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.

The mean-variance model from the inverse of the variance-covariance matrix

En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.

On the nucleolus of 2 x 2 assignment games

[spa] En este artículo hallamos fórmulas para el nucleolo de juegos de asignación arbitrarios con dos compradores y dos vendedores. Se analizan cinco casos distintos, dependiendo de las entradas en la matriz de asignación. Los resultados se extienden a los casos de juegos de asignación de tipo 2 x m o m x 2.

Interiority of the optimal population growth rate with endogenous fertility

This paper analyzes the issue of the interiority of the optimal population growth rate in a two-period overlapping generations model with endogenous fertility. Using Cobb-Douglas utility and production functions, we show that the introduction of a cost of raising children allows for the possibility of the existence of an interior global maximum in the planner¿s problem, contrary to the exogenous fertility case

Dielectric constant obtained from TDR and volumetric moisture of soils in southern Brazil

Soil moisture is the property which most greatly influences the soil dielectric constant, which is also influenced by soil mineralogy. The aim of this study was to determine mathematical models for soil moisture and the dielectric constant (Ka) for a Hapludalf, two clayey Hapludox and a very clayey Hapludox and test the reliability of universal models, such as those proposed by Topp and Ledieu and their co-workers in the 80's, and specific models to estimate soil moisture with a TDR. Soil samples were collected from the 0 to 0.30 m layer, sieved through a mesh of 0.002 m diameter and packed in PVC cylinders with a 0.1 m diameter and 0.3 m height. Seven samples of each soil class were saturated by capillarity and a probe composed of two rods was inserted in each one of them. Moisture readings began with the saturated soil and concluded when the soil was near permanent wilting point. In each step, the samples were weighed on a precision scale to calculate volumetric moisture. Linear and polynomial models were adjusted for each soil class and for all soils together between soil moisture and the dielectric constant. Accuracy of the models was evaluated by the coefficient of determination, the standard error of estimate and the 1:1 line. The models proposed by Topp and Ledieu and their co-workers were not adequate for estimating the moisture in the soil classes studied. The adjusted linear and polynomial models for the entire set of data of the four soil classes did not have sufficient accuracy for estimating soil moisture. The greater the soil clay and Fe oxide content, the greater the dielectric constant of the medium for a given volumetric moisture. The specific models, θ = 0.40283 - 0.04231 Ka + 0.00194 Ka² - 0.000022 Ka³ (Hapludox) θ = 0.01971 + 0.02902 Ka - 0.00086 Ka² + 0.000012 Ka³ (Hapludox -PF), θ = 0.01692 - 0.00507 Ka (Hapludalf) and θ = 0.08471 + 0.01145 Ka (Hapludox-CA), show greater accuracy and reliability for estimating soil moisture in the soil classes studied.

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

Use of the swat model for hydro-sedimentologic simulation in a small rural watershed

Mathematical models have great potential to support land use planning, with the goal of improving water and land quality. Before using a model, however, the model must demonstrate that it can correctly simulate the hydrological and erosive processes of a given site. The SWAT model (Soil and Water Assessment Tool) was developed in the United States to evaluate the effects of conservation agriculture on hydrological processes and water quality at the watershed scale. This model was initially proposed for use without calibration, which would eliminate the need for measured hydro-sedimentologic data. In this study, the SWAT model was evaluated in a small rural watershed (1.19 km²) located on the basalt slopes of the state of Rio Grande do Sul in southern Brazil, where farmers have been using cover crops associated with minimum tillage to control soil erosion. Values simulated by the model were compared with measured hydro-sedimentological data. Results for surface and total runoff on a daily basis were considered unsatisfactory (Nash-Sutcliffe efficiency coefficient - NSE < 0.5). However simulation results on monthly and annual scales were significantly better. With regard to the erosion process, the simulated sediment yields for all years of the study were unsatisfactory in comparison with the observed values on a daily and monthly basis (NSE values < -6), and overestimated the annual sediment yield by more than 100 %.

