Some bounds of loss in classical semideterministic immunization

Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics in bond portfolio analysis from both a theoretical and a practical point of view. Many results have been established, especially in semi-deterministic framework. As regards, however, the loss may be sustained, we do not think that the subject has been investigated enough, except for the results found in the wake of the theorem of Fong and Vasicek. In this paper we present some results relating to the limitation of the loss in the case of local immunization for multiple liabilities.

The risk-return trade-off in Europe: A temporal and cross-sectional analysis

This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to obtain the covariance matrix between excess market returns and the industrial portfolios and the existence of a risk-return trade-off is analyzed through a cross-sectional approach using the information in all portfolios. It is obtained evidence for a positive and significant risk-return trade-off in the European market. This conclusion is robust for different GARCH specifications and is even more evident after controlling for the main financial crisis during the sample period.

Good deals in markets with frictions

This paper studies a portfolio choice problem such that the pricing rule may incorporate transaction costs and the risk measure is coherent and expectation bounded. We will prove the necessity of dealing with pricing rules such that there exists an essentially bounded stochastic discount factor, which must be also bounded from below by a strictly positive value. Otherwise good deals will be available to traders, i.e., depending on the selected risk measure, investors can build portfolios whose (risk, return) will be as close as desired to (−infinity, infinity) or (0, infinity). This pathologic property still holds for vector risk measures (i.e., if we minimize a vector valued function whose components are risk measures). It is worthwhile to point out that essentially bounded stochastic discount factors are not usual in financial literature. In particular, the most famous frictionless, complete and arbitrage free pricing models imply the existence of good deals for every coherent and expectation bounded (scalar or vector) measure of risk, and the incorporation of transaction costs will not guarantee the solution of this caveat.

Simulation of default events in a CDX and estimation of the spread

The portfolio generating the iTraxx EUR index is modeled by coupled Markov chains. Each of the industries of the portfolio evolves according to its own Markov transition matrix. Using a variant of the method of moments, the model parameters are estimated from a data set of Standard and Poor's. Swap spreads are evaluated by Monte-Carlo simulations. Along with an actuarially fair spread, at least squares spread is considered.

Idiosyncratic risk really drives stock returns; Spanish evidence

Following the theoretical model of Merton (1987), we provide a new perspective of study about the role of idiosyncratic risk in the asset pricing process. More precisely, we analyze whether the idiosyncratic risk premium depends on the idiosyncratic risk level of an asset as well as the vatriation in the market-wide measure of idiosyncratic risk. As expected, we obtain a net positive risk premium for the Spanish stock market over the period 1987-2007. Our results show a positive relation between returns and individual indiosyncratic risk levels and a negative but lower relation with the aggregate measure of idiosyncratic risk. These findings have important implications for portfolio and risk management and contribute to provide a unified and coherent answer for the main and still unsolved question about the idiosyncratic risk puzzle: whether or not there exists a premium associated to this kind of risk and the sign for this risk premium.

Learning to manage in knowledge based organizations: the role of portfolios

Paper presented at the 8th European Conference on Knowledge Management, Barcelona, 6-7 Sep. 2008 URL: http://www.academic-conferences.org/eckm/eckm2007/eckm07-home.htm

Impacto das comunidades de consumidores no valor das marcas

International Congress Marketing Trends Annual Conference in Paris, 17 – 19 January 2013

A Importância dos catálogos para o sector do vestuário português qualidade estética e gráfica dos catálogos

O catálogo é um produto de comunicação com presença forte no mundo da moda, reflexo por excelência de cada coleção e imagem de marca. Verifica-se que os critérios objectivos de avaliação dos catálogos não foram ainda alvo de uma análise estruturada e aprofundada, apesar da importância que possuem para as empresas do sector do Vestuário. Assim, decidiuse estudar os elementos que definem o nível de qualidade estética e gráfica dos catálogos de vestuário. Analisaram-se catálogos de marcas portuguesas e internacionais da indústria da moda cuja qualidade é reconhecida pelos profissionais de design. Como resultado desse estudo foi criada a Matriz AQC - Matriz de Avaliação da Qualidade dos Catálogos Produto e a Matriz AQC – Matriz de avaliação da Qualidade dos Catálogos Imagem.

Feiras e exposições internacionais: um estudo exploratório dos fatores de decisão e motivação de participação numa feira internacional

Dissertação apresentada ao Instituto Superior de Contabilidade e Administração do Porto para obtenção do Grau de Mestre em Empreendedorismo e Internacionalização Orientada por Prof. Doutor José Freitas Santos

Marca institucional: a gestão da marca no contexto de uma IPSS

Relatório de Estágio apresentado ao Instituto Superior de Contabilidade e Administração do Porto para a obtenção do Grau de Mestre em Assessoria de Administração Orientadora: Doutora Isabel Ardions

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

A long-term swarm intelligence hedging tool applied to electricity markets

This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated by a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance estimation and the expected return are based on a forecasted scenario interval determined by a long-term price range forecast model, developed by the authors, whose explanation is outside the scope of this paper. The proposed tool makes use of Particle Swarm Optimization (PSO) and its performance has been evaluated by comparing it with a Genetic Algorithm (GA) based approach. To validate the risk management tool a case study, using real price historical data for mainland Spanish market, is presented to demonstrate the effectiveness of the proposed methodology.

A long-term risk management tool for electricity markets using swarm intelligence

This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn.

Eficiência nos mercados de capitais: forma fraca - PSI20

Mestrado em Contabilidade e Gestão das Instituições Financeiras

Ética e responsabilidade social das organizações perante os Técnicos Oficiais de Contas

Mestrado em Contabilidade