Portfolio Optimization in Affine Models with Markov Switching

We consider a stochastic factor financial model where the asset price process and the process for the stochastic factor depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite time investment horizon and derive optimal dynamic investment strategies that maximize the investor's expected utility from terminal wealth. To this aim we apply Merton's approach, as we are dealing with an incomplete market. Based on the semimartingale characterization of Markov chains we first derive the HJB equations, which in our case correspond to a system of coupled non-linear PDEs. Exploiting the affine structure of the model, we derive simple expressions for the solution in the case with no leverage, i.e. no correlation between the Brownian motions driving the asset price and the stochastic factor. In the presence of leverage we propose a separable ansatz, which leads to explicit solutions in this case as well. General verification results are also proved. The results are illustrated for the special case of a Markov modulated Heston model

Unraveling the Trade-off between Sustainability and Returns: A Multivariate Utility Analysis

This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type structure. This setting allows investors to accommodate their preferences for green investments according to proper risk aversion levels. We find closed-form solutions for optimal allocations, wealth and value functions. As by-products, we first demonstrate that investors do not need to reduce their pecuniary satisfaction in order to increase green investments. Secondly, we propose a parameterization to capture investors' preferences for green assets over brown or market assets, independent of performance. The paper uses the RepRisk Rating of U.S. stocks from 2010 to 2020 to select companies that are representative of various ESG ratings. Our empirical analysis reveals drastic increases in wealth allocation toward high-rated ESG stocks for ESG-sensitive investors; this holds even as the overall level of pecuniary satisfaction is kept unchanged.Comment: 24 pages, 12 figures, 2 table

Optimal fees in hedge funds with first-loss compensation

Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses. We study how parties can choose a mutually preferred first-loss scheme in a hedge fund with the manager's first-loss deposit and investors' assets segregated. For that, we solve the manager's non-concave utility maximization problem, calculate Pareto optimal first-loss schemes and maximize a decision criterion on this set. The traditional 2% management and 20% performance fees are found to be not Pareto optimal, neither are common first-loss fee arrangements. The preferred first-loss coverage guarantee is increasing as the investor's risk-aversion or the interest rate increases. It decreases as the manager's risk-aversion or the market price of risk increases. The more risk averse the investor or the higher the interest rate, the larger is the preferred performance fee. The preferred fee schemes significantly decrease the fund's volatility.Comment: 32 pages, 17 figure

Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model

We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic programming approach. We demonstrate that the value function in the constrained problem can be represented as the expected modified utility function of a vega-neutral financial derivative on the optimal terminal wealth in the unconstrained utility-maximization problem. Via the same financial derivative, the optimal wealth and the optimal investment strategy in the constrained problem are linked to the optimal wealth and the optimal investment strategy in the unconstrained problem. In numerical studies, we substantiate the impact of risk aversion levels and investment horizons on the optimal investment strategy. We observe a 20% relative difference between the constrained and unconstrained allocations for average parameters in a low-risk-aversion short-horizon setting.Comment: 39 pages, 8 figure

Diferenças e similaridades no complexo citricola paulista : suco concentrado, pasteurizado natural e laranja de mesa

Orientador: João Luiz CardosoDissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia AgricolaResumo: Existe consenso em âmbitos empresarial, governamental e acadêmico sobre a competitividade do complexo citrícola paulista no mercado internacional. Na verdade, a evolução da cultura de laranja, no Brasil, deveu-se ao setor agroindustrial de Suco de Laranja Concentrado Congelado (SLCC) em São Paulo, Estado que é responsável por volta de 80% da produção de citros. Nota-se que o significado econômico da cultura suplanta em muito o que se convencionou chamar de "indústria cítricola". A produção in natura não apenas se mostra relevante na realidade atual, mas também com enormes potencialidades a serem desenvolvidas. Embora existam inúmeros estudos sobre o tema, a maioria enfoca o denominado "complexo citrícola", centrando-se na análise da agroindústria de SLCC que constitui uma importante "commodity" na qual o Brasil tem liderança no contexto internacional. Há um vácuo de informações e análises aprofundadas de um segmento relevante que é o de citros in natura. Então, este trabalho propõe uma interpretação sobre o complexo citrícola paulista, procurando identificar os principais fatores que contribuíram historicamente para a sua configuração e na determinação de sua dinâmica. Além disso busca estudar, de forma específica, o segmento dos citros in natura. Para a análise, foram utilizados dados primários e secundários. Os primeiros foram obtidos através de entrevistas abertas, junto aos agentes envolvidos. Por outro lado, os dados secundários foram obtidos de várias entidades, tais como: FIBGE, IEA, F AO/ONU, ABECITRUS, SECEX, FUNDECITRUS, CEAGESP e USDA. Verificou-se que, apesar do setor citrícola ser constituído de quatro segmentos distintos (suco natural, pasteurizado, laranja de mesa e SLCC), os tratamentos acerca do assunto sempre privilegiaram o último segmento mencionado. Portanto, torna-se necessário criar condições adequadas para análises específicas, visando proporcionar maior dinâmica para todos os segmentosAbstract: The competitiveness of São Paulo citrus ,complex in the international market is well known among private, governmental and academic sectors. Orange crop development in Brazil occurred mainly due to the Frozen Concentrated Orange Juice (SLCC) in São Paulo State, which is responsable for 80% of the citrus production. The economical importance of the citrus crop has overcome what is called "citrus industry". The "in natura" production is not only relevant at the present, but has also great potencial yet to be developed. Although several studies had been carried out on this subject, most of then, focus on the so called "citrus complex", alan lysing the SLCC industry, what constitutes an important commodity in which Brazil is an international leader. There is a lack of information an further analysis on the so called "in natura" citrus.The main goal of this study is to interpretate the São Paulo citrus complex identifying the main factors that historically contributed to its confiration and dynamics. Moreover, it specifically studies the segment of "in natura" citrus. Primary and secondary data were used for these analysis. The first were gathered though open interviews with the agents involved. The later were obtained from several institution, e.g. FIBGE, IEA, F AO/ONU, ABECITRUS, SECEX, FUNDECITRUS, CEAGESP and USDA. It was noticed that, despite of the citrus sector being formed by four different segments (natural juice, pasteurized juice, oranges and SLCC), the approach given to the subject always privileged the last segment mentioned. Therefore it is necessary to create adequate condition for specific analysis, in order to provide more dynamics to all segmentsMestradoPlanejamento e Produção AgropecuariaMestre em Engenharia Agrícol

Reverse engineering of ceramic anthropomorphic figurines from the Tumaco archaeological tradition in southwest Colombia.

Traditional studies of archaeological ceramics in Colombia have been largely based on visual and stylistic analyses. Here we introduce frameworks and concepts of reverse engineering as a complementary strategy to develop hypotheses about ceramic manufacture, as a first step to the address possible cross-craft relationships and broader sociocultural parameters affecting technical traditions. Our case study is focused on ceramic figurines recovered from two archaeological sites in southwest Colombia (Inguapí and La Cocotera), both dated to the period of greatest cultural and technological development of the Tumaco tradition (350 BC-AD 350). The results of the analyses including microscopy, XRF, SEM-EDS and XRD revealed two manufacturing pathways within the broader tradition, developed locally and adapted to the natural resources available to each site. These are shown through chemical and mineralogical differences in the raw materials, as well as differences in their preparation and shaping, molding, and modeling processes as observed at the microstructural level. Estimated firing temperatures are under 600°C for La Cocotera, and under 800°C for those of Inguapí, with an inhomogeneous, oxidizing atmosphere probably related to firing in a pit. The superficial characterization shows that all the figurines were painted, with those from Inguapí externally smoothed and polished, and those from La Cocotera covered with a slip. Notwithstanding differences between sites, the ceramic figurines illustrate a particular technical style that undoubtedly conveyed a shared ideological message of cultural affiliation. These results contribute in an innovative way to archaeological ceramic studies in Colombia from a different perspective that is complementary to the more common typological studies

Reverse engineering of ceramic anthropomorphic figurines from the Tumaco archaeological tradition in southwest Colombia.

