Submitted by Vívian Barja Fidalgo Silva de Andrade (v.barja.andrade@gmail.com) on 2018-04-19T16:13:10Z No. of bitstreams: 1 disseratação mestrado FGV.pdf: 1758950 bytes, checksum: f233c7639e3216dc6c2c473f24625714 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-05-11T15:06:53Z (GMT) No. of bitstreams: 1 disseratação mestrado FGV.pdf: 1758950 bytes, checksum: f233c7639e3216dc6c2c473f24625714 (MD5) / Made available in DSpace on 2018-05-18T19:32:03Z (GMT). No. of bitstreams: 1 disseratação mestrado FGV.pdf: 1758950 bytes, checksum: f233c7639e3216dc6c2c473f24625714 (MD5) Previous issue date: 2015-05-28 / The objective of this work is to verify the hypothesis of convexity in the relationship between performance and funding in the Brazilian multimarket investment funds industry from 2000 to 2013. A total of 4,547 multimarket funds were analyzed, with a minimum of 6 months of existence. Due to the size of the category, we also observe how this relationship is in the subcategories and in two moments: before and after the crisis of 2008. As results, we find a more elastic relationship the higher the performace, corroborating the hypothesis raised. We also show evidence that the crisis had no significant impact on the convexity of the curve. / O objetivo deste trabalho é verificar a hipótese de convexidade na relação entre performance e captação na indústria de fundos de investimento multimercado brasileira no período de 2000 a 2013. Foram analisados 4.547 fundos multimercado, com, no mínimo, 6 meses de existência. Devido à amplitude da categoria, observamos também como é essa relação nas subcategorias e em dois momentos: antes e após a crise de 2008. Como resultados, encontramos uma relação mais elástica quanto maior for a performance, corroborando a hipótese levantada. Também mostramos evidências de que a crise não teve impactos significativos na convexidade da curva.

Submitted by Luciana Ferreira (lucgeral@gmail.com) on 2014-11-25T14:36:31Z No. of bitstreams: 2 Tese - Marcos Leandro Mendes Carvalho - 2013.pdf: 2450216 bytes, checksum: 78d3d3298d2050e0e82310644ecda305 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2014-11-25T14:39:40Z (GMT) No. of bitstreams: 2 Tese - Marcos Leandro Mendes Carvalho - 2013.pdf: 2450216 bytes, checksum: 78d3d3298d2050e0e82310644ecda305 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Made available in DSpace on 2014-11-25T14:39:40Z (GMT). No. of bitstreams: 2 Tese - Marcos Leandro Mendes Carvalho - 2013.pdf: 2450216 bytes, checksum: 78d3d3298d2050e0e82310644ecda305 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2013-09-27 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / In this work we develop arguments on the critical point theory for locally Lipschitz functionals on Orlicz-Sobolev spaces, along with convexity, minimization and compactness techniques to investigate existence of solution of the multivalued equation −∆Φu ∈ ∂ j(.,u) +λh in Ω, where Ω ⊂ RN is a bounded domain with boundary smooth ∂Ω, Φ : R → [0,∞) is a suitable N-function, ∆Φ is the corresponding Φ−Laplacian, λ > 0 is a parameter, h : Ω → R is a measurable and ∂ j(.,u) is a Clarke’s Generalized Gradient of a function u %→ j(x,u), a.e. x ∈ Ω, associated with critical growth. Regularity of the solutions is investigated, as well. / Neste trabalho desenvolvemos argumentos sobre a teoria de pontos críticos para funcionais Localmente Lipschitz em Espaços de Orlicz-Sobolev, juntamente com técnicas de convexidade, minimização e compacidade para investigar a existencia de solução da equação multivalente −∆Φu ∈ ∂ j(.,u) +λh em Ω, onde Ω ⊂ RN é um domínio limitado com fronteira ∂Ω regular, Φ : R → [0,∞) é uma N-função apropriada, ∆Φ é o correspondente Φ−Laplaciano, λ > 0 é um parâmetro, h : Ω → R é uma função mensurável e ∂ j(.,u) é o gradiente generalizado de Clarke da função u %→ j(x,u), q.t.p. x ∈ Ω, associada com o crescimento crítico. A regularidade de solução também será investigada.

