribution (seven classes), organic matter content, and particle density. Chemical and mineralogical properties were obtained from the literature. Spearman's rank correlation analysis and path analysis were used in the statistical analyses. The point PTFs for estimation of FC, PWP and AW were generated for the soil surface and subsurface through multiple regression analysis, followed by robust regression analysis, using two sets of predictive variables. Soils with finer texture and/or greater organic matter content retain more moisture, and organic matter is the property that mainly controls the water availability to plants in soil surface horizons. Path analysis was useful in understanding the relationships between soil properties for FC, PWP and AW. The predictive power of the generated PTFs to estimate FC and PWP was good for all horizons, while AW was best estimated by more complex models with better prediction for the surface horizons of soils in Santa Catarina.

Water retention and availability in soils of the State of Santa Catarina-Brazil: effect of textural classes, soil classes and lithology

The retention and availability of water in the soil vary according to the soil characteristics and determine plant growth. Thus, the aim of this study was to evaluate water retention and availability in the soils of the State of Santa Catarina, Brazil, according to the textural class, soil class and lithology. The surface and subsurface horizons of 44 profiles were sampled in different regions of the State and different cover crops to determine field capacity, permanent wilting point, available water content, particle size, and organic matter content. Water retention and availability between the horizons were compared in a mixed model, considering the textural classes, the soil classes and lithology as fixed factors and profiles as random factors. It may be concluded that water retention is greater in silty or clayey soils and that the organic matter content is higher, especially in Humic Cambisols, Nitisols and Ferralsol developed from igneous or sedimentary rocks. Water availability is greater in loam-textured soils, with high organic matter content, especially in soils of humic character. It is lower in the sandy texture class, especially in Arenosols formed from recent alluvial deposits or in gravelly soils derived from granite. The greater water availability in the surface horizons, with more organic matter than in the subsurface layers, illustrates the importance of organic matter for water retention and availability.

Quantification of aluminium in soil of the Solimões Formation, Acre State, Brazil

The variety of soils in the State of Acre is wide and their chemical profiles are still not fully understood. The nature of the material of origin of these soils is indicated by the high aluminium (Al) content, commonly associated with high calcium (Ca) and magnesium (Mg) contents. The study objective was to use different methods to quantify Al in soils from toposequences formed from material of a sedimentary nature originating from the Solimões Formation, in Acre, Brazil. Trenches were opened at three distinct points in the landscape: shoulder, backslope and footslope positions. Soil samples were collected for physical, chemical, mineralogical analyses. The Al content was quantified using different methods. High Al contents were found in most of these horizons, associated with high Ca and Mg levels, representing the predominant cations in the sum of exchangeable bases. The mineralogy indicates that the soils are still in a low weathering phase, with the presence of significant quantities of 2:1 minerals. Similar Al contents were determined by the methods of NaOH titration, xylenol orange spectrometry and inductively coupled plasma optical emission spectrometry. However, no consistent data were obtained by the pyrocatechol violet method. Extraction with KCl overestimated the exchangeable Al content due to its ability to extract the non-exchangeable Al present in the smectite interlayers. It was observed that high Al contents are related to the instability of the hydroxyl-Al smectite interlayers.

Using numerical classification of profiles based on Vis-NIR spectra to distinguish soils from the Piracicaba Region, Brazil

Considering that information from soil reflectance spectra is underutilized in soil classification, this paper aimed to evaluate the relationship of soil physical, chemical properties and their spectra, to identify spectral patterns for soil classes, evaluate the use of numerical classification of profiles combined with spectral data for soil classification. We studied 20 soil profiles from the municipality of Piracicaba, State of São Paulo, Brazil, which were morphologically described and classified up to the 3rd category level of the Brazilian Soil Classification System (SiBCS). Subsequently, soil samples were collected from pedogenetic horizons and subjected to soil particle size and chemical analyses. Their Vis-NIR spectra were measured, followed by principal component analysis. Pearson's linear correlation coefficients were determined among the four principal components and the following soil properties: pH, organic matter, P, K, Ca, Mg, Al, CEC, base saturation, and Al saturation. We also carried out interpretation of the first three principal components and their relationships with soil classes defined by SiBCS. In addition, numerical classification of the profiles based on the OSACA algorithm was performed using spectral data as a basis. We determined the Normalized Mutual Information (NMI) and Uncertainty Coefficient (U). These coefficients represent the similarity between the numerical classification and the soil classes from SiBCS. Pearson's correlation coefficients were significant for the principal components when compared to sand, clay, Al content and soil color. Visual analysis of the principal component scores showed differences in the spectral behavior of the soil classes, mainly among Argissolos and the others soils. The NMI and U similarity coefficients showed values of 0.74 and 0.64, respectively, suggesting good similarity between the numerical and SiBCS classes. For example, numerical classification correctly distinguished Argissolos from Latossolos and Nitossolos. However, this mathematical technique was not able to distinguish Latossolos from Nitossolos Vermelho férricos, but the Cambissolos were well differentiated from other soil classes. The numerical technique proved to be effective and applicable to the soil classification process.

