Portfolio Optimization and Long-Term Dependence

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term’s memory existence, serial-independence assumption prevails. This document’s long-term dependence assessment relies on rescaled range analysis (R/S), a popular and robust methodology designed for Geophysics but extensively used in financial literature. Results correspond to most of the previous evidence of significant long-term dependence, particularly for small and illiquid markets, where persistence is its most common kind. Persistence conveys that the range of possible future values of the variable will be wider than the range of purely random and independent variables. Ahead of R/S financial literature, authors estimate an adjusted Hurst exponent in order to properly estimate the covariance matrix at higher investment horizons, avoiding the traditional -independence reliant- square-root-of-time rule. Ignoring long-term dependence within the mean-variance portfolio optimization results in concealed risk taking; conversely, by adjusting for long-term dependence the weight of high (low) persistence risk factors decreases (increases) as the investment horizon widens. This alleviates some well-known shortcomings of conventional portfolio optimization for long-term investors (e.g. central banks, pension funds and sovereign wealth managers), such as excessive risk taking in long-term portfolios, extreme weights, home bias, and reluctance to hold foreign currency-denominated assets.Portfolio optimization, Hurst exponent, long-term dependence, biased random walk, rescaled range analysis. Classification JEL: G11, G32, G20, C14.

Operational Risk Management using a Fuzzy Logic Inference System

Operational Risk (OR) results from endogenous and exogenous risk factors, as diverse and complex to assess as human resources and technology, which may not be properly measured using traditional quantitative approaches. Engineering has faced the same challenges when designing practical solutions to complex multifactor and non-linear systems where human reasoning, expert knowledge or imprecise information are valuable inputs. One of the solutions provided by engineering is a Fuzzy Logic Inference System (FLIS). Despite the goal of the FLIS model for OR is its assessment, it is not an end in itself. The choice of a FLIS results in a convenient and sound use of qualitative and quantitative inputs, capable of effectively articulating risk management's identification, assessment, monitoring and mitigation stages. Different from traditional approaches, the proposed model allows evaluating mitigation efforts ex-ante, thus avoiding concealed OR sources from system complexity build-up and optimizing risk management resources. Furthermore, because the model contrasts effective with expected OR data, it is able to constantly validate its outcome, recognize environment shifts and issue warning signals.Operational Risk, Fuzzy Logic, Risk Management Classification JEL:G32, C63, D80

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix could partially account for this. To overcome some of the limitations of the mean-variance framework, mainly the choice of the risk metric and the inconvenience of using an estimated correlation matrix typical of tranquil or euphoria periods, this paper proposes an alternative risk measure: the maximum drawdown (MDD), and combines it with a wealth creation measure to define a new portfolio optimization space. Like other market practitioners’ measures, MDD lacks of a complete and solid theoretical foundation. In an effort to contribute to its theoretical foundation, this paper uses common sense and financial intuition to introduce such measure, followed by a review of its technical advantages and coherence for risk management. Finally, an application of a MDD risk metric based portfolio optimization model is presented. The main findings indicate this proposal may effectively help overcome some of the traditional mean-variance shortcomings and provide some useful tools for portfolio optimization in practice. For long-term performance driven portfolios, such as pension funds, this approach may yield interesting results because it focuses on wealth creation over the long run.Portfolio Optimization, Asset Allocation, Downside Risk, Maximum Drawdown, mean-variance Criteria, Diversification. Classification JEL: G11; G23; G32; D81.

Modo de contato: efeito sobre a aquisição e transferência de uma discriminação condicional de segunda ordem e a emergência de regras

