Performance of VIX straddle and strangle strategies in portfolio management

Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementVolatility products have seen a growth in trading volume, partly due to the interesting characteristics these products demonstrate in relation to the market. The Chicago Board Options Exchange’s S&P 500 Volatility Index (VIX) is seen as a fear gauge and as such is normally used to hedge against big drops in market value as a form of insurance for a portfolio. This thesis extends the original Dash and Moran framework and tests new ways to use the exchange traded product associated with VIX. I study whether VIX option strategies, in specific Straddle and Strangle, can improve the risk adjusted performance of a portfolio of stocks, bonds, and commodities. The study takes place between the periods of 2006 and 2013 and relies on simulations of different portfolio combinations including the main instrument (equity, bond or commodity) and a percentage invested in the VIX strategy. We find that, in general, straddle strategies are not recommended since we obtain a lower volatility and Value-at-Risk with the impact of much lower returns making it an unattractive investment for any investor. On the other hand, the strangle strategy shows improvements in the overall performance of the equity and commodities portfolios mainly in the periods during which securities prices fall and with a low allocation to the strategy (lower than 2%) and highly Out-of-the-Money

Transceiver for an Unmanned Airborne Vehicle

This paper describes a transmission/reception (transceiver) system for the 456MHz - 459MHz band, which allows data communication between a ground station and an unmanned airborne vehicle. The transceiver makes use of quadrature frequency translation techniques, coherent indirect methods for signal generation and supports input signals with several types of modulation. The intermodulation products harmonics and spurious signals are 60dB below the carrier for an output power of 6dBm. The receiver has a sensitivity of -110dBm, a dynamic range of 80dB and an image rejection better than 28dB. The central frequency and the tune steps (100kHz) are digitally controlled by a PLL-based synthesizer. The transceiver draws 500mA from a ±12V supply. These characteristics were found to be good enough for the application referred above

Up imagéticos : o cinema e a revolução da imagem

Orientação: Gisele Klieman

Resposta cardíaca e nível de ansiedade em homicidas psicopatas

OBJECTIVE: To compare the emotional response and level of anxiety of psychopathic murderers, non-psychopathic murderers, and nonpsychopathic non-criminals. METHOD: 110 male individuals aged over 18 years were divided into three groups: psychopathic murderers (n = 38); non-psychopathic murderers (n = 37) serving sentences for murder convictions in Maximum Security Prisons in the State of Sao Paulo; and non-criminal, non-psychopathic individuals (n = 35) according to the Psychopathy Checklist-Revised. The emotional response of subjects was assessed by heart rate variation and anxiety level (State-Trait Anxiety Inventory) after viewing standardized pictures depicting pleasant, unpleasant and neutral content from the International Affective Picture System. RESULTS: Psychopathic murderers presented lower anxiety levels and smaller heart rate variations when exposed to pleasant and unpleasant stimuli than nonpsychopathic murderers or non-psychopathic non-criminals. The results also demonstrated that the higher the score for factor 1 on the Psychopathy Checklist-Revised, the lower the heart rate variation and anxiety level. CONCLUSION: The results suggest that psychopathic murderers do not present variation in emotional response to different visual stimuli. Although the non-psychopathic murderers had committed the same type of crime as the psychopathic murderers, the former tended to respond with a higher level of anxiety and heart rate variation.OBJETIVO: Comparar a atividade cardíaca e nível de ansiedade de homicidas psicopatas e não psicopatas e não criminosos não psicopatas. MÉTODO: 110 homens com idade superior a 18 anos, divididos em três grupos: homicidas psicopatas (n = 38), homicidas não psicopatas (n = 37) cumprindo pena por homicídio em Prisões de Segurança Máxima do Estado de São Paulo e não criminosos e não psicopatas (n = 35) de acordo com a Escala de Avaliação de Psicopatia. A resposta emocional foi avaliada pela variação da freqüência cardíaca e níveis de ansiedade após a observação por seis segundos de imagens padronizadas de diferentes conteúdos emocionais (agradáveis, desagradáveis e neutras) do International Affective Picture System. RESULTADOS: Homicidas psicopatas apresentaram menores níveis de ansiedade e menor variação de frequência cardíaca quando expostos a estímulos agradáveis que os homicidas não psicopatas e o grupo de não criminosos e não psicopatas. Os resultados demonstram ainda que quanto maior o escore no fator 1 da Escala de Avaliação de Psicopatia, menor é a variação cardíaca e o nível de ansiedade. CONCLUSÃO: Os resultados sugerem que homicidas psicopatas não apresentam variação da resposta emocional frente aos diferentes estímulos visuais. Embora os homicidas não psicopatas compartilhem do mesmo tipo crime que os psicopatas, estes tendem a responder com maior nível de ansiedade e variação cardíaca

