Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options

Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) approach to estimate the option-implied Risk-neutral densities from the Brazilian Real/US Dollar exchange rate distribution. We then compare the RND with actual exchange rates, on a monthly basis, in order to estimate the relative risk-aversion of investors and also obtain a Real-world density for the exchange rate. We are the first to calculate relative risk-aversion and the option-implied Real World Density for an emerging market currency. Our empirical application uses a sample of Brazilian Real/US Dollar options traded at BM&F-Bovespa from 1999 to 2011. The RND is estimated using a Mixture of Two Log-Normals distribution and then the real-world density is obtained by means of the Liu et al. (2007) parametric risktransformations. The relative risk aversion is calculated for the full sample. Our estimated value of the relative risk aversion parameter is around 2.7, which is in line with other articles that have estimated this parameter for the Brazilian Economy, such as Araújo (2005) and Issler and Piqueira (2000). Our out-of-sample evaluation results showed that the RND has some ability to forecast the Brazilian Real exchange rate. Abe et all (2007) found also mixed results in the out-of-sample analysis of the RND forecast ability for exchange rate options. However, when we incorporate the risk aversion into RND in order to obtain a Real-world density, the out-of-sample performance improves substantially, with satisfactory results in both Kolmogorov and Berkowitz tests. Therefore, we would suggest not using the “pure” RND, but rather taking into account risk aversion in order to forecast the Brazilian Real exchange rate.

Value of adenosine infusion for infarct size determination using real-time myocardial contrast echocardiography

Abstract Background Myocardial contrast echocardiography has been used for determination of infarct size (IS) in experimental models. However, with intermittent harmonic imaging, IS seems to be underestimated immediately after reperfusion due to areas with preserved, yet dysfunctional, microvasculature. The use of exogenous vasodilators showed to be useful to unmask these infarcted areas with depressed coronary flow reserve. This study was undertaken to assess the value of adenosine for IS determination in an open-chest canine model of coronary occlusion and reperfusion, using real-time myocardial contrast echocardiography (RTMCE). Methods Nine dogs underwent 180 minutes of coronary occlusion followed by reperfusion. PESDA (Perfluorocarbon-Exposed Sonicated Dextrose Albumin) was used as contrast agent. IS was determined by RTMCE before and during adenosine infusion at a rate of 140 mcg·Kg-1·min-1. Post-mortem necrotic area was determined by triphenyl-tetrazolium chloride (TTC) staining. Results IS determined by RTMCE was 1.98 ± 1.30 cm2 and increased to 2.58 ± 1.53 cm2 during adenosine infusion (p = 0.004), with good correlation between measurements (r = 0.91; p < 0.01). The necrotic area determined by TTC was 2.29 ± 1.36 cm2 and showed no significant difference with IS determined by RTMCE before or during hyperemia. A slight better correlation between RTMCE and TTC measurements was observed during adenosine (r = 0.99; p < 0.001) then before it (r = 0.92; p = 0.0013). Conclusion RTMCE can accurately determine IS in immediate period after acute myocardial infarction. Adenosine infusion results in a slight better detection of actual size of myocardial damage.

The Impact of the IRS Retirement Option Relative Value

This study evaluates the effects of the new Government regulations in regards to the relative value notification of retirement plan options. It looks at how these new regulations will affect retirement plan option utilization and how retirement plan providers will change options in order to minimize risk.

The deferral option in the collective dismissal procedure. La opción de aplazamiento en los expedientes de regulación de empleo.

The work in this paper focuses on the integration of the real options theory for organizational projects in the management of Human Resources, and particularly on the inclusion of the deferral option in collective dismissal procedures. This option has been studied and developed to be applied to ?Expediente de regulación de empleo?, which is the legal form existing in Spain for the collective termination of employment contracts and which organizations turn to when confronted with a negative financial situation, as a way of maintaining their viability. Two main issues which it is hoped to resolve are examined: the search for a source of uncertainty to make the deferral option viable for this type of projects, and the development of a procedure to obtain the value of the option and therefore facilitate decision making. The analysis performed has enabled us to state that the volatility of demand is the source of uncertainty that makes the option viable. The procedure developed by the binomial tree, which is determined by the evolution of demand, is the tool that enables the value of the option to be found.

