Optimal performance fee and flow of funds in asset management contracts

This paper investigates the importance of ow of funds as an implicit incentive in the asset management industry. We build a two-period bi- nomial moral hazard model to explain the trade-o¤s between ow, per- formance and fees where e¤ort depends on the combination of implicit ( ow of funds) and explicit (performance fee) incentives. Two cases are considered. With full commitment, the investor s relevant trade-o¤ is to give up expected return in the second period vis-à-vis to induce e¤ort in the rst period. The more concerned the investor is with today s pay- o¤, the more willing he will be to give up expected return in the second period by penalizing negative excess return in the rst period. Without full commitment, the investor learns some symmetric and imperfect infor- mation about the ability of the manager to obtain positive excess return. In this case, observed returns reveal ability as well as e¤ort choices. We show that powerful implicit incentives may explain the ow-performance relationship with a numerical solution. Besides, risk aversion explains the complementarity between performance fee and ow of funds.

Transferência de calor combinando radiação e convecção no interior de dutos de geradores de vapor fumotubulares

Esta dissertação de mestrado considera a transferência de calor combinando convecção e radiação térmica no escoamento de gases participantes em dutos de seção circular. Partindo de uma metodologia geral, o trabalho enfoca principalmente os casos típicos de aplicação em geradores de vapor fumotubulares de pequeno e médio porte, em que gases em alta temperatura escoam através de um tubo mantido em temperatura uniforme. O escoamento é turbulento e o perfil de velocidade é plenamente desenvolvido desde a entrada do duto. A temperatura do gás, contudo, é uniforme na entrada, considerando-se a região de desenvolvimento térmico. Duas misturas de gases são tratadas, ambas constituídas por dióxido de carbono, vapor d’água e nitrogênio, correspondendo a produtos típicos da combustão estequiométrica de óleo combustível e metano. As propriedades físicas dos gases são admitidas uniformes em todo o duto e calculadas na temperatura de mistura média, enquanto que as propriedades radiantes são modeladas pela soma-ponderada-de-gases-cinzas. O campo de temperatura do gás é obtido a partir da solução da equação bidimensional da conservação da energia, sendo os termos advectivos discretizados através do método de volumes de controle com a função de interpolação Flux-Spline; as trocas de energia radiantes são avaliadas por meio do método das zonas, onde cada zona de radiação corresponde a um volume de controle. Em um primeiro passo, a metodologia é verificada pela comparação com resultados apresentados na literatura para a transferência de calor envolvendo apenas convecção e combinando convecção com radiação. Em seguida, discutem-se alguns efeitos da inclusão da radiação térmica, por exemplo, no número de Nusselt convectivo e na temperatura de mistura do gás. Finalmente, são propostas correlações para o número de Nusselt total, que leva em conta tanto a radiação quanto a convecção. Essa etapa exige inicialmente uma análise dos grupos adimensionais que governam o processo radiante para redução do número elevado de parâmetros independentes. As correlações, aplicáveis a situações encontradas em geradores de vapor fumotubulares de pequeno e médio porte, são validadas estatisticamente pela comparação com os resultados obtidos pela solução numérica.

Rational expectations and the service of public debt: a recursive approach

This paper uses dynamic programming to study the time consistency of optimal macroeconomic policy in economies with recurring public deficits. To this end, a general equilibrium recursive model introduced in Chang (1998) is extended to include govemment bonds and production. The original mode! presents a Sidrauski economy with money and transfers only, implying that the need for govemment fmancing through the inflation tax is minimal. The extended model introduces govemment expenditures and a deficit-financing scheme, analyzing the SargentWallace (1981) problem: recurring deficits may lead the govemment to default on part of its public debt through inflation. The methodology allows for the computation of the set of alI sustainable stabilization plans even when the govemment cannot pre-commit to an optimal inflation path. This is done through value function iterations, which can be done on a computeI. The parameters of the extended model are calibrated with Brazilian data, using as case study three Brazilian stabilization attempts: the Cruzado (1986), Collor (1990) and the Real (1994) plans. The calibration of the parameters of the extended model is straightforward, but its numerical solution proves unfeasible due to a dimensionality problem in the algorithm arising from limitations of available computer technology. However, a numerical solution using the original algorithm and some calibrated parameters is obtained. Results indicate that in the absence of govemment bonds or production only the Real Plan is sustainable in the long run. The numerical solution of the extended algorithm is left for future research.