Evolution of a Ladinian (Middle Triassic) intraplatform basin : stratigraphy, microfacies and palaeoecology of the Meride Limestone (Monte San Giorgio, Canton Ticino, Southern Switzerland)

The Monte San Giorgio (Southern Alps, Ticino, Switzerland) is the most important locality in the world for vertebrates dating back to the Middle Triassic. For this reason it was registered in 2003 as a UNESCO World Heritage Site. One of the objectives of this doctoral thesis was to fill some of the cognitive gaps regarding the Ladinian succession, including in particular the San Giorgio Dolomite and the Meride Limestone. In order to achieve this, the entire succession, more than 600 metres thick, was measured and sampled. Biostratigraphic research based on new finds of fossil invertebrates and microfossils and on the palynological analysis of the entire section was integrated with single-zircon U-Pb dating of volcanic ash layers intercalated in the carbonate succession. This enabled a redefinition of the bio-chronostratigraphic and geochronologic framework of the succession, which encompasses a significantly shorter time interval than previously held. The Ladinian section extends from the E. curionii Ammonoid Zone (Early Fassanian) to the P. archelaus Ammonoid Zone (Early Longobardian). The age of the classic fossiliferous levels of the Meride Limestone, rich in organic matter and containing vertebrate fossils which are known all over the world, was defined in both biostratigraphic and geochronologic terms. The presumed stratigraphie significance of the pachypleurosaurid reptiles found in such levels is called into question by new finds. These fossiliferous horizons were found to correspond to the main volcanoclastic intervals of the Buchenstein Formation (Middle and Upper Pietra Verde). Thus, a correlation with the Bagolino Section (Italy) containing the GSSP for the base of the Ladinian was proposed. Bulk sedimentation rates in the studied succession average 200 m/Myr and therefore prove to be 20 times higher than those of the South-Alpine pelagic basins. These values express high carbonate productivity from the surrounding platforms on one hand, and on the other a marked subsidence of the basin. Only in the intervals consisting of laminated limestones did the sedimentation rates drop to average values of around 30 m/Myr. The distribution of organic and inorganic facies appears to be the consequence of relative variations in sea-level. The laminated and organic-matter- rich intervals of the Meride Limestone are linked to a relative sea-level drop which favoured dysoxic to anoxic bottom-water conditions, coupled with an increase in runoff, perhaps due to recurrent explosive volcanic activity. The transient development under dysoxic conditions of monospecific benthic meio-/macrofaunas was documented. Organic matter suggests a predominant origin due to benthic bacterial activity, as can be witnessed in alveolar structures typical of exopolymeric substances secreted by bacteria within microbial mats. A microbial contribution to the carbonate (peloidal) precipitation was documented. The protective effect exerted by these microbial mats is also indicated as the main taphonomic factor contributing to the excellent preservation of vertebrate fossils. A radiolarian assemblage discovered in the lower part of the section (earliest Ladinian, E. curionii Zone) suggests the transient existence of open-marine but not deep-water connections with the tethyan pelagic basins. It shows marked similarities to the faunas typical of the late Anisian, suggesting therefore a low resolution power provided by radiolarian biostratigraphy in recognizing the Anisian/Ladinian boundary. The present thesis describes a new species of conifer (Elatocladus cassinae), a new species of insect (Dasyleptus triassicus) and seven new species of radiolarians (Eptingium danieli, Eptingium neriae, Parentactinosphaera eoladinica, Sepsagon ticinensis, Sepsagon? valporinae, Novamuria wirzi and Pessagnollum? hexaspinosum). In addition, following revision of the type material of already existent taxa, four new genera of radiolarians are introduced: Bernoulliella, Eohexastylus, Ticinosphaera and Lahmosphaera.

