Modelagem matemática aplicada a precificação de opções

The mathematical models are critical to determine theoretical prices of options and analyze whether they are overrated or underrated. This information strongly influence in operations carried out by the investor. Therefore, it is necessary that the employee model present high degree of reliability and be consistent with the reality of investment to which it is intended. In this sense, this dissertation aims to apply the steps of mathematical modeling in the Pricing of options for decision making in the investment of a hydroelectric power plant. Was used a Monte Carlo simulation, with the Latin Hypercube Method, to determine the volatility of returns of the project. In order to validate the proposed model, compared to the results found by the Binomial Model, which is one of the models most used in this type of investment. The results reinforce the hypothesis that the mathematical modeling with the Binomial Model is critical to investment decision-making in hydroelectric power

Análise de risco em carteiras

The work consists of analyzing the risk management of investments by applying statistical concepts, economic and mathematical models considering the assets on the market on renowned financial institution. The assessment of these risks becomes increasingly interesting in view of minimizing your losses thus maximizing your chances of gains in both markets boom as extreme uncertainty, even with the sudden changes of scenery. Introducing concepts of investment funds, as well as the classification of the types of funds as funds management and equity, its guidelines, the concept of market investment funds. The types of assets comprising the investment funds, their taxation rules beyond the incidents that market widely used by investors and skilled people, both physical and legal, who keep their resources in this modality. With the historical data collected yields of investment funds of the Bank of Brazil, is an accomplished inflation adjustment and calculated the mean and variance for the verification of the model of Markowitz efficient frontier, a method used as investment analysis. This scan is used Matlab to obtain the set (or border) efficient portfolios. Once verified such data, there will be a critique of the Markowitz model as a quadratic programming and more coherent risk measures currently studied as VaR and CVaR minimizing the expected error, approaching our studies of current research. It is found that such studies have much to be explored, since there are many discussions about how effectively measure risk investments such as its characteristic and behavior, using a time series and volatility

Changes in chemical profile of cephalic salivary glands of Scaptotrigona postica (Hymenoptera, Meliponini) workers are phase-related

Most advanced eusocial bees recruit their nestmates to food resources. Recently, studies in Meliponini species showed that the cephalic salivary (labial) glands (CSGs) are responsible for the production of scent-trail pheromones. Studies on CSGs have shown changes in glandular cell morphology since the worker emerges from brood combs (newly emerged) till forager phase, which may be correlated to changes in the composition of secretion produced. However, no study has been made till now regarding to the composition of CSGs secretion of Scaptotrigona postica and the chemical changes that occur in this secretion according to the worker's life phase or tasks performed. In this study, the chemical profile of CSG secretion in S. postica workers was studied. Glands were taken from specimens newly emerged (NE), working in the brood combs area (CA) and forager (FO) and were analyzed by gas chromatography-mass spectrometry. The results showed that glandular secretion consists of oxygenated compounds of middle volatility (acids, alcohols, aldehydes, ketones, esters and ether), and their quantity varies among the different phases of life, increasing as the individual undergoes from intra- to extra-colonial activities. The NE phase contained the smallest variety and quantity of compounds. Due to the variability of compounds, the CA workers were separated into 3 groups according to the chemical constitution of their secretion. Forager workers showed the largest quantity and variety of chemical compounds. The major compounds in forager gland secretion are 7-hexadecen-1-yl acetate and 5-tetradecen-1-yl acetate. Statistical analysis indicates that the chemical composition of glandular secretion is task-related.

Exercise tolerance can be enhanced through a change in work rate within the severe intensity domain: work above critical power is not constant

The characterization of the hyperbolic power-time (P-tlim) relationship using a two-parameter model implies that exercise tolerance above the asymptote (Critical Power; CP), i.e. within the severe intensity domain, is determined by the curvature (W') of the relationship. The purposes of this study were (1) to test whether the amount of work above CP (W>CP) remains constant for varied work rate experiments of high volatility change and (2) to ascertain whether W' determines exercise tolerance within the severe intensity domain. Following estimation of CP (208 ± 19 W) and W' (21.4 ± 4.2 kJ), 14 male participants (age: 26 ± 3; peak [Formula: see text]: 3708 ± 389 ml.min-1) performed two experimental trials where the work rate was initially set to exhaust 70% of W' in 3 ('THREE') or 10 minutes ('TEN') before being subsequently dropped to CP plus 10 W. W>CP for TEN (104 ± 22% W') and W' were not significantly different (P>0.05) but lower than W>CP for THREE (119 ± 17% W', P<0.05). For both THREE (r = 0.71, P<0.01) and TEN (r = 0.64, P<0.01), a significant bivariate correlation was found between W' and tlim. W>CP and tlim can be greater than predicted by the P-tlim relationship when a decrement in the work rate of high-volatility is applied. Exercise tolerance can be enhanced through a change in work rate within the severe intensity domain. W>CP is not constant.

