The conditional performance of euro bond funds: evidence from Portugal during the debt crisis

This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles.

Unsupervised reinforcement learning via state entropy maximization

Reinforcement Learning (RL) provides a powerful framework to address sequential decision-making problems in which the transition dynamics is unknown or too complex to be represented. The RL approach is based on speculating what is the best decision to make given sample estimates obtained from previous interactions, a recipe that led to several breakthroughs in various domains, ranging from game playing to robotics. Despite their success, current RL methods hardly generalize from one task to another, and achieving the kind of generalization obtained through unsupervised pre-training in non-sequential problems seems unthinkable. Unsupervised RL has recently emerged as a way to improve generalization of RL methods. Just as its non-sequential counterpart, the unsupervised RL framework comprises two phases: An unsupervised pre-training phase, in which the agent interacts with the environment without external feedback, and a supervised fine-tuning phase, in which the agent aims to efficiently solve a task in the same environment by exploiting the knowledge acquired during pre-training. In this thesis, we study unsupervised RL via state entropy maximization, in which the agent makes use of the unsupervised interactions to pre-train a policy that maximizes the entropy of its induced state distribution. First, we provide a theoretical characterization of the learning problem by considering a convex RL formulation that subsumes state entropy maximization. Our analysis shows that maximizing the state entropy in finite trials is inherently harder than RL. Then, we study the state entropy maximization problem from an optimization perspective. Especially, we show that the primal formulation of the corresponding optimization problem can be (approximately) addressed through tractable linear programs. Finally, we provide the first practical methodologies for state entropy maximization in complex domains, both when the pre-training takes place in a single environment as well as multiple environments.

Study of the tracking performance of a liquid Argon detector based on a novel optical imaging concept

The Deep Underground Neutrino Experiment (DUNE) is a long-baseline accelerator experiment designed to make a significant contribution to the study of neutrino oscillations with unprecedented sensitivity. The main goal of DUNE is the determination of the neutrino mass ordering and the leptonic CP violation phase, key parameters of the three-neutrino flavor mixing that have yet to be determined. An important component of the DUNE Near Detector complex is the System for on-Axis Neutrino Detection (SAND) apparatus, which will include GRAIN (GRanular Argon for Interactions of Neutrinos), a novel liquid Argon detector aimed at imaging neutrino interactions using only scintillation light. For this purpose, an innovative optical readout system based on Coded Aperture Masks is investigated. This dissertation aims to demonstrate the feasibility of reconstructing particle tracks and the topology of CCQE (Charged Current Quasi Elastic) neutrino events in GRAIN with such a technique. To this end, the development and implementation of a reconstruction algorithm based on Maximum Likelihood Expectation Maximization was carried out to directly obtain a three-dimensional distribution proportional to the energy deposited by charged particles crossing the LAr volume. This study includes the evaluation of the design of several camera configurations and the simulation of a multi-camera optical system in GRAIN.

Joint value at risk: a new conditional risk measure

In this PhD thesis a new firm level conditional risk measure is developed. It is named Joint Value at Risk (JVaR) and is defined as a quantile of a conditional distribution of interest, where the conditioning event is a latent upper tail event. It addresses the problem of how risk changes under extreme volatility scenarios. The properties of JVaR are studied based on a stochastic volatility representation of the underlying process. We prove that JVaR is leverage consistent, i.e. it is an increasing function of the dependence parameter in the stochastic representation. A feasible class of nonparametric M-estimators is introduced by exploiting the elicitability of quantiles and the stochastic ordering theory. Consistency and asymptotic normality of the two stage M-estimator are derived, and a simulation study is reported to illustrate its finite-sample properties. Parametric estimation methods are also discussed. The relation with the VaR is exploited to introduce a volatility contribution measure, and a tail risk measure is also proposed. The analysis of the dynamic JVaR is presented based on asymmetric stochastic volatility models. Empirical results with S&P500 data show that accounting for extreme volatility levels is relevant to better characterize the evolution of risk. The work is complemented by a review of the literature, where we provide an overview on quantile risk measures, elicitable functionals and several stochastic orderings.