Submitted by Luciana Ferreira (lucgeral@gmail.com) on 2017-03-20T15:49:26Z No. of bitstreams: 2 Dissertação - Lucas Gabriel Ferreira da Cunha - 2017.pdf: 1607355 bytes, checksum: 485729a91d466d80865e9d841a306018 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2017-03-20T15:49:42Z (GMT) No. of bitstreams: 2 Dissertação - Lucas Gabriel Ferreira da Cunha - 2017.pdf: 1607355 bytes, checksum: 485729a91d466d80865e9d841a306018 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-03-20T15:49:42Z (GMT). No. of bitstreams: 2 Dissertação - Lucas Gabriel Ferreira da Cunha - 2017.pdf: 1607355 bytes, checksum: 485729a91d466d80865e9d841a306018 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2017-03-03 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / In this work we will present and demonstrate the Diaz & Saá’s Inequality thus like the tools used in their demonstration and we will apply the results obtained in semilinear elliptic problems with limited and not limited domains. We will present necessary and sufficient conditions to show the existence and uniqueness of solution for the following −Δp u = f (x, u) problem type in a limited domain. Moreover, we will also obtain regularity of solution to this problem. Next we will show results relative to the first eigenvalue of a (p, q) − Laplacian system type in R^N . / Neste trabalho apresentaremos e demonstraremos a desigualdade de Díaz & Saá assim como as ferramentas utilizadas em sua demonstração e aplicaremos os resultados obtidos em problemas elípticos semilineares com domínios limitados e não limitados. Exibiremos condições necessárias e suficientes para mostrarmos a existência e a unicidade de solução para um problema do tipo −Δp u = f (x, u) em um domínio limitado, obteremos também a regularidade da solução para esse problema. Em seguida mostraremos resultados relativos ao primeiro autovalor de um sistema do tipo (p, q) − Laplaciano em R^N .

Submitted by Renata Lopes (renatasil82@gmail.com) on 2017-05-18T20:33:53Z No. of bitstreams: 1 alejandrorossiniespinozapenadillo.pdf: 619028 bytes, checksum: 49e9b09f640d339c02aedbdf674716d7 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2017-05-19T14:41:11Z (GMT) No. of bitstreams: 1 alejandrorossiniespinozapenadillo.pdf: 619028 bytes, checksum: 49e9b09f640d339c02aedbdf674716d7 (MD5) / Made available in DSpace on 2017-05-19T14:41:11Z (GMT). No. of bitstreams: 1 alejandrorossiniespinozapenadillo.pdf: 619028 bytes, checksum: 49e9b09f640d339c02aedbdf674716d7 (MD5) Previous issue date: 2017-03-06 / Neste trabalho estudamos alguns resultados da teoria de escalas temporais, as quais são subconjuntos fechados não vazios dos números reais. As escalas temporais são ferramentas eficazes para descrever modelos que envolvem evolução de tempo, onde R e Z são considerados casos particulares, chamados tempo contínuo e tempo discreto, respectivamente. A teoria e aplicações da derivação (delta, nabla e α-diamante) e a integração no sentido de Riemann em escalas temporais tem recebido recentemente uma atenção considerável. O objetivo principal deste trabalho é estudar as funções convexas em escalas temporais e apresentar algumas propriedades como: a convexidade de uma função é uma condição necessária e suficiente para sua subdiferenciabilidade. A subdiferencial de uma função ƒ é dada como um conjunto de certas funções estendidas. Utilizando a convexidade de uma função demonstramos uma versão generalizada da desigualdade de Jensen em escalas temporais através da integral delta. Além disso, apresentamos alguns corolários e uma aplicação em cálculo variacional. / In this work we study some results of the theory of time scales, which are closed nonempty subsets of the real numbers. The time scales represent a powerful tool to describe models which involve evolution of time, where R and Z are considered special cases, called continuous and discrete time respectively. The theory and applications of the derivation (delta, nabla and α-diamond) and the Riemann’s integration in time scales have recently received considerable attention. The main objective of this work is to study convex functions on time scales and to present some properties such as: the convexity of a function is a necessary and sufficient condition for its sub-differentiability. The subdifferential of a function ƒ is given as a set of certain extended functions. Using the convexity of a function we prove a generalized version of Jensen’s inequality on time scales via the delta integral. In addition, we present some corollaries and an application in variational calculus.

There are several methods avaliable to find areas of interest, but most fail at detecting such areas in cluttered scenes. In this paper two methods will be presented and tested in a qualitative perspective. The first is the darg operator, which is used to detect three dimensional convex or concave objects by calculating the derivative of the argument of the gradient in one direction of four rotated versions. The four versions are thereafter added together in their original orientation. A multi scale version is recommended to avoid the problem that the standard deviation of the Gaussians, combined with the derivatives, controls the scale of the object, which is detected. Another feature detected in this paper is rotational symmetries with the help of approximative polynomial expansion. This approach is used in order to minimalize the number and sizes of the filters used for a correlation of a representation of the orientation and filters matching the rotational symmetries of order 0, 1 and 2. With this method a particular type of rotational symmetry can be extracted by using both the order and the orientation of the result. To improve the method’s selectivity a normalized inhibition is applied on the result, which causes a much weaker result in the two other resulting pixel values when one is high. Both methods are not enough by themselves to give a definite answer to if the image consists of an area of interest or not, since several other things have these types of features. They can on the other hand give an indication where in the image the feature is found.