Avaliou-se o efeito de quatro modos de contato (direto, morfologia linguística, observacional e direto mais descrição) sobre a aquisição e transferência de uma discriminação condicional e a geração de descrições tipo regra. Participaram dezesseis universitários experimentalmente ingênuos, com idades entre 18 e 21 anos. Utilizou-se um desenho intragrupo com teste inicial, treinamento, tarefa de geração de regra e testes de transferência (extra instância, extra modal e extra relacional), com igualação à mostra de segunda ordem como tarefa experimental base. Os resultados sugerem que: a) tanto o modo observacional -sem componentes instrumentais- como o de morfologia linguística -sem contato perceptual direto com os arranjos- permitem a aquisição e transferência da discriminação condicional, bem como a emergência de regras; e b) não há uma relação consistente entre a emergência de regras e a transferência extra relacional efetiva. Os resultados discutem-se ao redor da necessidade de: i) contato direto com as contingências para a transferência e a emergência de regras, ii) participação de um segmento linguístico (ex. regra) para a transferência extra relacional efetiva.This study examined the effect of four contact modes (direct, morphology, linguistic, observational, and direct plus description) on the acquisition and transfer of conditional discrimination and the emergence of rules. Sixteen experimentally naive university students, aged between 18 and 21 years, participated in the study. A within-subject design that involved initial test, training, rule generation, and testing transfer (extra instance test, extra modal test, extra relational test) was used. A second order matching to sample task was used. The results suggest that: a) both the observational mode without instrumental components and the linguistic morphology without direct perceptual contact allow the acquisition and transfer of conditional discrimination and the emergence of rules; b) there is no consistent relationship between the rules and the effective extrarelational transfer. Results are discussed in terms of the need for: i) direct contact with contingencies for the transfer and emergence of rules, ii) participation of a linguistic segment (rule) for the effective extrarelational transfer.Se evaluó el efecto de cuatro modos de contacto (directo, morfología lingüística, observacional y directo más descripción) sobre la adquisición y transferencia de una discriminación condicional y la generación de descripciones tipo regla. Participaron dieciséis universitarios experimentalmente ingenuos, con edades entre 18 y 21 años. Se utilizó un diseño intragrupo con prueba inicial, entrenamiento, tarea de generación de regla y pruebas de transferencia (extrainstancia, extramodal y extrarrelacional), con igualación a la muestra de segundo orden como tarea experimental base. Los resultados sugieren que: a) tanto el modo observacional -sin componentes instrumentales- como el de morfología lingüística -sin contacto perceptual directo con los arreglos- permiten la adquisición y transferencia de la discriminación condicional, así como la emergencia de reglas; y b) no hay una relación consistente entre la emergencia de reglas y la transferencia extrarrelacional efectiva. Los resultados se discuten en torno a la necesidad de: a) contacto directo con las contingencias para la transferencia y la emergencia de reglas, b) participación de un segmento lingüístico (i.e. regla) para la transferencia extrarrelacional efectiva

Functional and expression analyses of the ribosomal RNA methyltransferase NSUN5 upon heavy metals and trace elements

Methylation is the addition of a methyl group on a substrate such as a DNA or RNA molecule. In biological systems, methylation is catalyzed by enzymes regulates the gene expression. Nsun5-1 and nsun5-2 are in this group of enzymes called rRNA cytosine methyltransferase l (RCM1 in yeast or nsun5 in human and plant) that catalyzes the methylation of one cytosine on the 25S rRNA in Arabidopsis thaliana. The use of heavy metals and trace elements as cadmium, manganese, led and zinc as abiotic stress to compare how the gene expression NSUN5 is modified in comparison with a control medium is still unknown.La metilació és l'addició d'un grup metil en un substrat tal com una molècula d'ADN o ARN. En els sistemes biològics, la metilació és catalitzada per enzims que regulen l'expressió de gens. Nsun5-1 i nsun5-2 són en aquest grup d'enzims anomenats rRNA citosina metiltransferasa l ( RCM1 en el llevat o nsun5 en humans i plantes ) que catalitza la metilació d'una citosina en el 25S rRNA en Arabidopsis thaliana. L'ús de metalls pesats i elements traça com cadmi.manganes, plom i zinc com a estrés abiotic and comparar com l'expressio genica de NSUN5 es modificada en vers a la mostra control es encara desconeguda.La metilación es la adición de un grupo metilo en un sustrato tal como una molécula de ADN o ARN. En los sistemas biológicos , la metilación es catalizada por enzimas que regulan la expresión de genes. Nsun5-1 y nsun5-2 son en este grupo de enzimas llamadas rRNA citosina metiltransferasa l ( RCM1 en la levadura o nsun5 en humanos y plantas) que cataliza la metilación de una citosina en el 25S rRNA en Arabidopsis thaliana . El uso de metales pesados y elementos traza como cadmio,manganeso, plomo y zinc como estres abiotico para comparar como la expresion genica de NSUN5 es modificada en comparacion con el de la muestra control es aun desconocido

A brief analysis of the Fermi Paradox and the possible consequences on the study of intelligent life in the Milky Way

Treballs Finals de Grau de Física, Facultat de Física, Universitat de Barcelona, Curs: 2021, Tutor: Alberto Manrique OlivaA study on intelligent life in our galaxy is presented. By means of self-replicating probes, an attempt will be made to explain the Fermi Paradox, using random mutations that sim-ulate the existence of a competition between two species: explorers (prey) and predators. We will model an observed and analyzed behavior on planet Earth: the survival of two species through com-petition between themselves. Furthermore, we will implement our study along a stellar weight graph that simulates the statistical distribution of stars in the Milky Way. Everything seems to indicate that it is highly unlikely that the human species will establish contact with an high technological development extraterrestrial civilization throughout its existenc

La segmentación: género y raza.

