Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice

Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas for the solution surface are obtained and important geometric properties provide insights on its shape in the three dimensional space defined by the moments. A special duality result is needed and proved. The methodology is general, comprising situations in which, for instance, the investor trades a negative skewness for a higher expected return. Computation of the optimum portfolio weights is feasible in most cases.

Em busca de modelos politico-institucionais para as regioes metropolitanas : o caso da região metropolitana de Fortaleza

Os problemas que a rápida urbanização criou são desafiantes. E são ate cruciais para aqueles de quem dependem as decisões para soluciona-los, enquanto, para a comunidade em geral, representam pesados sacrificios que chegam a causar impacto social muito forte. Os técnicos e estudiosos do assunto deveriam aproveitar esse desafio e buscar fórmulas organizacionais de planejamento e administração metropolitanos que promovam o crescimento urbano de maneira mais adequada e eficiente. Com a presente moonografia, procuramos: (1) estudar os antecedentes das organizações de planejamento e administração metropolitanos no Pais, sob os aspectos econômicos e sociais, políticos e institucionais; (2) analisar, particularmente, a Região Metropolitana de Fortaleza (RMF), descendo essa analise aos obstaculos enfrentados na sua imp1ementação, princ~palmente os polltico-institucionais, bem como, abrir mais possibilidades para o aprofundamento do estado da matéria.

Teoremas de envelope de Milgrom e Segal : uma aplicação a desenho de mecanismo

Este trabalho estuda a teoria de desenho de mecanismo. Desenho de mecanismo passou a fazer parte da teoria econômica à partir da década de 60. Seu desenvolvimento deve-se, em grande parte aos trabalhos de Vickrey, Clarke e Groves relacionados a problemas de incentivo. Esta dissertação apresenta os principais desenvolvimentos teóricos na área de desenho de mecanismo, destacando a importância dos conhecidos teoremas de envelope para estes problemas. É apresentada também uma nova versão do teorema de envelope desenvolvida por Milgrom e Segal que pode amplamente ser empregada em problemas de desenho de mecanismos. Essa nova versão do teorema de envelope de Milgron e Segal permite relaxar algumas hipóteses restritivas da teoria de desenho de mecanismos, permitindo obter novos resultados e explorar aqueles já estabelecidos, principalmente em problemas relacionados a desenhos de leilões.

Dynamic hedging with stocastic differential utility

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both previous approaches. In all cases, we assume Markovian prices. Stochastic differential utility, SDU, impacts the pure hedging demand ambiguously, but decreases the pure speculative demand, because risk aversion increases. We also show that consumption decision is, in some sense, independent of hedging decision. With terminal wealth utility, we derive a general and compact hedging formula, which nests as special all cases studied in Duffie and Jackson (1990). We then show how to obtain their formulas. With the third approach we find a compact formula for hedging, which makes the second-type utility framework a particular case, and show that the pure hedging demand is not impacted by this specification. In addition, with CRRA- and CARA-type utilities, the risk aversion increases and, consequently the pure speculative demand decreases. If futures price are martingales, then the transformation plays no role in determining the hedging allocation. We also derive the relevant Bellman equation for each case, using semigroup techniques.

Valuation and performance of firms in complex ownership structures : an application to Korean chaebols

We propose several new metrics to describe the complex ownership structure of business groups, and provide simple formulas and algorithms to compute these metrics. We use these measures to describe in detail the ownership structure of Korean chaebols in the period of 2003 to 2004. In addition, we validate the usefulness of our new metrics by showing empirically that they are important for understanding the valuation and performance of group firms. In particular, we show evidence that firms that are central to the control structure of the chaebol (central firms), firms in cross-shareholdings, and firms that are placed at the bottom of the group (i.e., with lower ultimate ownership) have lower profitability than other group firms. The valuation results suggest that central firms and firms in cross-shareholding loops have lower valuations than other public Chaebol firms. The lower valuation of these firms is not explained by variation in measures of ownership concentration and separation between ownership and control.

Welfare cost of inflation considering adoption decisions and interest-bearing deposits

Attanasio et al. (JPE, 2002) have used microeconomic data on households to provide new estimates of the welfare costs of infiation using Bailey's unidimensional welfare measure as a basis for their calculations. Such a measure does not properly take into consideration lhe fact that the majority of households in their sample (58.7 percent) holds not only bank deposits and currency, but also a second type of interest-bearing assct. This work devises alternative formulas which account for the existence of bank deposits and a sccond interest-bearing asset in the economy, as well as for adoption decisions regarding alternative financiai technologies.

Studies in non-Gaussian analysis

This thesis presents general methods in non-Gaussian analysis in infinite dimensional spaces. As main applications we study Poisson and compound Poisson spaces. Given a probability measure μ on a co-nuclear space, we develop an abstract theory based on the generalized Appell systems which are bi-orthogonal. We study its properties as well as the generated Gelfand triples. As an example we consider the important case of Poisson measures. The product and Wick calculus are developed on this context. We provide formulas for the change of the generalized Appell system under a transformation of the measure. The L² structure for the Poisson measure, compound Poisson and Gamma measures are elaborated. We exhibit the chaos decomposition using the Fock isomorphism. We obtain the representation of the creation, annihilation operators. We construct two types of differential geometry on the configuration space over a differentiable manifold. These two geometries are related through the Dirichlet forms for Poisson measures as well as for its perturbations. Finally, we construct the internal geometry on the compound configurations space. In particular, the intrinsic gradient, the divergence and the Laplace-Beltrami operator. As a result, we may define the Dirichlet forms which are associated to a diffusion process. Consequently, we obtain the representation of the Lie algebra of vector fields with compact support. All these results extends directly for the marked Poisson spaces.

