Maximum drawdown: models and applications

Financial series may possess fractal dimensions which would induce cycles of many different durations. This inherent characteristic would explain the turbulent cascades in stock markets when strong local dependence is observed. A drawdown is defined as the percentual accumulated loss due to a sequence of drops in the price of an investment. It is collected over non-fixed time intervals and its duration is also a random variable. The maximum drawdown occuring during a fixed investment horizon is a flexible measure that may provide a different perception of the risk and price flow of an investment. In this paper we propose statistical models from the extreme value theory for the severity and duration of the maximum drawdown. Our empirical results indicate that there may exist a relation between the pattern of the GARCH volatility of an investment and the fluctuations of the severity of the maximum drawdown and that, typically, extreme (but not outlying) maximum drawdowns occur during stress periods of high volatility. We suggest applications for the maximum drawdown, including the computation of the Maximum Drawdown-at-Risk with exceedance probability α, and the classification of investments according to their performance when controlling losses via the maximum drawdown.Indisponível

Using robust portfolios techniques in emerging markets

Financial data are heavy tailed containing some proportion of extreme observations. We propose to use a robust covariance estimator to define the center and orientation of the data. We provide an illustration of the usefulness of the proposed procedure to efficiently allocate among emerging stock markets. We show that the resulting robust portfolios may yield higher cumulative returns and have more stable weights. We strongly recommend that a robust covariance matrix is used to solve emerging stock markets allocation problems. We believe that our technique has a key advantage. Because all we change is the covariance matrix, we can use any commercially available optimizer to obtain robust portfolio weights.Indisponível

Can We Assess the Success of Surgery for Degenerative Spinal Diseases Using Patients' Recall of Their Preoperative Status?

Background: Patients' recall of their preoperative status is seldom used to assess surgical outcomes because of concerns of inaccuracy and bias. Objective: The present study aims to measure the significance of this recall bias and its repercussion on patients' recollection of their preoperative status. Methods: Patients submitted to surgery due to degenerative spine diseases during the period of one year (n=198) were included in this study. EQ-5D (including EQ VAS), COMI Neck (including Neck Pain and Shoulder/Arm Pain NRS), COMI Back (including Back Pain and Buttock/Leg Pain NRS), NDI and ODI were completed preoperatively. One year after surgery, patients were asked to complete 2 sets of the same questionnaires, one regarding their postoperative status and the other one regarding their recall of the preoperative status. Results: There was poor to moderate agreement between recalled and collected preoperative scores for all PROMs. Patients' recollection of their preoperative status was accurate for patients who underwent cervical spine surgery, but not after lumbar spine surgery. Patients satisfied with the outcome after lumbar spine surgery recalled significantly worse scores compared to the preoperatively collected. Conclusions: Using patients' recall of their preoperative status may lead to an overestimation of the surgery effectiveness, particularly for lumbar spine surgery. The self-assessed surgery effectiveness interferes with the recollection of the baseline status.info:eu-repo/semantics/publishedVersio

DOENÇA DE CAROLI NO ADULTO – RELATO DE UM CASO CLÍNICO

Caroli’s disease (CD) is a rare congenital disorder defined by multifocal segmental dilatation of intrahepatic bile ducts. It may cause severe, life-threatening cholangitis hepatobiliary degeneration or even cancer. A 63-years-old male with monolobar CD managed with conservative treatment is presented with revision of literature. The patient presented in the emergency department with a six-hour history of cholic epigastric pain with dorsal irradiation and a normal physical exam. Past medical history included colonic polyposis, Chronic Obstructive Pulmonary Disease (COPD) and Benign Prostatic Hyperplasia. Investigation revealed infracentimetric left cystic dilatation of intrahepatic bile ducts suggestive of Caroli’s disease. Despite its rare incidence, CD should be considered in patients with recurrent cholangitis. The diagnosis of CD relies mostly on imaging studies. Treatment should be customized and multi-disciplinary.A doença de Caroli é um distúrbio congénito raro definido por dilatação segmentar multifocal dos ductos biliares intra-hepáticos. Pode causar colangite grave, degeneração hepatobiliar com risco de vida ou até mesmo cancro. Um homem de 63 anos com doença de Caroli monolobar tratado com tratamento conservador é apresentado com revisão da literatura. O doente deu entrada no serviço de urgência por dor epigástrica cólica, com 6 horas de evolução, com irradiação dorsal e exame físico normal. A história médica pregressa incluía polipose cólica, doença pulmonar 0bstrutiva crónica e hiperplasia benigna da Prostata. A investigação clínica revelou dilatação cística infracentimétrica das vias biliares intra-hepáticas à esquerda sugestiva de doença de Caroli. Apesar de ter uma incidência rara, a doença de Caroli deve ser considerada em doentes com colangite recorrente. O diagnóstico de doença de Caroli baseia-se principalmente em estudos de imagem. O tratamento deve ser personalizado e multidisciplinar

