Manual de procedimentos: gestão do imobilizado

Trabalho de Projecto para a obtenção do Grau de Mestre em Contabilidade e Finanças Orientador: Mestre Armindo Licínio da Silva Macedo

O papel da engenharia na gestão de ativos de uma unidade industrial

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia de Manutenção

Derivation and consistency checking of models in early software product line engineering

Dissertação para obtenção do Grau de Doutor em Engenharia Informática

An analog model for global macro investing

This study proposes a systematic model that is able to fit the Global Macro Investing universe. The Analog Model tests the possibility of capturing the likelihood of an optimal investment allocation based on similarity across different periods in history. Instead of observing Macroeconomic data, the model uses financial markets’ variables to classify unknown short-term regimes. This methodology is particularly relevant considering that asset classes and investment strategies react differently to specific macro environment shifts.

Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

Osakeyhtiölain maksukykytesti pienissä osakeyhtiöissä - tilitoimiston rooli neuvonantajana

Osakeyhtiölakiin on vuodesta 2006 asti sisältynyt maksukykytesti (OYL 13:2), jonka tulkinnallinen epäselvyys on motivoinut useita tutkimuksia ja melko kriittistäkin kirjoittelua. Säännöksen tarkoituksena on ehkäistä osakeyhtiön velkojia uhkaava varojenjako velvoittamalla yhtiön johto huolellisuusvelvoitteensa nojalla arvioimaan varojenjaon vaikutukset yhtiön maksukyvyn säilymiseen. Oikeuskäytännön puuttuessa maksukykytestin toteuttamistapaan liittyy kuitenkin edelleenkin merkittävää epävarmuutta. Tämän tutkimuksen tavoitteena on pyrkiä selvittämään, miten osakeyhtiölain mukainen maksukykytesti pitäisi toteuttaa pienissä osakeyhtiöissä, joiden taloushallinto on kokonaan tai osittain ulkoistettu tilitoimistolle. Olennainen osa tutkimuksen tavoitetta on ottaa kantaa tilitoimiston rooliin maksukykytestin toteuttamisessa. Tutkimuksen johtopäätöksenä voidaan todeta, että yksityiskohtaisten tilinpäätöksen tunnuslukuihin perustuvien maksukykyarvioiden laatiminen maksukykytestin toteuttamiseksi on pienissä osakeyhtiöissä pääsääntöisesti tarpeetonta. Merkitystä tulisi sen sijaan antaa yhtiön johdolla olevalle hiljaiselle tiedolle, sillä yhtiön johto tuntee yrityksen tilanteen parhaiten ja kykenee siten myös arvioimaan tuleva kehitystä. Tilitoimiston rooliksi jää tällöin varmistaa, että asiakasyrityksen johto tuntee oman vastuuasemansa. Tutkimuksen perusteella tilitoimistot voisivat myös hyödyntää omaa asemaansa pienten yhtiöiden neuvonantajina nykyistä paremmin ohjeistamalla asiakasyrityksiään dokumentoimaan maksukykytestin hallituksen kokouspöytäkirjaan esimerkiksi osana hallituksen osingonjakoehdotusta.

Effectiveness of instructional strategies based on schema theory on attention deficit disorder children

A review of the literature reveals that there are a number of children in the educational system who are characterized by Attention Deficit Disorder. Further review of the literature reveals that there are information processing programs which have had some success in increasing the learning of these children. Currently, an information processing program which is based on schema theory is being implemented in Lincoln County. Since schema theory based programs build structural, conditional, factual, and procedural schemata which assist the learner in attending to salient factors, learning should be increased. Thirty-four children were selected from a random sampling of Grade Seven classes in Lincoln County. Seventeen of these children were identified by the researcher and classroom teacher as being characterized by Attention Deficit Disorder. From the remaining population, 17 children who were not characterized by Attention Deficit Disorder were randomly selected. The data collected were compared using independent t-tests, paired t-tests, and correlation analysis. Significant differences were found in all cases. The Non-Attention Deficit Disorder children scored significantly higher on all the tests but the Attention Defici t Disorder children had a significantly higher ratio of gain between the pretests and posttests.