Construções adverbiais com -mente no livro didático de português: uma análise funcional

This research investigates how adverbial constructions are approached in Portuguese textbooks and also establishes dialogues between traditional x functional positions about teaching and linguistic analysis. Based on the observation that adverbial processes are clearly quite complex and, even so, more recurrent in the language than traditional grammar points out, we adopted Neves' (2013) position as an index to support theoretical approaches. Based on this relationship between language, society and uses, we have the postulates of the functionalist theory (GIVÓN, 2001, HOPPER; TRAUGOTT, 2005), which see language as an instrument of communication. For the development of this work, regarding the methodological procedures, we adopted the exploratory-explanatory research in search of reflections that will result in clarifications in the light of Linguistic Functionalism and Linguistic Analysis, as well as parameterizing official documents. Our considerations started from expositions on how theories and approaches deal with the theme, which dialogues were (not) established, if the conception of grammaticalization is reflected in conceptual constructions and what are the implications for the Teaching of Portuguese Language.Este trabalho investiga como construções adverbiais com -mente são abordadas/apresentadas nos manuais didáticos de português e, ainda, estabelece diálogos entre posicionamentos tradicionais x funcionais referentes ao ensino e à analise linguística. Partindo da constatação de que os processos adverbiais com - mente são bastante complexos e, mesmo assim, mais recorrentes na língua do que aponta a gramática tradicional, adotamos o posicionamento de Neves (2013) como índice para sustentar as abordagens teóricas. Com base nessa relação entre língua, sociedade e usos, temos os postulados da teoria funcionalista (GIVÓN, 2001, HOPPER; TRAUGOTT, 2005), que concebem a língua como um instrumento de comunicação. Para desenvolvimento deste trabalho, quanto aos procedimentos metodológicos, adotamos a pesquisa exploratória-explicativa pela busca de reflexões que resultarão esclarecimentos à luz do Funcionalismo Linguístico e da Análise Linguística, bem como de documentos oficiais parametrizadores. Nossas considerações partiram de exposições sobre como as teorias e abordagens tratam o tema, quais diálogos (não) foram estabelecidos, se a concepção de gramaticalização é refletida nas construções conceituais e quais as implicaturas para o Ensino de Língua Portuguesa

Construções adverbiais com -mente no livro didático de português: uma análise funcional

This research investigates how adverbial constructions are approached in Portuguese textbooks and also establishes dialogues between traditional x functional positions about teaching and linguistic analysis. Based on the observation that adverbial processes are clearly quite complex and, even so, more recurrent in the language than traditional grammar points out, we adopted Neves' (2013) position as an index to support theoretical approaches. Based on this relationship between language, society and uses, we have the postulates of the functionalist theory (GIVÓN, 2001, HOPPER; TRAUGOTT, 2005), which see language as an instrument of communication. For the development of this work, regarding the methodological procedures, we adopted the exploratory-explanatory research in search of reflections that will result in clarifications in the light of Linguistic Functionalism and Linguistic Analysis, as well as parameterizing official documents. Our considerations started from expositions on how theories and approaches deal with the theme, which dialogues were (not) established, if the conception of grammaticalization is reflected in conceptual constructions and what are the implications for the Teaching of Portuguese Language.Este trabalho investiga como construções adverbiais com -mente são abordadas/apresentadas nos manuais didáticos de português e, ainda, estabelece diálogos entre posicionamentos tradicionais x funcionais referentes ao ensino e à analise linguística. Partindo da constatação de que os processos adverbiais com - mente são bastante complexos e, mesmo assim, mais recorrentes na língua do que aponta a gramática tradicional, adotamos o posicionamento de Neves (2013) como índice para sustentar as abordagens teóricas. Com base nessa relação entre língua, sociedade e usos, temos os postulados da teoria funcionalista (GIVÓN, 2001, HOPPER; TRAUGOTT, 2005), que concebem a língua como um instrumento de comunicação. Para desenvolvimento deste trabalho, quanto aos procedimentos metodológicos, adotamos a pesquisa exploratória-explicativa pela busca de reflexões que resultarão esclarecimentos à luz do Funcionalismo Linguístico e da Análise Linguística, bem como de documentos oficiais parametrizadores. Nossas considerações partiram de exposições sobre como as teorias e abordagens tratam o tema, quais diálogos (não) foram estabelecidos, se a concepção de gramaticalização é refletida nas construções conceituais e quais as implicaturas para o Ensino de Língua Portuguesa

