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.

The relationship between liquidity and profitability in the food & beverage industry evidence from Europe and United States

This Work Project clarifies the relationship between liquidity and profitability based on a sample in the Food & Beverage (F&B) industry, and comparing the largest European and United States companies. The research concludes that liquidity, proxied by current ratio or quick ratio, correlates with return on assets taken as the measure of profitability, and so does the cash conversion cycle and its components. Moreover, company size correlates with liquidity, and indirectly affects ROA. This research contributes and addresses to managers in the F&B industry and recommends how they should act in order to improve profitability in the industry.

Customer relationship management plan for wrike

Achieving long-term success for companies includes providing customers with exceptional products and ser-vices. It implies investing in Customer Relationship Management (CRM) and building a plan of its implementation. This issue is addressed in present Work Project by conducting interviews with top-management of Wrike and sur-vey with other employees which showed there is space for improvement of company’s current CRM. Results give insights of CRM in Wrike and are the basis of CRM plan proposal. The key effect of the proposed plan can be seen in the increase of the customer’s value and consequently result in Return on Customers.

Using customer lifetime value to improve the prediction of bank deposit subscription in telemarketing campaigns

Customer lifetime value (LTV) enables using client characteristics, such as recency, frequency and monetary (RFM) value, to describe the value of a client through time in terms of profitability. We present the concept of LTV applied to telemarketing for improving the return-on-investment, using a recent (from 2008 to 2013) and real case study of bank campaigns to sell long- term deposits. The goal was to benefit from past contacts history to extract additional knowledge. A total of twelve LTV input variables were tested, un- der a forward selection method and using a realistic rolling windows scheme, highlighting the validity of five new LTV features. The results achieved by our LTV data-driven approach using neural networks allowed an improvement up to 4 pp in the Lift cumulative curve for targeting the deposit subscribers when compared with a baseline model (with no history data). Explanatory knowledge was also extracted from the proposed model, revealing two highly relevant LTV features, the last result of the previous campaign to sell the same product and the frequency of past client successes. The obtained results are particularly valuable for contact center companies, which can improve pre- dictive performance without even having to ask for more information to the companies they serve.

Análise comparativa do consumo de biomassa para fins energéticos

Dissertação de mestrado integrado em Engenharia Mecânica

Videovigilância: privacidade e segurança: análise especial da situação do trabalhador

Dissertação de mestrado em Direitos Humanos

How does banking industry influence economic growth in Latin American countries?

Mestrado em Finanças

Gestión de cambios y proyectos

Moltes inversions corporatives actuals són destinades a la millora de la gestió del canvi. Aquestes inversions són motivades per una carència històrica entre el conjunt recursos humans i les noves tecnologies tal com va reflexar l'estudi del MIT en 1992. L’objectiu del projecte és analitzar la gestió del canvi i projectes des d’un put de vista poc conegut per els enginyers. Direcció de l'equip humà, Procés de qualitat industrial, Programació extrema, Anàlisi de la cobertura dels Sistemes d’informació d’una companyia segons la seva estructura i estratègia empresarial, El mercat i les seves forces competitives, el retorn de la inversió, el cicle PDCA d’un projecte d’inversió, entre d’altres.

The Estimation of Technical Efficiency Effects Models with an Example Applied to the Thai Manufacturing Sector

This paper does two things. First, it presents alternative approaches to the standard methods of estimating productive efficiency using a production function. It favours a parametric approach (viz. the stochastic production frontier approach) over a nonparametric approach (e.g. data envelopment analysis); and, further, one that provides a statistical explanation of efficiency, as well as an estimate of its magnitude. Second, it illustrates the favoured approach (i.e. the ‘single stage procedure’) with estimates of two models of explained inefficiency, using data from the Thai manufacturing sector, after the crisis of 1997. Technical efficiency is modelled as being dependent on capital investment in three major areas (viz. land, machinery and office appliances) where land is intended to proxy the effects of unproductive, speculative capital investment; and both machinery and office appliances are intended to proxy the effects of productive, non-speculative capital investment. The estimates from these models cast new light on the five-year long, post-1997 crisis period in Thailand, suggesting a structural shift from relatively labour intensive to relatively capital intensive production in manufactures from 1998 to 2002.