O jovem midiatizado e as marcas de gênero e sexualidade: o que restou na caixa de Pandora?

Pós-graduação em Desenvolvimento Humano e Tecnologias - IBRC

Estudo e análise estatística no mercado de ações brasileiro

The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets.

Concentração de mercado e volatilidade de preços: uma análise de duas agroindústrias utilizando o filtro Hodrick-Prescott

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Risk Management Challenges and Opportunities in 2010

In 2009, agriculture was impacted by significant volatility in commodity and input prices and major world economic events. The world economy continued to flounder, resulting in reduced demand for agricultural commodities, particularly livestock products. The H1N1 outbreak further exacerbated the situation as consumers around the world reduced their consumption of pork. In the last quarter of 2009, unemployment in the United States reached ten percent and continues to rise each month, albeit at a slower rate. In recent reports economic analysts contend the reported figures underestimate the actual unemployment, and that we will continue to face ten percent or more unemployment through 2010.

Impactos Operacionais das Alterações no Contrato Futuro de Milho da BM&F-Bovespa na Mitigação de Risco

O mercado de milho possui importante participação no cenário agropecuário nacional, pela relevância dentro da indústria de carnes. Destacam-se as estratégias de comercialização do grão, em especial as relacionadas à mitigação do risco de preço com o uso de contratos futuros. Objetiva-se identificar e interpretar os efeitos causados pela modificação no contrato futuro do milho negociado na BM&F-Bovespa, que em setembro de 2008 passou de entrega física para liquidação financeira, sobre o desempenho do mercado futuro do grão comercializado. Avaliam-se a liquidez dos contratos, a volatilidade dos preços futuros e físico do milho, bem como a convergência da base. Identificaram-se como possíveis efeitos da alteração contratual o aumento da liquidez do contrato futuro de milho e a redução da volatilidade dos preços, além da melhoria na convergência da base. Os resultados alinham-se com a teoria e evidenciam impacto positivo da implementação da liquidação financeira no contrato futuro de milho.

The firm. Techno-organizational changes, industrial relations and performances. An enquiry on Reggio Emilia local industrial system

