Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Confinement of discrete breathers in inhomogeneously profiled nonlinear chains

We investigate numerically the scattering of a moving discrete breather on a pair of junctions in a Fermi-Pasta-Ulam chain. These junctions delimit an extended region with different masses of the particles. We consider (i) a rectangular trap, (ii) a wedge shaped trap, and (iii) a smoothly varying convex or concave mass profile. All three cases lead to DB confinement, with the ease of trapping depending on the profile of the trap. We also study the collision and trapping of two DBs within the profile as a function of trap width, shape, and approach time at the two junctions. The latter controls whether one or both DBs are trapped.

Side-branch growth in two-dimensional dendrits. Part II: Phase-field model

The development of side-branching in solidifying dendrites in a regime of large values of the Peclet number is studied by means of a phase-field model. We have compared our numerical results with experiments of the preceding paper and we obtain good qualitative agreement. The growth rate of each side branch shows a power-law behavior from the early stages of its life. From their birth, branches which finally succeed in the competition process of side-branching development have a greater growth exponent than branches which are stopped. Coarsening of branches is entirely defined by their geometrical position relative to their dominant neighbors. The winner branches escape from the diffusive field of the main dendrite and become independent dendrites.

Introducció de l'ensenyament en línia en Humanitats: estudis de cas sobre l'acceptació d'activitats en línia per part del professorat de llengües clàssiques

L'objectiu d'aquest article és mostrar les percepcions del professorat de llengües clàssiques (grec antic i llatí) amb relació a les activitats en línia fetes durant els cursos. L'estudi es va fer a tres països: Grècia (a tres universitats importants), Espanya (a la Universitat de Barcelona) i els Estats Units (a la Universitat de Califòrnia a Berkeley) amb la participació de trenta-tres professors. Segons el nivell d'ús i d'acceptació de les TIC i a partir de la classificació de G. Moore, vam separar els docents participants en tres grups: els conservadors, el corrent principal i els adoptadors primerencs. El fet que el grup més petit sigui el tercer mostra clarament que hi ha una necessitat de preparació i formació dels professors abans d'introduir projectes innovadors a l'aula. Com que el punt d'inici de l'aplicació d'innovació a l'aula és el professorat, els responsable dels projectes d'innovació s'haurien de centrar a ajudar-los a conscienciar-se dels canvis en els mètodes d'ensenyament i a incloure la seva opinió durant el disseny dels esmentats projectes.

La pratique basée sur les résultats probants. Partie 1: Origine, définitions, critiques, obstacles, avantages et impact [Evidence-based practice. Part 1: Origins, definitions, critiques, obstacles, advantages and impact].

The increasing popularity of evidence-based practice (EBP) requires that nurses take a stand regarding this type of practice. This positioning rests on knowledge of EBP, however this notion varies by discipline and many definitions exist even within the nursing discipline. An improved understanding of the basic tenets of this type of practice is thus essential. This first, of a series of two articles describes the origin of EBP as well as various definitions, it also presents the major criticisms raised and takes a look at the impact of the increased tendency towards EBP on professional practice.

Three-dimensional interpolation of soil data: fertility and pedomorphological features in southern Brazil

The graphical representation of spatial soil properties in a digital environment is complex because it requires a conversion of data collected in a discrete form onto a continuous surface. The objective of this study was to apply three-dimension techniques of interpolation and visualization on soil texture and fertility properties and establish relationships with pedogenetic factors and processes in a slope area. The GRASS Geographic Information System was used to generate three-dimensional models and ParaView software to visualize soil volumes. Samples of the A, AB, BA, and B horizons were collected in a regular 122-point grid in an area of 13 ha, in Pinhais, PR, in southern Brazil. Geoprocessing and graphic computing techniques were effective in identifying and delimiting soil volumes of distinct ranges of fertility properties confined within the soil matrix. Both three-dimensional interpolation and the visualization tool facilitated interpretation in a continuous space (volumes) of the cause-effect relationships between soil texture and fertility properties and pedological factors and processes, such as higher clay contents following the drainage lines of the area. The flattest part with more weathered soils (Oxisols) had the highest pH values and lower Al3+ concentrations. These techniques of data interpolation and visualization have great potential for use in diverse areas of soil science, such as identification of soil volumes occurring side-by-side but that exhibit different physical, chemical, and mineralogical conditions for plant root growth, and monitoring of plumes of organic and inorganic pollutants in soils and sediments, among other applications. The methodological details for interpolation and a three-dimensional view of soil data are presented here.

