On Equilibrium Prices in Continuous Time

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices

A stochastic spreadsheet model analysing investment options for the development of pasture on beef cattle farms : a dissertation submitted in partial fulfilment of the requirements for the degree of Master in Applied Science at Massey University

The decision to proceed with farm development to increase animal production is complex. Standalone personal computer software to study either the financial or physical aspects of farm development is available, but models which integrate these components and account for the risks associated with the investment are not. A stochastic spreadsheet (Microsoft Excel®) model was therefore developed to predict the profitability, feasibility and risk of pasture development for two case farms: one in southern Brazil and the other near Wanganui in New Zealand. Pasture was developed at different rates for each farm and the model was used to predict the associated physical and financial changes over-time and a probability distribution of the net present values (NPV) of the net operating profit after tax and before interest (NOPAT) relative to the status quo situation. The extra pasture was used solely for increasing beef cattle production. On the Brazilian case farm the development of 2,263 ha at two rates was studied. The continuation of the status quo had first degree stochastic dominance in terms of the NPV over both development rates; it was superior by about NZ$46.000 for the 200 ha/y option and ca. NZ$ 110.000 for the 500 ha/y option at a 16% discount rate. However, at a 6% discount rate the 500 ha/y development rate had first degree stochastic dominance in terms of the NPV over both the continuation of the status quo (by about NZ$960.000) and the 200 ha/y option (ca. NZ$ 120.000). This indicates that pasture development could proceed profitability if interest rates continue to fall in Brazil as predicted. For the New Zealand case farm the development of 247 ha at 50 ha/y had first degree stochastic dominance over the 25 ha/y (ca. NZ$24,000) and continuation of the status quo (ca. NZ$ 208.000) at a 6% discount rate. Pasture development should therefore continue. Stochastic analysis of the pasture development investment options gave a better insight into the likely outcomes for a project, and provides the farmer with more information for making a decision on whether, and how. to proceed with farm development. The model could easily be adapted for studying farm development with respect to other types of livestock enterprises Keywords: pastures, development, risk, feasibility, profitability, model

Carbohydrate-based 1,3-oxazoline-2-thiones as original bioactive structures:synthesis and reactivity

Tese de doutoramento, Química (Química Orgânica), 2009, Universidade de Lisboa, Faculdade de CiênciasDisponível no document

Constrained efficiency without commitment

We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constrained Pareto efficiency without assuming that there are uniform gains to trade. Our results extend those in Bloise and Reichlin (2011) in several aspects

Azores tourism product perceptions : the Influence of the country of origin

This study focused on the Autonomous Region of the Azores (ARA), which has some features that are considered favorable to the development of tourism and to the interest in the tourism product. However, the region’s geographical dispersion, its high dependence on transportation and the seasonality of the industry constrain its development. The present research aimed to assess tourists’ perception of certain costs (living, accommodation, plane ticket, and transportation to/from the airport), and whether these differ between tourists of different nationalities. The findings show that tourists, both residents and non-residents, have the perception that the cost of living and of the plane ticket are high, while the cost of accommodation and of transportation to the airport is considered normal by most respondents. We concluded that the models differ when applied to residents and non-residents. For non-residents, living in certain countries induces them to express differences in the perception of the costs studied, when compared to individuals that live in other countries.N/

Endogenous debt constraints in collateralized economies with default penalties

In infinite horizon financial markets economies, competitive equilibria fail to exist if one does not impose restrictions on agents' trades that rule out Ponzi schemes. When there is limited commitment and collateral repossession is the unique default punishment, Araujo, Páscoa and Torres-Martínez (2002) proved that Ponzi schemes are ruled out without imposing any exogenous/endogenous debt constraints on agents' trades. Recently Páscoa and Seghir (2009) have shown that this positive result is not robust to the presence of additional default punishments. They provide several examples showing that, in the absence of debt constraints, harsh default penalties may induce agents to run Ponzi schemes that jeopardize equilibrium existence.The objective of this paper is to close a theoretical gap in the literature by identifying endogenous borrowing constraints that rule out Ponzi schemes and ensure existence of equilibria in a model with limitedcommitment and (possible) default. We appropriately modify the definition of finitely effective debt constraints, introduced by Levine and Zame (1996) (see also Levine and Zame (2002)), to encompass models with limited commitment, default penalties and collateral. Along this line, we introduce in the setting of Araujo, Páscoa and Torres-Martínez (2002), Kubler and Schmedders (2003) and Páscoa and Seghir (2009) the concept of actions with finite equivalent payoffs. We show that, independently of the level of default penalties, restricting plans to have finite equivalent payoffs rules out Ponzi schemes and guarantees the existence of an equilibrium that is compatible with the minimal ability to borrow and lend that we expect in our model.An interesting feature of our debt constraints is that they give rise to budget sets that coincide with the standard budget sets of economies having a collateral structure but no penalties (as defined in Araujo,Páscoa and Torres-Martínez (2002)). This illustrates the hidden relation between finitely effective debt constraints and collateral requirements.

Large economies with differential information and without free disposal.

We consider exchange economies with a continuum of agents and differential information about finitely many states of nature. It was proved in Einy, Moreno, and Shitovitz (2001) that if we allow for free disposal in the market clearing (feasibility) constraints then an irre- ducible economy has a competitive (or Walrasian expectations) equilibrium, and moreover, the set of competitive equilibrium allocations coincides with the private core. However when feasibility is defined with free disposal, competitive equilibrium allocations may not be in- centive compatible and contracts may not be enforceable (see e.g. Glycopantis, Muir, and Yannelis (2002)). This is the main motivation for considering equilibrium solutions with exact feasibility. We first prove that the results in Einy, Moreno, and Shitovitz (2001) are still valid without free-disposal. Then, motivated by the issue of contracts’ execution, we adapt the incentive compatibility property introduced in Krasa and Yannelis (1994) and we prove that every Pareto optimal exact feasible allocation is incentive compatible, implying that contracts of competitive or core allocations are enforceable.Large exchange economies; Incentive Compatibility; Competitive and Core Allocations; Differential information;

Existence and Uniqueness of a Fixed-Point for Local Contractions

This paper proves the existence and uniqueness of a fixed-point for local contractions without assuming the family of contraction coefficients to be uniformly bounded away from 1. More importantly it shows how this fixed-point result can apply to study existence and uniqueness of solutions to some recursive equations that arise in economic dynamics.