Conditional entropy and predictability for non-reversible Markov systems

The purpose of this thesis is to clarify the role of non-equilibrium stationary currents of Markov processes in the context of the predictability of future states of the system. Once the connection between the predictability and the conditional entropy is established, we provide a comprehensive approach to the definition of a multi-particle Markov system. In particular, starting from the well-known theory of random walk on network, we derive the non-linear master equation for an interacting multi-particle system under the one-step process hypothesis, highlighting the limits of its tractability and the prop- erties of its stationary solution. Lastly, in order to study the impact of the NESS on the predictability at short times, we analyze the conditional entropy by modulating the intensity of the stationary currents, both for a single-particle and a multi-particle Markov system. The results obtained analytically are numerically tested on a 5-node cycle network and put in correspondence with the stationary entropy production. Furthermore, because of the low dimensionality of the single-particle system, an analysis of its spectral properties as a function of the modulated stationary currents is performed.

[food Insecurity In Brazilian Families With Children Under Five Years Of Age].

This article analyzes food insecurity and hunger in Brazilian families with children under five years of age. This was a nationally representative cross-sectional study using data from the National Demographic and Health Survey on Women and Children (PNDS-2006), in which the outcome variable was moderate to severe food insecurity, measured by the Brazilian Food Insecurity Scale (EBIA). Prevalence estimates and prevalence ratios were generated with 95% confidence intervals. The results showed a high prevalence of moderate to severe food insecurity, concentrated in the North and Northeast regions (30.7%), in economic classes D and E (34%), and in beneficiaries of conditional cash transfer programs (36.5%). Multivariate analysis showed that the socioeconomic relative risks (beneficiaries of conditional cash transfers), regional relative risks (North and Northeast regions), and economic relative risks (classes D and E) were 1.8, 2.0 and 2.4, respectively. Aggregation of the three risks showed 48% of families with moderate to severe food insecurity, meaning that adults and children were going hungry during the three months preceding the survey.

Growth Factor Stimulation Improves The Structure And Properties Of Scaffold-free Engineered Auricular Cartilage Constructs.

The reconstruction of the external ear to correct congenital deformities or repair following trauma remains a significant challenge in reconstructive surgery. Previously, we have developed a novel approach to create scaffold-free, tissue engineering elastic cartilage constructs directly from a small population of donor cells. Although the developed constructs appeared to adopt the structural appearance of native auricular cartilage, the constructs displayed limited expression and poor localization of elastin. In the present study, the effect of growth factor supplementation (insulin, IGF-1, or TGF-β1) was investigated to stimulate elastogenesis as well as to improve overall tissue formation. Using rabbit auricular chondrocytes, bioreactor-cultivated constructs supplemented with either insulin or IGF-1 displayed increased deposition of cartilaginous ECM, improved mechanical properties, and thicknesses comparable to native auricular cartilage after 4 weeks of growth. Similarly, growth factor supplementation resulted in increased expression and improved localization of elastin, primarily restricted within the cartilaginous region of the tissue construct. Additional studies were conducted to determine whether scaffold-free engineered auricular cartilage constructs could be developed in the 3D shape of the external ear. Isolated auricular chondrocytes were grown in rapid-prototyped tissue culture molds with additional insulin or IGF-1 supplementation during bioreactor cultivation. Using this approach, the developed tissue constructs were flexible and had a 3D shape in very good agreement to the culture mold (average error <400 µm). While scaffold-free, engineered auricular cartilage constructs can be created with both the appropriate tissue structure and 3D shape of the external ear, future studies will be aimed assessing potential changes in construct shape and properties after subcutaneous implantation.

An Integrated Framework To Improve The Concept Of Resource Specialisation.

Resource specialisation, although a fundamental component of ecological theory, is employed in disparate ways. Most definitions derive from simple counts of resource species. We build on recent advances in ecophylogenetics and null model analysis to propose a concept of specialisation that comprises affinities among resources as well as their co-occurrence with consumers. In the distance-based specialisation index (DSI), specialisation is measured as relatedness (phylogenetic or otherwise) of resources, scaled by the null expectation of random use of locally available resources. Thus, specialists use significantly clustered sets of resources, whereas generalists use over-dispersed resources. Intermediate species are classed as indiscriminate consumers. The effectiveness of this approach was assessed with differentially restricted null models, applied to a data set of 168 herbivorous insect species and their hosts. Incorporation of plant relatedness and relative abundance greatly improved specialisation measures compared to taxon counts or simpler null models, which overestimate the fraction of specialists, a problem compounded by insufficient sampling effort. This framework disambiguates the concept of specialisation with an explicit measure applicable to any mode of affinity among resource classes, and is also linked to ecological and evolutionary processes. This will enable a more rigorous deployment of ecological specialisation in empirical and theoretical studies.

Endocytosis Of Tight Junctions Caveolin Nitrosylation Dependent Is Improved By Cocoa Via Opioid Receptor On Rpe Cells In Diabetic Conditions.

