Portfolio delegation under short-selling constraints

In this paper we study delegated portfolio management when the manager's ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with incentives to gather information. The risk-averse manager's optimal effort is an increasing function of her share in the portfolio's return. This result affects the risk-averse investor's optimal contract decision. The first best, purely risk-sharing contract is proved to be suboptimal. Using numerical methods we show that the manager's share in the portfolio return is higher than the „rst best share. Additionally, this deviation is shown to be: (i) increasing in the manager's risk aversion and (ii) larger for tighter short-selling restrictions. When the constraint is relaxed the optimal contract converges towards the first best risk sharing contract.Third best effort, linear performance-adjusted contracts, short-selling constraints

Asset pricing implications of benchmarking: A two-factor CAPM

In this paper we consider the equilibrium effects of an institutional investor whose performance is benchmarked to an index. In a partial equilibrium setting, the objective of the institutional investor is modeled as the maximization of expected utility (an increasing and concave function, in order to accommodate risk aversion) of final wealth minus a benchmark. In equilibrium this optimal strategy gives rise to the two-beta CAPM in Brennan (1993): together with the market beta a new risk-factor (that we call active management risk) is brought into the analysis. This new beta is deffined as the normalized (to the benchmark's variance) covariance between the asset excess return and the excess return of the market over the benchmark index. Different to Brennan, the empirical test supports the model's predictions. The cross-section return on the active management risk is positive and signifficant especially after 1990, when institutional investors have become the representative agent of the market.Asset pricing, benchmark portfolio, relative performance

Keeping up with the Joneses: An international asset pricing model

We derive an international asset pricing model that assumes local investors have preferences of the type "keeping up with the Joneses." In an international setting investors compare their current wealth with that of their peers who live in the same country. In the process of inferring the country's average wealth, investors incorporate information from the domestic market portfolio. In equilibrium, this gives rise to a multifactor CAPM where, together with the world market price of risk, there exists country-speciffic prices of risk associated with deviations from the country's average wealth level. The model performs signifficantly better, in terms of explaining cross-section of returns, than the international CAPM. Moreover, the results are robust, both for conditional and unconditional tests, to the inclusion of currency risk, macroeconomic sources of risk and the Fama and French HML factor.Consumption externalities, multifactor asset pricing model

The role of institutional investors in international trading: an explanation of the home bias puzzle

We postulate that the growing participation of institutional investors in capital markets along with their particular o~jective function might help to explain the home equity bias puzzle. We model an institutional investor as a risk averse investor that has access to international financial marckets and tries to maximize expected utility resulting from the difference between final wealth and an exogenously given index formed exlusively by domestic securities (the benchmark index); we show that for some values of the covariances and betas, this objective will induce a home bias. We study the effects of this optimal strategy on a simple one-period equilibrium and obtain a multibeta CAPM; as a novelty, one of the betas is refered to the excess return of the benchmark index. We test this model using data from six countries and we show that the index helps to explain the excess return of domestic securites. This effect is obvious when we compare a recent subperiod (when institutional investors have a larger weight in capital markets) with a previous subperiod

An Intelligent Traction Control for Motorcycles

The appearance of anti-lock braking systems (ABS) and traction control systems (TCS) have been some of the most major developments in vehicle safety. These systems have been evolving since their origin, always keeping the same objective, by using increasingly sophisticated algorithms and complex brake and torque control architectures. The aim of this work is to develop and implement a new control model of a traction control system to be installed on a motorcycle, regulating the slip in traction and improving dynamic performance of two-wheeled vehicles. This paper presents a novel traction control algorithm based on the use of Artificial Neural Networks (ANN) and Fuzzy Logic. An ANN is used to estimate the optimal slip of the surface the vehicle is moving on. A fuzzy logic control block, which makes use of the optimal slip provided by the ANN, is developed to control the throttle position. Two control blocks have been tuned. The first control block has been tuned according to the experience of an expert operator. The second one has been optimized using Evolutionary Computation (EC). Simulation shows that the use of EC can improve the fuzzy logic based control algorithm, obtaining better results than those produced with the control tuned only by experience.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

Estimating the COVID-19 cash crunch: Global evidence and policy

In this paper, we investigate how the COVID-19 health crisis could affect the liquidity of listed firms across 26 countries. We stress-test three liquidity ratios for each firm with full and partial operating flexibility in two simulated distress scenarios corresponding to drops in sales of 50% and 75%, respectively. In the most adverse scenario, the average firm with partial operating flexibility would exhaust its cash holdings in about two years. At that point, its current liabilities would increase, on average, by eight times, suggesting that the average firm would have to resort to the debt market to prevent a liquidity crunch. Moreover, about 1/10th of all sample firms would become illiquid within six months. Finally, we study two different fiscal policies, tax deferrals and bridge loans, that governments could implement to mitigate the liquidity risk. Our analysis suggests bridge loans are more cost-effective to prevent a massive cash crunch. (C) 2020 The Author(s). Published by Elsevier Inc

The Role of Aerosol Concentration on Precipitation in a Winter Extreme Mixed-Phase System: The Case of Storm Filomena

