Modern portfolio optimization

Treballs finals del Màster en Matemàtica Avançada, Facultat de Matemàtiques, Universitat de Barcelona: Curs: 2021-2022. Director: José Manuel Corcuera Valverde[en] The objective of this thesis is to survey some of the many models studied on modern portfolio theory, one of the main branches of quantitative finance. The first part of this work is dedicated to covering some of the main results on convex optimization with special emphasis on the Lagrangian and the Karush-Kuhn-Tucker optimality conditions. The second and third chapter are dedicated to two of the first and most important optimization models: the Markowitz model and the Capital Asset Pricing Model (CAPM). These two models are of paramount importance as they are the building blocks upon which later developments stand. However these models are quite static in the sense that they only allow for one period of time so, in the fourth chapter we introduce two multi-period models. For simplicity we will only contemplate the case with one risk-free asset and one risky asset, although the ideas there exposed allow the incorporation of many risky assets. So far, all models assumed that there was only one price at which assets are sold and bought. In the final chapter we will extend the notion of optimal portfolio to the context of financial market with two prices (the bid and ask price)

Gente conectada: la emergencia de la dimensión fática en el modelo de consumo glocal

Sin resume

Algunas reflexiones sobre el abordaje de la prevención del consumo de drogas en el ámbito familiar. La importancia de la educación en el consumo de marcas como un medio de prevención en el consumo de drogas

En este artículo se reflexiona sobre la problemática de la prevención del consumo de drogas en las familias. Se apunta la necesidad de reforzar las normas y límites en la educación de los hijos, como factores protectores de los consumos de drogas. La línea fundamental del artículo, sin embargo, señala la insuficiencia de este refuerzo, para subrayar la importancia de inscribir las políticas preventivas en el terreno del consumo de drogas en el medio familiar en un planteamiento más amplio de educación más general para una vida menos consumista que fomente un modelo de consumo más austero y responsable . Las reflexiones de este artículo proceden de una línea de investigaciones cualitativas que hemos podido desarrollar a lo largo de la última década

Environmental dynamics as a structuring factor for microbial carbon utilization in a subtropical coastal lagoon

Laguna de Rocha belongs to a series of shallow coastal lagoons located along South America. It is periodically connected to the sea through a sand bar, exhibiting a hydrological cycle where physicochemical and biological gradients are rapidly established and destroyed. Its most frequent state is the separation of a Northern zone with low salinity, high turbidity and nutrient load, and extensive macrophyte growth, and a Southern zone with higher salinity and light penetration, and low nutrient content and macrophyte biomass. This zonation is reflected in microbial assemblages with contrasting abundance, activity, and community composition. The physicochemical conditions exerted a strong influence on community composition, and transplanted assemblages rapidly transformed to resembling the community of the recipient environment. Moreover, the major bacterial groups responded differently to their passage between the zones, being either stimulated or inhibited by the environmental changes, and exhibiting contrasting sensitivities to gradients. Addition of allochthonous carbon sources induced pronounced shifts in the bacterial communities, which in turn affected the microbial trophic web by stimulating heterotrophic flagellates and virus production. By contrast, addition of organic and inorganic nutrient sources (P or N) did not have significant effects. Altogether, our results suggest that (i) the planktonic microbial assemblage of this lagoon is predominantly carbon-limited, (ii) different bacterial groups cope differently with this constraint, and (iii) the hydrological cycle of the lagoon plays a key role for the alleviation or aggravation of bacterial carbon limitation. Based on these findings we propose a model of how hydrology affects the composition of bacterioplankton and of carbon processing in Laguna de Rocha.This might serve as a starting hypothesis for further studies about the microbial ecology of this lagoon, and of comparable transitional systems.Fil: Alonso, Cecilia. Universidad de la República; UruguayFil: Piccini, Claudia. Instituto de Investigaciones Biológicas "Clemente Estable"; UruguayFil: Unrein, Fernando. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Instituto de Investigaciones Biotecnológicas. Instituto de Investigaciones Biotecnológicas "Dr. Raúl Alfonsín" (sede Chascomús). Universidad Nacional de San Martín. Instituto de Investigaciones Biotecnológicas. Instituto de Investigaciones Biotecnológicas "Dr. Raúl Alfonsín" (sede Chascomús); ArgentinaFil: Bertoglio, Florencia. Universidad de la República; UruguayFil: Conde, Daniel. Universidad de la República; UruguayFil: Pernthaler, Jakob. Universitat Zurich; Suiz

Definindo a camada de gestão operacional de cursos das plataformas de eLearning com base numa ontologia de domínio