Manutenção da Heterozigosidade em populações de plantas autógamas

Neste trabalho objetivou-se verificar, teoricamente , a possibilidade de manutenção de heterozigotos, em populações de plantas autógamas, na presença e na ausência de seleção dependente de frequência (SDF). Considerou-se apenas um loco com dois alelos. Utilizou-se a dedução algébrica de formulas referentes a alguns modelos de populações e um programa para simular a sucessão das gerações em uma calculadora científica avançada. Comparou-se os resultados do modelo com os dados obtidos experimentalmente por Allard e Workman (1963) e por Harding, Allard e Smeltzer (1966). Os coeficientes de determinação foram 0,9653 e 0,9166 para a primeira e a segunda comparação, respectivamente. Estes coeficientes indicam que o modelo D representa de modo bastante fidedigno as variações observadas em populações experimentais de plantas predominantemente autógamas

Formulação e caracterização de matérias-primas para revestimento cerâmico Semi-Poroso com adição de chamote de telhas

The ceramics industry in Piauí is nowadays with 55 industries where 11 are in Teresina which is the mainstream of the state, producing 55 million shingles; in which 10 % is of this production is wasted being sometimes thrown on the margins of rivers, roads and highways provoking an environmental degradation. The main goal of this work is to verify the potential of producing semi porous ceramic using grog of shingles, on the first part of this work bodies-of-proof were produced from a basic formula of an industry, doping it with 5 %, 10 %, 15 % and 20 % in mass and in the second part of this work some bodies-of-proof were produced from a formula where one raw material was substituted by 50 % of grog and another substituting it all by grog, bodies-of-proof made of a basic formula previously announced was used for experiment control.The grog and the raw materials were characterized by: particle size analysis , thermal differential analysis, X ray diffraction , X ray fluorescence, an thermal gravimetric analysis and rational analyses. The bodies-of-proof were sintetisized in an industrial oven obeying the normal cycle adopted by an industry, with peak temperatures of 1135 oC and a fast burning cycle of 25 minutes having as energetic fuel liquefied petroleum gas . The pieces that were obtained by this were submersed in rehearsed physics of: water absorption of, apparent specific mass, apparent porosity, lineal retraction, rupture tension to the flexural and dilatometry; mineralogical analysis for X ray diffraction; and microstructural for electronic microscope of sweeping. For all the formulas with addition of grog, superior priorities to the requested by the requirements for semi porous and for the formula to F2-2,5 superior priorities to standard formulas which justifies the incorporation of the shingles in mass for the semi porous ceramic

Predição não-linear de curvas de produção de petróleo via redes neurais recursivas

One of the main activities in the petroleum engineering is to estimate the oil production in the existing oil reserves. The calculation of these reserves is crucial to determine the economical feasibility of your explotation. Currently, the petroleum industry is facing problems to analyze production due to the exponentially increasing amount of data provided by the production facilities. Conventional reservoir modeling techniques like numerical reservoir simulation and visualization were well developed and are available. This work proposes intelligent methods, like artificial neural networks, to predict the oil production and compare the results with the ones obtained by the numerical simulation, method quite a lot used in the practice to realization of the oil production prediction behavior. The artificial neural networks will be used due your learning, adaptation and interpolation capabilities

Violência, mídia e juventude: análise sobre o discurso adotado pelo jornalismo impresso sobre a realidade violenta de jovens da periferia da cidade do Natal

The work that follows has as its main objective the analysis of the discourse of media, with emphasis on newspapers printed on acts and events involving young offenders. The speech adopted by columnists of newspapers, based on formulas and journalistic practices exist, allows the reader a view of what happened in detail. But this wealth of information, contradictorily, it seems not permit, much less to encourage reflection on the what is being read. All information contained in narrative journalism seem to point to the establishment of maintenance of speech reinante of violence and repression against young offenders, from, and generally in the vast majority of cases, from poor neighborhoods and suburbs of large cities. The whole range of such important issues directly related to violence committed by these young people does not appear, does not appear in the text journalism. Words such as "marginal", "square" reinforce prejudices, stigmas against the youth, putting the company on constant alert against such "criminals", "malandros." The result of the survey was partial, but can conclude about the importance of the media against those social phenomena that amedrontam the society at present

Uma visita ao universo matemático de Lewis Carrol e o (re)encontro com sua lógica do nonsense