Traditional studies of archaeological ceramics in Colombia have been largely based on visual and stylistic analyses. Here we introduce frameworks and concepts of reverse engineering as a complementary strategy to develop hypotheses about ceramic manufacture, as a first step to the address possible cross-craft relationships and broader sociocultural parameters affecting technical traditions. Our case study is focused on ceramic figurines recovered from two archaeological sites in southwest Colombia (Inguapí and La Cocotera), both dated to the period of greatest cultural and technological development of the Tumaco tradition (350 BC-AD 350). The results of the analyses including microscopy, XRF, SEM-EDS and XRD revealed two manufacturing pathways within the broader tradition, developed locally and adapted to the natural resources available to each site. These are shown through chemical and mineralogical differences in the raw materials, as well as differences in their preparation and shaping, molding, and modeling processes as observed at the microstructural level. Estimated firing temperatures are under 600°C for La Cocotera, and under 800°C for those of Inguapí, with an inhomogeneous, oxidizing atmosphere probably related to firing in a pit. The superficial characterization shows that all the figurines were painted, with those from Inguapí externally smoothed and polished, and those from La Cocotera covered with a slip. Notwithstanding differences between sites, the ceramic figurines illustrate a particular technical style that undoubtedly conveyed a shared ideological message of cultural affiliation. These results contribute in an innovative way to archaeological ceramic studies in Colombia from a different perspective that is complementary to the more common typological studies

The La Luna/Río Negro(.) Petroleum system at the Urdaneta West Field, lake Maracaibo basin, NW Venezuela: ID basin modelling and secondary oil migration

This paper investigates the timing of hydrocarbon generation in the northern part of the Urdaneta West field in the NW of the Lake Maracaibo Basin, NW Venezuela, based on ID basin modelling at three wells referred to as wells X, Y and Z. Kitchen areas were identified and secondary migration directions were inferred based on analyses of the thermal and burial history of the Upper Cretaceous La Luna Formation source rock and the geochemistry of 20 oil samples from the Río Negro Formation reservoir. Aliphatic hydrocarbons in the oil samples were analysed by gas chromatography - mass spectrometry (GC-MS) while the vanadium- nickel and sulphur contents were determined by energy dispersive X-ray spectrometry and inductively coupled plasma optical emission spectroscopy, respectively. Bulk and molecular characterizations indicated that the oils originated from a marine carbonate source rock containing oil-prone Type II kerogen, consistent with generation by the La Luna Formation. Burial and thermal history modelling in the study area indicated that the La Luna source rock at wells X, Y and Z reached the oil window during the late Eocene, mid-Eocene and early Paleocene respectively. ID model results from the three wells showed that hydrocarbon generation began in the early Eocene. The transformation ratio of the La Luna Formation source rock in the modelled wells reached values of 35%, 98% and 100% by the end of the Eocene. In the Urdaneta West field, two different oil charges appear to have mixed in the Río Negro reservoir. Both oil charges were generated by the La Luna Formation source rock but at different times. A first charge of less mature oil occurred in the middle-late Eocene (Phase 1 generation), and a second, more mature oil charge took place in the Miocene - Quaternary (Phase 2 generation). The kitchen area for the first oil charge is inferred to have been located to the north and NE of Urdaneta West; that for the second oil charge to the south of the field. This migration model is supported by observed variations in the geochemical compositions of the oil samples analysed from different wells in the Urdaneta West field.J.G. Diaz acknowledges the support of the PDVSA Western Exploration Project Management and the University of Zulia. The authors are grateful to Iván Chirino and Patricia Marín for their scientific assistance. We are also grateful to the JPG referees (Karla Quintero-Bonilla, Katya Reategui and anonymous) whose comments helped to improve the original version of this manuscript. Carlos Boente obtained a post-doctoral contract within the program PAIDI 2020 (Ref 707 DOC 01097), co-financed by the Junta de Andalucía (Andalusian Government) and the EU

A non-perturbative approach to the scalar Casimir effect with Lorentz symmetry violation

We determine the effect of Lorentz invariance violation in the vacuum energy and stress between two parallel plates separated by a distance $L$, in the presence of a massive real scalar field. We parametrize the Lorentz-violation in terms of a symmetric tensor $h^{\,\mu\nu}$ that represents a constant background. Through the Green's function method, we obtain the global Casimir energy, the Casimir force between the plates and the energy density in a closed analytical form without resorting to perturbative methods. With regards to the pressure, we find that $\mathcal{F}_c(L)=\mathcal{F}_0(\tilde{L})/\sqrt{-{\rm det}\, h^{\,\mu\nu}}$, where $\mathcal{F}_0$ is the Lorentz-invariant expression, and $\tilde{L}$ is the plate separation rescaled by the component of $h^{\,\mu\nu}$ normal to the plates, $\tilde{L}=L/\sqrt{-h^{nn}}$. We also analyze the Casimir stress including finite-temperature corrections. The local behavior of the Casimir energy density is also discussed.Comment: 6 pages, No figure