A study of the impact of airports on the market value of real estate in the adjacent areas: New York International Airport, Chicago-O'Hare International Airport, San Francisco International Airport, (United States Naval Air Station, Glenview, Illinois), (United States Naval Air Station, Moffett Field, California)

Cover title: Airport study, 1960.

The civil divisions of the county of Dorset, methodically digested and arranged, comprising lists of the civil ministerial officers, magistrates, and subordinate officers; with a complete nomina villarum, in four parts; a list of the county and other bridges; together with the annual value of real property; amount of the land tax ... and the rules and orders for regulation of the practice of the quarter sessions ... Also, an appendix, containing abstracts of returns of charitable donations ...

Mode of access: Internet.

Power generation investment opportunities evaluation: A comparison between net present value and real options approach

To evaluate an investment project in the competitive electricity market, there are several key factors that affects the project's value: the present value that the project could bring to investor, the possible future course of actions that investor has and the project's management flexibility. The traditional net present value (NPV) criteria has the ability to capture the present value of the project's future cash flow, but it fails to assess the value brought by market uncertainty and management flexibility. By contrast with NPV, the real options approach (ROA) method has the advantage to combining the uncertainty and flexibility in evaluation process. In this paper, a framework for using ROA to evaluate the generation investment opportunity has been proposed. By given a detailed case study, the proposed framework is compared with NPV and showing a different results

Simulating the value of collaboration in multi-actor conservation planning

The loss of habitat and biodiversity worldwide has led to considerable resources being spent on conservation interventions. Prioritising these actions is challenging due to the complexity of the problem and because there can be multiple actors undertaking conservation actions, often with divergent or partially overlapping objectives. We explore this issue with a simulation study involving two agents sequentially purchasing land for the conservation of multiple species using three scenarios comprising either divergent or partially overlapping objectives between the agents. The first scenario investigates the situation where both agents are targeting different sets of threatened species. The second and third scenarios represent a case where a government agency attempts to implement a complementary conservation network representing 200 species, while a non-government organisation is focused on achieving additional protection for the ten rarest species. Simulated input data was generated using distributions taken from real data to model the cost of parcels, and the rarity and co-occurrence of species. We investigated three types of collaborative interactions between agents: acting in isolation, sharing information and pooling resources with the third option resulting in the agents combining their resources and effectively acting as a single entity. In each scenario we determine the cost savings when an agent moves from acting in isolation to either sharing information or pooling resources with the other agent. The model demonstrates how the value of collaboration can vary significantly in different situations. In most cases, collaborating would have associated costs and these costs need to be weighed against the potential benefits from collaboration. Our model demonstrates a method for determining the range of costs that would result in collaboration providing an efficient use of scarce conservation resources.

Lies, damned lies and politics:Air NZ's real value

The government has reinvested in Air New Zealand only a fraction of the present value of what it received for the airline in 1989, argues ALAN LOWE

Vágyott kultúra és reális értékítélet - Tudásmenedzsment-rendszer kiépítésének előfeltétele egy felsőoktatási intézményben (Desired culture and real value judgement – Precondition of development a knowledge management system in a higher education institution)