It is not unknown that the evolution of firm theories has been developed along a path paved by an increasing awareness of the organizational structure importance. From the early “neoclassical” conceptualizations that intended the firm as a rational actor whose aim is to produce that amount of output, given the inputs at its disposal and in accordance to technological or environmental constraints, which maximizes the revenue (see Boulding, 1942 for a past mid century state of the art discussion) to the knowledge based theory of the firm (Nonaka & Takeuchi, 1995; Nonaka & Toyama, 2005), which recognizes in the firm a knnowledge creating entity, with specific organizational capabilities (Teece, 1996; Teece & Pisano, 1998) that allow to sustaine competitive advantages. Tracing back a map of the theory of the firm evolution, taking into account the several perspectives adopted in the history of thought, would take the length of many books. Because of that a more fruitful strategy is circumscribing the focus of the description of the literature evolution to one flow connected to a crucial question about the nature of firm’s behaviour and about the determinants of competitive advantages. In so doing I adopt a perspective that allows me to consider the organizational structure of the firm as an element according to which the different theories can be discriminated. The approach adopted starts by considering the drawbacks of the standard neoclassical theory of the firm. Discussing the most influential theoretical approaches I end up with a close examination of the knowledge based perspective of the firm. Within this perspective the firm is considered as a knowledge creating entity that produce and mange knowledge (Nonaka, Toyama, & Nagata, 2000; Nonaka & Toyama, 2005). In a knowledge intensive organization, knowledge is clearly embedded for the most part in the human capital of the individuals that compose such an organization. In a knowledge based organization, the management, in order to cope with knowledge intensive productions, ought to develop and accumulate capabilities that shape the organizational forms in a way that relies on “cross-functional processes, extensive delayering and empowerment” (Foss 2005, p.12). This mechanism contributes to determine the absorptive capacity of the firm towards specific technologies and, in so doing, it also shape the technological trajectories along which the firm moves. After having recognized the growing importance of the firm’s organizational structure in the theoretical literature concerning the firm theory, the subsequent point of the analysis is that of providing an overview of the changes that have been occurred at micro level to the firm’s organization of production. The economic actors have to deal with challenges posed by processes of internationalisation and globalization, increased and increasing competitive pressure of less developed countries on low value added production activities, changes in technologies and increased environmental turbulence and volatility. As a consequence, it has been widely recognized that the main organizational models of production that fitted well in the 20th century are now partially inadequate and processes aiming to reorganize production activities have been widespread across several economies in recent years. Recently, the emergence of a “new” form of production organization has been proposed both by scholars, practitioners and institutions: the most prominent characteristic of such a model is its recognition of the importance of employees commitment and involvement. As a consequence it is characterized by a strong accent on the human resource management and on those practices that aim to widen the autonomy and responsibility of the workers as well as increasing their commitment to the organization (Osterman, 1994; 2000; Lynch, 2007). This “model” of production organization is by many defined as High Performance Work System (HPWS). Despite the increasing diffusion of workplace practices that may be inscribed within the concept of HPWS in western countries’ companies, it is an hazard, to some extent, to speak about the emergence of a “new organizational paradigm”. The discussion about organizational changes and the diffusion of HPWP the focus cannot abstract from a discussion about the industrial relations systems, with a particular accent on the employment relationships, because of their relevance, in the same way as production organization, in determining two major outcomes of the firm: innovation and economic performances. The argument is treated starting from the issue of the Social Dialogue at macro level, both in an European perspective and Italian perspective. The model of interaction between the social parties has repercussions, at micro level, on the employment relationships, that is to say on the relations between union delegates and management or workers and management. Finding economic and social policies capable of sustaining growth and employment within a knowledge based scenario is likely to constitute the major challenge for the next generation of social pacts, which are the main social dialogue outcomes. As Acocella and Leoni (2007) put forward the social pacts may constitute an instrument to trade wage moderation for high intensity in ICT, organizational and human capital investments. Empirical evidence, especially focused on the micro level, about the positive relation between economic growth and new organizational designs coupled with ICT adoption and non adversarial industrial relations is growing. Partnership among social parties may become an instrument to enhance firm competitiveness. The outcome of the discussion is the integration of organizational changes and industrial relations elements within a unified framework: the HPWS. Such a choice may help in disentangling the potential existence of complementarities between these two aspects of the firm internal structure on economic and innovative performance. With the third chapter starts the more original part of the thesis. The data utilized in order to disentangle the relations between HPWS practices, innovation and economic performance refer to the manufacturing firms of the Reggio Emilia province with more than 50 employees. The data have been collected through face to face interviews both to management (199 respondents) and to union representatives (181 respondents). Coupled with the cross section datasets a further data source is constituted by longitudinal balance sheets (1994-2004). Collecting