Pricing of exchange traded funds

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

O provérbio: um género marginal(izado)?!

Enquanto o provérbio, numa cultura de tradição oral, representa tipicamente o tesouro do conhecimento e a colecção das regras sociais ou jurídicas, na transição para a cultura escrita e na formulação científica dos saberes, esse género da Literatura Tradicional perde a sua autoridade nos círculos dominantes da sociedade. Ressalve-se, porém, o facto de, ao longo desse processo, haver ciclos.

Pricing strategies of the supermarket sector

The food retail industry is a very competitive market. Supermarkets use a combination of price, quality of products and service to lure consumers and increase their profit. This work project draws upon both empirical and theoretical literatures to understand the different pricing strategies that the supermarket sector uses. Everyday Low Price, Promotional, Zone Pricing and Loyalty Programs are the most common pricing strategies in this industry. By using data from the Portuguese supermarket leader – Pingo Doce - , this work project conclude that Pingo Doce uses a combination of Loyalty Program and Promotion to attain the desired outcomes

On the pricing of bivariate options in the presence of a discrete dividend payment

A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper

Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

The system of Transfer Pricing in a multinational

Transfer prices are used by the majority of firms worldwide when intermediate products or services are transferred within the same organization. These prices are reported as revenue for the selling entity (division, unit, department etc.) and as cost for the buying entity. Nevertheless, transfer prices lead to many disputes among managers in the same organization as transfer prices influence the performance of their entities. In cross-border transactions, transfer prices can be used by firms to reduce corporate taxes and thus, increase total firm profits. In order to fight against this firms’ practice, tax authorities require firms to establish a transfer pricing system in accordance with OECD1 Transfer Pricing Guidelines.

Persistence of the embryonic lateral marginal vein: report of two cases

PURPOSE: Congenital venous malformations of the lower limbs represent a particular challenge for the vascular surgeon. Persistence of fetal veins is a rare malformation, and the most common is the persistence of the lateral marginal vein usually observed in patients with Klippel-Trenaunnay Syndrome. The persistence of this embryonic vein as an isolated venous malformation without the other characteristics of the Klippel-Trenaunnay Syndrome has not yet been reported. This paper describes two cases. METHODS: Two patients, a 17-year-old male patient and a 16-year-old female, have had since their birth a large venous trunk in the lateral aspect of the right leg and thigh. The limbs underwent duplex scanning and phlebography. The surgical removal of the lateral marginal vein was performed. RESULTS: Surgical treatment resulted in very good functional and aesthetic results. Follow-up at 26 months showed no evidence of varicose vein recurrence. CONCLUSIONS: To achieve good results, surgical intervention may be indicated in cases of orthopedic deformity, hemorrhage, symptomatic, and unaesthetic lesions.

Creaciones fitogenéticas en Maíz con respuesta adaptativa a la zona marginal

La creación de una población mejorada de maíz, requiere al menos tres etapas: a) La conformación de una "población original" con variabilidad genética, b) La selección preliminar de plantas y/o progenies, y c) La "evaluación" en condiciones de campo de las mejores descendencias integradas en poblaciones experimentales. Precisamente, este proyecto está dirigido a la creación de variedades con estabilidad de rendimientos en las condiciones ambientales de la zona centro-norte de la Provincia de Córdoba, en donde el maíz es el único cereal que se cosecha y una de las mejores posibilidades como forrajera estival. Se ha inscripto el cv. "MPB-FCA 856", un maíz colorado duro creado para la producción de granos, que en marcado déficit hídrico produce rendimientos superiores a otros cultivares. Actualmente se dispone de una variedad sintética, próxima a ser inscripta como una nueva creación. Con orientación al desarrollo de otros cultivares, se plantean las líneas de trabajo que se enumeran seguidamente: Tema 1. Maíz Colorado Duro: Obtención de una variedad sintética. Se iniciará la caracterización varietal a fin de inscribir en el Instituto Nacional de Semillas el nuevo cv. sintético formado por 10 líneas S1, que presenta altos rendimientos de granos. Tema 2. Maíz Forrajero: Desarrollo de un cultivar con aptitud para ser utilizado como forraje en planta. En la zona marginal el pastoreo de lotes de maíz es común tanto en años con pocas precipitaciones pluviales como en ciclos favorables, por cuanto es una muy buena alternativa de forraje estival tanto en verdeo, silo o diferido. Se dispone de líneas propias con características de alto macollamiento y capacidad de rebrote; se plantea su mejoramiento por caracteres que hacen a la calidad forrajera, tales como porcentaje de materia seca, palatabilidad, fibra bruta, etc. Tema 3. Mejora en la eficiencia de selección para tolerancia a estrés hídrico en maíz ( Zea mays L.). Aportar evidencia experimental que mejore la eficiencia de la selección, cuando los genotipos se dispersarán en una gama de ambientes contrastantes por su disponibilidad hídrica. Se comenzará un esquema de selección recurrente en ambientes con diferente disponibilidad hídrica, empleando características que permitan identificar genotipos tolerantes. Paralelamente se implementarán metodologías de evaluación del germoplasma disponible mediante pruebas de laboratorio y campo, a fin de detectar fuentes de genes para tolerancia al estrés hídrico.

