Portable alphas from pension mispricing

We introduce a new dynamic trading strategy based on the systematic misspricing of U.S. companies sponsoring Defined Benefit pension plans. This portfolio produces an average return of 1.51% monthly between 1989 and 2004, with a Sharpe Ratio of 0.26. The returns of the strategy are not explained by those of primary assets. These returns are not related to those of benchmarks in the alternative investments industry either. Hence, we are in the presence of a "pure alpha" strategy that can be ported into a large variety of portfolios to significantly enhance their performance.

Adaptive sequence evolution in a color gene involved in the formation of the characteristic egg-dummies of male haplochromine cichlid fishes.

BACKGROUND: The exceptionally diverse species flocks of cichlid fishes in East Africa are prime examples of parallel adaptive radiations. About 80% of East Africa's more than 1 800 endemic cichlid species, and all species of the flocks of Lakes Victoria and Malawi, belong to a particularly rapidly evolving lineage, the haplochromines. One characteristic feature of the haplochromines is their possession of egg-dummies on the males' anal fins. These egg-spots mimic real eggs and play an important role in the mating system of these maternal mouthbrooding fish. RESULTS: Here, we show that the egg-spots of haplochromines are made up of yellow pigment cells, xanthophores, and that a gene coding for a type III receptor tyrosine kinase, colony-stimulating factor 1 receptor a (csf1ra), is expressed in egg-spot tissue. Molecular evolutionary analyses reveal that the extracellular ligand-binding and receptor-interacting domain of csf1ra underwent adaptive sequence evolution in the ancestral lineage of the haplochromines, coinciding with the emergence of egg-dummies. We also find that csf1ra is expressed in the egg-dummies of a distantly related cichlid species, the ectodine cichlid Ophthalmotilapia ventralis, in which markings with similar functions evolved on the pelvic fin in convergence to those of the haplochromines. CONCLUSION: We conclude that modifications of existing signal transduction mechanisms might have evolved in the haplochromine lineage in association with the origination of anal fin egg-dummies. That positive selection has acted during the evolution of a color gene that seems to be involved in the morphogenesis of a sexually selected trait, the egg-dummies, highlights the importance of further investigations of the comparative genomic basis of the phenotypic diversification of cichlid fishes.

Aplicació de predicció del risc d'una cartera

L'objectiu principal del projecte és la creació d'una aplicació per a telèfons intel·ligents que intenti predir la volatilitat no atribuïble al mercat per tal de permetre a l'usuari crear portfolios òptims utilitzant tècniques d'intel·ligència artificial com són les Support Vector Machines (SVM). Una vegada s'hagi predit aquesta volatilitat es crearà un portfolio òptim amb el pes adequat de cada un dels valors, per tal d'obtenir una inversió amb el mínim risc possible.

The Handheld Library: Developments at the Rector Gabriel Ferraté Library, UPC

The purpose of this paper is to highlight the mobile services developed by the Rector Gabriel Ferraté Library (BRGF) of the Universitat Politècnica de Catalunya (UPC Barcelona Tech) in Barcelona, Spain.We hope this paper will be of use to other libraries exploring new technologies for communicating and delivering their services to users at a time when mobile services are an emerging topic in librarianship and information science literature. By setting out the successive steps involved in the as yet unfinished process of building our mobile services portfolio, we aim to offer a detailed picture of the mobile services and features offered by a university library from a case study perspective.The main topics to be discussed include:- The BRGF’s mobile website, including the information available, its interactivecapabilities and the services it provides to its users.- The mobile-friendly version of UPCommons (the UPC Library Service’s institutionalrepositories).- The UPC Library Service’s mobile OPAC.- The mobile version of u-win (BRGF’s videogame service).- The use of QR codes to deliver information to mobile devices.- Text message notifications.Additional topics for discussion include:- The library’s organisation and the organisational concepts that underpin andmake possible its technological developments (including mobile).- BRGF’s concern regarding the reduction of investment in the development of mobile services.- The criteria and tools used to guide the library’s decisions regarding thedesign and orientation of current and future mobile services.- How mobile services can help to improve the image of the library as a leadingtechnology site.- Selected mobile features that BRGF plans to offer in the near future.Ultimately, this paper aims to delineate the effectiveness and potential of deliveringlibrary services by the preferred means of communication of a new generation of studentsand teachers.

The role of climatic tolerances and seed traits in reduced extinction rates of temperate polygonaceae.