reliable data that in turn provide reliable results needs always a great effort to which are connected uncertain results. Data at micro level are often subjected to a trade off: the wider is the geographical context to which the population surveyed belong the lesser is the amount of information usually collected (low level of resolution); the narrower is the focus on specific geographical context, the higher is the amount of information usually collected (high level of resolution). For the Italian case the evidence about the diffusion of HPWP and their effects on firm performances is still scanty and usually limited to local level studies (Cristini, et al., 2003). The thesis is also devoted to the deepening of an argument of particular interest: the existence of complementarities between the HPWS practices. It has been widely shown by empirical evidence that when HPWP are adopted in bundles they are more likely to impact on firm’s performances than when adopted in isolation (Ichniowski, Prennushi, Shaw, 1997). Is it true also for the local production system of Reggio Emilia? The empirical analysis has the precise aim of providing evidence on the relations between the HPWS dimensions and the innovative and economic performances of the firm. As far as the first line of analysis is concerned it must to be stressed the fundamental role that innovation plays in the economy (Geroski & Machin, 1993; Stoneman & Kwoon 1994, 1996; OECD, 2005; EC, 2002). On this point the evidence goes from the traditional innovations, usually approximated by R&D investment expenditure or number of patents, to the introduction and adoption of ICT, in the recent years (Brynjolfsson & Hitt, 2000). If innovation is important then it is critical to analyse its determinants. In this work it is hypothesised that organizational changes and firm level industrial relations/employment relations aspects that can be put under the heading of HPWS, influence the propensity to innovate in product, process and quality of the firm. The general argument may goes as follow: changes in production management and work organization reconfigure the absorptive capacity of the firm towards specific technologies and, in so doing, they shape the technological trajectories along which the firm moves; cooperative industrial relations may lead to smother adoption of innovations, because not contrasted by unions. From the first empirical chapter emerges that the different types of innovations seem to respond in different ways to the HPWS variables. The underlying processes of product, process and quality innovations are likely to answer to different firm’s strategies and needs. Nevertheless, it is possible to extract some general results in terms of the most influencing HPWS factors on innovative performance. The main three aspects are training coverage, employees involvement and the diffusion of bonuses. These variables show persistent and significant relations with all the three innovation types. The same do the components having such variables at their inside. In sum the aspects of the HPWS influence the propensity to innovate of the firm. At the same time, emerges a quite neat (although not always strong) evidence of complementarities presence between HPWS practices. In terns of the complementarity issue it can be said that some specific complementarities exist. Training activities, when adopted and managed in bundles, are related to the propensity to innovate. Having a sound skill base may be an element that enhances the firm’s capacity to innovate. It may enhance both the capacity to absorbe exogenous innovation and the capacity to endogenously develop innovations. The presence and diffusion of bonuses and the employees involvement also spur innovative propensity. The former because of their incentive nature and the latter because direct workers participation may increase workers commitment to the organizationa and thus their willingness to support and suggest inovations. The other line of analysis provides results on the relation between HPWS and economic performances of the firm. There have been a bulk of international empirical studies on the relation between organizational changes and economic performance (Black & Lynch 2001; Zwick 2004; Janod & Saint-Martin 2004; Huselid 1995; Huselid & Becker 1996; Cappelli & Neumark 2001), while the works aiming to capture the relations between economic performance and unions or industrial relations aspects are quite scant (Addison & Belfield, 2001; Pencavel, 2003; Machin & Stewart, 1990; Addison, 2005). In the empirical analysis the integration of the two main areas of the HPWS represent a scarcely exploited approach in the panorama of both national and international empirical studies. As remarked by Addison “although most analysis of workers representation and employee involvement/high performance work practices have been conducted in isolation – while sometimes including the other as controls – research is beginning to consider their interactions” (Addison, 2005, p.407). The analysis conducted exploiting temporal lags between dependent and covariates, possibility given by the merger of cross section and panel data, provides evidence in favour of the existence of HPWS practices impact on firm’s economic performance, differently measured. Although it does not seem to emerge robust evidence on the existence of complementarities among HPWS aspects on performances there is evidence of a general positive influence of the single practices. The results are quite sensible to the time lags, inducing to hypothesize that time varying heterogeneity is an important factor in determining the impact of organizational changes on economic performance. The implications of the analysis can be of help both to management and local level policy makers. Although the results are not simply extendible to other local production systems it may be argued that for contexts similar to the Reggio Emilia province, characterized by the presence of small and medium enterprises organized in districts and by a deep rooted unionism, with strong supporting institutions, the results and the implications here obtained can also fit well. However, a hope for future researches on the subject treated in the present work is that of collecting good quality information over wider geographical areas, possibly at national level, and repeated in time. Only in this way it is possible to solve the Gordian knot about the linkages between innovation, performance, high performance work practices and industrial relations.

