Alocação dinâmica ótima com momentos de ordem superior para a estratégia de carry trade

O objetivo do presente trabalho é verificar se, ao levar-se em consideração momentos de ordem superior (assimetria e curtose) na alocação de uma carteira de carry trade, há ganhos em relação à alocação tradicional que prioriza somente os dois primeiros momentos (média e variância). A hipótese da pesquisa é que moedas de carry trade apresentam retornos com distribuição não-Normal, e os momentos de ordem superior desta têm uma dinâmica, a qual pode ser modelada através de um modelo da família GARCH, neste caso IC-GARCHSK. Este modelo consiste em uma equação para cada momento condicional dos componentes independentes, explicitamente: o retorno, a variância, a assimetria, e a curtose. Outra hipótese é que um investidor com uma função utilidade do tipo CARA (constant absolute risk aversion), pode tê-la aproximada por uma expansão de Taylor de 4ª ordem. A estratégia do trabalho é modelar a dinâmica dos momentos da série dos logartimos neperianos dos retornos diários de algumas moedas de carry trade através do modelo IC-GARCHSK, e estimar a alocação ótima da carteira dinamicamente, de tal forma que se maximize a função utilidade do investidor. Os resultados mostram que há ganhos sim, ao levar-se em consideração os momentos de ordem superior, uma vez que o custo de oportunidade desta foi menor que o de uma carteira construída somente utilizando como critérios média e variância.

Tax filing choices for the household under separable spheres bargaining

If household choices can be rationalized by the maximization of a well defined utility function, allowing spouses to file individually or jointly is equivalent to offering the envelope of the two tax schedules. If, instead, household ’preferences’ are constantly being redefined through bargaining, the option to file separately may affect outcomes even if it is never chosen. We use Lundberg and Pollak’s (1993) separate spheres bargaining model to assess the impact of filing options on the outcomes of primary and secondary earners. Threat points of the household’s bargain are given for each spouse by the utility that he or she attains as a follower of a counter-factual off-equilibrium Stackelberg game played by the couple. For a benchmark tax system which treats a couple’s average taxable income as if it were that of a single individual, we prove that if choices are not at kinks, allowing couples to choose whether to file jointly or individually usually benefits the secondary earner. In our numeric exercises this is also the case when choices are at kinks as well. These findings are, however, quite sensitive to the details of the tax system, as made evident by the examination of an alternative tax system.

Testing consumption optimality using aggregate data

This paper tests the optimality of consumption decisions at the aggregate level taking into account popular deviations from the canonical constant-relative-risk-aversion (CRRA) utility function model-rule of thumb and habit. First, based on the critique in Carroll (2001) and Weber (2002) of the linearization and testing strategies using euler equations for consumption, we provide extensive empirical evidence of their inappropriateness - a drawback for standard rule- of-thumb tests. Second, we propose a novel approach to test for consumption optimality in this context: nonlinear estimation coupled with return aggregation, where rule-of-thumb behavior and habit are special cases of an all encompassing model. We estimated 48 euler equations using GMM. At the 5% level, we only rejected optimality twice out of 48 times. Moreover, out of 24 regressions, we found the rule-of-thumb parameter to be statistically significant only twice. Hence, lack of optimality in consumption decisions represent the exception, not the rule. Finally, we found the habit parameter to be statistically significant on four occasions out of 24.

Convexity in multidimensional mechanism design

The present article initiates a systematic study of the behavior of a strictly increasing, C2 , utility function u(a), seen as a function of agents' types, a, when the set of types, A, is a compact, convex subset of iRm . When A is a m-dimensional rectangle it shows that there is a diffeomorphism of A such that the function U = u o H is strictly increasing, C2 , and strictly convexo Moreover, when A is a strictly convex leveI set of a nowhere singular function, there exists a change of coordinates H such that B = H-1(A) is a strictly convex set and U = u o H : B ~ iR is a strictly convex function, as long as a characteristic number of u is smaller than a characteristic number of A. Therefore, a utility function can be assumed convex in agents' types without loss of generality in a wide variety of economic environments.

