Towards a theory of the credit-risk balance sheet

This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a company¿s commercial credit, whose amount can represent a significant proportion of both its current and total assets.To construct it, we start from the duality observed in any credit transaction of this nature, whose basic identity can be summed up as Credit = Risk. ¿Credit¿ is granted by a company to its customer, and can be ranked by quality (we suggest the credit scoring system) and ¿risk¿ can either be assumed (interiorised) by the company itself or transferred to third parties (exteriorised).What provides the approach that leads to us being able to talk with confidence of a real Credit-Risk Balance Sheet with its methodological robustness is that the dual vision of the credit transaction is not, as we demonstrate, merely a classificatory duality (a double risk-credit classification of reality) but rather a true causal relationship, that is, a risk-credit causal duality.Once said Credit-Risk Balance Sheet (which bears a certain structural similarity with the classic net asset balance sheet) has been built, and its methodological coherence demonstrated, its properties ¿static and dynamic¿ are studied.Analysis of the temporal evolution of the Credit-Risk Balance Sheet and of its applications will be the object of subsequent works.

Time consistent Pareto solutions in common access resource gameswith asymmetric players

In the analysis of equilibrium policies in a di erential game, if agents have different time preference rates, the cooperative (Pareto optimum) solution obtained by applying the Pontryagin's Maximum Principle becomes time inconsistent. In this work we derive a set of dynamic programming equations (in discrete and continuous time) whose solutions are time consistent equilibrium rules for N-player cooperative di erential games in which agents di er in their instantaneous utility functions and also in their discount rates of time preference. The results are applied to the study of a cake-eating problem describing the management of a common property exhaustible natural resource. The extension of the results to a simple common property renewable natural resource model in in nite horizon is also discussed.

Smart Planning in Iowa - A Guide to Principles, Strategies and Policy Tools

This guide was created to aid communities in the process of smart planning and is organized around the 10 Smart Planning Principles signed into Iowa law in 2010. A general description of the concept, strategies for encouraging use, policy tools for implementation, and a current Iowa example are presented for each Principle. In addition, a brief list of resources is provided to help local governments, community organizations and citizen planners find information and ideas on community involvement and incorporation of smart planning concepts in every day decisions.

Differential equations driven by fractional Brownian motion

A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H> is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.

Demographic Study of Footballers in Europe / Etude démographique des footballeurs en Europe

The Demographic Study of European Footballers is an annual publication destined for anyone who wishes to acquire a scientific understanding of the European football players' labour market. It presents the dynamics at work in 36 first division leagues in UEFA member countries. This edition covers our biggest ever survey comprising 528 clubs and 12,524 footballers. Statistical indicators relative to nine thematics (morphology, age, experience training, origin, etc.) allow the comparison of player profiles and squad compositions at league and club level. Through easily-understable regression analyses, the Study brings to light the principle differences between clubs and leagues according to economic and sporting level of championships. The final part presents the list of the most promising players under 23 years of age by league and position.

Optimal growth strategies when mortality and production rates are size-dependent

Pontryagin's maximum principle from optimal control theory is used to find the optimal allocation of energy between growth and reproduction when lifespan may be finite and the trade-off between growth and reproduction is linear. Analyses of the optimal allocation problem to date have generally yielded bang-bang solutions, i.e. determinate growth: life-histories in which growth is followed by reproduction, with no intermediate phase of simultaneous reproduction and growth. Here we show that an intermediate strategy (indeterminate growth) can be selected for if the rates of production and mortality either both increase or both decrease with increasing body size, this arises as a singular solution to the problem. Our conclusion is that indeterminate growth is optimal in more cases than was previously realized. The relevance of our results to natural situations is discussed.

Voir le monde à travers les lunettes du métacontraste : un modèle mathématique inspiré de la psychologie sociale