LSI-R Scores: Change Matters - Part II, Data Download, Iowa Department of Corrections

In the last issue of the Data Download, we discussed that overall, a 10% drop in LSI-R scores for our highest risk offenders was associated with a 6% reduction in recidivism. However, LSI-R score reductions for the lowest risk offenders don't substantially affect their already low recidivism rates. The issue contained charts that showed this held true for both probationers and parolees. The charts below show that change also matters for women offenders and African-American offenders.

LSI-R Scores: Change Matters - Part III, Data Download, Iowa Department of Corrections, June 2009

In this issue, we take a closer look at the individual risk factors measured by the LSI-R. There are several risk factors that the LSI-R assessment tool measures: Criminal History; Education/Employment; Financial; Family/Marital; Accommodations (Living Situation); Leisure/Recreation; Companions; Alcohol/Drug Problem; Emotional/Personal; and Attitudes/Orientation.

Offer and use of complementary and alternative medicine in hospitals of the French-speaking part of Switzerland.

BACKGROUND: In 2004, complementary and alternative medicine (CAM) was offered by physicians in one-third of Swiss hospitals. Since then, CAM health policy has changed considerably. This study aimed to describe the present supply and use of CAM in hospitals in the French-speaking part of Switzerland, and to explore qualitatively the characteristics of this offer. METHODS: Between June 2011 and March 2012, a short questionnaire was sent to the medical directors of hospitals (n = 46), asking them whether CAM was offered, where and by whom. Then, a semi-directive interview was conducted with ten CAM therapists. RESULTS: Among 37 responses (return rate 80%), 19 medical directors indicated that their hospital offered at least one CAM and 18 reported that they did not. Acupuncture was the most frequently available CAM, followed by manual therapies, osteopathy and aromatherapy. The disciplines that offered CAM most frequently were rehabilitation, gynaecology and obstetrics, palliative care, psychiatry, and anaesthetics. In eight out of ten interviews, it appeared that the procedures for introducing a CAM in the hospital were not tightly supervised by the hospital and were mainly based on the goodwill of the therapists, rather than clinical/scientific evidence. CONCLUSION: The number of hospitals offering CAM in the French-speaking part of Switzerland seemed to have risen since 2004. The selection of a CAM to be offered in a hospital should be based on the same procedure of evaluation and validation as conventional therapy, and if the safety and efficiency of the CAM is evidence-based, it should receive the same resources as a conventional therapy.

Part I. Iowa Railroad Investment Plan, 2009

The 2009 Iowa Railroad System Plan details the state’s role in providing and preserving adequate, safe and efficient rail transportation services to Iowans. The plan is intended to serve as a guide for decision makers and provides a basis for future Iowa DOT policy, funding priorities and programming decisions that affect rail transportation service in Iowa. The primary purpose of the 2009 Iowa Railroad System Plan is to guide the Iowa DOT in pursuing actions that maintain and improve railroad transportation in Iowa. The plan is a component of the Iowa Statewide Transportation Plan known as “Iowa in Motion.” This plan considers railroads from an intermodal perspective. Many commodities that move by rail also move by other modes (principally trucks) during part of their journey from origin to destination. The same is true of persons who use rail passenger service to make trips and who must also rely on other modes to access rail service. Therefore, railroads are part of larger intermodal freight and passenger transportation systems.

Part II. Iowa railroad resource guide, 2009

This section of the 2009 Iowa Railroad System Plan provides background information for the plan, grouped by topic. The resource guide also provides users with important information about the railroad industry and Iowa’s railroad system. The major topics covered below include: • Iowa’s railroad system and carriers. • Railroad freight and Iowa’s economy. • Rail passenger service and Iowa’s economy. • The safety of Iowa’s railroad system, including network safety and security, and railroad and communication interaction.

Part III. Iowa railroad resource guide, 2009

This section of the 2009 Iowa Railroad System Plan provides background information for the plan, grouped by topic. The resource guide also provides users with important information about the railroad industry and Iowa’s railroad system. The major topics covered below include: • Iowa’s railroad system and carriers. • Railroad freight and Iowa’s economy. • Rail passenger service and Iowa’s economy. • The safety of Iowa’s railroad system, including network safety and security, and railroad and communication interaction.