Retinal pigment epithelium cells, along with tight junction (TJ) proteins, constitute the outer blood retinal barrier (BRB). Contradictory findings suggest a role for the outer BRB in the pathogenesis of diabetic retinopathy (DR). The aim of this study was to investigate whether the mechanisms involved in these alterations are sensitive to nitrosative stress, and if cocoa or epicatechin (EC) protects from this damage under diabetic (DM) milieu conditions. Cells of a human RPE line (ARPE-19) were exposed to high-glucose (HG) conditions for 24 hours in the presence or absence of cocoa powder containing 0.5% or 60.5% polyphenol (low-polyphenol cocoa [LPC] and high-polyphenol cocoa [HPC], respectively). Exposure to HG decreased claudin-1 and occludin TJ expressions and increased extracellular matrix accumulation (ECM), whereas levels of TNF-α and inducible nitric oxide synthase (iNOS) were upregulated, accompanied by increased nitric oxide levels. This nitrosative stress resulted in S-nitrosylation of caveolin-1 (CAV-1), which in turn increased CAV-1 traffic and its interactions with claudin-1 and occludin. This cascade was inhibited by treatment with HPC or EC through δ-opioid receptor (DOR) binding and stimulation, thereby decreasing TNF-α-induced iNOS upregulation and CAV-1 endocytosis. The TJ functions were restored, leading to prevention of paracellular permeability, restoration of resistance of the ARPE-19 monolayer, and decreased ECM accumulation. The detrimental effects on TJs in ARPE-19 cells exposed to DM milieu occur through a CAV-1 S-nitrosylation-dependent endocytosis mechanism. High-polyphenol cocoa or EC exerts protective effects through DOR stimulation.

Inactivation Of Ampk Mediates High Phosphate-induced Extracellular Matrix Accumulation Via Nox4/tgfß-1 Signaling In Human Mesangial Cells.

High phosphate (Pi) levels and extracellular matrix (ECM) accumulation are associated with chronic kidney disease progression. However, how high Pi levels contribute to ECM accumulation in mesangial cells is unknown. The present study investigated the role and mechanism of high Pi levels in ECM accumulation in immortalized human mesangial cells (iHMCs). iHMCs were exposed to normal (0.9 mM) or increasing Pi concentrations (2.5 and 5 mM) with or without diferent blockers or activators. NOX4, phosphorylated AMPK (p-AMPK), phosphorylated SMAD3 (p-SMAD3), fibronectin (F/N), collagen IV (C-IV) and alpha-smooth muscle actin (α-SMA) expression was assessed via western blot and immunofluorescence. Lucigenin-enhanced chemiluminescence, and dihydroethidium (DHE) assessed NADPH oxidase activity and superoxide (SO), respectively. In iHMCs, a Pi transporter blocker (PFA) abrogated high Pi-induced AMPK inactivation, increase in NADPH oxidase-induced reactive oxygen species (ROS) levels, NOX4, p-SMAD3, α-SMA and C-IV expression. AMPK activation by AICAR, NOX4 silencing or NADPH oxidase blocker prevented high Pi-induced DHE levels, p-SMAD3, F/N, C-IV and α-SMA expression. AMPK inactivation with NOX4-induced ROS formation and transforming growth factor ß-1 (TGFß-1) signaling activation mediates high Pi-induced ECM accumulation in iHMCs. Maneuvers increasing AMPK or reducing NOX4 activity may contribute to renal protection under hyperphosphatemia.

Contrasting Effects Of Land Use Intensity And Exotic Host Plants On The Specialization Of Interactions In Plant-herbivore Networks.

Human land use tends to decrease the diversity of native plant species and facilitate the invasion and establishment of exotic ones. Such changes in land use and plant community composition usually have negative impacts on the assemblages of native herbivorous insects. Highly specialized herbivores are expected to be especially sensitive to land use intensification and the presence of exotic plant species because they are neither capable of consuming alternative plant species of the native flora nor exotic plant species. Therefore, higher levels of land use intensity might reduce the proportion of highly specialized herbivores, which ultimately would lead to changes in the specialization of interactions in plant-herbivore networks. This study investigates the community-wide effects of land use intensity on the degree of specialization of 72 plant-herbivore networks, including effects mediated by the increase in the proportion of exotic plant species. Contrary to our expectation, the net effect of land use intensity on network specialization was positive. However, this positive effect of land use intensity was partially canceled by an opposite effect of the proportion of exotic plant species on network specialization. When we analyzed networks composed exclusively of endophagous herbivores separately from those composed exclusively of exophagous herbivores, we found that only endophages showed a consistent change in network specialization at higher land use levels. Altogether, these results indicate that land use intensity is an important ecological driver of network specialization, by way of reducing the local host range of herbivore guilds with highly specialized feeding habits. However, because the effect of land use intensity is offset by an opposite effect owing to the proportion of exotic host species, the net effect of land use in a given herbivore assemblage will likely depend on the extent of the replacement of native host species with exotic ones.