A tudásmenedzsment-rendszerek kiépítése és működtetése egyre népszerűbb vállalati cél. A legnagyobb igyekezet ellenére is kudarccal végződhet egy ilyen változás megvalósítása, ha a szükséges feltételek nélkül próbálkozunk ezzel a beavatkozással a szervezet életében. Az egyik legfontosabb előfeltétel a bizalomra, közös tanulásra, fejlődésre épülő, nyitott szervezeti kultúra, mely a tanulószervezeti jellemzőkkel írható le. A szerzők kutatásukban arra voltak kíváncsiak, milyen elképzeléseik, vágyaik vannak a felsőoktatásban oktató kollégáknak az ideálisnak nevezett szervezeti kultúráról. Ezeket az elképzeléseket egy külső tanácsadó cég által végzett kérdőíves felmérésen alapuló vizsgálat segítségével tudták meg, melynek kiértékelésére a circumplex-módszer szolgált. Az eredményeket összevetették a tanulószervezeti jellemzőkkel, vizsgálva azt a hipotézist, miszerint az oktató kollégák tudat alatt is olyan ideális szervezetet képzelnek el, mely a tanulószervezeti kultúra jellemzőivel azonos. _________ To create and to operate a knowledge management system is becoming a more and more popular target of the companies. Realizing the changes above can result in a failure – in spite of the biggest will – if organizations lack certain prerequisites which are necessary in companies’ lives. One of the most important prerequisites is organizational culture which can be characterized by confidence, common learning, development and open atmosphere. This is called a learning organizational culture. In their research the authors would have liked to know what kind of dreams the colleagues have about their own organizational culture. They achieve these results from an investigation with questionnaires which were realized by an advisory team. To evaluating the results of this investigation circumplex method was used. These results were compared with the characteristics of learning organization to confirm our hypothesis. According to this idea colleagues have the same images about their successful organization as the characteristics of learning organizations.

Value at Risk (VaR) en empresas del sector real en Colombia: caso, Bogotá ELEKTRIKA

La estimación y gestión del riesgo con la evolución del mercado ha tomado gran relevancia, principalmente en el sector financiero y de capitales, no obstante las variables macroeconómicas que afectan el riesgo en el tiempo son cada vez más volátiles y generan un mayor nivel de incertidumbre; se puede presentar en igual medida o con un mayor impacto en empresas del sector real, principalmente en aquellas cuyas condiciones de valoración causan un mayor impacto para los inversionistas, tal es el caso de las Asociaciones Público Privadas, mecanismos de contratación que vinculan al sector privado con el público en el desarrollo de proyectos de mayor nivel, donde se requiere establecer la valoración y cuantificación del riesgo que cada una de las partes está dispuesto a asumir -- Hoy por hoy existen métodos de medición sofisticados que permiten la estimación del Value at Risk (VaR), los cuales han sido desarrollados principalmente por el sistema financiero, sin contar con una aplicación en el sector real -- Es por eso que surge la necesidad de esta investigación para obtener una metodología que permita estimar el VaR bajo los conceptos teóricos de economía, estadística y simulación

Qualitative and Quantitative Real Time Myocardial Contrast Echocardiography for Detecting Hibernating Myocardium

Background: Real time myocardial contrast echocardiography (RTMCE) is an emerging imaging modality for assessing myocardial perfusion that allows for noninvasive quantification of regional myocardial blood flow (MBF). Aim: We sought to assess the value of qualitative analysis of myocardial perfusion and quantitative assessment of myocardial blood flow (MBF) by RTMCE for predicting regional function recovery in patients with ischemic heart disease who underwent coronary artery bypass grafting (CABG). Methods: Twenty-four patients with coronary disease and left ventricular systolic dysfunction (ejection fraction < 45%) underwent RTMCE before and 3 months after CABG. RTMCE was performed using continuous intravenous infusion of commercially available contrast agent with low mechanical index power modulation imaging. Viability was defined by qualitative assessment of myocardial perfusion as homogenous opacification at rest in >= 2 segments of anterior or >= 1 segment of posterior territory. Viability by quantitative assessment of MBF was determined by receiver-operating characteristics curve analysis. Results: Regional function recovery was observed in 74% of territories considered viable by qualitative analysis of myocardial perfusion and 40% of nonviable (P = 0.03). Sensitivity, specificity, positive and negative predictive values of qualitative RTMCE for detecting regional function recovery were 74%, 60%, 77%, and 56%, respectively. Cutoff value of MBF for predicting regional function recovery was 1.76 (AUC = 0.77; 95% CI = 0.62-0.92). MBF obtained by RTMCE had sensitivity of 91%, specificity of 50%, positive predictive value of 75%, and negative predictive value of 78%. Conclusion: Qualitative and quantitative RTMCE provide good accuracy for predicting regional function recovery after CABG. Determination of MBF increases the sensitivity for detecting hibernating myocardium. (Echocardiography 2011;28:342-349).