Do political incentives matter for tax policies? Ideology, opportunism and the tax structure

This paper investigates the importance of political ideology and opportunism in the choice of the tax structure. In particular, we examine the effects of cabinet ideology and elections on the distribution of the tax burden across factors of production and consumption for 21 OECD countries over the period 1970-2000 by employing four alternative cabinet ideology measures and by using the methodology of effective tax rates. There is evidence of both opportunistic and partisan effects on tax policies. More precisely, we find that left-wing governments rely more on capital relative to labor income taxation and that they tend to increase consumption taxes. Moreover, we find that income tax rates (but not consumption taxes) tend to be reduced in preelectoral periods and that capital effective tax rates (defined broadly to include taxes on selfemployed income) are reduced by more than effective labor tax rates.

The Distributional Consequences of Supply-Side Reforms in General Equilibrium

This paper addresses the issue on whether tax reforms consisten with lower public debt-to-GDP in the long-run can lead to a more efficient and equitable economy. To this end we solve a heterogeneous agent model comprised of a government, a representative capitalist and representative skilled and unskilled workers, under both rational expectations and adaptive learning. Our main ndings are that (i) reductions in capital taxation, while bene cial at the aggregate level, lead to increased inequality mainly due to the substitutability of un- skilled labour and capital; (ii) a fall in taxation for skilled labour is Pareto improving, which is largely explained by its complementarity with the other factor inputs; (iii) all agents would prefer increasing the tax rate on capital to increasing the tax rate on skilled and un- skilled labour since it leads to relatively lower welfare losses; and (iv) heterogeneity in initial beliefs under adaptive learning quantitatively matters for welfare.

R&D cooperation between Spanish firms and scientific partners: what is the role of tertiary education?

This paper explores the factors that determine firm’s R&D cooperation with different partners, paying special attention on the role of tertiary education (degree and PhDs level) in facilitating the connection between the firms and the to scientific bodies (technology centres, public research centres and universities). Here, we attempt to answer two questions. First, are innovative firms that carry out internal and external R&D activities more likely to cooperate on R&D projects with other partners? Second, do Spanish innovative firms with a high participation of researchers with degrees or PhDs tend to cooperate more with scientific partners? To answer both questions we apply a three-dimensional approach on a firm level Panel Data with a sample of 4.998 manufacturing and services Spanish firms. First, we run a complementary test between external R&D acquisition and skilled research workers and find that firms which carry out external R&D activities obtain a greater return on R&D cooperation when they have skilled workers in R&D, especially in high-tech manufactures and KIS services. Second, we carry out a 2-step tobit model to estimate, in the first stage, the determinants that explain whether Spanish innovative firms cooperate or not; and in the second stage the factors that affect the choice of partners. And third, we apply an ordered probit model to test the marginal effects of explanatory variables on the different partners. Here we contrast some of the most interesting empirical hypotheses of previous studies, and which emphasize the role of employees with degrees and PhDs in facilitating cooperative R&D between firms and scientific partners.

R&D cooperation between Spanish firms and scientific partners: what is the role of tertiary education?

This paper explores the factors that determine firm’s R&D cooperation with different partners, paying special attention on the role of tertiary education (degree and PhDs level) in facilitating the connection between the firms and the to scientific bodies (technology centres, public research centres and universities). Here, we attempt to answer two questions. First, are innovative firms that carry out internal and external R&D activities more likely to cooperate on R&D projects with other partners? Second, do Spanish innovative firms with a high participation of researchers with degrees or PhDs tend to cooperate more with scientific partners? To answer both questions we apply a three-dimensional approach on a firm level Panel Data with a sample of 4.998 manufacturing and services Spanish firms. First, we run a complementary test between external R&D acquisition and skilled research workers and find that firms which carry out external R&D activities obtain a greater return on R&D cooperation when they have skilled workers in R&D, especially in high-tech manufactures and KIS services. Second, we carry out a 2-step tobit model to estimate, in the first stage, the determinants that explain whether Spanish innovative firms cooperate or not; and in the second stage the factors that affect the choice of partners. And third, we apply an ordered probit model to test the marginal effects of explanatory variables on the different partners. Here we contrast some of the most interesting empirical hypotheses of previous studies, and which emphasize the role of employees with degrees and PhDs in facilitating cooperative R&D between firms and scientific partners. JEL classification: O31, O33, O38. Key words: Determinants R&D cooperation, industry-university flows, PhD research workers.