Theobromine Increases Nad⁺/sirt-1 Activity And Protects The Kidney Under Diabetic Conditions.

Reduction in sirtuin 1 (Sirt-1) is associated with extracellular matrix (ECM) accumulation in the diabetic kidney. Theobromine may reduce kidney ECM accumulation in diabetic rats. In the current study, we aimed to unravel, under diabetic conditions, the mechanism of kidney ECM accumulation induced by a reduction in Sirt-1 and the effect of theobromine in these events. In vitro, we used immortalized human mesangial cells (iHMCs) exposed to high glucose (HG; 30 mM), with or without small interfering RNA for NOX4 and Sirt-1. In vivo, spontaneously hypertensive rats (SHR) were rendered diabetic by means of streptozotocin and studied after 12 wk. The effects of treatment with theobromine were investigated under both conditions. HG leads to a decrease in Sirt-1 activity and NAD(+) levels in iHMCs. Sirt-1 activity could be reestablished by treatment with NAD(+), silencing NOX4, and poly (ADP-ribose) polymerase-1 (PARP-1) blockade, or with theobromine. HG also leads to a low AMP/ATP ratio, acetylation of SMAD3, and increased collagen IV, which is prevented by theobromine. Sirt-1 or AMPK blockade abolished these effects of theobromine. In diabetic SHR, theobromine prevented increases in albuminuria and kidney collagen IV, reduced AMPK, elevated NADPH oxidase activity and PARP-1, and reduced NAD(+) levels and Sirt-1 activity. These results suggest that in diabetes mellitus, Sirt-1 activity is reduced by PARP-1 activation and NAD(+) depletion due to low AMPK, which increases NOX4 expression, leading to ECM accumulation mediated by transforming growth factor (TGF)-β1 signaling. It is suggested that Sirt-1 activation by theobromine may have therapeutic potential for diabetic nephropathy.

Estudo da capacidade de complexação e sua relação com algumas variáveis ambientais em cinco represas do Rio Tietê/Brasil

The copper and cadmium complexation properties in natural sediment suspensions of reservoirs of the Tietê River were studied using the solid membrane copper and cadmium ion-selective electrodes. The complexation and the average conditional stability constants were determined under equilibrium conditions at pH=6.00 ± 0.05 in a medium of 1.0 mol L-1 sodium nitrate, using the Scatchard method. The copper and cadmium electrodes presented Nernstian behavior from 1x10-6 to 1x10-3 mol L-1 of total metal concentration. Scatchard graphs suggest two classes of binding sites for both metals. A multivariate study was done to correlate the reservoirs and the variables: complexation properties, size, total organic carbon, volatile acid sulfide, E II and pH.

Resolvendo a equação de Schrödinger utilizando procedimentos numéricos fundamentais

A combination of the variational principle, expectation value and Quantum Monte Carlo method is used to solve the Schrödinger equation for some simple systems. The results are accurate and the simplicity of this version of the Variational Quantum Monte Carlo method provides a powerful tool to teach alternative procedures and fundamental concepts in quantum chemistry courses. Some numerical procedures are described in order to control accuracy and computational efficiency. The method was applied to the ground state energies and a first attempt to obtain excited states is described.

Identificação eletrônica para avaliação do comportamento dos suínos na fase de gestação

The efficiency of swine production performance depends on the herd administration, such as good nutrition, sanitary control, facilities and appropriate environmental conditions. The concept of this production model is directly related with the reduction of selective losses and the process control. Each production segment is controlled to reach the optimization in the system totality, it is necessary to apply animals handling concepts, environmental control implementation, diseases control, nutrition control, information concerning in guaranteeing the animal welfare and individual identification. The present work presents as objective the development of the mathematical model to evaluate interactions among the internal atmosphere of the installation and the thermal animals preference, in the expectation of detecting a relationship among the frequency access to the drinking fountain and the atmosphere conditions - temperature, black globe temperature and relative humidity, using as tool the electronic identification. The results obtained by the mathematical model, allowed to conclude accurately the evaluation of the swine thermal preference correlating with the climatic variables in the pregnancy stage.