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.

Avaliação do desempenho de fundos de investimento de obrigações: evidência para o mercado Brasileiro

Dissertação de mestrado em Finanças

Avaliação do desempenho de carteiras de fundos verdes em diferentes estados de mercado

Dissertação de mestrado em Finanças

A autonomia no processo de aquisição da competência plurilingue e intercultural no âmbito da aprendizagem do Espanhol

Relatório de estágio de mestrado em Ensino de Português no 3.º ciclo do Ensino Básico Secundário e do Ensino do Espanhol no Ensino Básico e Secundário

Avaliação do desempenho de fundos de investimento de ouro nos EUA: influência dos diferentes regimes de mercado na seletividade e market-timing

Dissertação de mestrado em Finanças

Os fatores de risco da rendibilidade das ações: análise e evidência empírica em países da Zona Euro

Tese de Doutoramento em Ciências Empresariais.

Algorithms and computational tools for metabolic flux analysis

PhD thesis in Biomedical Engineering

Random walk forecast of urban water in Iran under uncertainty

There are two significant reasons for the uncertainties of water demand. On one hand, an evolving technological world is plagued with accelerated change in lifestyles and consumption patterns; and on the other hand, intensifying climate change. Therefore, with an uncertain future, what enables policymakers to define the state of water resources, which are affected by withdrawals and demands? Through a case study based on thirteen years of observation data in the Zayandeh Rud River basin in Isfahan province located in Iran, this paper forecasts a wide range of urban water demand possibilities in order to create a portfolio of plans which could be utilized by different water managers. A comparison and contrast of two existing methods are discussed, demonstrating the Random Walk Methodology, which will be referred to as the â On uncertainty pathâ , because it takes the uncertainties into account and can be recommended to managers. This On Uncertainty Path is composed of both dynamic forecasting method and system simulation. The outcomes show the advantage of such methods particularly for places that climate change will aggravate their water scarcity, such as Iran.

¿La edad de la política? Balanche Historiográfico de los estudios sobre comunicación e información política en la sociedad ibérica moderna

Los estudios sobre política y su impacto y circulación entre la sociedad moderna, han solido limitar su expansión a un número reducido de personas del entorno más próximo a los grandes actores cortesanos frente a la tradicional “indiferencia” del común. Sin embargo, gracias a la renovación de la historiografía de lo político y a su interés por áreas culturales y sociales ajenas a su tradicional consideración, en las últimas décadas se ha descubierto un interesante terreno de experiencias políticas que nos puede servir como atalaya para conocer la difusión de la información sobre los hechos políticos también entre “gente corriente”. A nuestro juicio, es un momento adecuado para evaluar el desarrollo de un fenómeno historiográfico carente de cierta sistematicidad, razón por la que planteamos este balance crítico y analítico sobre la sociedad ibérica del Antiguo Régimen.

Erstellung einer Blitzschutzrichtlinie für die Produktpalette der FAM im Auftrag der "Gesellschaft für Prozeßautomation mbH" (GPA)"

On the basis of the global use of the FAM installations and systems, their location, type and height, a lightning protection system is required, which protects humans and machines from danger of a lightning. At the beginning the development, the threat and the potential for destruction of lightning are described. Besides the resulting solid normative calculation models and tables are presented. Then, the product portfolio of the FAM is characterized. From this demonstration models are selected; on the one hand a model for the totality of all portable devices and the other hand a model which defines the power plants. Subsequently, the risk management and a strengths and weaknesses analysis are performed. After that, with graphical and mathematical models, these weaknesses as well as the functional equipotential bonding and grounding system and its dimensioning are investigated and solutions are demonstrated. The following is a coordination of lightning protection standard with other directives and standards in order to classify the resulting internal lightning protection and protective measures against electromagnetic pulse and to generate a uniform protection and application platform. Furthermore, problems of the economy of protective circuit is shown and a solution is given. Finally, the indicated possible solutions are replaced by definitions. The main classification and structure of lightning protection directive are shown and exemplarily applied.

The optimal behaviour of firms facing stochastic costs

This paper aims at assessing the optimal behavior of a firm facing stochastic costs of production. In an imperfectly competitive setting, we evaluate to what extent a firm may decide to locate part of its production in other markets different from which it is actually settled. This decision is taken in a stochastic environment. Portfolio theory is used to derive the optimal solution for the intertemporal profit maximization problem. In such a framework, splitting production between different locations may be optimal when a firm is able to charge different prices in the different local markets.