Evaluation of physical quality indices of a soil under a seasonal semideciduous forest

The concept of soil quality is currently the subject of great discussion due to the interaction of soil with the environment (soil-plant-atmosphere) and practices of human intervention. However, concepts of soil quality relate quality to agricultural productivity, but assessment of soil quality in an agronomic context may be different from its assessment in natural areas. The aim of this study was to assess physical quality indices, the S index, soil aeration capacity (ACt/Pt), and water storage capacity (FC/Pt) of the soil from a permanent plot in the Caetetus Ecological Reserve (Galia, São Paulo, Brazil) under a seasonal semideciduous forest and compare them with the reference values for soil physical quality found in the literature. Water retention curves were used for that purpose. The S values found were higher than the proposed limit for soil physical quality (0.035). The A and E horizons showed the highest values because their sandy texture leads to a high slope of the water retention curve. The B horizons showed the lowest S values because their natural density leads to a lower slope of the water retention curve. The values found for ACt/Pt and FC/Pt were higher and lower than the idealized limits. The values obtained from these indices under natural vegetation can provide reference values for soils with similar properties that undergo changes due to anthropic activities. All the indices evaluated were effective in differentiating the effects of soil horizons in the natural hydro-physical functioning of the soils under study.

Structural quality of polyacrylamide-treated cohesive soils in the coastal tablelands of Pernambuco

Water-soluble polymers are characterized as effective flocculating agents due to their molecular features. Their application to soils with horizons with structural problems, e.g, a cohesive character, contributes to improvements in the physical quality and thus to the agricultural suitability of such soils. The purpose of this study was to evaluate the structural quality of soils with cohesive horizons of coastal tablelands in the State of Pernambuco treated with polyacrylamide (PAM) as chemical soil conditioner. To this end, three horizons (one cohesive and two non-cohesive) of a Yellow Argisol (Ultisol) were evaluated and to compare cohesive horizons, the horizon of a Yellow Latosol (Oxisol) was selected. The treatments consisted of aqueous PAM solutions (12.5; 50.0; 100.0 mg kg-1) and distilled water (control). The structural aspects of the horizons were evaluated by the stability (soil mass retained in five diameter classes), aggregate distribution per size class (mean weight diameter- MWD, geometric mean diameter - GMD) and the magnitude of the changes introduced by PAM by measuring the sensitivity index (Si). Aqueous PAM solutions increased aggregate stability in the largest evaluated diameter class of the cohesive and non-cohesive horizons, resulting in higher MWD and GMD, with highest efficiency of the 100 mg kg-1 solution. The cohesive horizon Bt1 in the Ultisol was most sensitive to the action of PAM, where highest Si values were found, but the structural quality of the BA horizon of the Oxisol was better in terms of stability and aggregate size distribution.

Three-dimensional interpolation of soil data: fertility and pedomorphological features in southern Brazil

The graphical representation of spatial soil properties in a digital environment is complex because it requires a conversion of data collected in a discrete form onto a continuous surface. The objective of this study was to apply three-dimension techniques of interpolation and visualization on soil texture and fertility properties and establish relationships with pedogenetic factors and processes in a slope area. The GRASS Geographic Information System was used to generate three-dimensional models and ParaView software to visualize soil volumes. Samples of the A, AB, BA, and B horizons were collected in a regular 122-point grid in an area of 13 ha, in Pinhais, PR, in southern Brazil. Geoprocessing and graphic computing techniques were effective in identifying and delimiting soil volumes of distinct ranges of fertility properties confined within the soil matrix. Both three-dimensional interpolation and the visualization tool facilitated interpretation in a continuous space (volumes) of the cause-effect relationships between soil texture and fertility properties and pedological factors and processes, such as higher clay contents following the drainage lines of the area. The flattest part with more weathered soils (Oxisols) had the highest pH values and lower Al3+ concentrations. These techniques of data interpolation and visualization have great potential for use in diverse areas of soil science, such as identification of soil volumes occurring side-by-side but that exhibit different physical, chemical, and mineralogical conditions for plant root growth, and monitoring of plumes of organic and inorganic pollutants in soils and sediments, among other applications. The methodological details for interpolation and a three-dimensional view of soil data are presented here.

Supersymmetric black rings and three-charge supertubes

We present supergravity solutions for 1/8-supersymmetric black supertubes with three charges and three dipoles. Their reduction to five dimensions yields supersymmetric black rings with regular horizons and two independent angular momenta. The general solution contains seven independent parameters and provides the first example of nonuniqueness of supersymmetric black holes. In ten dimensions, the solutions can be realized as D1-D5-P black supertubes. We also present a worldvolume construction of a supertube that exhibits three dipoles explicitly. This description allows an arbitrary cross section but captures only one of the angular momenta.

