Defensa de la interpretación práctica del imperativo categórico

The article compares two different interpretations of Kant's categorical imperative −the practical and the logical one− and defends the practical one, arguing that it is superior because it rejects cases of free riding without necessarily rejecting cases of coordination or timing. The logical interpretation, on the other hand, leads to the undesirable outcome that it does not reject immoral cases of free riding, and to the desired outcome that it does not reject maxims of coordination/timing. Given that neither of them rejects maxims of coordination/timing (they are similar in that sense) and only the practical interpretation rejects free riding, the logical interpretation should be rejected.El artículo compara dos interpretaciones diferentes del imperativo categórico kantiano −la práctica y la lógica− y defiende la superioridad de la práctica debido a que rechaza los casos de free riding, sin rechazar necesariamente los casos de coordinación/tiempo. La interpretación lógica, en cambio, lleva al resultado indeseable de no rechazar casos inmorales de free riding, y al resultado deseable de rechazar las máximas de coordinación/tiempo. Dado que ninguna de las dos rechaza las máximas de coordinación/tiempo (y en este sentido son similares) y solamente la interpretación práctica rechaza los casos de free riding, debe rechazarse la interpretación lógica.Fil: Dimitriu, Cristian. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentin

A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a long-run equilibrium relationship between stock prices and an index price. We compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimised on the tracking error variance. From an eleven year out of sample performance analysis we find that for simple index tracking the additional feature of cointegration between the tracking portfolio and the index has no clear advantages or disadvantages relative to the tracking error variance (TEV) minimization model. However ensuring a cointegration relationship does pay off when the tracking task becomes more difficult. Cointegration optimal portfolios clearly dominate the TEV equivalents for all of the statistical arbitrage strategies based on enhanced indexation, in all market circumstancescointegration, tracking error, index tracking, statistical arbitrage

Detecting Switching Strategies in Equity Hedge Funds

Equity hedge funds are thought to effectively operate market timing by implementing switching strategies conditional on market circumstances. In this paper we use only the reported monthly returns on a set of funds to infer the type of switching strategies they follow, if any, as well as their switching times. A set of regime-switching models for each equity hedge funds’ returns against various benchmarks are estimated; subsequently we answer the following general questions: What proportion of equity funds seem to have switching strategies in place? Which are the most popular instruments for switching strategies? And what is the relationship between the switching times of different funds? The general methodology applied in this paper may be useful to investors that wish to detect, from only from their reported returns, whether and when a particular fund has been timing the market.

Flexibilizing the Termination of the Employment Contract: Pros and Cons

The changes in the Romanian Labour Code appear to be a way of implementing the concept of flexicurity in our system of law. And among all institutions changed by the new law, probably the one related to termination of employment has the most dramatic effect within labour relations and the very application of the principle of workers’ protection. Indeed, after eight years in force, the Labour Code has been changed, aiming at re-balancing the powers of the parties over the issue of the termination of the employment. These changes may lead to a new content of the concept of job security, and also to a new approach of the idea of career. The Government’s goal was to offer the possibility for the employers to dismiss and employ personnel more easily, allowing him/her to select best employees at a time of economic crisis. However, as a result of an analysis of how the flexicurity principles were applied in other states (especially in case of the new member states) one may be very much afraid that flexicurity cannot be obtained by just un-protect the employees and simplify the dismissal procedure. This is why the changes in the Labour Code, particularly with the intention to render more flexible the labour market and the contractual arrangements were received by trade unions, and by the entire society with deep concerns and skepticism. From the perspective of trade unions, if the implementation of the flexicurity concept seems to be successful in some of the European states, since it guarantees a certain level of protection, in Romania such a process would be disadvantageous for employees in terms of the special job stability they enjoyed. Flexicurity itself demands to be flexibly adapted – from case to case, from one state to another. One can even say that there are 27 ways of applying the concept of flexicurity within European Union... Which is the Romanian way, especially when it comes to the termination of the employment contract? The paper aims to put into light the advantages and disadvantages of the very recent changes in the Labour Code, and to configure a possible perspective in this regard.Labour law, employment contract, dismissal, flexicurity

Derivative Securities on Romanian Capital Market

This study aimed to investigate whether the world wide agreed models of valuation of derivates may be properly applied to the Romanian capital market, obtaining reliable results for decision makers. The most common valuation models take into account market data such as, interest and exchange rates, volatilities and the price of the underlying instrument. The procedures for valuation must clearly define the nature of the market data to be taken into consideration (for example the zero-coupon curve for the valuation of swaps) and the independent reference base to be used (Reuters at a given time, bid/offer or mid price, broker). In order to be able to obtain the results, I based my study on a self-developed software which can calculate the price and characteristics for different types of derivatives securities once the primary data are filled in. I compared the results obatined usig the valuation models with the actual prices on the Romanian capital market. I expected that the results obtained to be more accurate as the parameters used in the calculation models properly reflect market data as at that date being as widely as possible.. These assumptions were only supported for certain value orientations. In conclusion, explanations for these results are given and limitations for this study are discussed. Also, suggestions for future research are presented in the final part of the article.derivatives, investments, risk management, valuation models.