Correction of resistance to penetration by pedofunctions and a reference soil water content

The soil penetration resistance is an important indicator of soil compaction and is strongly influenced by soil water content. The objective of this study was to develop mathematical models to normalize soil penetration resistance (SPR), using a reference value of gravimetric soil water content (U). For this purpose, SPR was determined with an impact penetrometer, in an experiment on a Dystroferric Red Latossol (Rhodic Eutrudox), at six levels of soil compaction, induced by mechanical chiseling and additional compaction by the traffic of a harvester (four, eight, 10, and 20 passes); in addition to a control treatment under no-tillage, without chiseling or additional compaction. To broaden the range of U values, SPR was evaluated in different periods. Undisturbed soil cores were sampled to quantify the soil bulk density (BD). Pedotransfer functions were generated correlating the values of U and BD to the SPR values. By these functions, the SPR was adequately corrected for all U and BD data ranges. The method requires only SPR and U as input variables in the models. However, different pedofunctions are needed according to the soil layer evaluated. After adjusting the pedotransfer functions, the differences in the soil compaction levels among the treatments, previously masked by variations of U, became detectable.

The Kuramoto model: A simple paradigm for synchronization phenomena

Synchronization phenomena in large populations of interacting elements are the subject of intense research efforts in physical, biological, chemical, and social systems. A successful approach to the problem of synchronization consists of modeling each member of the population as a phase oscillator. In this review, synchronization is analyzed in one of the most representative models of coupled phase oscillators, the Kuramoto model. A rigorous mathematical treatment, specific numerical methods, and many variations and extensions of the original model that have appeared in the last few years are presented. Relevant applications of the model in different contexts are also included.

Synchronization in a lattice model of pulse-coupled oscillators

We analyze the collective behavior of a lattice model of pulse-coupled oscillators. By means of computer simulations we find the relation between the intrinsic dynamics of each member of the population and their mutual interactions that ensures, in a general context, the existence of a fully synchronized regime. This condition turns out to be the same as that obtained for the globally coupled population. When the condition is not completely satisfied we find different spatial structures. This also gives some hints about self-organized criticality.

MODELING OF SOIL LOAD-BEARING CAPACITY AS A FUNCTION OF SOIL MECHANICAL RESISTANCE TO PENETRATION

Estimation of soil load-bearing capacity from mathematical models that relate preconsolidation pressure (σp) to mechanical resistance to penetration (PR) and gravimetric soil water content (U) is important for defining strategies to prevent compaction of agricultural soils. Our objective was therefore to model the σp and compression index (CI) according to the PR (with an impact penetrometer in the field and a static penetrometer inserted at a constant rate in the laboratory) and U in a Rhodic Eutrudox. The experiment consisted of six treatments: no-tillage system (NT); NT with chiseling; and NT with additional compaction by combine traffic (passing 4, 8, 10, and 20 times). Soil bulk density, total porosity, PR (in field and laboratory measurements), U, σp, and CI values were determined in the 5.5-10.5 cm and 13.5-18.5 cm layers. Preconsolidation pressure (σp) and CI were modeled according to PR in different U. The σp increased and the CI decreased linearly with increases in the PR values. The correlations between σp and PR and PR and CI are influenced by U. From these correlations, the soil load-bearing capacity and compaction susceptibility can be estimated by PR readings evaluated in different U.

Modelos de tasas de interes en Chile: una revisión

Con este trabajo revisamos los Modelos de niveles de las tasas de intereses en Chile. Además de los Modelos de Nivel tradicionales por Chan, Karoly, Longstaff y Lijadoras (1992) en EE. UU, y Parisi (1998) en Chile, por el método de Probabilidad Maximun permitimos que la volatilidad condicional también incluya los procesos inesperados de la información (el modelo GARCH ) y también que la volatilidad sea la función del nivel de la tasa de intereses (modelo TVP-NIVELE) como en Brenner, Harjes y la Crona (1996). Para esto usamos producciones de mercado de bonos de reconocimiento, en cambio las producciones mensuales medias de subasta PDBC, y la ampliación del tamaño y la frecuencia de la muestra a 4 producciones semanales con términos(condiciones) diferentes a la madurez: 1 año, 5 años, 10 años y 15 años. Los resultados principales del estudio pueden ser resumidos en esto: la volatilidad de los cambios inesperados de las tarifas depende positivamente del nivel de las tarifas, sobre todo en el modelo de TVP-NIVEL. Obtenemos pruebas de reversión tacañas, tal que los incrementos en las tasas de intereses no eran independientes, contrariamente a lo obtenido por Brenner. en EE. UU. Los modelos de NIVELES no son capaces de ajustar apropiadamente la volatilidad en comparación con un modelo GARCH (1,1), y finalmente, el modelo de TVP-NIVEL no vence los resultados del modelo GARCH (1,1)

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.

The mean-variance model from the inverse of the variance-covariance matrix

En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.