Isolation and analysis of a corprinus cinereus DNA fragment showing homology to a fimbrial cDNA from ustilago violacea

Surface proteinaceous fibrils, termed fimbriae, were first identified on gram negative bacteria in the 1940s. Fungal fimbriae, discovered some 25 years later, are found on members of all fungal classes. In the present study, polyclonal antiserum raised against the fimbrial proteins of U. vio/acea were used in order to identify antigenically related proteins from Coprinus cinereus and Schizophy//um commune. Two polypeptides with molecular masses of 37 and 39 kDa from C. cinereus were observed and confirm earlier results. A single previously unidentified 50 kDa polypeptide in S. commune crossreacted with the antiserum. The 50 kDa protein was found to consist of 3 isoforms with isoelectric points ranging from 5.6 to 5.8. A fimbrial cDNA derived from U. vio/acea was used to identify DNA restriction fragments from C. cinereus and S. commune showing homology to the fimbrial transcript of U. vio/acea. Heterologous hybridization with this cDNA was used in order to screen a C. cinereus genomic DNA library. A single clone, A2-3A, with a 14 kbp insert showed strong homology to the pfim3-1 cDNA. The region of homology, a 700 bp Xba I fragment, was subcloned into pUG19. This plasmid was refered to as pXX8. DNA sequence determinations of pXX8 and adjacent fragments from A2-3A suggested that the cloned DNA was a portion of the rONA repeat encoding the small subunit rRNA. DNA sequence analysis of pfim3-1 yielded an incomplete open reading frame. The predicted amino acid sequence codes for a 206 amino acid, 22 kDa polypeptide which contains a domain similar to a transmembrane domain from rat leukocyte antigen, GDS3. As well, an untranslated 576 nucleotide domain showed 81 % homology to pXX8 and 830/0 homology to the 188 rRNA sequence of Ustilago maydis. This sequence was found adjacent to a region of adenine-thymine base pairs presumed to represent the polyadenylation sequence of the fimbrial transcript. The size and extent of homology is sufficient to account for the hybridization of pfim3-1 to rDNA. It is suggested that this domain represents a completely novel regulatory domain within eukaryotes that may enable the observed rapid regeneration of fimbriae in U. violacea.

Bradley Institute of Music fonds

1.23 m. textual records, 1 col. post card, 1 b&w post card, 116 col. photographs, 59 b&w photographs, 6 negatives, 1 metal logo, 2 photo cuts, 7 woodcuts, 1 VHS tape, 1 stamp/press, 1 guest book, 5 account books

Latent Variable Models for Stochastic Discount Factors.

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time series of asset prices. In the CAPM or APT beta pricing models, the dimension reduction is cross-sectional in nature, while in time-series state-space models, dimension is reduced longitudinally by assuming conditional independence between consecutive returns, given a small number of state variables. In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing kernel as a unifying principle to integrate these two concepts of latent variables. Beta pricing relations amount to characterize the factors as a basis of a vectorial space for the SDF. The coefficients of the SDF with respect to the factors are specified as deterministic functions of some state variables which summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross-sectional factor structure, that is, a conditional independence between contemporaneous returns of a large number of assets, given a small number of factors, like in standard Factor Analysis. We provide this unifying analysis in the context of conditional equilibrium beta pricing as well as asset pricing with stochastic volatility, stochastic interest rates and other state variables. We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals. We interpret various instantaneous causality relationships between state variables and market fundamentals as leverage effects and discuss their central role relative to the validity of standard CAPM-like stock pricing and preference-free option pricing.

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods, (ii) residual checks reveal no significant departures from the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once it is allowed for the possibility of non-normal errors.

‘Bringing the Middle Classes Back In’ An Egalitarian Case for (Truly) Universal Public Services

Some egalitarians argue against public services that are free for all, on the grounds that free access appears to primarily benefit the middle classes. I advocate, instead, the inclusion of the middle classes in public services, arguing that only truly universal intake of public services prevents the inegalitarian effects of economic segregation. Such universal participation in public services is achieved, partly, through subsidies for, and regulation of, privately produced services.