Quality and safety of oils and fats obtained as co-products or by-products of the food chain and destined to animal production

The aim of the first part of this thesis was to evaluate the effect of trans fatty acid- (TFA), contaminant, polycyclic aromatic hydrocarbon (PAH)- and oxidation productenriched diets on the content of TFA and conjugated linoleic acid (CLA) isomers in meat and liver of both poultry and rabbit. The enriched feedings were prepared with preselected fatty co-and by-products that contained low and high levels of TFA (low, palm fatty acid distillate; high, hydrogenated palm fatty acid distillate), environmental contaminants (dioxins and PCBs) (two different fish oils), PAH (olive oil acid oils and pomace olive oil from chemical refining, for low and high levels) and oxidation products (sunflower-olive oil blend before and after frying), so as to obtain single feedings with three enrichment degrees (high, medium and low) of the compound of interest. This experimental set-up is a part of a large, collaborative European project (http://www.ub.edu/feedfat/), where other chemical and health parameters are assessed. Lipids were extracted, methylated with diazomethane, then transmethylated with 2N KOH/methanol and analyzed by GC and silver-ion TLC-GC. TFA and CLA were determined in the fats, the feedings, meat and liver of both poultry and rabbit. In general, the level of TFA and CLA in meat and liver mainly varied according to those originally found in the feeding fats. It must be pointed out, though, that TFA and CLA accumulation was different for the two animal species, as well as for the two types of tissues. The TFA composition of meat and liver changes according to the composition of the oils added to the feeds with some differences between species. Chicken meat with skin shows higher TFA content (2.6–5.4 fold) than rabbit meat, except for the “PAH” trial. Chicken liver shows higher TFA content (1.2–2.1 fold) than rabbit liver, except for the “TRANS” and “PAH” trials. In both chicken and rabbit meats, the TFA content was higher for the “TRANS” trial, followed by the “DIOXIN” trial. Slight differences were found on the “OXIDATION” and “PAH” trends in both types of meats. In both chicken and rabbit livers, the TFA content was higher for the “TRANS” trial, followed by those of the “PAH”, “DIOXIN” and “OXIDATION” trials. This trend, however, was not identical to that of feeds, where the TFA content varied as follows: “TRANS” > “DIOXIN” >“PAH” > “OXIDATION”. In chicken and rabbit meat samples, C18:1 TFA were the most abundant, followed by C18:2 TFA and C18:3 TFA, except for the “DIOXIN” trial where C18:3 TFA > C18:2 TFA. In chicken and rabbit liver samples of the “TRANS” and “OXIDATION” trials, C18:1 TFA were the most abundant, followed by C18:2 TFA and C18:3 TFA, whereas C18:3 TFA > C18:2 in the “DIOXIN” trial. Slight differences were found on the “PAH” trend in livers from both species. The second part of the thesis dealt with the study of lipid oxidation in washed turkey muscle added with different antioxidants. The evaluation on the oxidative stability of muscle foods found that oxidation could be measured by headspace solid phase microestraction (SPME) of hexanal and propanal. To make this method effective, an antioxidant system was added to stored muscle to stop the oxidative processes. An increase in ionic strength of the sample was also implemented to increase the concentration of aldehydes in the headspace. This method was found to be more sensitive than the commonly used thiobarbituric acid reactive substances (TBARs) method. However, after antioxidants were added and oxidation was stopped, the concentration of aldehydes decreased. It was found that the decrease in aldehyde concentration was due to the binding of the aldehydes to muscle proteins, thus decreasing the volatility and making them less detectable.

Finanza Imprenditoriale: Teoria del Portafoglio e Costo del Capitale

This thesis focuses on the limits that may prevent an entrepreneur from maximizing her value, and the benefits of diversification in reducing her cost of capital. After reviewing all relevant literature dealing with the differences between traditional corporate finance and entrepreneurial finance, we focus on the biases occurring when traditional finance techniques are applied to the entrepreneurial context. In particular, using the portfolio theory framework, we determine the degree of under-diversification of entrepreneurs. Borrowing the methodology developed by Kerins et al. (2004), we test a model for the cost of capital according to the firms' industry and the entrepreneur's wealth commitment to the firm. This model takes three market inputs (standard deviation of market returns, expected return of the market, and risk-free rate), and two firm-specific inputs (standard deviation of the firm returns and correlation between firm and market returns) as parameters, and returns an appropriate cost of capital as an output. We determine the expected market return and the risk-free rate according to the huge literature on the market risk premium. As for the market return volatility, it is estimated considering a GARCH specification for the market index returns. Furthermore, we assume that the firm-specific inputs can be obtained considering new-listed firms similar in risk to the firm we are evaluating. After we form a database including all the data needed for our analysis, we perform an empirical investigation to understand how much of the firm's total risk depends on market risk, and which explanatory variables can explain it. Our results show that cost of capital declines as the level of entrepreneur's commitment decreases. Therefore, maximizing the value for the entrepreneur depends on the fraction of entrepreneur's wealth invested in the firm and the fraction she sells to outside investors. These results are interesting both for entrepreneurs and policy makers: the former can benefit from an unbiased model for their valuation; the latter can obtain some guidelines to overcome the recent financial market crisis.