EU Funded Projects: from Financial to Economic Analysis

Investment projects represent the basis of economic and social development of our country. The investment is a cost that will most influence the future, but it is necessary that this influence should be not only positive, but also should exceed the investment efforts. There could be different sources of financing the investment, but lately, European grants are more and more accessed by various economic agents or institutions. To obtain European financing, the project must fulfill certain conditions and must follow certain economic, social and environmental indicators. Also, for some financing lines, is required the economic analysis preparation, in order to demonstrate that the project benefits to society are important and cover the investments efforts. Thus, economic analysis studies the project influence on macro-economic or regional level, and evaluates its contribution to the welfare of the region or local community. The present paper aims to analyze the most important and available theoretical resources and to provide practical examples for carrying out the economic analysis. In conclusion, economic analysis is an useful tool for each project evaluation, but the biggest barriers to its development are the lack of valid data and the reduced Romanian experience. Under these conditions, input data can be incorrectly estimated, resulting illusory and subjective project data. For a proper projects selection based on indicators of economic assessment, it must be developed a national, complete and complex guide.performance Cost-benefit analysis, European funds, externalities, investments, shadow prices.

Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency

This paper examines the performance of a general dynamic equity indexing strategy based on cointegration, from a market efficiency perspective. A consistent return in excess of the benchmark is demonstrated over different time horizons and in different, real world and simulated stock markets. A measure of stock price dispersion is shown to be a leading indicator for the excess return, and their relationship is modelled as a Markov switching process of two market regimes. We find that the entire ‘abnormal return’ is associated with the high volatility regime, so the presence of a latent risk factor cannot be ruled out. Moreover, any market inefficiencies identified by the dynamic indexing model are temporary and occur only in special market circumstances. Our results have implications for equity fund managers: we shown how, without any stock selection, solely through smart optimisation and market timing, the benchmark performance can be significantly enhanced.cointegration, dispersion, efficient market hypothesis equity markets, index tracking, Markov switching

Funds transfer pricing in banking

Every bank needs to better understand the sources of its profitability. Whatever the size of the bank, funds transfer pricing (FTP) can be used to help managing the bank's profitability by analyzing earnings for the whole institution or for different profit centers. In today’s banking environment, it is essential to look at the earnings both as a whole and broken down into various components. Funds Transfer Pricing is an analysis tool that can be used to help a bank measure its profitability in a variety of different ways. It allows management to compare the profitability of different product lines within the company, and it can be drilled down even further to allow comparison between individual employees. It is also very useful for comparison between branches. This study will reveal the role of Fund Transfer Pricing (FTP) in banks.funds transfer pricing, profit, bank, business units

The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies

This paper presents two applications of cointegration based trading strategies: a classic index tracking strategy and a long-short equity market neutral strategy. As opposed to other traditional index tracking or long-short equity strategies, the portfolio optimisation is based on cointegration rather than correlation. The first strategy aims to replicate a benchmark accurately in terms of returns and volatility, while the other seeks to minimise volatility and generate steady returns under all market circumstances. Additionally, several combinations of these two strategies are explored. To validate the applicability of the cointegration technique to asset allocation, pioneered by Lucas (1997) and Alexander (1999), and explain how and why it works, we have employed a panel data on DJIA and its constituent stocks. When applied to constructing trading strategies in the DJIA, the cointegration technique produces encouraging results. For example, between January 1995 and December 2001 the most successful self-financing statistical arbitrage strategies returned (net of transaction and repo costs) approximately 10% with roughly 2% annual volatility and negligible correlation with the market. The comprehensive set of back-test results reported is meant to offer a detailed picture of the cointegration mechanism, and to emphasise its practical implementation issues. Its key characteristics, i.e. mean reverting tracking error, enhanced weights stability and better use of the information contained in stock prices, allow a flexible design of various funded and self-financing trading strategies, from index and enhanced index tracking, to long-short market neutral and alpha transfer techniques. Further enhancement of the strategy should target first, the identification of successful stock selection rules to supplement the simple cointegration results and second, the investigation of the potential benefits of applying optimal rebalancing rules.cointegration, enchanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy