Trois essais sur les banques et le pouvoir de marché

Cette thèse examine le rôle du pouvoir de marché dans le marché bancaire. L’emphase est mis sur la prise de risque, les économies d’échelle, l’efficacité économique du marché et la transmission des chocs. Le premier chapitre présente un modèle d’équilibre général dynamique stochastique en économie ouverte comprenant un marché bancaire en concurrence monopolistique. Suivant l’hypothèse de Krugman (1979, 1980) sur la relation entre les économies d’échelle et les exportations, les banques doivent défrayer un coût de transaction pour échanger à l’étranger qui diminue à mesure que le volume de leurs activités locales augmente. Cela incite les banques à réduire leur marge locale afin de profiter davantage du marché extérieur. Le modèle est solutionné et simulé pour divers degrés de concentration dans le marché bancaire. Les résultats obtenus indiquent que deux forces contraires, les économies d’échelle et le pouvoir de marché, s’affrontent lorsque le marché se concentre. La concentration permet aussi aux banques d’accroître leurs activités étrangères, ce qui les rend en contrepartie plus vulnérables aux chocs extérieurs. Le deuxième chapitre élabore un cadre de travail semblable, mais à l’intérieur duquel les banques font face à un risque de crédit. Celui-ci est partiellement assuré par un collatéral fourni par les entrepreneurs et peut être limité à l’aide d’un effort financier. Le modèle est solutionné et simulé pour divers degrés de concentration dans le marché bancaire. Les résultats montrent qu’un plus grand pouvoir de marché réduit la taille du marché financier et de la production à l’état stationnaire, mais incite les banques à prendre moins de risques. De plus, les économies dont le marché bancaire est fortement concentré sont moins sensibles à certains chocs puisque les marges plus élevés donnent initialement de la marge de manoeuvre aux banques en cas de chocs négatifs. Cet effet modérateur est éliminé lorsqu’il est possible pour les banques d’entrer et de sortir librement du marché. Une autre extension avec économies d’échelle montre que sous certaines conditions, un marché moyennement concentré est optimal pour l’économie. Le troisième chapitre utilise un modèle en analyse de portefeuille de type Moyenne-Variance afin de représenter une banque détenant du pouvoir de marché. Le rendement des dépôts et des actifs peut varier selon la quantité échangée, ce qui modifie le choix de portefeuille de la banque. Celle-ci tend à choisir un portefeuille dont la variance est plus faible lorsqu’elle est en mesure d’obtenir un rendement plus élevé sur un actif. Le pouvoir de marché sur les dépôts amène un résultat sembable pour un pouvoir de marché modéré, mais la variance finit par augmenter une fois un certain niveau atteint. Les résultats sont robustes pour différentes fonctions de demandes.

Active versus passive management : the case of BOVESPA

Mestrado em Finanças

Risk Analysis and Behavior of Electricity Portfolio Aggregator

The scope of this paper is to adapt the standard mean-variance model of Henry Markowitz theory, creating a simulation tool to find the optimal configuration of the portfolio aggregator, calculate its profitability and risk. Currently, there is a deep discussion going on among the power system society about the structure and architecture of the future electric system. In this environment, policy makers and electric utilities find new approaches to access the electricity market; this configures new challenging positions in order to find innovative strategies and methodologies. Decentralized power generation is gaining relevance in liberalized markets, and small and medium size electricity consumers are also become producers (“prosumers”). In this scenario an electric aggregator is an entity that joins a group of electric clients, customers, producers, “prosumers” together as a single purchasing unit to negotiate the purchase and sale of electricity. The aggregator conducts research on electricity prices, contract terms and conditions in order to promote better energy prices for their clients and allows small and medium customers to benefit improved market prices.

The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach

The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the optimal value function for the infinite horizon stochastic control problem via a weighted volatility measure of market and credit risk. The model's optimal strategy was then compared to that obtained from a benchmark Markowitz-type dynamic optimization framework to determine which specification adequately reflects the optimal terminal investment returns and strategy under credit and market risks. The paper shows that an investor's optimal terminal return is lower than typically indicated under the traditional mean-variance framework during periods of elevated credit risk. Hence I conclude that, while the traditional dynamic mean-variance approach may indicate the ideal, in the presence of credit-risk it does not accurately reflect the observed optimal returns, terminal wealth and portfolio selection strategies.

Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

Particle Swarm Optimization of Electricity Market Negotiating Players Portfolio

Energy systems worldwide are complex and challenging environments. Multi-agent based simulation platforms are increasing at a high rate, as they show to be a good option to study many issues related to these systems, as well as the involved players at act in this domain. In this scope the authors’ research group has developed a multi-agent system: MASCEM (Multi- Agent System for Competitive Electricity Markets), which performs realistic simulations of the electricity markets. MASCEM is integrated with ALBidS (Adaptive Learning Strategic Bidding System) that works as a decision support system for market players. The ALBidS system allows MASCEM market negotiating players to take the best possible advantages from each market context. However, it is still necessary to adequately optimize the players’ portfolio investment. For this purpose, this paper proposes a market portfolio optimization method, based on particle swarm optimization, which provides the best investment profile for a market player, considering different market opportunities (bilateral negotiation, market sessions, and operation in different markets) and the negotiation context such as the peak and off-peak periods of the day, the type of day (business day, weekend, holiday, etc.) and most important, the renewable based distributed generation forecast. The proposed approach is tested and validated using real electricity markets data from the Iberian operator – MIBEL.