Index of soil physical quality of hardsetting soils on the brazilian coast

Many soils have a hard-setting behavior, also known as cohesive or "coesos". In such soils, the penetration resistance increases markedly when dry and decreases considerably when moist, creating serious limitations for plant emergence and growth. To evaluate the level of structure degradation in hard-setting soils with different texture classes and to create an index for assessing soil hardness levels in hard-setting soils, six soil representative profiles were selected in the field in various regions of Brazil. The following indices were tested: S, which measures soil physical quality, and H , which analyzes the degree of hardness and the effective stress in the soil during drying. Both indices were calculated using previously described functions based on data from the water-retention curves for the soils. The hard-setting values identified in different soils of the Brazilian Coastal Tablelands have distinct compaction (hardness) levels and can be satisfactorily measured by the H index. The S index was adequate for evaluating the structural characteristics of the hard-setting soils, classifying them as suitable or poor for cultivation, but only when the moisture level of the soil was near the inflection point. The H index showed that increases in density in hard-setting soils result from increases in effective stress and not from the soil texture. Values for Bd > 1.48 kg dm-3 classify the soil as hard-setting, and the structural organization is considered "poor".

Croire aux esprits? Plutôt les percevoir, ou comment l'anthropologue apprend sensiblement le monde de ses hôtes

Alors que dans notre culture francophone et occidentale les relations avec les "esprits" sont presque invariablement qualifiées dans les termes de la croyance, à Zanzibar elles sont déclinées selon des modalités fort différentes. "Croire aux esprits" se révèle donc inadéquat, voire même insensé, dans la pratique de l'uganga, les rituels d'incorporation des "esprits". C'est pourquoi je propose dans cet article un déplacement : remplacer "croire" par "percevoir". Cela ouvre un vaste champ d'investigation quant à la part expérientielle de notre rapport aux esprits et aux manières dont nous percevons le monde que nous habitons.

Boundary between Soil and Saprolite in Alisols in the South of Brazil

Despite numerous studies conducted on the lower limit of soil and its contact with saprolite layers, a great deal of work is left to standardize identification and annotation of these variables in the field. In shallow soils, the appropriately noting these limits or contacts is essential for determining their behavior and potential use. The aims of this study were to identify and define the field contact and/or transition zone between soil and saprolite in profiles of an Alisol derived from fine sandstone and siltstone/claystone in subtropical southern Brazil and to subsequently validate the field observations through a multivariate analysis of laboratory analytical data. In the six Alisol profiles evaluated, the sequence of horizons found was A, Bt, C, and Cr, where C was considered part of the soil due to its pedogenetic structure, and Cr was considered saprolite due to its rock structure. The morphological properties that were determined in the field and that were different between the B and C horizons and the Cr layer were color, structure, texture, and fragments of saprolite. According to the test of means, the properties that support the inclusion of the C horizon as part of the soil are sand, clay, water-dispersible clay, silt/clay ratio, macroporosity, total porosity, resistance to penetration, cation exchange capacity, Fe extracted by DCB, Al, H+Al, and cation exchange capacity of clay. The properties that support the C horizon as a transition zone are silt, Ca, total organic C, and Fe extracted by ammonium oxalate. Discriminant analysis indicated differences among the three horizons evaluated.

Genesis, Characterization, and Classification of Mangrove Soils in the Subaé River Basin, Bahia, Brazil

ABSTRACT Preservation of mangroves, a very significant ecosystem from a social, economic, and environmental viewpoint, requires knowledge on soil composition, genesis, morphology, and classification. These aspects are of paramount importance to understand the dynamics of sustainability and preservation of this natural resource. In this study mangrove soils in the Subaé river basin were described and classified and inorganic waste concentrations evaluated. Seven pedons of mangrove soil were chosen, five under fluvial influence and two under marine influence and analyzed for morphology. Samples of horizons and layers were collected for physical and chemical analyses, including heavy metals (Pb, Cd, Mn, Zn, and Fe). The moist soils were suboxidic, with Eh values below 350 mV. The pH level of the pedons under fluvial influence ranged from moderately acid to alkaline, while the pH in pedons under marine influence was around 7.0 throughout the profile. The concentration of cations in the sorting complex for all pedons, independent of fluvial or marine influence, indicated the following order: Na+>Mg2+>Ca2+>K+. Mangrove soils from the Subaé river basin under fluvial and marine influence had different morphological, physical, and chemical characteristics. The highest Pb and Cd concentrations were found in the pedons under fluvial influence, perhaps due to their closeness to the mining company Plumbum, while the concentrations in pedon P7 were lowest, due to greater distance from the factory. For containing at least one metal above the reference levels established by the National Oceanic and Atmospheric Administration (United States Environmental Protection Agency), the pedons were classified as potentially toxic. The soils were classified as Gleissolos Tiomórficos Órticos (sálicos) sódico neofluvissólico in according to the Brazilian Soil Classification System, indicating potential toxicity and very poor drainage, except for pedon P7, which was classified in the same subgroup as the others, but different in that the metal concentrations met acceptable standards.