Résumé La théorie de l'autocatégorisation est une théorie de psychologie sociale qui porte sur la relation entre l'individu et le groupe. Elle explique le comportement de groupe par la conception de soi et des autres en tant que membres de catégories sociales, et par l'attribution aux individus des caractéristiques prototypiques de ces catégories. Il s'agit donc d'une théorie de l'individu qui est censée expliquer des phénomènes collectifs. Les situations dans lesquelles un grand nombre d'individus interagissent de manière non triviale génèrent typiquement des comportements collectifs complexes qui sont difficiles à prévoir sur la base des comportements individuels. La simulation informatique de tels systèmes est un moyen fiable d'explorer de manière systématique la dynamique du comportement collectif en fonction des spécifications individuelles. Dans cette thèse, nous présentons un modèle formel d'une partie de la théorie de l'autocatégorisation appelée principe du métacontraste. À partir de la distribution d'un ensemble d'individus sur une ou plusieurs dimensions comparatives, le modèle génère les catégories et les prototypes associés. Nous montrons que le modèle se comporte de manière cohérente par rapport à la théorie et est capable de répliquer des données expérimentales concernant divers phénomènes de groupe, dont par exemple la polarisation. De plus, il permet de décrire systématiquement les prédictions de la théorie dont il dérive, notamment dans des situations nouvelles. Au niveau collectif, plusieurs dynamiques peuvent être observées, dont la convergence vers le consensus, vers une fragmentation ou vers l'émergence d'attitudes extrêmes. Nous étudions également l'effet du réseau social sur la dynamique et montrons qu'à l'exception de la vitesse de convergence, qui augmente lorsque les distances moyennes du réseau diminuent, les types de convergences dépendent peu du réseau choisi. Nous constatons d'autre part que les individus qui se situent à la frontière des groupes (dans le réseau social ou spatialement) ont une influence déterminante sur l'issue de la dynamique. Le modèle peut par ailleurs être utilisé comme un algorithme de classification automatique. Il identifie des prototypes autour desquels sont construits des groupes. Les prototypes sont positionnés de sorte à accentuer les caractéristiques typiques des groupes, et ne sont pas forcément centraux. Enfin, si l'on considère l'ensemble des pixels d'une image comme des individus dans un espace de couleur tridimensionnel, le modèle fournit un filtre qui permet d'atténuer du bruit, d'aider à la détection d'objets et de simuler des biais de perception comme l'induction chromatique. Abstract Self-categorization theory is a social psychology theory dealing with the relation between the individual and the group. It explains group behaviour through self- and others' conception as members of social categories, and through the attribution of the proto-typical categories' characteristics to the individuals. Hence, it is a theory of the individual that intends to explain collective phenomena. Situations involving a large number of non-trivially interacting individuals typically generate complex collective behaviours, which are difficult to anticipate on the basis of individual behaviour. Computer simulation of such systems is a reliable way of systematically exploring the dynamics of the collective behaviour depending on individual specifications. In this thesis, we present a formal model of a part of self-categorization theory named metacontrast principle. Given the distribution of a set of individuals on one or several comparison dimensions, the model generates categories and their associated prototypes. We show that the model behaves coherently with respect to the theory and is able to replicate experimental data concerning various group phenomena, for example polarization. Moreover, it allows to systematically describe the predictions of the theory from which it is derived, specially in unencountered situations. At the collective level, several dynamics can be observed, among which convergence towards consensus, towards frag-mentation or towards the emergence of extreme attitudes. We also study the effect of the social network on the dynamics and show that, except for the convergence speed which raises as the mean distances on the network decrease, the observed convergence types do not depend much on the chosen network. We further note that individuals located at the border of the groups (whether in the social network or spatially) have a decisive influence on the dynamics' issue. In addition, the model can be used as an automatic classification algorithm. It identifies prototypes around which groups are built. Prototypes are positioned such as to accentuate groups' typical characteristics and are not necessarily central. Finally, if we consider the set of pixels of an image as individuals in a three-dimensional color space, the model provides a filter that allows to lessen noise, to help detecting objects and to simulate perception biases such as chromatic induction.

Essays on the measurement of school efficiency

Measuring school efficiency is a challenging task. First, a performance measurement technique has to be selected. Within Data Envelopment Analysis (DEA), one such technique, alternative models have been developed in order to deal with environmental variables. The majority of these models lead to diverging results. Second, the choice of input and output variables to be included in the efficiency analysis is often dictated by data availability. The choice of the variables remains an issue even when data is available. As a result, the choice of technique, model and variables is probably, and ultimately, a political judgement. Multi-criteria decision analysis methods can help the decision makers to select the most suitable model. The number of selection criteria should remain parsimonious and not be oriented towards the results of the models in order to avoid opportunistic behaviour. The selection criteria should also be backed by the literature or by an expert group. Once the most suitable model is identified, the principle of permanence of methods should be applied in order to avoid a change of practices over time. Within DEA, the two-stage model developed by Ray (1991) is the most convincing model which allows for an environmental adjustment. In this model, an efficiency analysis is conducted with DEA followed by an econometric analysis to explain the efficiency scores. An environmental variable of particular interest, tested in this thesis, consists of the fact that operations are held, for certain schools, on multiple sites. Results show that the fact of being located on more than one site has a negative influence on efficiency. A likely way to solve this negative influence would consist of improving the use of ICT in school management and teaching. Planning new schools should also consider the advantages of being located on a unique site, which allows reaching a critical size in terms of pupils and teachers. The fact that underprivileged pupils perform worse than privileged pupils has been public knowledge since Coleman et al. (1966). As a result, underprivileged pupils have a negative influence on school efficiency. This is confirmed by this thesis for the first time in Switzerland. Several countries have developed priority education policies in order to compensate for the negative impact of disadvantaged socioeconomic status on school performance. These policies have failed. As a result, other actions need to be taken. In order to define these actions, one has to identify the social-class differences which explain why disadvantaged children underperform. Childrearing and literary practices, health characteristics, housing stability and economic security influence pupil achievement. Rather than allocating more resources to schools, policymakers should therefore focus on related social policies. For instance, they could define pre-school, family, health, housing and benefits policies in order to improve the conditions for disadvantaged children.

