No description available.

In this thesis we study the utility maximization problem for assets whose prices are cointegrated, which arises from the investment practice of convergence trading and its special forms, pairs trading and spread trading. The major theme in the first two chapters of the thesis, is to investigate the assumption of market-neutrality of the optimal convergence trading strategies, which is a ubiquitous assumption taken by practitioners and academics alike. This assumption lacks a theoretical justification and, to the best of our knowledge, the only relevant study is Liu and Timmermann (2013) which implies that the optimal convergence strategies are, in general, not market-neutral. We start by considering a minimalistic pairs-trading scenario with two cointegrated stocks and solve the Merton investment problem with power and logarithmic utilities. We pay special attention to when/if the stochastic control problem is well-posed, which is overlooked in the study done by Liu and Timmermann (2013). In particular, we show that the problem is ill-posed if and only if the agent’s risk-aversion is less than a constant which is an explicit function of the market parameters. This condition, in turn, yields the necessary and sufficient condition for well-posedness of the Merton problem for all possible values of agent’s risk-aversion. The resulting well-posedness condition is surprisingly strict and, in particular, is equivalent to assuming the optimal investment strategy in the stocks to be market-neutral. Furthermore, it is shown that the well-posedness condition is equivalent to applying Novikov’s condition to the market-price of risk, which is a ubiquitous sufficient condition for imposing absence of arbitrage. To the best of our knowledge, these are the only theoretical results for supporting the assumption of market-neutrality of convergence trading strategies. We then generalise the results to the more realistic setting of multiple cointegrated assets, assuming risk factors that effects the asset returns, and general utility functions for investor’s preference. In the process of generalising the bivariate results, we also obtained some well-posedness conditions for matrix Riccati differential equations which are, to the best of our knowledge, new. In the last chapter, we set up and justify a Merton problem that is related to spread-trading with two futures assets and assuming proportional transaction costs. The model possesses three characteristics whose combination makes it different from the existing literature on proportional transaction costs: 1) finite time horizon, 2) Multiple risky assets 3) stochastic opportunity set. We introduce the HJB equation and provide rigorous arguments showing that the corresponding value function is the viscosity solution of the HJB equation. We end the chapter by devising a numerical scheme, based on the penalty method of Forsyth and Vetzal (2002), to approximate the viscosity solution of the HJB equation.

Contexte et objectif. L’évasion fiscale a généré des pertes annuelles variant entre 2 et 44 milliards au Canada entre 1976 et 1995. Avec la croissance de l’évasion fiscale dans les années 1980 et 1990 plusieurs législations se sont attaquées à ce phénomène en mettant en place des mesures telles que les amnisties, les réformes fiscales et les nouvelles lois. Ces dernières reposent non seulement sur des principes théoriques distincts, mais leur efficacité même est remise en question. Bien que plusieurs auteurs affirment que les criminels en col blanc sont réceptifs aux sanctions pénales, une telle affirmation repose sur peu de preuves empiriques. L’objectif de ce mémoire est donc de réaliser une synthèse systématique des études évaluatives afin de faire un bilan des lois fiscales et d’évaluer leurs effets sur la fraude fiscale. Méthodologie. La synthèse systématique est la méthodologie considérée comme la plus rigoureuse pour se prononcer sur l’effet produit par une population relativement homogène d’études. Ainsi, 18 bases de données ont été consultées et huit études ont été retenues sur les 23 723 références. Ces huit études contiennent neuf évaluations qui ont estimé les retombés des lois sur 17 indicateurs de fraude fiscale. L’ensemble des études ont été codifiées en fonction du type de loi et leur rigueur méthodologique. La méthode du vote-count fut employée pour se prononcer sur l’efficacité des lois. Résultats. Sur les 17 indicateurs, sept indiquent que les lois n’ont eu aucun effet sur l’évasion fiscale tandis que six témoignent d’effets pervers. Seulement quatre résultats sont favorables aux lois, ce qui laisse présager que ces dernières sont peu efficaces. Toutefois, en scindant les résultats en fonction du type de loi, les réformes fiscales apparaissent comme une mesure efficace contrairement aux lois et amnisties. Conclusion. Les résultats démontrent que les mesures basées sur le modèle économique de Becker et qui rendent le système plus équitable sont prometteuses. Les amnisties qui visent à aller chercher des fraudeurs en leur offrant des avantages économiques et en suspendant les peines sont non seulement inefficaces, mais menaceraient le principe d’autocotisation basé sur l’équité. / Introduction and objectives. Between 1976 and 1995, tax evasion has generated losses varying between 2 to 44 billions in Canada. In order to stop the upward trend observed in tax evasion in the 1980s and 1990s, several jurisdictions introduced legal measures such as amnesties, tax reforms and new legislations. Not only these measures rest on different paradigms but their effectiveness has yet to be proven. While it is generally argued that threats of legal sanctions are effective to deal with offenders involved in economic crimes, such a claim rests on weak empirical evidence. By conducting a systematic review, the objective of this thesis is to further our understanding about the effect of tax laws on tax evasion. Method. Systematic review is referred to as the most suitable method to review a body of literature on a given subject and to determine its effect on a particular outcome. We searched 18 databases that led to the identification of 23,723 references. Overall, 8 studies containing 9 evaluations met inclusion criteria and were kept for the review. These studies assess the effect of tax laws on a total of 17 variables. All studies were assessed based on the type of law and their methodological robustness. The vote-count method was then used to identify effective measures. Results. Out of the 17 outcomes, 7 indicate that laws have no effect on tax evasion while 6 show increases in tax evasion indicators. Only 4 outcomes were in the expected direction. On the other hand, by grouping results according to the type of measures, tax reform appears as the only effective intervention. Conclusion. Our results suggest that programs based on Becker’s economic model and that promote equity are promising. Amnesties seeking to identify tax evaders by offering economic advantages and sanction immunity are not only ineffective but could compromise a system based on self-assessment, which rest on the principle of perceived equity.