The latitudinal diversity gradient (LDG) is one of the most striking and consistent biodiversity patterns across taxonomic groups. We investigate the species richness gradient in the buckwheat family, Polygonaceae, which exhibits a reverse LDG and is, thus, decoupled from dominant gradients of energy and environmental stability that increase toward the tropics and confound mechanistic interpretations. We test competing age and evolutionary diversification hypotheses, which may explain the diversification of this plant family over the past 70 million years. Our analyses show that the age hypothesis, which posits that clade richness is positively correlated with the ecological and evolutionary time since clade origin, fails to explain the richness gradient observed in Polygonaceae. However, an evolutionary diversification hypothesis is highly supported, with diversification rates being 3.5 times higher in temperate clades compared to tropical clades. We demonstrate that differences in rates of speciation, migration, and molecular evolution insufficiently explain the observed patterns of differential diversification rates. We suggest that reduced extinction rates in temperate clades may be associated with adaptive responses to selection, through which seed morphology and climatic tolerances potentially act to minimize risk in temporally variable environments. Further study is needed to understand causal pathways among these traits and factors correlated with latitude.

Estudi tècnic-econòmic per a la instal·lació d'una granja d'ànecs per a producció de foie-gras situada en el terme municipal de Fontanals de Cerdanya

Inversors però, principalment professionals de l'àmbit agrari, per tal de buscar una diversificació de l'activitat agrícola i ramadera que desenvolupen a les seves finques, sobretot joves emprenedors, poden estar interessats en produccions alternatives com la producció d'ànecs per a foie-gras, per tal de complementar la seva renda agrària. Actualment cal augmentar la competitivitat de les finques agrícoles per tal que aquestes siguin econòmicament viables. L’objectiu de l'estudi és determinar la viabilitat econòmica d’una explotació ramadera d’ànecs per a la producció de foie-gras, en el terme municipal de Fontanals de Cerdanya, analitzant les diverses alternatives en quant a dimensionament i disseny de les instal·lacions, segons el cicle productiu de l’animal. L'alternativa escollida per realitzar l'estudi es la de semi-integració (cria, engreix i embocat), de règim semi-intensiu (durant l'etapa de l'engreix), amb animals mascles de la raça híbrida Mulard. Les instal·lacions tindran una capacitat de 6.500 animals, amb lots de 250 caps. Aquest dimensionament permet, durant la fase d'embocat, en la qual es requereix més dedicació, que la demanda de mà d'obra pugui ser satisfeta per un únic treballador. La principal conclusió que es pot extreure de l'estudi és que la inversió projectada és massa elevada i que aquesta econòmicament no és viable o rendible, ja que la despesa és massa elevada. Es mouen uns fluxos de caixa molt elevats i el marge comercial és molt reduït. Únicament si l'objectiu del promotor és obtenir una remuneració per la seva feina, sempre i quan és produeixi un augment del preu actual de la carn i una disminució del preu del pinso, es podria recomanar que es portés a terme la implantació de l'explotació, intentant, però, reduir la despesa d'execució de construccions i instal·lacions.

Temporal and spatial origin of Gesneriaceae in the New World inferred from plastid DNA sequences

Gesneriaceae are represented in the New World (NW) by a major clade (c. 1000 species) currently recognized as subfamily Gesnerioideae. Radiation of this group occurred in all biomes of tropical America and was accompanied by extensive phenotypic and ecological diversification. Here we performed phylogenetic analyses using DNA sequences from three plastid loci to reconstruct the evolutionary history of Gesnerioideae and to investigate its relationship with other lineages of Gesneriaceae and Lamiales. Our molecular data confirm the inclusion of the South Pacific Coronanthereae and the Old World (OW) monotypic genus Titanotrichum in Gesnerioideae and the sister-group relationship of this subfamily to the rest of the OW Gesneriaceae. Calceolariaceae and the NW genera Peltanthera and Sanango appeared successively sister to Gesneriaceae, whereas Cubitanthus, which has been previously assigned to Gesneriaceae, is shown to be related to Linderniaceae. Based on molecular dating and biogeographical reconstruction analyses, we suggest that ancestors of Gesneriaceae originated in South America during the Late Cretaceous. Distribution of Gesneriaceae in the Palaeotropics and Australasia was inferred as resulting from two independent long-distance dispersals during the Eocene and Oligocene, respectively. In a short time span starting at 34 Mya, ancestors of Gesnerioideae colonized several Neotropical regions including the tropical Andes, Brazilian Atlantic forest, cerrado, Central America and the West Indies. Subsequent diversification within these areas occurred largely in situ and was particularly extensive in the mountainous systems of the Andes, Central America and the Brazilian Atlantic forest. Only two radiations account for 90% of the diversity of Gesneriaceae in the Brazilian Atlantic forest, whereas half of the species richness in the northern Andes and Central America originated during the last 10 Myr from a single radiation.