Reality check for volatility models

Asset allocation decisions and value at risk calculations rely strongly on volatility estimates. Volatility measures such as rolling window, EWMA, GARCH and stochastic volatility are used in practice. GARCH and EWMA type models that incorporate the dynamic structure of volatility and are capable of forecasting future behavior of risk should perform better than constant, rolling window volatility models. For the same asset the model that is the ‘best’ according to some criterion can change from period to period. We use the reality check test∗ to verify if one model out-performs others over a class of re-sampled time-series data. The test is based on re-sampling the data using stationary bootstrapping. For each re-sample we check the ‘best’ model according to two criteria and analyze the distribution of the performance statistics. We compare constant volatility, EWMA and GARCH models using a quadratic utility function and a risk management measurement as comparison criteria. No model consistently out-performs the benchmark.

Asymmetric preferences in investment decisions in the Brazilian financial market

The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility functions in the Brazilian market. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. The results generated by both traditional and loss aversion utility functions are compared with real data from the Brazilian market regarding stock market participation in the investment portfolio of pension funds and individual investors.

Análise de Argamassas Com Substituição Parcial do Cimento Portland Por Cinza Residual de Lenha de Algaroba

With the increase in cement consumption, it has quickly become one of the inputs most consumed by mankind over the last century. This has caused an increase in CO2 emissions, as cement production releases large quantities of this gas into the atmosphere. Adding this fact to the growing consciousness of environmental preservation, it has led to a search for alternatives to cement to complement its derivatives, in the form of waste materials like the ashes. This research aimed to analyze the properties of mortars in fresh and hardened state with partial replacement of Portland cement by residual algaroba wood ash (CRLA) potteries produced by the state of Rio Grande do Norte. The CRLA was collected and sieved, where part of it was ground and characterized in comparison with that just sifted, being characterized according to its chemical composition, grain size, fineness, density, bulk density and index of pozzolanic activity. It was found that the wood ash does not act as pozzolan, and grinding it has not changed its characteristics compared to those just sifted, not justifying its use. Two traces were adopted for this research: 1:3 (cement: fine sand) and 1:2:8 (cement: hydrated lime: medium sand); both in volume, using as materials the CRLA just sifted, CP II F-32 Portland cement, CH-I hydrated lime, river sand and water from the local utility. For each trace were adopted six percentages of partial replacement of cement for wood ash: 0% (control) 5%, 7%, 10%, 12% and 15%. In the fresh state, the mortars were tested towards their consistency index and mass density. In the hardened state, they were tested towards their tensile strength in bending, compressive strength and tensile adhesion strength, and its mass density in the hardened state. The mortar was also analyzed by scanning electron microscopy and X-ray diffraction. Furthermore, it was classified according to NBR 13281 (2005). The results showed that up to a content of 5% substitution and for both traces, the residual algaroba wood ash can replace Portland cement without compromising the mortars microstructure and its fresh and hardened state

Risk-adjusted poverty in Argentina: measurement and determinants

Includes bibliography

Modelo de análise conjunta aplicado ao mercado imobiliário

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Governos de gabinete e coalizões cíclicas no ultrapresidencialismo estadual: a experiência no Amazonas

OBJETIVO – O propósito de minha pesquisa é analisar os mecanismos que estruturam os governos de gabinete e as coalizões cíclicas no ultrapresidencialismo estadual do Amazonas. Em outras palavras, tenho como foco explicar a lógica do sucesso do governador, de sua coalizão legislativa e de seu gabinete na constituição de uma rede de superdominância nas arenas eleitoral, parlamentar e executiva. PERÍODO – Neste estudo de caso, analiso quatro administrações de três governadores do Amazonas: Gilberto Mestrinho (1991-1994), Amazonino Mendes (1995-1998 e 1999-2002) e Eduardo Braga (2003-2006); e quatro legislaturas da Assembleia Legislativa (ALEAM). TEORIA – Como orientação teórica, uso as contribuições da teoria da escolha pública e da análise institucional. Parto da premissa de que o governador joga tentando maximizar sua renda de utilidade dentro de uma dada estrutura institucional (permeada pela lógica do gubernatorial coattails) que incentiva a interação estratégica cooperativa e durável entre os principais jogadores (governador, deputados estaduais, secretários e cidadãos-eleitores) em múltiplas arenas decisórias. METODOLOGIA – Primeiramente, utilizo o banco de dados do Laboratório de Estudos Experimentais (LEEX) para montar um mapa da dinâmica eleitoral, partidária e parlamentar recente. Depois, trabalho com o banco de dados da Assembleia Legislativa do Amazonas para verificar a organização da produção legislativa (os projetos de lei ordinária aprovados) e a eficácia da coalizão partidário-parlamentar do governador. Finalmente, manuseio o meu próprio banco de dados sobre a rotatividade do secretariado e, por conseguinte, aplico e calculo o índice de coalescência para estimar os níveis de proporcionalidade dos governos de gabinetes ultrapresidenciais. CONCLUSÃO E RESULTADOS – Os governadores acumulam o monopólio do poder de agenda decisória do Executivo e controlam com muita eficiência a agenda do Legislativo; além do mais distribuem recursos de patronagem como incentivos seletivos para os seus aliados nos jogos em múltiplas arenas. Como consequência, cheguei à conclusão de que a formação de maiorias no contexto do ultrapresidencialismo estadual se realiza, por um lado, pelo surgimento de coalizões cíclicas de amplo apoio partidário na arena legislativa; e, por outro, pela edificação de governos de gabinete com a participação pendular de parlamentares, partidários e especialistas.