Optimal provision of implicit and explicit incentives in asset management contracts

This paper investigates the importance of the fiow of funds as an implicit incetive provided by investors to portfolio managers in a two-period relationship. We show that the fiow of funds is a powerful incentive in an asset management contract. We build a binomial moral hazard model to explain the main trade-ofIs in the relationship between fiow, fees and performance. The main assumption is that efIort depend" on the combination of implicit and explicit incentives while the probability distrioutioll function of returns depends on efIort. In the case of full commitment, the investor's relevant trade-ofI is to give up expected return in the second period vis-à-vis to induce efIort in the first período The more concerned the investor is with today's payoff. the more willing he will be to give up expected return in the following periods. That is. in the second period, the investor penalizes observed low returns by withdrawing resources from non-performing portfolio managers. Besides, he pays performance fee when the observed excess return is positive. When commitment is not a plausible hypothesis, we consider that the investor also learns some symmetríc and imperfect information about the ability of the manager to generate positive excess returno In this case, observed returns reveal ability as well as efIort choices exerted by the portfolio manager. We show that implicit incentives can explain the fiow-performance relationship and, conversely, endogenous expected return determines incentives provision and define their optimal leveIs. We provide a numerical solution in Matlab that characterize these results.

On the construction of explicit exponential based schemes for Stiff SDEs

Trabalho apresentado Numerical Solution of Differential and Differential-Algebraic Equations (NUMDIFF-14), Halle, 7-11 Sep 2015

Análise de superfícies seletivas de freqüência para aplicações em ondas milimétricas

This work consists in the development of a theoretical and numerical analysis for frequency selective surfaces (FSS) structures with conducting patch elements, such as rectangular patches, thin dipoles and cross dipoles, on anisotropic dielectric substrates. The analysis is developed for millimeter wave band applications. The analytical formulation is developed in the spectral domain, by using a rigorous technique known as equivalent transmission line method, or immitance approach. The numerical analysis is completed through the use of the Galerkin's technique in the Fourier transform domain, using entire-domain basis functions. In the last decades, several sophisticated analytical techniques have been developed for FSS structure applications. Within these applications, it can be emphasized the use of FSS structures on reflecting antennas and bandpass radomes. In the analysis, the scattered fields of the FSS geometry are related to the surface induced currents on the conducting patches. After the formulation of the scattering problem, the numerical solution is obtained by using the moment method. The choice of the basis functions plays a very important role in the numerical efficiency of the numerical method, once they should provide a very good approximation to the real current distributions on the FSS analyzed structure. Thereafter, the dyadic Green's function components are obtained in order to evaluate the basis functions unknown coefficients. To accomplish that, the Galerkin's numerical technique is used. Completing the formulation, the incident fields are determined through the incident potential, and as a consequence the FSS transmission and reflection characteristics are determined, as function of the resonant frequency and structural parameters. The main objective of this work was to analyze FSS structures with conducting patch elements, such as thin dipoles, cross dipoles and rectangular patches, on anisotropic dielectric substrates, for high frequency applications. Therefore, numerical results for the FSS structure main characteristics were obtained in the millimeter wave bando Some of these FSS characteristics are the resonant

A bounded upwinding scheme for computing convection-dominated transport problems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

A continuously differentiable upwinding scheme for the simulation of fluid flow problems

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Evaluation of a bounded high order upwind scheme for 3D incompressible free surface flow computations

fit the context of normalized variable formulation (NVF) of Leonard and total variation diminishing (TVD) constraints of Harten. this paper presents an extension of it previous work by the authors for solving unsteady incompressible flow problems. The main contributions of the paper are threefold. First, it presents the results of the development and implementation of a bounded high order upwind adaptative QUICKEST scheme in the 3D robust code (Freeflow), for the numerical solution of the full incompressible Navier-Stokes equations. Second, it reports numerical simulation results for 1D hock tube problem, 2D impinging jet and 2D/3D broken clam flows. Furthermore, these results are compared with existing analytical and experimental data. and third, it presents the application of the numerical method for solving 3D free surface flow problems. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved,