Comparison of indices proposed as criteria for assigning skin notation

OBJECTIVES: Skin notations are used as a hazard identification tool to flag chemicals associated with a potential risk related to transdermal penetration. The transparency and rigorousness of the skin notation assignment process have recently been questioned. We compared different approaches proposed as criteria for these notations as a starting point for improving and systematizing current practice. METHODS: In this study, skin notations, dermal acute lethal dose 50 in mammals (LD(50)s) and two dermal risk indices derived from previously published work were compared using the lists of Swiss maximum allowable concentrations (MACs) and threshold limit values (TLVs) from the American Conference of Governmental Industrial Hygienists (ACGIH). The indices were both based on quantitative structure-activity relationship (QSAR) estimation of transdermal fluxes. One index compared the cumulative dose received through skin given specific exposure surface and duration to that received through lungs following inhalation 8 h at the MAC or TLV. The other index estimated the blood level increase caused by adding skin exposure to the inhalation route at kinetic steady state. Dermal-to-other route ratios of LD(50) were calculated as secondary indices of dermal penetrability. RESULTS: The working data set included 364 substances. Depending on the subdataset, agreement between the Swiss and ACGIH skin notations varied between 82 and 87%. Chemicals with a skin notation were more likely to have higher dermal risk indices and lower dermal LD(50) than chemicals without a notation (probabilities between 60 and 70%). The risk indices, based on cumulative dose and kinetic steady state, respectively, appeared proportional up to a constant independent of chemical-specific properties. They agreed well with dermal LD(50)s (Spearman correlation coefficients -0.42 to -0.43). Dermal-to-other routes LD(50) ratios were moderately associated with QSAR-based transdermal fluxes (Spearman correlation coefficients -0.2 to -0.3). CONCLUSIONS: The plausible but variable relationship between current skin notations and the different approaches tested confirm the need to improve current skin notations. QSAR-based risk indices and dermal toxicity data might be successfully integrated in a systematic alternative to current skin notations for detecting chemicals associated with potential dermal risk in the workplace. [Authors]

Current genetic data do not improve the prediction of type 2 diabetes mellitus: the CoLaus study.

CONTEXT: Several genetic risk scores to identify asymptomatic subjects at high risk of developing type 2 diabetes mellitus (T2DM) have been proposed, but it is unclear whether they add extra information to risk scores based on clinical and biological data. OBJECTIVE: The objective of the study was to assess the extra clinical value of genetic risk scores in predicting the occurrence of T2DM. DESIGN: This was a prospective study, with a mean follow-up time of 5 yr. SETTING AND SUBJECTS: The study included 2824 nondiabetic participants (1548 women, 52 ± 10 yr). MAIN OUTCOME MEASURE: Six genetic risk scores for T2DM were tested. Four were derived from the literature and two were created combining all (n = 24) or shared (n = 9) single-nucleotide polymorphisms of the previous scores. A previously validated clinic + biological risk score for T2DM was used as reference. RESULTS: Two hundred seven participants (7.3%) developed T2DM during follow-up. On bivariate analysis, no differences were found for all but one genetic score between nondiabetic and diabetic participants. After adjusting for the validated clinic + biological risk score, none of the genetic scores improved discrimination, as assessed by changes in the area under the receiver-operating characteristic curve (range -0.4 to -0.1%), sensitivity (-2.9 to -1.0%), specificity (0.0-0.1%), and positive (-6.6 to +0.7%) and negative (-0.2 to 0.0%) predictive values. Similarly, no improvement in T2DM risk prediction was found: net reclassification index ranging from -5.3 to -1.6% and nonsignificant (P ≥ 0.49) integrated discrimination improvement. CONCLUSIONS: In this study, adding genetic information to a previously validated clinic + biological score does not seem to improve the prediction of T2DM.