Neuromyelitis optica: a challenging diagnosis at secondary hospital

Known since the 19th century, neuromyelitis optica (NMO), or Devic’s disease, is an idiopathic immune-mediated inflammatory demyelinating disease of the central nervous system selectively affecting the optic nerve and spinal cord. Commonly diagnosed in demyelinating diseases reference centers, we report an 18-year-old female patient who sought medical attention with a 3-month history of weight loss, headache, and vomiting, followed by diplopia, a burning sensation over the lower limbs, and difficulty walking. A few days prior to hospital admission, the muscle strength in her lower limbs became worse and ascended to the upper limbs associated with sensory changes in the trunk and voiding dysfunction. At admission, the neurological examination was consistent with a spinal cord syndrome. After few days of hospitalization, she was tetraplegic with severe signs of brainstem involvement requiring mechanical ventilatory support. Intravenous methylprednisolone and cyclophosphamide were promptly started after ruling out the diagnosis of infectious disease and cord compression. Due to no substantial early improvement, intravenous immunoglobulin was also used. From then on, the neurological status gradually improved. Magnetic resonance imaging showed extensive demyelinating features in the spinal cord, and the serum IgG autoantibody was negative. The patient was referred to a tertiary neurological reference center where she remains under treatment

UMA ANÁLISE DA INFLUÊNCIA DE VALORES PESSOAIS NO PERFIL FINANCEIRO INDIVIDUAL

Este estudo objetivou analisar a influência de valores pessoais em atitudes e comportamentos financeiros. O entrecruzamento da Teoria de Valores Pessoais de Schwartz e a temática de finanças pessoais permitiu o levantamento de hipóteses, as quais foram testadas empiricamente. Dados de 153 indivíduos foram obtidos por meio de um questionário já validado e aplicado em estudos prévios nacional e internacionalmente. Realizaram-se testes estatísticos a fim de explorar correlações entre o perfil financeiro dos participantes e suas características sociodemográficas, bem como explorar quanto da variabilidade do perfil financeiro poderia ser explicado por seus valores pessoais. Os resultados estatisticamente significantes mostraram que alguns valores pessoais foram capazes de predizer parte da variabilidade de atitudes e comportamentos financeiros, achados salutares que contribuem para o avanço desta área do conhecimento, em especial diante do cenário nacional de alto índice de famílias endividadas

Arqueologia do Corpo: Perspectivas sobre Envelhecimento e Doença

Descrição do Simpósio 5 da VI Reunião da SAB Nordeste 202

The epidemiological and clinical features of familial adenomatous polyposis in Ribeirão Preto

AbstractPurposeto study 75 familial adenomatous polyposis (FAP) patients treated in a single insti- tution in Ribeirão Preto/SP, from January 1981 to December 2011.Methodsthis is a retrospective study and the following data were collected: gender, age, main symptoms, familial history, coexisting malignancies, surgical treatment, surgical morbidity and mortality, factors related to life quality.Resultsmedian age was 29 years. Male-to-female ratio was 1.2:1. Bleeding was the most common symptom (62.6%). Colorectal cancer incidence was 25.5% (n = 19). Extracolonic neoplasia incidence was 8%. Colectomy with ileorectal anastomosis (IRA) was performed in 72% of the patients. Eighteen patients (24%) were submitted to proctocolectomy with “J-pouch” ileoanal anastomosis. In three patients (4%) proctocolectomy with terminal il- eostomy was performed. Early and late complication rate were similar (22.7% × 24%). Ileal pouch surgery exhibited tendency to a higher morbidity and mortality but no significance could be found. Overall mortality rate was 7.46%. Malignant neoplasia was the main cause of mortality, accounting for 60% of deaths.ConclusionFAP is a rare pathology in our country. Genetic counseling and proper screening programs are essential tools to early diagnosis and follow-up. Surgery is the most effective treatment and the best option to prevent malignant neoplasia