Integration of Individualized Management Systems (MSs) as an Aggregating Factor of Sustainable Value for Organizations: An Overview Through a Review of the Literature

Nowadays, there exist various standards for individual management systems (MSs), at least, one for each stakeholder. New ones will be published. An integrated management system (IMS) aims to integrate some or all components of the business into one coherent and efficient MS. Maximizing integration is more and more a strategic priority in that it constitutes an opportunity to eliminate and/or reduce potential factors of destruction of value for the organizations and also to be more competitive and consequently promote its sustainable success. A preliminary investigation was conducted on a Portuguese industrial company which, over the years, has been adopting gradually, in whole or in part, individualized management system standards (MSSs). A research, through a questionnaire, was performed with the objective to develop, in a real business environment, an adequate and efficient IMS-QES (quality, environment, and safety) model and to potentiate for the future a generic IMS model to integrate other MSSs. The strategy and research methods have taken into consideration the case study. It was obtained a set of relevant conclusions resulting from the statistical analyses of the responses to the survey. Globally, the investigation results, by themselves, justified and prioritized the conception of a model of development of the IMS-QES and consequent definition and validation of a structure of an IMS-QES model, to be implemented at the small- and medium-sized enterprise (SME) where the investigation was conducted.

A systematic procedure to enhance reproducibility of SWASV cycles in the determination of toxic metals in real samples

This work presents for the first time a systematic study on the optimization of the electrochemical cleaning time of a mercury film when it is used as a working electrode material in the analysis of toxic metals, such as Pb2+, used as model metal, in real samples by SWASV. The optimization study for the film’s cleaning time aimed at attaining a Pb2+ minimum value in the film after the re-oxidation step of the pre-concentrated metal, given the impossibility of complete removal of traces of the electroactive species from the film. This value was kept constant in each concentration range studied ensuring thus that all assays were performed in initial identical conditions. An assay performed on a synthetic sample was taken as reference. In it, given the absence of matrix effects, and after the electrochemical cleaning step, a direct proportionality was observed between the residual amounts of Pb2+ in the film (which for the cleaning time used was never completely removed) and Pb2+ concentration in the solution. This fact determined a high correlation between Pb2+ peak current and Pb2+ concentration which was not observed when real samples (tree leaves) were analyzed. This behavior may result from the presence of the interfering surfactants always present in real samples of complex matrix. Cleaning time optimization was performed for the following Pb2+ concentration ranges in the real samples of complex matrix: 0.006-0.020, 0.020-0.080, 0.060-0.200 and 0.100-0.600 ppb. As expected, in order to obtain identical levels of film’s cleaning efficiency, the need for longer cleaning times has been observed for higher concentrations. The optimized cleaning times for the concentration ranges under study were 120, 150, 180 e 300 s, respectively.

RFID together with multi-agent systems to control global value chains

Nowadays, the cooperative intelligent transport systems are part of a largest system. Transportations are modal operations integrated in logistics and, logistics is the main process of the supply chain management. The supply chain strategic management as a simultaneous local and global value chain is a collaborative/cooperative organization of stakeholders, many times in co-opetition, to perform a service to the customers respecting the time, place, price and quality levels. The transportation, like other logistics operations must add value, which is achieved in this case through compression lead times and order fulfillments. The complex supplier's network and the distribution channels must be efficient and the integral visibility (monitoring and tracing) of supply chain is a significant source of competitive advantage. Nowadays, the competition is not discussed between companies but among supply chains. This paper aims to evidence the current and emerging manufacturing and logistics system challenges as a new field of opportunities for the automation and control systems research community. Furthermore, the paper forecasts the use of radio frequency identification (RFID) technologies integrated into an information and communication technologies (ICT) framework based on distributed artificial intelligence (DAI) supported by a multi-agent system (MAS), as the most value advantage of supply chain management (SCM) in a cooperative intelligent logistics systems. Logistical platforms (production or distribution) as nodes of added value of supplying and distribution networks are proposed as critical points of the visibility of the inventory, where these technological needs are more evident.