O presente artigo pretende descrever o processo que tem sido seguido no sentido da obtenção de um referencial para a camada de gestão on-line dos processos de e-learning. Tal camada deverá ser desenvolvida por forma a poder integrar-se no todo que constiui uma qualquer plataforma de ensino/aprendizagem utilizando tecnologias de informação e comunicação, nomeadamente aquelas que assentam o seu funcionamento nos serviços da Internet. Esta integração será viabilizada a partir da utilização de de uma abordagem comum àquela que já se verifica, relativamente à especificação das restantes camadas, em particular no âmbito do projecto SCORM. Existem diversas abordagens capazes de permitir a obtenção destes objectivos, isto é, de permitirem a obtenção dos metadados necessários à completa caracterização da camada de gestão operacional de cursos em plataformas de e-Learning. Para levar a cabo este trabalho, recorremos à escrita de uma ontologia de domínio, aplicável a este caso concreto. Tal abordagem, para além de conjugar em si todas as caratecrísticas de formalismo e rigor desejáveis, permite ainda um entendimento muito fácil do modelo desenvolvido. Para além disso, a sua tradução para XML pode ser também obtida com um mínimo de esforço, possibilitando a divulgação do documento num formato de utilização universal na Web

Comportamiento de las correlaciones producto-momento y tetracórica-policórica en escalas ordinales : un estudio de simulación

The statistical multivariate analysis of Likert response scales, given their widespread use, is a controversial issue in the scientific community, mainly from the specification of the problem of measurement. This work aims to study various conditions of these ordinal scales affect the calculation of the product-moment and tetrachoric-polychoric correlation coefficients. For this purpose, a simulation study was applied in which 90 databases with 10 items each were generated. In the estimation of the databases, the following variables were controlled: number of response categories, symmetrical or asymmetric distributions of data, sample size and level of relationship between items. Thus, 90 matrices (10x10) were obtained which included the difference between the product-moment and tetrachoric-polychoric correlations. The graphical and variance analysis show how the product-moment correlation coefficient significantly underestimates the relationship between variables mainly when the number of response categories of the ordinal scale is small and the relationship between the variables is large. On the other hand, the statistical estimation of both coefficients is very similar when the starting relationship between pairs of variables is small and/or when the number of response options of the variables is greater than 5. The study concludes by making a recommendation to the applied researcher on the most appropriate correlation coefficient depending on the type of data available. Finally, the results are discussed from the previous studies, which reach some similar conclusions

Energy and Emissions Conflicts in Urban Areas

The main aim of this paper is to observe the environmental behaviour in some cities of the word, by analyzing for each city the trends of several energy and emissions indicators that appear as explanatory variables in both energy and labour average productivity equations. At the same time we also consider the life expectancy at birth as an endogenous variable which be partially explained by these indicators to for observing the carbon dioxide (CO2) effects on the population health. To quantify how affect changes in carbon dioxide emissions, energy production and consumption on the some countries life expectancy, climate change, and labour and energy productivities, we used panel data techniques across some metropolitan areas with IEA annual data. Following the results concerning to the proposed indicators, the energy consumption per inhabitant and CO2 emissions by Km2 are highest around the oil producer countries like Qatar, Emirates and Kuwait, and among the High-Tech user countries like China, Japan, South Korea and Singapore. The more high energy productivity is in Japan, Singapore and Turkey. Only carbon dioxide emissions are addressed in this paper, but it does not address other emmissions such as NOx or SOx. In other hand, we assume by simplicity perfect competition in the good markets to can calculate an energy price indicator for the renewable and non-renewable energies in each city. The paper relates issues to central questions of international politics and theoretical debates concerning to the levels of consumption per head, carbon dioxide emissions/surface and the role of the renewable energies on the climate change and the wellbeing of the consumers. We classify the cities in Oil producers, Coal producers, High-Tech users, and Poor cities. Assumming perfect rationality in the energy producers, we can calculate the costs for change the use of fossil energies by renewable energies

Definindo a camada de gestão operacional de cursos das plataformas de e-learning, com base numa ontologia de domínio

O presente artigo pretende descrever o processo que tem sido seguido no sentido da obtenção de um referencial para a camada de gestão on line dos processos de e learning. Tal camada deverá ser desenvolvida por forma a poder integrar se no todo que constiui uma qualquer plataforma de ensino/aprendizagem utilizando tecnologias de informação e comunicação, nomeadamente aquelas que assentam o seu funcionamento nos serviços da Internet. Esta integração será viabilizada a partir da utilização de de uma abordagem comum àquela que já se verifica, relativamente à especificação das restantes camadas, em particular no âmbito do projecto SCORM. Existem diversas abordagens capazes de permitir a obtenção destes objectivos, isto é, de permitirem a obtenção dos metadados necessários à completa caracterização da camada de gestão operacional de cursos em plataformas de e-Learning. Para levar a cabo este trabalho, recorremos à escrita de uma ontologia de domínio, aplicável a este caso concreto. Tal abordagem, para além de conjugar em si todas as caratecrísticas de formalismo e rigor desejáveis, permite ainda um entendimento muito fácil do modelo desenvolvido. Para além disso, a sua tradução para XML pode ser também obtida com um mínimo de esforço, possibilitando a divulgação do documento num formato de utilização universal na Web.Fundação para a Ciência e a Tecnologia (FCT