Optimal attitude corrections for cylindrical spacecraft

A first order analytical model for optimal small amplitude attitude maneuvers of spacecraft with cylindrical symmetry in an elliptical orbits is presented. The optimization problem is formulated as a Mayer problem with the control torques provided by a power limited propulsion system. The state is defined by Seffet-Andoyer's variables and the control by the components of the propulsive torques. The Pontryagin Maximum Principle is applied to the problem and the optimal torques are given explicitly in Serret-Andoyer's variables and their adjoints. For small amplitude attitude maneuvers, the optimal Hamiltonian function is linearized around a reference attitude. A complete first order analytical solution is obtained by simple quadrature and is expressed through a linear algebraic system involving the initial values of the adjoint variables. A numerical solution is obtained by taking the Euler angles formulation of the problem, solving the two-point boundary problem through the shooting method, and, then, determining the Serret-Andoyer variables through Serret-Andoyer transformation. Numerical results show that the first order solution provides a good approximation to the optimal control law and also that is possible to establish an optimal control law for the artificial satellite's attitude. (C) 2003 COSPAR. Published by Elsevier B.V. Ltd. All rights reserved.

Attitude propagation using non-singular canonical variables

Three sets of non-singular canonical variables for the rotational motion are analyzed. These sets are useful when the angle between z-axis of a coordinate system fixed in artificial satellite ( here defined by the directions of principal moments of inertia of the satellite) and the rotational angular momentum vector is zero or when the angle between Z-inertial axis and rotational angular momentum vector is zero. The goal of this paper is to compare all these sets and to determine the benefits of their uses. With this objective, the dynamical equations of each set were derived, when mean hamiltonian associate with the gravity gradient torque is included. For the torque-free rotational motion, analytical solutions are computed for symmetrical satellite for each set of variables. When the gravity gradient torque is included, an analytical solution is shown for one of the sets and a numerical solution is obtained for one of the other sets. By this analysis we can conclude that: the dynamical equation for the first set is simple but it has neither clear geometrical nor physical meaning; the other sets have geometrical and physical meaning but their dynamical equations are more complex.

Lobatto deferred correction for stiff two-point boundary value problems

An iterated deferred correction algorithm based on Lobatto Runge-Kutta formulae is developed for the efficient numerical solution of nonlinear stiff two-point boundary value problems. An analysis of the stability properties of general deferred correction schemes which are based on implicit Runge-Kutta methods is given and results which are analogous to those obtained for initial value problems are derived. A revised definition of symmetry is presented and this ensures that each deferred correction produces an optimal increase in order. Finally, some numerical results are given to demonstrate the superior performance of Lobatto formulae compared with mono-implicit formulae on stiff two-point boundary value problems. (C) 1998 Elsevier B.V. Ltd. All rights reserved.

Stabilization of a (3+1)-dimensional soliton in a Kerr medium by a rapidly oscillating dispersion coefficient

Using the numerical solution of the nonlinear Schrodinger equation and a variational method it is shown that (3 + 1)-dimensional spatiotemporal optical solitons can be stabilized by a rapidly oscillating dispersion coefficient in a Kerr medium with cubic nonlinearity. This has immediate consequence in generating dispersion-managed robust optical soliton in communication as well as possible stabilized Bose-Einstein condensates in periodic optical-lattice potential via an effective-mass formulation. We also critically compare the present stabilization with that obtained by a rapid sinusoidal oscillation of the Kerr nonlinearity parameter.

Resonance in Bose-Einstein condensate oscillation from a periodic variation in scattering length

Using the explicit numerical solution of the axially symmetric Gross-Pitaevskii equation, we study the oscillation of the Bose-Einstein condensate (BEC) induced by a periodic variation in the atomic scattering length a. When the frequency of oscillation of a is an even multiple of the radial or axial trap frequency, respectively, the radial or axial oscillation of the condensate exhibits resonance with a novel feature. In this nonlinear problem without damping, at resonance in the steady state the amplitude of oscillation passes through a maximum and minimum. Such a growth and decay cycle of the amplitude may keep on repeating. Similar behaviour is also observed in a rotating BEC.

The critical number of atoms in an attractive Bose-Einstein condensate on optical plus harmonic traps

The stability of an attractive Bose-Einstein condensate on a joint one-dimensional optical lattice and an axially symmetrical harmonic trap is studied using the numerical solution of the time-dependent mean-field Gross-Pitaevskii equation and the critical number of atoms for a stable condensate is calculated. We also calculate this critical number of atoms in a double-well potential which is always greater than that in an axially symmetrical harmonic trap. The critical number of atoms in an optical trap can be made smaller or larger than the corresponding number in the absence of the optical trap by moving a node of the optical lattice potential in the axial direction of the harmonic trap. This variation of the critical number of atoms can be observed experimentally and compared with the present calculations.