Endogenous capacity utilization and the asymmetric effects of monetary policy

This paper investigates the role of variable capacity utilization as a source of asymmetries in the relationship between monetary policy and economic activity within a dynamic stochastic general equilibrium framework. The source of the asymmetry is directly linked to the bottlenecks and stock-outs that emerge from the existence of capacity constraints in the real side of the economy. Money has real effects due to the presence of rigidities in households' portfolio decisions in the form of a Luces-Fuerst 'limited participation' constraint. The model features variable capacity utilization rates across firms due to demand uncertainty. A monopolistic competitive structure provides additional effects through optimal mark-up changes. The overall message of this paper for monetary policy is that the same actions may have different effects depending on the capacity utilization rate of the economy.

Nuclear Weapons as Symbols. The Role of Norms in Nuclear Policy Making

Throughout history, nuclear weapons have been considered to be the ultimate weapons. This understanding largely detached them from the portfolio of conventional military means and assigned them a symbolic meaning that influenced the identity and norms creation of nations. In most countries today, the development of nuclear weapons is considered morally prohibitive, incompatible with a country’s identity and international outlook. In some states, however, these negative norms are overridden by a positive set of norms, causing nuclear weapons to become either symbols of invulnerability to perceived threats or the regalia of major power status. Main purpose of this paper is to explore on the conditions that cause most states to develop a moral aversion to nuclear weapons, yet effectively lead to their glorification in others. Many studies on the normative understanding of nuclear weapons consider the existence of a negative normative predisposition, often referred to as ‘nuclear taboo’, as a major factor in preventing their acquisition and use. Other studies acknowledge the existence of a nuclear taboo inhibiting the use of nuclear weapons, but point to the existence of the opposing effect of norms, frequently referred to as the ‘nuclear myth’, when it comes to the acquisition of nuclear weapons. This myth emerges when certain symbolic meanings are attached to nuclear weapons, such as a state’s identity, self-image, and its desired position in the international system. With 180 odd countries in the world abstaining from the acquisition of nuclear weapons and 8 countries in possession of them (with two further countries assumed to have pursued their acquisition), one might consider the dominance of the nuclear taboo over the nuclear myth to be the rule. The core question is thus why and how this relationship reversed in the case of defectors.

The biophysical perspective of a middle income economy: material flows in Mexico

We analyse natural resource use dynamics in the Mexican economy during the last three decades. Despite low and uneven economic growth, the extraction and use of materials in the Mexican economy has continuously increased during the last 30 years. In this period, population growth rather than economic growth was the main driving force for biophysical growth. In addition, fundamental changes have taken place in the primary sectors, in manufacturing, and in household consumption and these are reflected in an increasing emphasis on the use of fossil fuels and construction materials. Mexico’s economy has been strongly influenced by international trade since the country commenced competing in international markets. In the 1970s, Mexico mainly exported primary resources. This pattern has changed and manufactured goods now have a much greater importance due to a boom in assembling industries. In contrast with other Latin American countries, Mexico has achieved a diversification of production, moving towards technology-intensive products and a better mix in its export portfolio. However, crude oil exports still represent the single most important export good. Mexico’s material consumption is still well below the OECD average but is growing fast and the current resource use patterns may well present serious social and environmental problems to the medium and long term sustainability of Mexico’s economy and community. Information on natural resource use and resource productivity could provide valuable guidance for economic policy planning in Mexico.

In Search of a theory of debt management

A growing literature integrates theories of debt management into models of optimal fiscal policy. One promising theory argues that the composition of government debt should be chosen so that fluctuations in the market value of debt offset changes in expected future deficits. This complete market approach to debt management is valid even when the government only issues non-contingent bonds. A number of authors conclude from this approach that governments should issue long term debt and invest in short term assets. We argue that the conclusions of this approach are too fragile to serve as a basis for policy recommendations. This is because bonds at different maturities have highly correlated returns, causing the determination of the optimal portfolio to be ill-conditioned. To make this point concrete we examine the implications of this approach to debt management in various models, both analytically and using numerical methods calibrated to the US economy. We find the complete market approach recommends asset positions which are huge multiples of GDP. Introducing persistent shocks or capital accumulation only worsens this problem. Increasing the volatility of interest rates through habits partly reduces the size of these simulations we find no presumption that governments should issue long term debt ? policy recommendations can be easily reversed through small perturbations in the specification of shocks or small variations in the maturity of bonds issued. We further extend the literature by removing the assumption that governments every period costlessly repurchase all outstanding debt. This exacerbates the size of the required positions, worsens their volatility and in some cases produces instability in debt holdings. We conclude that it is very difficult to insulate fiscal policy from shocks by using the complete markets approach to debt management. Given the limited variability of the yield curve using maturities is a poor way to substitute for state contingent debt. The result is the positions recommended by this approach conflict with a number of features that we believe are important in making bond markets incomplete e.g allowing for transaction costs, liquidity effects, etc.. Until these features are all fully incorporated we remain in search of a theory of debt management capable of providing robust policy insights.