Single period Markowitz portfolio selection, performance gauging and duality: a variation on Luenberger's shortage function

Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

Tentativas de transmissão da lepra ao homem, por meio de Triatomídeos infectados em doentes lepromatosos: (nota prévia)

The A.A. started a new series of experiments upon the transmission of Leprosy to man by means of one of the more widespread hematophagi of the hinterland of Brazil, the Triatomidae. Two species of these insects were found naturally infected with Hansen's bacillus in huts of lepers in the interior of the State of Minas Gerais and one of the writers (S.A.) upon feeding the same insects on lepromatous cases could obtain two strains of acid-fast bacilli cultures smearing Lowenstein medium with the intestinal contains of the same. The first phase of the experiments lasted five months and the results, partially positive, are here describe. More than one hundred Triatomidae (Triatoma infestans and Panstrongylus megistus) bred in the Institute Oswaldo Cruz and fed in normal pigeons until convenient growth were put on lepromatous lesions, which they sucked many times, and them after one or more days they were put to be fed on selected regions of the skin of four negativated cases of leprosy. The arguments in favour and against the possibility of obtaining new lesions of leprosy in such burnet out patients were discussed. The A.A. are not authorized to draw any definite conclusions, but the few facts registered are worth of divulgation, in orther that other workers send their suggestions. Three out of the four volunteers showed moderate local reactions between 1 to 4 days after being sucked by the infected insectes. After five months experiments subcutanous lymph were obtained from the points where the insects have bitten. A very few acid-fast bacilli were found in such material. The patients, being kept in separation from infectious cases, will be followed up during months or a year in order to be detected any suspicious experimental lesions of leprosy.

A pesquisa bacteriológica post-mortem

The A. A. made bacteriological invesigations in 145 cases of autopsy. These investigations were carried out on the blood and spleen. The cultures were positive in 67 cases and in 21 of these there was body contamination. In the other cases the isolated bacteria were the proved or probable cause of the disease. For the Staphylococcus alone (isolated in 9 cases) we cannot give a definite opinion. We think that presence of bacteria in the blood and in the spleem implies bacteriemia at the moment of death, according to the observations of Hunt and co-workers. In our cases such presence was related to that of anatomical lesions of bacterial origin. When the bacteria were present only in the spleen we think that there had been bacteriemia, not present at the moment of the death. We only observed the contamination by contiguity when the bacteria were present in the blood of the heart. The isolated bacteria were always related to the presence of anatomical lesions. In only 4 cases was this not observed. We were impressed by the great number of negative results even in bodies kept for more than 24 hours. In only 21 cases was body contamination present. In rare cases the bacteria were isolated from the lesions and not from the blood and spleen. We think that apart from the interest of invesigaion, the bacteriological examinations in body material will be able to clear up the diagnosis of many obscure and unnoticed infections. In almost all our cases we obtained that result.

Estudos sobre a atividade dos extratos da suprarenal

Studies have been carried out on the method of Britton and Silvette modified by Reinecke and Kendall, for the evaluation of cortico-adrenal extracts, based on the deposition of glycogen in the liver of adrenaletomized rats. The test was performed in a total of 180 normal and adrenalectomized rats. The extracts tested were: a) an aqueous extract of cortico-adrenal cortex prepared by the Swingle and Pfiffner technique; b) the same extract added with ascorbic acid (Supracortin Labor); c) desoxycorticosterone acetate (Percortol Ciba and Syncortyl Roussell). Male rats were used, ranging from 40-200g, fed since the 18 th days old with a special diet, in which they were maintained until the day before the injection. Adrenalectomy was performed under urethane anesthesia. The fourth day after operation, food was removed and they were fasted for 24 hours. In the morning of the fifth day, injections of the material to be assayed were given at hourly and two hours intervals, during four to eight hours. One or two hours after the last injection, the animals were sacrified, the livers removed and dropped into a hot 30% solution of potassium hydroxide, and worked by Good, Kramer and Somogyi method. The glycogen was calculated as milligrams per lOOg of body and liver weight. The results obtained are shown in the tables I, II, and III. When several dosages of the same sample of extract were made (5 animals each dose), the amount of glycogen deposited in the liver per lOOg of body and liver weight, was found to be a positive function of the dose injected. The graph 2, shows these results. The synthetic compounds were ineffective. Our results are in agreement with those of Reinecke and Kendall and of Olson et al.

Embedding theorems of function classes, IV

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Growth of positive words and lower bounds of the growth rate for Thompson's group (F)p

Vegeu el resum a l'inici del document del fitxer adjunt.

Embedding theorems of function classes, II

Vegeu el resum a l'inici del document del fitxer adjunt.

The period function of the generalized Lotka-Volterra centers

"Vegeu el resum a l'inici del document del fitxer adjunt"

Embedding theorems of function classes, I

"Vegeu el resum a l'inici del document del fitxer adjunt."

Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal

This comment corrects the errors in the estimation process that appear in Martins (2001). The first error is in the parametric probit estimation, as the previously presented results do not maximize the log-likelihood function. In the global maximum more variables become significant. As for the semiparametric estimation method, the kernel function used in Martins (2001) can take on both positive and negative values, which implies that the participation probability estimates may be outside the interval [0,1]. We have solved the problem by applying local smoothing in the kernel estimation, as suggested by Klein and Spady (1993).

Current Account imbalances, thriftiness and the real exchange rate in a growing economy

This paper analyses the theoretical relevance of the dynamical aspects of growth on the discussion about the observed positive correlation between per capita real income and real exchange rates. With this purpose, we develop a simple exogenous growth model where the internal, external and intertemporal equilibrium conditions of a typical macroeconomic model are imposed; this last one through the inclusion of a balanced growth path for the foreign assets accumulation. The main result under this consideration is that the relationship defended by the Balassa-Samuelson hypothesis is no more so straightforward. In our particular approach, the mentioned bilateral relationship depends on a parameter measuring thriftiness in the economy. Therefore, the probability of ending up with a positive relationship between growth and real exchange rates -as the classical economic theory predicts- will be higher when the economy is able to maintain a minimum saving ratio. Moreover, given that our model considers a simple Keynesian consumption function, some explosive paths can also be possible.

Human capital in growth regressions: how much difference does data quality make? An update and further results

We construct estimates of educational attainment for a sample of OECD countries using previously unexploited sources. We follow a heuristic approach to obtain plausible time profiles for attainment levels by removing sharp breaks in the data that seem to reflect changes in classification criteria. We then construct indicators of the information content of our series and a number of previously available data sets and examine their performance in several growth specifications. We find a clear positive correlation between data quality and the size and significance of human capital coefficients in growth regressions. Using an extension of the classical errors in variables model, we construct a set of meta-estimates of the coefficient of years of schooling in an aggregate Cobb-Douglas production function. Our results suggest that, after correcting for measurement error bias, the value of this parameter is well above 0.50.

On the choice of an exchange rate regime: target zones revisited

From the classical gold standard up to the current ERM2 arrangement of the European Union, target zones have been a widely used exchange regime in contemporary history. This paper presents a benchmark model that rationalizes the choice of target zones over the rest of regimes: the fixed rate, the free float and the managed float. It is shown that the monetary authority may gain efficiency by reducing volatility of both the exchange rate and the interest rate at the same time. Furthermore, the model is consistent with some known stylized facts in the empirical literature that previous models were not able to produce, namely, the positive relation between the exchange rate and the interest rate differential, the degree of non-linearity of the function linking the exchage rate to fundamentals and the shape of the exchange rate stochastic distribution.