Dimensional reduction and gauge group reduction in Bianchi-type cosmology

In this paper we examine in detail the implementation, with its associated difficulties, of the Killing conditions and gauge fixing into the variational principle formulation of Bianchi-type cosmologies. We address problems raised in the literature concerning the Lagrangian and the Hamiltonian formulations: We prove their equivalence, make clear the role of the homogeneity preserving diffeomorphisms in the phase space approach, and show that the number of physical degrees of freedom is the same in the Hamiltonian and Lagrangian formulations. Residual gauge transformations play an important role in our approach, and we suggest that Poincaré transformations for special relativistic systems can be understood as residual gauge transformations. In the Appendixes, we give the general computation of the equations of motion and the Lagrangian for any Bianchi-type vacuum metric and for spatially homogeneous Maxwell fields in a nondynamical background (with zero currents). We also illustrate our counting of degrees of freedom in an appendix.

Structure and Stability of 3He Droplets

We have studied the structure of 3He droplets at zero temperature using a density functional approach plus a configuration interaction calculation in an harmonic oscillator major shell. The most salient feature of open shell drops is that the valence atoms couple their spins to the maximum value compatible with Pauli's principle, building a large magnetic moment. We have determined that 29 atoms constitute the smallest self-bound droplet.

Majorization arrow in quantum-algorithm design

We apply majorization theory to study the quantum algorithms known so far and find that there is a majorization principle underlying the way they operate. Grover's algorithm is a neat instance of this principle where majorization works step by step until the optimal target state is found. Extensions of this situation are also found in algorithms based in quantum adiabatic evolution and the family of quantum phase-estimation algorithms, including Shor's algorithm. We state that in quantum algorithms the time arrow is a majorization arrow.

Microscopic study of He2-SF6 trimers

The He2-SF6 trimers, in their different He isotopic combinations, are studied in the framework of both the correlated Jastrow approach and the correlated hyperspherical harmonics (CHH) expansion method. The energetics and structure of the He-SF6 dimers are analyzed, and the existence of a characteristic rotational band in the excitation spectrum is discussed, as well as the isotopic differences. The binding energies and the spatial properties of the trimers, in their ground and lowest lying excited states, obtained by the Jastrow ansatz are in excellent agreement with the results of the converged CHH expansion. The introduction of the He-He correlation makes all trimers bound by largely suppressing the short range He-He repulsion. The structural properties of the trimers are qualitatively explained in terms of the shape of the interactions, Pauli principle, and masses of the constituents.

Shell structure in mixed 3He-4He droplets

Due to the immiscibility of 3He into 4He at very low temperatures, mixed helium droplets consist of a core of 4He atoms coated by a 3He layer whose thickness depends on the number of atoms of each isotope. When these numbers are such that the centrifugal kinetic energy of the 3He atoms is small and can be considered as a perturbation to the mean-field energy, a novel shell structure arises, with magic numbers different from these of pure 3He droplets. If the outermost shell is not completely filled, the valence atoms align their spins up to the maximum value allowed by the Pauli principle.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Statistical mechanics in the extended Gaussian ensemble

The extended Gaussian ensemble (EGE) is introduced as a generalization of the canonical ensemble. This ensemble is a further extension of the Gaussian ensemble introduced by Hetherington [J. Low Temp. Phys. 66, 145 (1987)]. The statistical mechanical formalism is derived both from the analysis of the system attached to a finite reservoir and from the maximum statistical entropy principle. The probability of each microstate depends on two parameters ß and ¿ which allow one to fix, independently, the mean energy of the system and the energy fluctuations, respectively. We establish the Legendre transform structure for the generalized thermodynamic potential and propose a stability criterion. We also compare the EGE probability distribution with the q-exponential distribution. As an example, an application to a system with few independent spins is presented.