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.

Stima dei parametri di modelli idrologici mediante ottimizzazione dell’utilità

Tradizionalmente, l'obiettivo della calibrazione di un modello afflussi-deflussi è sempre stato quello di ottenere un set di parametri (o una distribuzione di probabilità dei parametri) che massimizzasse l'adattamento dei dati simulati alla realtà osservata, trattando parzialmente le finalità applicative del modello. Nel lavoro di tesi viene proposta una metodologia di calibrazione che trae spunto dell'evidenza che non sempre la corrispondenza tra dati osservati e simulati rappresenti il criterio più appropriato per calibrare un modello idrologico. Ai fini applicativi infatti, può risultare maggiormente utile una miglior rappresentazione di un determinato aspetto dell'idrogramma piuttosto che un altro. Il metodo di calibrazione che viene proposto mira a valutare le prestazioni del modello stimandone l'utilità nell'applicazione prevista. Tramite l'utilizzo di opportune funzioni, ad ogni passo temporale viene valutata l'utilità della simulazione ottenuta. La calibrazione viene quindi eseguita attraverso la massimizzazione di una funzione obiettivo costituita dalla somma delle utilità stimate nei singoli passi temporali. Le analisi mostrano come attraverso l'impiego di tali funzioni obiettivo sia possibile migliorare le prestazioni del modello laddove ritenute di maggior interesse per per le finalità applicative previste.

The Choice of Expedient Regulatory Controls on Housing Market Using Short-Term Equilibria Model

Khutoretsky dealt with the problem of maximising a linear utility function (MUF) over the set of short-term equilibria in a housing market by reducing it to a linear programming problem, and suggested a combinatorial algorithm for this problem. Two approaches to the market adjustment were considered: the funding of housing construction and the granting of housing allowances. In both cases, locally optimal regulatory measures can be developed using the corresponding dual prices. The optimal effects (with the regulation expenditures restricted by an amount K) can be found using specialised models based on MUF: a model M1 for choice of the optimum structure of investment in housing construction, and a model M2 for optimum distribution of housing allowances. The linear integer optimisation problems corresponding to these models are initially difficult but can be solved after slight modifications of the parameters. In particular, the necessary modification of K does not exceed the maximum construction cost of one dwelling (for M1) or the maximum size of one housing allowance (for M2). The result is particularly useful since slight modification of K is not essential in practice.

Context-aware Adaptation Mechanism for Video Dissemination over Flying Ad-Hoc Networks

The user experience on watching live video se- quences transmitted over a Flying Ad-Hoc Networks (FANETs) must be considered to drop packets in overloaded queues, in scenarios with high buffer overflow and packet loss rate. In this paper, we introduce a context-aware adaptation mechanism to manage overloaded buffers. More specifically, we propose a utility function to compute the dropping probability of each packet in overloaded queues based on video context information, such as frame importance, packet deadline, and sensing relevance. In this way, the proposed mechanism drops the packet that adds the minimum video distortion. Simulation evaluation shows that the proposed adaptation mechanism provides real-time multimedia dissemination with QoE support in a multi-hop, multi-flow, and mobile network environments.