Non-exact present value relations

One of the most cornmonly used and, at the same time. rejected models in finance and macroeconomics is the exact present value model (PVM), where a variable Yt is expressed as the expected value at time t of the sum of discounted future values of another variable Xt. This paper generalizes the PVM by making it non-exact (NEPVM) in a simple way, allowing us to study situations with time varying discount factors, transitory deviations from the exact PVM, as well as situations with correlated market returns. The proposed NEPVM satisfies all the equilibrium conditions the exact PVM does, but at the same time it is more robust in the sense that rejections produced by the standard volatility and cross-equation restriction tests are not enough to reject the NEPVM. The paper presents the new variance bounds and cross-equation restrictions implied by the NEPVM and it shows how to test them. This paper also shows how to discriminate between the exact PVM and the NEPVM by testing for a deeper level of cointegration: multicointegration. The paper finished by analyzing empirically the cases of stock prices and dividens. short-and long-term interest rates and farmland prices. Although the exact PVM is rejected in the first two examples, as the literature has largely reported, we are unable to reject the NEPVM. This fact, together with the theoretical results contained in the paper, suggests that the pro po sed NEPVM could be compatible with sorne of the empírical findings in the literature

Portfolio choice and the effects of liquidity

This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio selection. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the Sharpe ratio relative to the tangency portfolio, varies significantly with liquidity. Moreover, although mean-variance performance becomes clearly worse, the levels of liquidity on optimal portfolios obtained when there is a positive preference for liquidity are much lower than on those optimal portfolios where investors show no sign of preference for liquidity.Liquidity, mean-variance frontiers, performance, portfolio selection

Rotating and counterrotating relativistic thin disks as sources of stationary electrovacuum spacetimes

A detailed study is presented of the counterrotating model (CRM) for electrovacuum stationary axially symmetric relativistic thin disks of infinite extension without radial stress, in the case when the eigenvalues of the energy-momentum tensor of the disk are real quantities, so that there is not heat flow. We find a general constraint over the counterrotating tangential velocities needed to cast the surface energy-momentum tensor of the disk as the superposition of two counterrotating charged dust fluids. We then show that, in some cases, this constraint can be satisfied if we take the two counterrotating tangential velocities as equal and opposite or by taking the two counterrotating streams as circulating along electro-geodesics. However, we show that, in general, it is not possible to take the two counterrotating fluids as circulating along electro-geodesics nor take the two counterrotating tangential velocities as equal and opposite. A simple family of models of counterrotating charged disks based on the Kerr-Newman solution are considered where we obtain some disks with a CRM well behaved. We also show that the disks constructed from the Kerr-Newman solution can be interpreted, for all the values of parameters, as a matter distribution with currents and purely azimuthal pressure without heat flow. The models are constructed using the well-known "displace, cut and reflect" method extended to solutions of vacuum Einstein-Maxwell equations. We obtain, in all the cases, counterrotating Kerr-Newman disks that are in agreement with all the energy conditions.Comment: 22 pages, 7 figures, Late

A toponimia no "Libro II de Tenzas" (ACS, s. XIV) [Póster]

Póster presentado no II Encontro da Mocidade Investigadora (EDI-USC). Santiago de Compostela, 29-31 xaneiro 201

A comparative study of algorithms for automatic segmentation of dermoscopic images

Melanoma is the most common as well as the most dangerous type of skin cancer. Nevertheless, it can be effectively treated if detected early. Dermoscopy is one of the major non-invasive imaging techniques for the diagnosis of skin lesions. The computer-aided diagnosis based on the processing of dermoscopic images aims to reduce the subjectivity and time-consuming analysis related to traditional diagnosis. The first step of automatic diagnosis is image segmentation. In this project, the implementation and evaluation of several methods were proposed for the automatic segmentation of lesion regions in dermoscopic images, along with the corresponding implemented phases for image preprocessing and postprocessing. The developed algorithms include methods based on different state of the art techniques. The main groups of techniques which have been selected to be studied and implemented are thresholding-based methods, region-based methods, segmentation based on deformable models, as well as a new proposed approach based on the bag-of-words model. The implemented methods incorporate modifications for a better adaptation to features associated with dermoscopic images. Each implemented method was applied to a database constituted by 724 dermoscopic images. The output of the automatic segmentation procedure for each image was compared with the corresponding manual segmentation in order to evaluate the performance. The comparison between algorithms was carried out regarding the obtained evaluation metrics. The best results were achieved by the combination of region-based segmentation based on the multi-region adaptation of the k-means algorithm and the subIngeniería de Sistemas Audiovisuale

Topónimos de base Sarand- e Serant-: unha hipótese etimolóxica común

[Resumo] Este traballo ten por obxectivo abordar a análise etimolóxica dos topónimos de base Sarand- (Sarandeses, Sarandín, Sarandón e Sarandós) e Serant- (Serantellos e Serantes). Para a análise do corpus bótase man das fontes existentes, refutando as diferentes propostas etimolóxicas en base á estrutura lingüística e á presenza documental de cada forma. A hipótese que aquí defendo é que todos estes topónimos teñen unha orixe común, que asenta nun antigo radical indoeuropeo especialmente produtivo en Galicia: *ser-, *sor- ‘fluír, discorrer’.[Abstract] The main aim of this paper is to analyze the etymology of the place names Serantes, Sarandós and their lexical family: Sarandeses, Sarandín, Sarandón, Sarandós, Serantellos and Serantes. Authorized sources are used for the analysis of the corpus, refuting the different etymological proposals based on the structure and documentary presence of each place name. I will try to show that all these place names have the same origin, which is an old european lexeme that abounds in Galicia: *ser-, *sor-, ‘to flow, to gush’

Portfolio choice and the effects of liquidity

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the Sharpe ratio relative to the tangency portfolio, varies significantly with liquidity.When the investor shows no preference for liquidity, the performance of optimal portfolios is relatively more favorable. However, it is also the case that, under no preference for liquidity, these portfolios display lower levels of liquidity. Finally, we also study how the aggregate level of illiquidity affects optimal portfolio selection

Threshold unit root models

One of the main criticisms of unit root models is based on the theoretical fact that economic variables measured in rates cannot have unit roots. Nevertheless, standard unit root tests do not reject the existence of unit roots in many of those variables. In this paper we present a class of threshold models capable of replicating the behavior of economic variables such as unemployment, inflation and interest rates. Depending on the values of a threshold variable these models can have either a unit root or a stable root. However, despite the presence of the unit root, we prove they are stationary and geometrically ergodic. Least squares estimates of the parameters of these models are shown to be consistent and asymptotically normal. We propose the supremum of a e test in order to test the null of no threshold against the alternative of threshold when the threshold value is unknown. The limiting distribution is derived under the null of I (0) as well as under the null of 1(1). Critical values for both asymptotic distributions are computed and a finite sample study of the performance (size and power) of the tests developed in this paper is made. The paper concludes with an application to interest rates