Caracterização do sector dos recursos energéticos marinhos para Portugal continental

Tese de mestrado, Engenharia da Energia e do Ambiente, Universidade de Lisboa, Faculdade de Ciências, 2010This paper aims to characterize the sector of marine energy resources in Portugal with the final goal of becoming a support instrument in decision making by the Direcção Geral de Energia e Geologia in relation to these issues. The document begins by presenting the characterization of the energy resource made by the Laboratório Nacional de Energia e Geologia in terms of wind energy and in terms of wave energy. Next is presented an analysis of technological solutions that are available or under development in order to be able to identify some of its basic features. After a technological approach analysis is needed related to foundations, moorings and submarine cable because they are essential components for the operation of marine renewable energy equipment. The industry and services necessary to implement this kind of equipment are also subject to analysis with particular relevance to ports, shipyards and also electrical substations. Other issues such as installation and maintenance of such equipment are also addressed. The analysis of the R&D phase in which it is the exploitation of marine energy resources is done in order to be able to use this document as an information source and basis for future developments involving this issue. The approach has been made with a guiding character leaving place for discussion of various issues related to these marine renewable energy.Este documento visa a caracterização do sector dos recursos energéticos marinhos para Portugal continental com o objectivo final de se tornar um instrumento de apoio à tomada de decisão por parte da Direcção Geral de Energia e Geologia no que concerne a essas questões. O documento começa por apresentar a caracterização do recurso energético feita pelo Laboratório Nacional de Energia e Geologia tanto em termos de recurso energético eólico como em termos de recurso energético das ondas. Seguidamente é apresentada uma análise das soluções tecnológicas disponíveis ou que estão em fase de desenvolvimento de maneira a conseguir identificar alguns dos seus traços fundamentais. Após esta análise tecnológica é necessária uma abordagem relacionada com fundações, amarrações e cabo submarino pelo facto de serem componentes essenciais para o funcionamento dos equipamentos de energia renovável marinha. A indústria e os serviços necessários à implementação de equipamentos deste género são também motivo de análise sendo dada especial relevância aos portos, aos estaleiros navais e também às subestações da rede eléctrica. Outras questões como a instalação e manutenção destes equipamentos são também abordadas. A análise da fase de desenvolvimento em que se encontra a exploração dos recursos energéticos marinhos é feita de maneira a ser possível utilizar este documento como fonte de informação para futuros desenvolvimentos que envolvam esta temática. A abordagem utilizada tem um carácter orientador deixando espaço para a discussão dos vários assuntos referidos relacionados com a energia renovável marinha

CT maxillary sinus evaluation: a retrospective cohort study

Background: Proximity of the dental roots to the sinus floor makes dental disease a probable cause of maxillary sinusitis. The aim of this study was to find out if maxillary sinus pathologic changes were more prevalent in patients with dental disease and to evaluate the performance of computed tomography (CT) in analyzing and detecting apical periodontitis and other odontogenic causes on the maxillary sinusitis etiology in a Portuguese Caucasian population. Material and Methods: Retrospective cohort study. The total sample of 504 patients and their CT was included in this study. The patients were from a private dental clinic, specializing in oral surgery, where the first complaint was not directly related to sinus disease, but with dental pathology. For each patient, the etiological factors of maxillary sinusitis and the imaging CT findings were analyzed. All the axial, coronal and sagittal CT slices were evaluated and general data were registered. The latter was selected based on the maxillary sinus CT published literature. Results: 32.40% of patients presented normal sinus (without any etiological factor associated), 29.00% showed presence of etiological and imaging findings in the maxillary sinus, 20.60% had only imaging changes in the maxillary sinus and 18.00% of patients presented only etiological factors and no change in the maxillary sinus. Conclusions: Radiological imaging is an important tool for establishing the diagnosis of maxillary sinus pathology. These results indicate that the CT scan should be an excellent tool for complement the odontogenic sinusitis diagnosis