This paper tries to analyses the different definitions and variations of segmentation. Also it explains a little bit more into detail the different ways segmentation works within advertising and marketing. It tries to focus on segmentation to new markets such as race and genders, what objectives should brands have and have been done so far. It also studies Ecuador’s current position in these two topics as well as suggests ways to improve segmentation for this goal markets.Esta monografía busca describir que es la segmentación a nivel de marketing y a nivel de publicidad. De misma manera busca encontrar como se ha manejado la segmentación de raza a nivel mundial, con dos ejemplos basados en Estados Unidos y ver cuál es la realidad en el Ecuador. Busca encontrar las razones por que en el Ecuador no existe una segmentación de género explícitamente cuando hablamos de la homosexualidad, que ejemplos ha habido a nivel mundial. Se busca rápidamente recomendar una manera de segmentar para el target homosexual

Polar intermetallic compounds of the silicon and arsenic family elements and their ternary hydrides and fluorides

An investigation has been made on the effects of hydrogen and fluoride in the solid state chemistry of alkaline-earth and divalent rare-earth metal pnictide (Pn) and tetrelide (Tt) phases A5(Pn,Tt,)3Zx, where A = Ca, Sr, Ba, Sm, Eu, Yb; Pn = As, Sb, Bi; Tt = Si, Ge, Sn, Pb and Z = H, F. Several trivalent rare-earth-metal pnictides, RE5Pn3 (RE = Y, La, Gd, Tb, Dy, Ho, Er, Tm) and alkaline-earth-metal trielides, A5Tr3Zx (Tr = Ga, In, Tl) have been included in an effort to complete observed structural trends. Two main experimental techniques were followed throughout this work, (a) reactions in absence of hydrogen or under continuous high vacuum, and (b) reactions with binary metal hydrides, AHx, in closed containers. Ternary fluorides followed to a large extent the chemistry of the corresponding ternary hydrides.;The results demonstrate that all the phases reported with the [beta]- Yb5Sb3-type structure in the A5Pn3 systems are hydrogen-stabilized compounds. Reactions in absence of hydrogen lead to compounds with the Mn5Si3-type structure. The structure type [beta]- Yb5Sb3 (=Ca5Sb3F) was found to be characteristic of ternary systems and inaccurately associated with phases that form in the Y5Bi3-type, a structure that is distinctive for pnictide compounds of trivalent metals. A new series of isomorphous Zintl compounds with the Ca16Sb11-type structure were prepared and studied as well.;All the alkaline-earth-metal tetrelides, A5Tt3, that crystallize in the Cr5B3-type structure can be interstitially derivatized by hydrogen or fluoride. Stannides and plumbides that form in this structure type are, with the exception of Sr5Sn3, hydrogen-stabilized compounds. Reactions in absence of hydrogen gave compounds in the Cr5B3, Ba5Si3, Pu31Pt20, Ca5Pb3 or W5Si3 structure types. Several new compounds with these structures were prepared. Additionally, an unprecedented Yb36Sn23 phase was discovered; its structure features isolated atoms, dimers and hexamers of tin.;Binary and ternary compounds were characterized by Guinier powder patterns, single crystal X-ray (30 structural refinements) and powder neutron (Ca5Bi3D and Ca5Sn3D samples) diffraction techniques. In an effort to establish property-structure relationships, electrical resistivity and magnetic measurements were performed on selected systems, and the results were explained in terms of the Zintl concepts, aided by extended Huckel band calculations. The structures of hydrogen-stabilized and electron deficient A5Tt3Hx compounds were rationalized in terms of multiple Tt-Tt bond interactions in these systems. ftn1This work was performed at the Ames Laboratory under contract no. W-7405-eng-82 with the U.S. Department of Energy. DOE Report no. IS-T 1730