Subsidizing extra jobs : the economics of marginal employment subsidies

Employment subsidies, wage subsidies, unemployment, displacement

Diet of the ichthyofauna associated with marginal vegetation of a mangrove forest in southeastern Brazil

The objective of this study was to analyze the diet of fish species that use the mangrove vegetation for shelter and feeding in a river southeastern Brazil. The fieldwork, including collecting and underwater observations, was carried out in the dry (July and August 2004) and in the rainy season (February and March 2005) in order to assess the existence of seasonal variation in the diets. Seven kinds of food items were consumed, two of plant origin and five of animal origin. Crustaceans predominated in the diet of most species, either in the form of unidentified fragments or discriminated in eight groups. The predominance of species using mainly a single food source (crustaceans, principally Ostracoda and Tanaidacea) and the existence of seasonal variation in the diets of some species became very evident in the analysis food niche breadth, with a predominance of dietary specialists. In the Rio da Fazenda mangrove, the submersed marginal vegetation was used by the ichthyofauna as a locale for foraging, and principally as cover by bottom-feeding species. These species may be using the vegetation for protection from aerial and aquatic predators, or even from the pull of the current during the turn of the tide. In the study area, the great diversity of crustaceans constitutes an important food source for most fish species which adjusted their diet according to seasonal changes in food availability and to interactions with other species.

Morphological and functional study of the marginal sphincter of the sea anemones Phymactis clematis and Aulactinia marplatensis from intertidal of Mar del Plata, Argentina

It was made the characterization of marginal sphincter to the species Phymactis clematis (Drayton in Dana, 1849) and Aulactinia marplatensis (Zamponi, 1977), from intertidal ecosystem through their morphogical and functional study. The species P. clematis has a circumscript sphincter of palmate type. This muscle is constituted by a mesogloeal axis and several mesogloeal subaxes. Axis as well as subaxes give a support to the endoderm which border is smooth. Aulactinia marplatensis has a circunscript sphincter pinnate type. The axis has a truncated cone shape while in P. clematis the shape is cylindrical on its origin and it is bifurcated at the end. Both species experiments were carried out using the isolated muscles. They were stimulated at increasing KCl concentrations ranging from 20 to 200 mM. The results were analysed in the form of dose-response curves expressed in tension in grams force vs concentration. Contractil force increases in a sigmoid form to increasing KCl concentrations. The correlation between morphology and function and the differences shown in both species would be related to their intertidal distribution.

Una estimación del coste marginal en bienestar del sistema impositivo en España

Actual tax systems do not follow the normative recommendations of yhe theory of optimal taxation. There are two reasons for this. Firstly, the informational difficulties of knowing or estimating all relevant elasticities and parameters. Secondly, the political complexities that would arise if a new tax implementation would depart too much from current systems that are perceived as somewhat egalitarians. Hence an ex-novo overhaul of the tax system might just be non-viable. In contrast, a small marginal tax reform could be politically more palatable to accept and economically more simple to implement. The goal of this paper is to evaluate, as a step previous to any tax reform, the marginal welfare cost of the current tax system in Spain. We do this by using a computational general equilibrium model calibrated to a point-in-time micro database. The simulations results show that the Spanish tax system gives rise to a considerable marginal excess burden. Its order of magnitude is of about 0.50 money units for each additional money unit collected through taxes.

Price competition under cost uncertainty: A laboratory analysis

We study the relation between the number of firms and price-cost margins under price competition with uncertainty about competitors' costs. We present results of an experiment in which two, three and four identical firms repeatedly interact in this environment. In line with the theoretical prediction, market prices decrease with the number of firms, but on average stay above marginal costs. Pricing is less aggressive in duopolies than in triopolies and tetrapolies. However, independently from the number of firms, pricing is more aggressive than in the theoretical equilibrium. Both the absolute and the relative surpluses increase with the number of firms. Total surplus is close to the equilibrium level, since enhanced consumer surplus through lower prices is counteracted by occasional displacements of the most efficient firm in production.

The Determinants of pricing in pharmaceuticals: are U.S. prices really higher than those of Canada?

This paper studies price determination in pharmaceutical markets using data for 25 countries, six years and a comprehensive list of products from the MIDAS IMS database. We show that market power and the quality of the product has a significantly positive impact of prices. The nationality of the producer appears to have a small and often insignificant impact on prices, which suggests that countries which regulates prices have relatively little power to do it in a way that advances narrow national interest. We produce a theoretical explanation for this phenomenon based on the fact that low negotiated prices in a country would have a knock-on effect in other markets, and is thus strongly resisted by producers. Another key finding is that the U.S. has prices that are not significantly higher than those of countries with similar income levels. This, together with the former observation on the effect of the nationality of producers casts doubt on the ability of countries to purs