Thiete und Bisthiete in der Heterocyclensynthese

Die vorliegende Arbeit beschäftigt sich mit der Synthese arenoanellierter Naphthothiete und Benzobisthiete, sowie mit der Umsetzung der aus diesen Thieten thermisch generierbaren Valenzisomeren (Thiochinonmethide). Diese Thiochinonmethide sind hochreaktive Diensysteme, die mit zahlreichen Dienophilen (homo- und hetero-Doppel- und Dreifachbindungssysteme) nach Diels-Alder abreagieren, die dabei entstehenden S-Heterocyclen können im Sechsring noch weitere Heteroatome (N, P, O, S) enthalten. Daraus resultiert ein großes Potential der Arenothiete zur Synthese neuer Thioheterocyclen. Durch die erstmals gelungene Synthese der beiden Benzobisthiete 2H,3H-Benzo[1,2-b:4,3-b']bisthiet und 1H,4H-Benzo[2,1-b:3,4-b']bisthiet mit gewinkelter Anellierungsgeometrie hat das synthetische Spektrum der aus Arenothieten darstellbaren Thioheterocyclen nochmal eine deutliche Erweiterung erfahren.

Die Darstellung der Arenothiete erfolgt in einer mehrstufigen Synthese, in deren finalem Schritt sie mittels Blitz-Vakuum-Pyrolyse aus Arylhydroxymethylthiolen gebildet werden, dabei wird das Edukt mittels molekularer Strömung in den "Reaktor" eingebracht. Da die Arylhydroxymethylthiole in der Regel nur eine sehr geringe Flüchtigkeit haben, waren die Arenothiete meist nur in geringen Mengen darstellbar. Daher wurde in dieser Arbeit sowohl die Synthese neuer Arenothiete (gewinkelte Benzobisthiete) als auch eine Optimierung der bisherigen Synthesemethode angestrebt; diese erfolgt bevorzugt durch Variation der Pyrolyseedukte in Richtung zu potentiell höherflüchtigen Verbindungen.

Im Rahmen dieser Versuche war die Darstellung zweier Arenothiete ausgehend von cyclischen O,S-Acetalen als alternative Pyrolysevorstufen erfolgreich.

Ein besonderes Interesse speziell an Benzobisthieten begründet sich in ihrer generellen Fähigkeit zum Aufbau von bandartigen Strukturen durch Oligo- und Poly-Diels-Alder-Reaktionen. Durch die Synthese einiger Modellverbindungen konnte ihre prinzipielle Eignung zum Aufbau von Bandstrukturen auch für die beiden Benzobisthiete belegt werden.

Black-scholes type equations

In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation which models transaction costs arising in option pricing is discretized by a new high order compact scheme. The compact scheme is proved to be unconditionally stable and non-oscillatory and is very efficient compared to classical schemes. Moreover, it is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. In the next chapter we turn to the calibration problem of computing local volatility functions from market data in a generalized Black-Scholes setting. We follow an optimal control approach in a Lagrangian framework. We show the existence of a global solution and study first- and second-order optimality conditions. Furthermore, we propose an algorithm that is based on a globalized sequential quadratic programming method and a primal-dual active set strategy, and present numerical results. In the last chapter we consider a quasilinear parabolic equation with quadratic gradient terms, which arises in the modeling of an optimal portfolio in incomplete markets. The existence of weak solutions is shown by considering a sequence of approximate solutions. The main difficulty of the proof is to infer the strong convergence of the sequence. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution, but without additional regularity assumptions on the solution. The results are illustrated by a numerical example.

The impact of R&D in firm value across Europe

In this thesis the impact of R&D expenditures on firm market value and stock returns is examined. This is performed in a sample of European listed firms for the period 2000-2009. I apply different linear and GMM econometric estimations for testing the impact of R&D on market prices and construct country portfolios based on firms’ R&D expenditure to market capitalization ratio for studying the effect of R&D on stock returns. The results confirm that more innovative firms have a better market valuation,investors consider R&D as an asset that produces long-term benefits for corporations. The impact of R&D on firm value differs across countries. It is significantly modulated by the financial and legal environment where firms operate. Other firm and industry characteristics seem to play a determinant role when investors value R&D. First, only larger firms with lower financial leverage that operate in highly innovative sectors decide to disclose their R&D investment. Second, the markets assign a premium to small firms, which operate in hi-tech sectors compared to larger enterprises for low-tech industries. On the other hand, I provide empirical evidence indicating that generally highly R&D-intensive firms may enhance mispricing problems related to firm valuation. As R&D contributes to the estimation of future stock returns, portfolios that comprise high R&D-intensive stocks may earn significant excess returns compared to the less innovative after controlling for size and book-to-market risk. Further, the most innovative firms are generally more risky in terms of stock volatility but not systematically more risky than low-tech firms. Firms that operate in Continental Europe suffer more mispricing compared to Anglo-Saxon peers but the former are less volatile, other things being equal. The sectors where firms operate are determinant even for the impact of R&D on stock returns; this effect is much stronger in hi-tech industries.