A mechanism for co-transcriptional recruitment of mRNA localization factor on nascent mRNAs in budding yeast

Le transport et la localisation des ARN messagers permettent de réguler l’expression spatiale et temporelle de facteurs spécifiques impliqués dans la détermination du destin cellulaire, la plasticité synaptique, la polarité cellulaire et la division asymétrique des cellules. Chez S.cerevisiæ, plus de trente transcrits sont transportés activement vers le bourgeon cellulaire. Parmi ces transcrits, l’ARNm ASH1 (asymetric synthesis of HO) est localisé à l’extrémité du bourgeon pendant l’anaphase. Ce processus va entrainer une localisation asymétrique de la protéine Ash1p, qui sera importée uniquement dans le noyau de la cellule fille, où elle entraine le changement de type sexuel. La localisation asymétrique de l’ARNm ASH1, et donc de Ash1p, implique la présence de différents facteurs de localisation. Parmi ces facteurs, les protéines She (She1p/Myo4p, She2p et She3p) et les répresseurs traductionnels (Puf6p, Loc1p et Khd1p) participent à ce mécanisme. La protéine navette She2p est capable de lier l’ARNm ASH1 et va entrainer le ciblage de cet ARNm vers l’extrémité du bourgeon en recrutant le complexe She3p-Myo4p. Des répresseurs traductionnels régulent la traduction de cet ARNm et évitent l’expression ectopique de la protéine Ash1p pendant son transport. Alors que la fonction cytoplasmique de She2p sur la localisation des ARNm est connue, sa fonction nucléaire est encore inconnue. Nous avons montré que She2p contient une séquence de localisation nucléaire non classique qui est essentielle à son import nucléaire médié par l’importine α (Srp1p). L’exclusion de She2p du noyau par mutation de son NLS empêche la liaison de Loc1p et Puf6p sur l’ARNm ASH1, entrainant un défaut de localisation de l’ARNm et de la protéine. Pour étudier plus en détail l’assemblage de la machinerie de localisation des ARNm dans le noyau, nous avons utilisé des techniques d’immunoprécipitation de chromatine afin de suivre le recrutement des facteurs de localisation et des répresseurs traductionnels sur les ARNm naissants. Nous avons montré que She2p est recruté sur le gène ASH1 pendant sa transcription, via son interaction avec l’ARNm ASH1 naissant. Puf6p est également recruté sur ASH1, mais d’une manière dépendante de la présence de She2p. De façon intéressante, nous avons détecté une interaction entre She2p et la plus grande sous-unité de l’ARN polymérase II (Rpb1p). Cette interaction est détectée avec la forme active en élongation de l’ARN polymérase II. Nous avons également démontré que She2p interagit avec le complexe d’élongation de la transcription Spt4p/Spt5p. Une délétion de SPT4 ou une mutation dans SPT5 (Ts spt5) à température restrictive empêche l’interaction entre She2p et Rpb1p, et diminue le recrutement de She2p au gène ASH1, entrainant un défaut de localisation de l’ARNm et un défaut de localisation asymétrique de la protéine Ash1p. De manière globale, nos résultats montrent que les facteurs impliqués dans la localisation cytoplasmique des ARNm et dans leur contrôle traductionnel sont recrutés de façon co-transcriptionnelle sur les ARNm naissants via leur interaction avec la machinerie de transcription, suggèrant un rôle important de la machinerie transcriptionelle dans la localisation des ARNm.

Asset Pricing in a Production Economy with Chew–Dekel Preferences

In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with Chew–Dekel risk preferences and convex capital adjustment costs. When households display levels of disappointment aversion consistent with the experimental evidence, a version of the model parameterized to match the volatility of output and consumption growth generates unconditional expected asset returns and price of risk in line with the historical data. For the model with Epstein–Zin preferences to generate similar statistics, the relative risk aversion coefficient needs to be about 55, two orders of magnitude higher than the available estimates. We argue that this is not surprising, given the limited risk imposed on agents by a reasonably calibrated stochastic growth model.