Monitoring natural hazards

Few subjects have caught the attention of the entire world as much as those dealing with natural hazards. The first decade of this new millennium provides a litany of tragic examples of various hazards that turned into disasters affecting millions of individuals around the globe. The human losses (some 225,000 people) associated with the 2004 Indian Ocean earthquake and tsunami, the economic costs (approximately 200 billion USD) of the 2011 Tohoku Japan earthquake, tsunami and reactor event, and the collective social impacts of human tragedies experienced during Hurricane Katrina in 2005 all provide repetitive reminders that we humans are temporary guests occupying a very active and angry planet. Any examples may have been cited here to stress the point that natural events on Earth may, and often do, lead to disasters and catastrophes when humans place themselves into situations of high risk. Few subjects share the true interdisciplinary dependency that characterizes the field of natural hazards. From geology and geophysics to engineering and emergency response to social psychology and economics, the study of natural hazards draws input from an impressive suite of unique and previously independent specializations. Natural hazards provide a common platform to reduce disciplinary boundaries and facilitate a beneficial synergy in the provision of timely and useful information and action on this critical subject matter. As social norms change regarding the concept of acceptable risk and human migration leads to an explosion in the number of megacities, coastal over-crowding and unmanaged habitation in precarious environments such as mountainous slopes, the vulnerability of people and their susceptibility to natural hazards increases dramatically. Coupled with the concerns of changing climates, escalating recovery costs, a growing divergence between more developed and less developed countries, the subject of natural hazards remains on the forefront of issues that affect all people, nations, and environments all the time.This treatise provides a compendium of critical, timely and very detailed information and essential facts regarding the basic attributes of natural hazards and concomitant disasters. The Encyclopedia of Natural Hazards effectively captures and integrates contributions from an international portfolio of almost 300 specialists whose range of expertise addresses over 330 topics pertinent to the field of natural hazards. Disciplinary barriers are overcome in this comprehensive treatment of the subject matter. Clear illustrations and numerous color images enhance the primary aim to communicate and educate. The inclusion of a series of unique ?classic case study? events interspersed throughout the volume provides tangible examples linking concepts, issues, outcomes and solutions. These case studies illustrate different but notable recent, historic and prehistoric events that have shaped the world as we now know it. They provide excellent focal points linking the remaining terms in the volume to the primary field of study. This Encyclopedia of Natural Hazards will remain a standard reference of choice for many years.

Essays in general equilibrium asset pricing

ABSTRACT : Research in empirical asset pricing has pointed out several anomalies both in the cross section and time series of asset prices, as well as in investors' portfolio choice. This dissertation aims to discover the forces driving some of these "puzzling" asset pricing dynamics and portfolio decisions observed in the financial market. Through the dissertation I construct and study dynamic general equilibrium models of heterogeneous investors in the presence of frictions and evaluate quantitatively their implications for financial-market asset prices and portfolio choice. I also explore the potential roots of puzzles in international finance. Chapter 1 shows that, by introducing jointly endogenous no-default type of borrowing constraints and heterogeneous beliefs in a dynamic general-equilibrium economy, many empirical features of stock return volatility can be reproduced. While most of the research on stock return volatility is empirical, this paper provides a theoretical framework that is able to reproduce simultaneously the cross section and time series stylized facts concerning stock returns and their volatility. In contrast to the existing theoretical literature related to stock return volatility, I don't impose persistence or regimes in any of the exogenous state variables or in preferences. Volatility clustering, asymmetry in the stock return-volatility relationship, and pricing of multi-factor volatility components in the cross section all arise endogenously as a consequence of the feedback between the binding of no-default constraints and heterogeneous beliefs. Chapters 2 and 3 explore the implications of differences of opinion across investors in different countries for international asset pricing anomalies. Chapter 2 demonstrates that several international finance "puzzles" can be reproduced by a single risk factor which captures heterogeneous beliefs across international investors. These puzzles include: (i) home equity preference; (ii) the dependence of firm returns on local and foreign factors; (iii) the co-movement of returns and international capital flows; and (iv) abnormal returns around foreign firm cross-listing events in the local market. These are reproduced in a setup with symmetric information and in a perfectly integrated world with multiple countries and independent processes producing the same good. Chapter 3 shows that by extending this framework to multiple goods and correlated production processes; the "forward premium puzzle" arises naturally as a compensation for the heterogeneous expectations about the depreciation of the exchange rate held by international investors. Chapters 2 and 3 propose differences of opinion across international investors as the potential resolution of several international finance `puzzles'. In a globalized world where both capital and information flow freely across countries, this explanation seems more appealing than existing asymmetric information or segmented markets theories aiming to explain international finance puzzles.