Portfolio management with semi-parametric bootstrapping

Estimation risk is an important topic within the area of risk management. Uncertanties on the parameter estimates carry on to the ¯nal statistical product, for example to the investment strategies, and need to be estimated and accounted for. Unless the exact expressions for the estimators' variances are known, the product's variability will be assessed through bootstrap techniques. We address this issue in this paper and propose a semiparametric bootstrap method for reproducing the data, a method which parametrically takes care of all marginal characteristics of the returns data, and also takes care of the dependence structure existing in the data in a very simple and clever non-parametric way. The technique is applied to the problem of assessing variability of the Markowitz e±cient frontier. Simulation experiments are conducted to assess the out-of-sample forecasting usefulness of the semi-parametric bootstrap methodology.Indisponíve

Regional rainfall thresholds for landslide occurrence using a centenary database

This work proposes a comprehensive method to assess rainfall thresholds for landslide initiation using a centenary landslide database associated with a single centenary daily rainfall data set. The method is applied to the Lisbon region and includes the rainfall return period analysis that was used to identify the critical rainfall combination (cumulated rainfall duration) related to each landslide event. The spatial representativeness of the reference rain gauge is evaluated and the rainfall thresholds are assessed and calibrated using the receiver operating characteristic (ROC) metrics. Results show that landslide events located up to 10 km from the rain gauge can be used to calculate the rainfall thresholds in the study area; however, these thresholds may be used with acceptable confidence up to 50 km from the rain gauge. The rainfall thresholds obtained using linear and potential regression perform well in ROC metrics. However, the intermediate thresholds based on the probability of landslide events established in the zone between the lower-limit threshold and the upper-limit threshold are much more informative as they indicate the probability of landslide event occurrence given rainfall exceeding the threshold. This information can be easily included in landslide early warning systems, especially when combined with the probability of rainfall above each threshold.info:eu-repo/semantics/publishedVersio

Spectrophotometric analysis of dental bleaching after bonding and debonding of orthodontic brackets

Abstract Introduction: The aim of this study was to evaluate the bleaching effect after aging sim- ulation in teeth submitted to bonding and debonding of orthodontic brackets. Materials and methods: For this study, 90 human premolars were selected, and randomly divided into 6 groups: control, bleaching, and other 4 groups submitted to bleaching after bonding and debonding brackets using different methods. Color measurement of sample through the CIE L*a*b* system was performed in three moments: T1 – after brackets debonding, T2 – after staining cycling, and T3 – after bleaching. For evaluation of results among the components L*, a* and b*, the two criteria analysis of variance and the multiple comparison Tukey test (p < 0.05) were used. Results: Statistically significant difference was observed among the groups submitted to brackets bonding and debonding through self-conditioning adhesive system and tungsten drill, also the con- trol and bleaching groups between the moments T1 e T2. Conclusion: Bonding and debonding brackets methods tested in this study showed influence on the sample color change, and after the tooth bleaching process, only the group without brackets previous bonding achieved the color value presented before the staining and aging of samples in the brackets absence

Expropriation risk, investment decisions and economic sectors

We build a Real Options model to assess the importance of private provisionand the impact of expropriation risk on investment timing, investmentvolumes, governmental costs and social welfare. We consider two types ofbusinesses (essential and non essential businesses) and two stages (operatingand investment opportunities), and answer questions regarding three maintopics: the firm's reaction to expropriation risk, the government drivers toexpropriate, and the costs this generates in terms of welfare. We find thatthe firm makes suboptimal investment decisions. When we endogenize thereputational costs of expropriation, results show that the decision of the governmentregarding the level of political risk will largely depend on the typeof business. However, in terms of welfare it is never optimal to expropriat