A comparative review of risk based portfolio allocations: An empirical study throughout rising yields

Since the financial crisis, risk based portfolio allocations have gained a great deal in popularity. This increase in popularity is primarily due to the fact that they make no assumptions as to the expected return of the assets in the portfolio. These portfolios implicitly put risk management at the heart of asset allocation and thus their recent appeal. This paper will serve as a comparison of four well-known risk based portfolio allocation methods; minimum variance, maximum diversification, inverse volatility and equally weighted risk contribution. Empirical backtests will be performed throughout rising interest rate periods from 1953 to 2015. Additionally, I will compare these portfolios to more simple allocation methods, such as equally weighted and a 60/40 asset-allocation mix. This paper will help to answer the question if these portfolios can survive in a rising interest rate environment.

Single period Markowitz portfolio selection, performance gauging and duality: a variation on Luenberger's shortage function

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

The regional electricity generation mix in Scotland: A portfolio selection approach

Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their potentially damaging impact upon economic activity. Portfolio theory applications to the electricity generation mix have shown that renewable technologies, their costs being largely uncorrelated with non-renewable technologies, can offer such benefits. We look at the existing Scottish generation mix and examine drivers of changes out to 2020. We assess recent scenarios for the Scottish generation mix in 2020 against mean-variance efficient portfolios of electricity-generating technologies. Each of the scenarios studied implies a portfolio cost of electricity that is between 22% and 38% higher than the portfolio cost of electricity in 2007. These scenarios prove to be “inefficient” in the sense that, for example, lower variance portfolios can be obtained without increasing portfolio costs, typically by expanding the share of renewables. As part of extensive sensitivity analysis, we find that Wave and Tidal technologies can contribute to lower risk electricity portfolios, while not increasing portfolio cost.

Portfolio choice and the effects of liquidity

This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio selection. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the Sharpe ratio relative to the tangency portfolio, varies significantly with liquidity. Moreover, although mean-variance performance becomes clearly worse, the levels of liquidity onoptimal portfolios obtained when there is a positive preference for liquidity are much lower than on those optimal portfolios where investors show no sign of preference for liquidity.

Understanding portfolio efficiency with conditioning information

We show that unconditionally efficient returns do not achieve the maximum unconditionalSharpe ratio, neither display zero unconditional Jensen s alphas, when returns arepredictable. Next, we define a new type of efficient returns that is characterized by thoseunconditional properties. We also study a different type of efficient returns that is rationalizedby standard mean-variance preferences and motivates new Sharpe ratios and Jensen salphas. We revisit the testable implications of asset pricing models from the perspective ofthe three sets of efficient returns. We also revisit the empirical evidence on the conditionalvariants of the CAPM and the Fama-French model from a portfolio perspective.

Portfolio choice beyond the traditional approach

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always made explicit in terms of investor s wealth, information, and horizon: The investor makes a single portfolio choice based only on the mean and variance of her final financial wealth and she knows the relevant parameters in that computation. First, the paper describes traditional portfolio choice based on four basic assumptions, while the rest of the sections extend those assumptions. Each section will describe the corresponding equilibrium implications in terms of portfolio advice and asset pricing.

Otimização de carteiras regularizadas empregando informações de grupos de ativos para o mercado brasileiro

Este trabalho se dedica a analisar o desempenho de modelos de otimização de carteiras regularizadas, empregando ativos financeiros do mercado brasileiro. Em particular, regularizamos as carteiras através do uso de restrições sobre a norma dos pesos dos ativos, assim como DeMiguel et al. (2009). Adicionalmente, também analisamos o desempenho de carteiras que levam em consideração informações sobre a estrutura de grupos de ativos com características semelhantes, conforme proposto por Fernandes, Rocha e Souza (2011). Enquanto a matriz de covariância empregada nas análises é a estimada através dos dados amostrais, os retornos esperados são obtidos através da otimização reversa da carteira de equilíbrio de mercado proposta por Black e Litterman (1992). A análise empírica fora da amostra para o período entre janeiro de 2010 e outubro de 2014 sinaliza-nos que, em linha com estudos anteriores, a penalização das normas dos pesos pode levar (dependendo da norma escolhida e da intensidade da restrição) a melhores performances em termos de Sharpe e retorno médio, em relação a carteiras obtidas via o modelo tradicional de Markowitz. Além disso, a inclusão de informações sobre os grupos de ativos também pode trazer benefícios ao cálculo de portfolios ótimos, tanto em relação aos métodos tradicionais quanto em relação aos casos sem uso da estrutura de grupos.

A synthetic control chart for monitoring the process mean and variance

Purpose - The aim of this paper is to present a synthetic chart based on the non-central chi-square statistic that is operationally simpler and more effective than the joint X̄ and R chart in detecting assignable cause(s). This chart will assist in identifying which (mean or variance) changed due to the occurrence of the assignable causes. Design/methodology/approach - The approach used is based on the non-central chi-square statistic and the steady-state average run length (ARL) of the developed chart is evaluated using a Markov chain model. Findings - The proposed chart always detects process disturbances faster than the joint X̄ and R charts. The developed chart can monitor the process instead of looking at two charts separately. Originality/value - The most important advantage of using the proposed chart is that practitioners can monitor the process by looking at only one chart instead of looking at two charts separately. © Emerald Group Publishing Limted.

Uma contribuição para a otimização de portfólios de séries heteroscedásticas usando projeto de experimento de misturas: uma abordagem do desirability aplicada a modelos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)