Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility

We introduce ambiguity about the variance of the risky asset's return in the model of Chacko and Viceira (2005) for dynamic consumption and portfolio choice with stochastic variance. We find that, with investors being able to update their portfolio continuously (as a function of the instantaneous variance), ambiguity has no impact. To shed some light on the case in which continuous portfolio updating is not possible, we also evaluate the effect of ambiguity when investors must use their expectation of future variance for their portfolio decision. In the latter scenario, demand for the risky asset can be decomposed into three components: myopic and intertemporal hedging demands (as in Chacko and Viceira (2005)) and ambiguity demand. Using long-run US data, Chacko and Viceira (2005) found that intertemporal hedging demand is empirically small, suggesting a low impact of stochastic variance on portfolio choice. Using the same calibration, we find that ambiguity demand may be very high, much more than intertemporal hedging demand. Therefore, stochastic variance can be very relevant for portfolio choice, not because of the variance risk, but because of investors' ambiguity about variance.Asset Allocation, Stochastic Volatility, Ambiguity

A Panel ARDL Approach

Gross Domestic Product (GDP) has been the most widely accepted measure of economic performance, but it fails to accurately measure economic development, overlooking key aspects of quality of life and sustainability. Over the last few years, concern about the future of our planet and sustainability of human activity rose among public eye and political institutions, due to the increased natural resources exploitation, and the intensification and deepening of globalization. Thereby, the Index of Sustainable Economic Welfare (ISEW) emerges as the dominant alternative. This paper aims to: (i) compare both GDP and ISEW as measures of economic performance; and (ii) establish the effects of natural resources exploitation, and globalization on both economic growth and sustainable development. The research question is: Are globalization and natural resources exploitation harmful to economic development? Diagnostic tests show presence of cross-section dependence, heteroskedasticity and serial correlation. Thus, Driscoll-Kraay estimator is performed due to its robustness in the presence of these phenomena. A Panel Autoregressive Distributed Lag approach is used, which allows to check for short and long-term effects of the variables. The panel is composed by 14 OECD countries, and uses annual data for the time span from 1995 to 2013. Results show that natural resource rents have a positive effect on GDP per capita in the short-run and a negative effect on ISEW per capita both on short- and long-run. These results reveal that enhancing GDP does not account for the impacts of changes in natural capital and that natural resource exploitation may represent a hazard to sustainable development. Trade openness has a positive impact on short-term economic growth and a negative impact on long-term sustainable development. Other results show that social globalization has a positive impact on long-term economic growth and that political integration is positive for economic welfare. Policy makers ought to consider ISEW as an alternative and more accurate measure of economic development, should implement policies that reduce the depletion of natural resources, and confine the harmful effects of globalization to enhance economic development and create more welfare.O Produto Interno Bruto (PIB) tem sido a medida mais aceite de desempenho económico, apesar de não medir com exatidão o desenvolvimento económico, ignorando aspetos-chave da qualidade de vida e sustentabilidade. Ao longo dos últimos anos, a preocupação com o futuro do nosso planeta e a sustentabilidade da atividade humana tem-se tornado foco das instituições públicas e políticas, devido à crescente exploração dos recursos naturais e à intensificação e aprofundamento da globalização. Deste modo, o Índice de Bem-estar Económico Sustentável (ISEW) surge como a alternativa dominante. Este artigo procura: (i) comparar o PIB e o ISEW enquanto medidas de performance económica; e (ii) identificar os efeitos resultantes da exploração de recursos naturais e do fenómeno da globalização tanto no crescimento económico como no desenvolvimento sustentável. A questão de investigação é: serão a globalização e a exploração dos recursos naturais prejudiciais ao desenvolvimento económico? Testes de diagnóstico revelam a presença de cross-sectional dependence entre as variáveis, heterocedasticidade e auto-correlação. Assim, o estimador Driscoll-Kraay é utilizado devido à sua robustez na presença destes fenómenos. A abordagem Panel Autoregressive Distributed Lag é utilizada, permitindo assim verificar os efeitos de curto e longo prazo. O painel é composto por 14 países desenvolvidos, membros da OCDE, e são utilizados dados anuais para o horizonte temporal compreendido entre 1995 e 2013. Os resultados obtidos mostram que as receitas provenientes dos recursos naturais têm um efeito positivo no PIB per capita no curto prazo, enquanto que no ISEW se verifica um efeito negativo tanto no curto como a longo prazo. Estes resultados demonstram que o aumento do PIB não tem em conta os impactos das mudanças no capital natural e que a exploração de recursos naturais pode constituir um entrave ao desenvolvimento sustentável. A abertura comercial tem um impacto positivo para o crescimento económico no curto prazo e um impacto negativo no desenvolvimento sustentável de longo prazo. Outros resultados revelam que a globalização social tem um impacto positivo no crescimento económico a longo prazo e que a integração política é positiva para o bem-estar económico. Os formuladores de políticas devem considerar o ISEW como uma medida alternativa e mais precisa do desenvolvimento económico, devendo implementar políticas que reduzam o desgaste dos recursos naturais, e limitar os efeitos nocivos da globalização para melhorar o desenvolvimento económico e criar mais bem-estar para as populações

Manual asymmetries in bimanual isochronous tapping tasks in children

Mestrado em Desenvolvimento da Criança na Variante de Desenvolvimento MotorThe reasons why some people use preferably one hand to perform everyday tasks instead of the other are still the object of study of many investigators. Even if ambidexterity would seem an advantage, the fact is, even small babies show preferences for one side over the other on their most basic movements. These lateral asymmetries are always present but suffer fluctuations throughout life and even from one activity to another, performed minutes later. A very common and effective way of studying manual asymmetries is through tapping tasks, following and adapting the models of authors like Stevens (1886) and Wing and Kristofferson (1973). These authors showed the scientific community that the synchronization-continuation experiments were valid and could be used to investigate the process of timekeeping and a variety of different aspects related to motor control. Our work was based on these previous investigations and has the purpose of analyzing the ability of keeping a rhythm, in children on a bimanual tapping task, as well as the manual asymmetries displayed while doing so. The children's performance was compared to that of adult musicians, who are expected to have a better than average performance on this type of tasks