The abrupt climate change at the Eocene-Oligocene boundary and the emergence of South-East Asia triggered the spread of sapindaceous lineages.

Background and Aims Paleoclimatic data indicate that an abrupt climate change occurred at the Eocene-Oligocene (E-O) boundary affecting the distribution of tropical forests on Earth. The same period has seen the emergence of South-East (SE) Asia, caused by the collision of the Eurasian and Australian plates. How the combination of these climatic and geomorphological factors affected the spatio-temporal history of angiosperms is little known. This topic is investigated by using the worldwide sapindaceous clade as a case study. Methods Analyses of divergence time inference, diversification and biogeography (constrained by paleogeography) are applied to a combined plastid and nuclear DNA sequence data set. Biogeographical and diversification analyses are performed over a set of trees to take phylogenetic and dating uncertainty into account. Results are analysed in the context of past climatic fluctuations. Key Results An increase in the number of dispersal events at the E-O boundary is recorded, which intensified during the Miocene. This pattern is associated with a higher rate in the emergence of new genera. These results are discussed in light of the geomorphological importance of SE Asia, which acted as a tropical bridge allowing multiple contacts between areas and additional speciation across landmasses derived from Laurasia and Gondwana. Conclusions This study demonstrates the importance of the combined effect of geomorphological (the emergence of most islands in SE Asia approx. 30 million years ago) and climatic (the dramatic E-O climate change that shifted the tropical belt and reduced sea levels) factors in shaping species distribution within the sapindaceous clade.

Heterogeneous discounting in consumption-investment problems. Time consistent solutions

[cat] En aquest treball s'analitza un model estocàstic en temps continu en el que l'agent decisor descompta les utilitats instantànies i la funció final amb taxes de preferència temporal constants però diferents. En aquest context es poden modelitzar problemes en els quals, quan el temps s'acosta al moment final, la valoració de la funció final incrementa en comparació amb les utilitats instantànies. Aquest tipus d'asimetria no es pot descriure ni amb un descompte estàndard ni amb un variable. Per tal d'obtenir solucions consistents temporalment es deriva l'equació de programació dinàmica estocàstica, les solucions de la qual són equilibris Markovians. Per a aquest tipus de preferències temporals, s'estudia el model clàssic de consum i inversió (Merton, 1971) per a les funcions d'utilitat del tipus CRRA i CARA, comparant els equilibris Markovians amb les solucions inconsistents temporalment. Finalment es discuteix la introducció del temps final aleatori.

La probabilidad de supervivencia en un modelo con reaseguro proporcional de umbral

[spa] En este artículo presentamos una nueva estrategia de reaseguro, a la que denominamos estrategia de reaseguro umbral, que actúa de forma diferente en función del nivel de las reservas. Así, para unos niveles de las reservas inferiores a un determinado nivel, el gestor decide aplicar un reaseguro proporcional, y para niveles superiores, al considerar que se ha alcanzado cierta solvencia en la cartera, opta por no ceder ningún porcentaje del riesgo. El análisis del efecto de la introducción del reaseguro umbral sobre la probabilidad de supervivencia, y su comparación con el reaseguro proporcional y la opción de no reasegurar, nos permite hallar estrategias de reaseguro equivalentes desde el punto de vista de la solvencia. Palabras clave: teoría del riesgo, reaseguro de umbral, reaseguro proporcional, probabilidad de supervivencia.

Herramientas estadísticas para el estudio de perfiles de riesgo

En este documento se ilustra de un modo práctico, el empleo de tres instrumentos que permiten al actuario definir grupos arancelarios y estimar premios de riesgo en el proceso que tasa la clase para el seguro de no vida. El primero es el análisis de segmentación (CHAID y XAID) usado en primer lugar en 1997 por UNESPA en su cartera común de coches. El segundo es un proceso de selección gradual con el modelo de regresión a base de distancia. Y el tercero es un proceso con el modelo conocido y generalizado de regresión linear, que representa la técnica más moderna en la bibliografía actuarial. De estos últimos, si combinamos funciones de eslabón diferentes y distribuciones de error, podemos obtener el aditivo clásico y modelos multiplicativos

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Prices of medicines: a case-study on the impact of the rate-of-return regulation in the United Kingdom

This work carries out an empirical evaluation of the impact of the main mechanism for regulating the prices of medicines in the UK on a variety ofpharmaceutical price indices. The empirical evidence shows that the overall impact of the rate of return cap appears to have been slight or even null, and in any case that the impact would differ across therapeutic areas. These empiricalfindings suggest that the price regulation has managed to encourage UK-based firms¿ diversification in many therapeutic areas