Portfolio efficiency tests with conditioning information using empirical likelihood estimation

We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolios efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family presents some optimal statistical properties, such as robustness to misspecification and better properties in finite samples. Unlike GMM, the bias for GEL estimators do not increase as more moment conditions are included, which is expected in conditional efficiency analysis. We found some evidences that estimators from GEL class really performs differently in small samples, where efficiency tests using GEL generate lower estimates compared to tests using the standard approach with GMM. With Monte Carlo experiments we see that GEL has better performance when distortions are present in data, especially under heavy tails and Gaussian shocks.

Estratégias de comercialização e investimento, com ênfase em energias renováveis, suportadas por modelos de otimização especializados para avaliação estocástica de risco x retorno.

A comercialização de energia elétrica de fontes renováveis, ordinariamente, constitui-se uma atividade em que as operações são estruturadas sob condições de incerteza, por exemplo, em relação ao preço \"spot\" no mercado de curto prazo e a geração de energia dos empreendimentos. Deriva desse fato a busca dos agentes pela formulação de estratégias e utilização de ferramentais para auxiliá-los em suas tomadas de decisão, visando não somente o retorno financeiro, mas também à mitigação dos riscos envolvidos. Análises de investimentos em fontes renováveis compartilham de desafios similares. Na literatura, o estudo da tomada de decisão considerada ótima sob condições de incerteza se dá por meio da aplicação de técnicas de programação estocástica, que viabiliza a modelagem de problemas com variáveis randômicas e a obtenção de soluções racionais, de interesse para o investidor. Esses modelos permitem a incorporação de métricas de risco, como por exemplo, o Conditional Value-at-Risk, a fim de se obter soluções ótimas que ponderem a expectativa de resultado financeiro e o risco associado da operação, onde a aversão ao risco do agente torna-se um condicionante fundamental. O objetivo principal da Tese - sob a ótica dos agentes geradores, consumidores e comercializadores - é: (i) desenvolver e implementar modelos de otimização em programação linear estocástica com métrica CVaR associada, customizados para cada um desses agentes; e (ii) aplicá-los na análise estratégica de operações como forma de apresentar alternativas factíveis à gestão das atividades desses agentes e contribuir com a proposição de um instrumento conceitualmente robusto e amigável ao usuário, para utilização por parte das empresas. Nesse contexto, como antes frisado, dá-se ênfase na análise do risco financeiro dessas operações por meio da aplicação do CVaR e com base na aversão ao risco do agente. Considera-se as fontes renováveis hídrica e eólica como opções de ativos de geração, de forma a estudar o efeito de complementaridade entre fontes distintas e entre sites distintos da mesma fonte, avaliando-se os rebatimentos nas operações.

Conditional Order-m Efficiency of Wastewater Treatment Plants: The Role of Environmental Factors

The growing economic and environmental importance of managing water resources at a global level also entails greater efforts and interest in improving the functioning and efficiency of the increasingly more numerous wastewater treatment plants (WWTPs). In this context, this study analyzes the efficiency of a uniform sample of plants of this type located in the region of Valencia (Spain). The type of efficiency measure used for this (conditional order-m efficiency) allows continuous and discrete contextual variables to be directly involved in the analysis and enables the assessment of their statistical significance and effect (positive or negative). The main findings of the study showed that the quality of the influent water and also the size and age of the plants had a significant influence on their efficiency levels. In particular, as regards the effect of such variables, the findings pointed to the existence of an inverse relationship between the quality of the influent water and the efficiency of the WWTPs. Also, a lower annual volume of treated water and more modern installations showed a positive influence. Additionally, the average efficiency levels observed turned out to be higher than those reported in previous studies.

Clinical utility of ocular residual astigmatism and topographic disparity vector indexes in subclinical and clinical keratoconus

Purpose. We aimed to characterize the distribution of the vector parameters ocular residual astigmatism (ORA) and topography disparity (TD) in a sample of clinical and subclinical keratoconus eyes, and to evaluate their diagnostic value to discriminate between these conditions and healthy corneas. Methods. This study comprised a total of 43 keratoconic eyes (27 patients, 17–73 years) (keratoconus group), 11 subclinical keratoconus eyes (eight patients, 11–54 years) (subclinical keratoconus group) and 101 healthy eyes (101 patients, 15–64 years) (control group). In all cases, a complete corneal analysis was performed using a Scheimpflug photography-based topography system. Anterior corneal topographic data was imported from it to the iASSORT software (ASSORT Pty. Ltd), which allowed the calculation of ORA and TD. Results. Mean magnitude of the ORA was 3.23 ± 2.38, 1.16 ± 0.50 and 0.79 ± 0.43 D in the keratoconus, subclinical keratoconus and control groups, respectively (p < 0.001). Mean magnitude of the TD was 9.04 ± 8.08, 2.69 ± 2.42 and 0.89 ± 0.50 D in the keratoconus, subclinical keratoconus and control groups, respectively (p < 0.001). Good diagnostic performance of ORA (cutoff point: 1.21 D, sensitivity 83.7 %, specificity 87.1 %) and TD (cutoff point: 1.64 D, sensitivity 93.3 %, specificity 92.1 %) was found for the detection of keratoconus. The diagnostic ability of these parameters for the detection of subclinical keratoconus was more limited (ORA: cutoff 1.17 D, sensitivity 60.0 %, specificity 84.2 %; TD: cutoff 1.29 D, sensitivity 80.0 %, specificity 80.2 %). Conclusion. The vector parameters ORA and TD are able to discriminate with good levels of precision between keratoconus and healthy corneas. For the detection of subclinical keratoconus, only TD seems to be valid.