Aerosol concentration, size and composition are fundamental in hydrometeor formation processes. Meteorological models often use prescribed aerosol concentrations and a single substance. In this study, we analyze the role of aerosol concentration, acting both as CCN and IN, in the development of precipitation in a mixed phase system in numerical weather simulations. To this end, Storm Filomena was selected as the case study. In such a mixed-phase system, the coexistence of supercooled water with ice crystals, as well as the particular existence of a thermal inversion, led to the formation of precipitation in the form of rain, snow and graupel. Several high resolution experiments varying the fixed background aerosol concentration as well as a simulation with an interactive aerosol calculation were performed by means of the WRF-Chem model, using the same physics suite, domain and driving conditions. Results show that the total precipitation remains basically unaltered, with maximum changes of 5%; however, the production of snow is heavily modified. The simulation with maximum prescribed aerosol concentration produced 27% more snow than the interactive aerosol simulation, and diminished the graupel (74%) and rain production (28%). This redistribution of precipitation is mainly linked to the fact that under fixed ice crystal population the variation of aerosol concentration translates into changes in the liquid water content and droplet size and number concentration, thus altering the efficiency of precipitation production. In addition, while modifying the prescribed aerosol concentration produces the same precipitation pattern with the concentration modulating the precipitation amount, interactive aerosol calculation leads to a different precipitation pattern due to the spatial and temporal variability induced in the dynamical aerosol distribution

Influence of climate change scenarios on health safety limits for the presence of atmospheric Benzo[a]Pyrene in Europe

Ponencia presentada en: IX Congreso de la Asociación Española de Climatología celebrado en Almería entre el 28 y el 30 de octubre de 2014.[ES]El impacto del cambio climático en la calidad del aire a largo plazo es un factor que no se está considerando actualmente en los planes de mejora de la calidad del aire establecidos por las diferentes administraciones regionales, nacionales y europeas. Por tanto, es necesario actualizar la información disponible sobre contaminantes orgánicos persistentes (COP) con el fin de incluir los impactos climáticos regionales sobre la calidad del aire. El uso de nuevos modelos climáticos/transporte químico con alta resolución nos permite obtener resultados en periodos climáticamente significativos. Con este objetivo, se ha caracterizado, para el escenario SRES A2, cómo el cambio climático afecta a las concentraciones de fondo de benzo(a)pireno (BaP), un producto químico cancerígeno para los que existen ciertas directrices sobre sus niveles. Pero, sobre todo, se desea estudiar cómo (y dónde) las zonas que superan umbrales peligrosos para la salud sufren de la influencia del cambio climático sobre el continente europeo.[EN]The impact of climate change on air quality in the long term is a factor that is not currently being considered in plans to improve air quality in the different regional, national and European administrations. It is therefore necessary to update the information currently available on persistent organic pollutants (POPs) to include regional climatic impacts on air quality, using new regional climate/chemistry transport models with high resolution that allow the establishment of the climate impacts on persistent pollutants, considering the results for significant periods. To this aim, we have characterised, for SRES A2 scenario, how climate change affects background concentrations of benzo(a)pyrene (BaP), a carcinogenic chemical for which some guidelines and legislation already exist. But above all, how (and where) would these current health safety concentration thresholds suffer from the influence of different scenarios outlined for the European continent

Opiáceos intratecales y depresión respiratoria: ¿un mito en obstetricia?

ResumenLa adición de opiáceos a la bupivacaína para la anestesia raquídea ha demostrado mejorar la calidad de esta por la acción del fentanilo y prolongar la analgesia postoperatoria por el efecto de la morfina. Los efectos secundarios, en particular la depresión respiratoria, han impedido la generalización de su uso. Los estudios no son consistentes en cuanto a la incidencia de depresión respiratoria por la variedad de definiciones sobre esta complicación y las dosis de opiáceos empleadas. Las bajas dosis utilizadas actualmente no producen mayor depresión respiratoria que los opiáceos parenterales. Los altos niveles de progesterona, un potente estimulante respiratorio, hacen seguro el empleo de opiáceos neuroaxiales en escenarios como la anestesia o la analgesia obstétricas, por lo que no deberían omitirse.AbstractThe addition of opioids to bupivacaine for spinal anesthesia has been shown to improve quality of anesthesia by the action of fentanyl, and extend postoperative analgesia by the effect of morphine. Side effects, particularly respiratory depression, have prevented their widespread use. Studies are not consistent regarding the incidence of respiratory depression due to the variety of definitions of this complication and the doses of opioids used. Low dose regimens currently used do not produce further respiratory depression than parenteral opioids. The high levels of progesterone, a potent respiratory stimulant, makes safe the use of neuroaxial opioids in scenarios such as obstetrical anesthesia or analgesia, hence their use should not be overlooked

Criticality Analysis for Maintenance Purposes: A Study for Complex In‐service Engineering Assets

The purpose of this paper is to establish a basis for a criticality analysis, considered here as a prerequisite, a first required step to review the current maintenance programs, of complex in‐service engineering assets. Review is understood as a reality check, a testing of whether the current maintenance activities are well aligned to actual business objectives and needs. This paper describes an efficient and rational working process and a model resulting in a hierarchy of assets, based on risk analysis and cost–benefit principles, which will be ranked according to their importance for the business to meet specific goals. Starting from a multicriteria analysis, the proposed model converts relevant criteria impacting equipment criticality into a single score presenting the criticality level. Although detailed implementation of techniques like Root Cause Failure Analysis and Reliability Centered Maintenance will be recommended for further optimization of the maintenance activities, the reasons why criticality analysis deserves the attention of engineers and maintenance and reliability managers are precisely explained here. A case study is presented to help the reader understand the process and to operationalize the mode