A convertible bond (CB) is a hybrid security possessing the characteristics of both debt and equity. It gives the holder the right to convert the bond into a pre-specified number of shares (usually by the same issuer of the CB) until maturity of the bond, and may also contain additional features such as callability and putability. CB’s along with all hybrid securities are difficult to value due to their uncertain income stream. In this dissertation several convertible bond valuation models are suggested, but with particular attention to the calibration of the underlying inputs into the model and also by taking default risk into account, which is extremely important given the subordination of convertibles. The models range from the basic component models that decompose the CB into a straight bond and an exchange/call option; to more sophisticated ones consisting of stochastic interest rates, default risk, volatility structures, and even some exotics such as exchangeable and inflation-linked convertibles. An important aspect often missed by CB valuation models is the presence of negative convexity for extremely low share prices. As such a credit spread function dependent upon the underlying share price is introduced into the Tsiveriotis and Fernandes, and Hung and Wang models which improve upon the accuracy of the original models. Once a reliable model has been developed it becomes necessary to take advantage of convertible arbitrage trading strategies if they exist. The typical delta hedge, gamma hedge and option strategies that many convertible hedge funds employ are explained including the underlying risks with respect to the “Greeks”. Copyright / Dissertation (MSc)--University of Pretoria, 2009. / Mathematics and Applied Mathematics / unrestricted

This thesis deals with the generalized version of the Krein-Milman theorem, as it was stated in the work of Webster-Winkler. We introduce basic definitions, extending convexity notions in the classical sense to the setting of matrix convex sets. Further on, we study important theorems which are needed to prove the main result, for example, a representation result, which states that any compact matrix convex set is matrix affinely homeomorphic to the matricial version of the state space on some operator system. In the final part, we provide a proof of the matrix Krein-Milman theorem. 1

In the last two decades, duration analysis has been largely applied to fixed - income securities . However, since rising and falling interest rates have been determined to be a major cause of stock price movements, equity duration has received a great deal of attention. The duration of an equity is a measure of its interest rate risk. Duration is the sensitivity of the price of an equity with respect to the interest rate. Convexity is the sensitivity of duration with respect to the interest rate. The analysis revealed that the fractional price change and market risk of equities can be explained by duration and convexity.

This dissertation presents recent contributions in tropical geometry with a view towards positivity, and on certain semialgebraic sets which are constructed from polytopes. Tropical geometry is an emerging field in mathematics, combining elements of algebraic geometry and polyhedral geometry. A key in establishing this bridge is the concept of tropicalization, which is often described as mapping an algebraic variety to its 'combinatorial shadow'. This shadow is a polyhedral complex and thus allows to study the algebraic variety by combinatorial means. Recently, the positive part, i.e. the intersection of the variety with the positive orthant, has enjoyed rising attention. A driving question in recent years is: Can we characterize the tropicalization of the positive part? In this thesis we introduce the novel notion of positive-tropical generators, a concept which may serve as a tool for studying positive parts in tropical geometry in a combinatorial fashion. We initiate the study of these as positive analogues of tropical bases, and extend our theory to the notion of signed-tropical generators for more general signed tropicalizations. Applying this to the tropicalization of determinantal varieties, we develop criteria for characterizing their positive part. Motivated by questions from optimization, we focus on the study of low-rank matrices, in particular matrices of rank 2 and 3. We show that in rank 2 the minors form a set of positive-tropical generators, which fully classifies the positive part. In rank 3 we develop the starship criterion, a geometric criterion which certifies non-positivity. Moreover, in the case of square-matrices of corank 1, we fully classify the signed tropicalization of the determinantal variety, even beyond the positive part. Afterwards, we turn to the study of polytropes, which are those polytopes that are both tropically and classically convex. In the literature they are also established as alcoved polytopes of type A. We describe methods from toric geometry for computing multivariate versions of volume, Ehrhart and h^*-polynomials of lattice polytropes. These algorithms are applied to all polytropes of dimensions 2,3 and 4, yielding a large class of integer polynomials. We give a complete combinatorial description of the coefficients of volume polynomials of 3-dimensional polytropes in terms of regular central subdivisions of the fundamental polytope, which is the root polytope of type A. Finally, we provide a partial characterization of the analogous coefficients in dimension 4. In the second half of the thesis, we shift the focus to study semialgebraic sets by combinatorial means. Intersection bodies are objects arising in geometric tomography and are known not to be semialgebraic in general. We study intersection bodies of polytopes and show that such an intersection body is always a semialgebraic set. Computing the irreducible components of the algebraic boundary, we provide an upper bound for the degree of these components. Furthermore, we give a full classification for the convexity of intersection bodies of polytopes in the plane. Towards the end of this thesis, we move to the study of a problem from game theory, considering the correlated equilibrium polytope $P_G$ of a game G from a combinatorial point of view. We introduce the region of full-dimensionality for this class of polytopes, and prove that it is a semialgebraic set for any game. Through the use of oriented matroid strata, we propose a structured method for classifying the possible combinatorial types of $P_G$, and show that for (2 x n)-games, the algebraic boundary of each stratum is a union of coordinate hyperplanes and binomial hypersurfaces. Finally, we provide a computational proof that there exists a unique combinatorial type of maximal dimension for (2 x 3)-games.:Introduction 1. Background 2. Tropical Positivity and Determinantal Varieties 3. Multivariate Volume, Ehrhart, and h^*-Polynomials of Polytropes 4. Combinatorics of Correlated Equilibria

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