Semantic change and intersubjectification: The origin of reprise evidential conditional in Old Catalan

The reprise evidential conditional (REC) is nowadays not very usual in Catalan: it is restricted to journalistic language and to some very formal genres (such as academic or legal language), it is not present in spontaneous discourse. On the one hand, it has been described among the rather new modality values of the conditional. On the other, the normative tradition tended to reject it for being a gallicism, or to describe it as an unsuitable neologism. Thanks to the extraction from text corpora, we surprisingly find this REC in Catalan from the beginning of the fourteenth century to the contemporary age, with semantic and pragmatic nuances and different evidence of grammaticalization. Due to the current interest in evidentiality, the REC has been widely studied in French, Italian and Portuguese, focusing mainly on its contemporary uses and not so intensively on the diachronic process that could explain the origin of this value. In line with this research, that we initiated studying the epistemic and evidential future in Catalan, our aim is to describe: a) the pragmatic context that could have been the initial point of the REC in the thirteenth century, before we find indisputable attestations of this use; b) the path of semantic change followed by the conditional from a ‘future in the past’ tense to the acquisition of epistemic and evidential values; and c) the role played by invited inferences, subjectification and intersubjectification in this change.

How Much am I Expected to Pay for my Parents‘ Firm? An Institutional Logics Perspective on Family Discounts

Recent evidence suggests that successors do not simply inherit their parents’ firm, but have to pay a certain price. Building on institutional logics literature, we explore successors’ family discount expectations, defined as the rebate expected from parents in comparison to nonfamily buyers when assuming control of the firm. We find that family cohesion increases discount expectations, while successors’ fear of failure and family equity stake in the firm decrease discount expectations. Higher education in business or economics weakens These effects. On average, in our study comprised of 16 countries, successors expect a 57% family discount.

Sea ice habitat characteristics and number of narwhal (Monodon monoceros) sightings in Disko Bay, West Greenland

There is a paucity of information on abundance, densities, and habitat selection of narwhals Monodon monoceros in the offshore pack ice of Baffin Bay, West Greenland, despite the critical importance of winter foraging regions and considerable sea ice declines in the past decades. We conducted a double-platform visual aerial survey over a narwhal wintering ground to obtain pack ice densities and develop the first fully corrected abundance estimate using point conditional mark-recapture distance sampling. Continuous video recording and digital images taken along the trackline allowed for in situ quantification of winter narwhal habitat and for the estimation of fine-scale narwhal habitat selection and habitat-specific sighting probabilities. Abundance at the surface was estimated at 3484 (coefficient of variation [CV] = 0.46) including whales missed by observers. The fully corrected abundance of narwhals was 18 044 (CV = 0.46), or approximately one-quarter of the entire Baffin Bay population. The narwhal wintering ground surveyed (~9500 km**2) had 2.4 to 3.2% open water based on estimates from satellite imagery (NASA Moderate Resolution Imaging Spectroradiometer) and 1565 digital photographic images collected on the trackline. Thus, the ~18 000 narwhals had access to 233 km**2 of open water, resulting in an average density of ~77 narwhals/km**2 open water. Narwhal sighting probability near habitats with <10% or 10 to 50% open water was significantly higher than sighting probability in habitats with >50% open water, suggesting narwhals select optimal foraging areas in dense pack ice regardless of open water availability. This study provides the first quantitative ecological data on densities and habitat selection of narwhals in pack ice foraging regions that are rapidly being altered with climate change.

Progress of the study of investment trusts and investment companies made by the Securities and exchange commission, pursuant to section 30 of the Public utility holding company act of 1935.

Mode of access: Internet.

Cost-effectiveness of countermeasures for utility pole accidents. Final report.

Federal Highway Administration, Office of Research and Development, Washington, D.C.

Methods for estimating expected blood alcohol concentration. Part II. Final report.

National Highway Traffic Safety Administration, Washington, D.C.