Notable mathematics teacher, Lewis Carroll, pseudonym of Charles Lutwidge Dodgson (1832-1898), made the mixture of mathematics with literature a ludic environment for learning that discipline. Author of Alice s Adventures In Wonderland and its sequel Alice Through The Looking Glass, he eventually created a real and complex universe which uses what we call the logic of the nonsense as an element to motivate the development of mathematical thinking of the reader, taking it as well, learn by establishing a link between the concrete (mathematics) and the imaginary (their universe). In order to investigate and discuss the educational potential of their works and state some elements that can contribute to a decentralized math education from the traditional method of following the models and decorate formulas, we visited his works based on the studies of archeology of knowledge (FOUCAULT, 2007), the rational thought and symbolic thinking (VERGANI, 2003) and about the importance of stories and narratives to the development of human cognition (FARIAS, 2006). Through a descriptive, analytical study, we used the literary construction and presented part of our study in form of a mathematical novel, to give the mathematical school a particular charm, without depriving it of its basics properties as discipline and content. Our study showed how the works of Carroll have a strong didactic element that can deploy in various activities of study and teaching for mathematics classes

Ensino de matemática, história da matemática e artefatos: Possibilidade de interligar saberes em cursos de formação de professores da Educação Infantil e anos iniciais do Ensino Fundamental.

This work is located at the shield of research that defends the use of Mathematics History, based on the utilization of historical artifacts at teaching activities, at Mathematics classrooms, and at graduation courses for teachers of Elementary School and of the first grades of High School. The general objective is to examine the possibility of the use of historical artifacts, at teaching activities, at graduation courses for teachers of Elementary School and of the first grades of High School. Artifact, at this work, is comprehended as objects, documents, monuments, images and other kinds of materials that make sense to the Human actions at the past and that represent what have been said and done at the Human history. At the construction of the theoretical-methodological way of the research we have based ourselves upon the ideas of the authors that are engaged at the teachers formation; at researchers adherents to the use of Mathematics History (MH) as a methodological resource, and at studies accomplished that elucidate the role of the artifacts at the history and as a mediatory element of learning. We defend the thesis that the utilization of historical artifacts at teaching activities enables the increasing of the knowledge, the development of competencies and essential abilities to the teacher acting, as well as interact at different areas of the knowledge, that provides a conception of formation where the teacher improves his learning, learning-doing and learning-being. We have adopted a qualitative research approach with a theoretical and pratic study disposition about the elements that contribute to the teachers works at the classroom, emphasizing the role of the Mathematics history at the teacher s formation and as a pedagogical resource at the mathematics classroom; the knowledge, the competencies and abilities of the historical artifacts as an integrative link between the different areas of the knowledge. As result, we emphasize that the proposition of using the MH, through learning activities, at the course of teacher graduation is relevant, because it allows the investigation of ideas that originate the knowledge generated at every social context, considering the contribution of the social and cultural, political and economical aspects at this construction, making easy the dialog among the areas and inside of each one The historical artifact represents a research source that can be deciphered, comprehended, questioned, extracting from it information about knowledge of the past, trace and vestiges of the culture when it was created, consisting of a testimony of a period. These aspects grant to it consideration to be explored as a mediatory element of the learning. The artifacts incorporated at teaching activities of the graduation courses for teachers promote changes on the view about the Mathematics teaching, in view of to privilege the active participation of the student at the construction of his knowledge, at the reflection about the action that has been accomplished, promoting stimulus so the teachers can create their own artifacts, and offer, either, traces linking the Mathematics with others knowledge areas.

Um estudo sobre a aprendizagem de alguns conceitos algébricos e geométricos

The objective of the present work was develop a study about the writing and the algebraic manipulation of symbolical expressions for perimeter and area of some convex polygons, approaching the properties of the operations and equality, extending to the obtaining of the formulas of length and area of the circle, this one starting on the formula of the perimeter and area of the regular hexagon. To do so, a module with teaching activities was elaborated based on constructive teaching. The study consisted of a methodological intervention, done by the researcher, and had as subjects students of the 8th grade of the State School Desembargador Floriano Cavalcanti, located on the city of Natal, Rio Grande do Norte. The methodological intervention was done in three stages: applying of a initial diagnostic evaluation, developing of the teaching module, and applying of the final evaluation based on the Mathematics teaching using Constructivist references. The data collected in the evaluations was presented as descriptive statistics. The results of the final diagnostic evaluation were analyzed in the qualitative point of view, using the criteria established by Richard Skemp s second theory about the comprehension of mathematical concepts. The general results about the data from the evaluations and the applying of the teaching module showed a qualitative difference in the learning of the students who participated of the intervention

Avaliação da qualidade de calcários agrícolas através do PRNT

Foram comparados os valores do PRNT de calcários agrícolas, empregando fórmulas que se baseiam em diferentes valores de eficiência relativa das frações granulométricas que compõem esses materiais. Foram utilizadas 22 amostras de calcários, sendo 12 de Rio Claro, Piracicaba e Tietê, Estado de São Paulo e as demais especialmente escolhidas visando variação nas composições granulométrica e química. Os resultados sugerem que as fórmulas de PRNT que têm sido utilizadas no Brasil , devem estar substimando a eficiência desses produtos , além de carecerem de um respaldo experimental mais convincente. A nova fórmula proposta pode ser mais confiável, apesar de estar também sujeita a várias críticas.