Recentemente, várias tarefas tem sido delegadas a sistemas computacionais, principalmente quando sistemas computacionais são mais confiáveis ou quando as tarefas não são adequadas para seres humanos. O uso de extração de preferências ajuda a realizar a delegação, permitindo que mesmo pessoas leigas possam programar facilmente um sistema computacional com suas preferências. As preferências de uma pessoa são obtidas por meio de respostas para questões específicas, que são formuladas pelo próprio sistema computacional. A pessoa age como um usuário do sistema computacional, enquanto este é visto como um agente que age no lugar da pessoa. A estrutura e contexto das questões são apontadas como fonte de variações das respostas do usuário, e tais variações podem impossibilitar a factibilidade da extração de preferências. Uma forma de evitar tais variações é questionar um usuário sobre a sua preferência entre dois comportamentos observados por ele. A questão de avaliar relativamente comportamentos observados é mais simples e transparente ao usuário, diminuindo as possíveis variações, mas pode não ser fácil para o agente interpretar tais avaliações. Se existem divergências entre as percepções do agente e do usuário, o agente pode ficar impossibilitado de aprender as preferências do usuário. As avaliações são geradas com base nas percepções do usuário, mas tudo que um agente pode fazer é relacionar tais avaliações às suas próprias percepções. Um outro problema é que questões, que são expostas ao usuário por meio de comportamentos demonstrados, são agora restritas pela dinâmica do ambiente e um comportamento não pode ser escolhido arbitrariamente. O comportamento deve ser factível e uma política de ação deve ser executada no ambiente para que um comportamento seja demonstrado. Enquanto o primeiro problema influencia a inferência de como o usuário avalia comportamentos, o segundo problema influencia quão rápido e acurado o processo de aprendizado pode ser feito. Esta tese propõe o problema de Extração de Preferências com base em Comportamentos Observados utilizando o arcabouço de Processos Markovianos de Decisão, desenvolvendo propriedades teóricas em tal arcabouço que viabilizam computacionalmente tal problema. O problema de diferentes percepções é analisado e soluções restritas são desenvolvidas. O problema de demonstração de comportamentos é analisado utilizando formulação de questões com base em políticas estacionárias e replanejamento de políticas, sendo implementados algoritmos com ambas soluções para resolver a extração de preferências em um cenário sob condições restritas. / Recently, computer systems have been delegated to accomplish a variety of tasks, when the computer system can be more reliable or when the task is not suitable or not recommended for a human being. The use of preference elicitation in computational systems helps to improve such delegation, enabling lay people to program easily a computer system with their own preference. The preference of a person is elicited through his answers to specific questions, that the computer system formulates by itself. The person acts as an user of the computer system, whereas the computer system can be seen as an agent that acts in place of the person. The structure and context of the questions have been pointed as sources of variance regarding the users answers, and such variance can jeopardize the feasibility of preference elicitation. An attempt to avoid such variance is asking an user to choose between two behaviours that were observed by himself. Evaluating relatively observed behaviours turn questions more transparent and simpler for the user, decreasing the variance effect, but it might not be easier interpreting such evaluations. If divergences between agents and users perceptions occur, the agent may not be able to learn the users preference. Evaluations are generated regarding users perception, but all an agent can do is to relate such evaluation to his own perception. Another issue is that questions, which are exposed to the user through behaviours, are now constrained by the environment dynamics and a behaviour cannot be chosen arbitrarily, but the behaviour must be feasible and a policy must be executed in order to achieve a behaviour. Whereas the first issue influences the inference regarding users evaluation, the second problem influences how fast and accurate the learning process can be made. This thesis proposes the problem of Preference Elicitation under Evaluations over Observed Behaviours using the Markov Decision Process framework and theoretic properties in such framework are developed in order to turn such problem computationally feasible. The problem o different perceptions is analysed and constraint solutions are developed. The problem of demonstrating a behaviour is considered under the formulation of question based on stationary policies and non-stationary policies. Both type of questions was implemented and tested to solve the preference elicitation in a scenario with constraint conditions.

Recentemente, várias tarefas tem sido delegadas a sistemas computacionais, principalmente quando sistemas computacionais são mais confiáveis ou quando as tarefas não são adequadas para seres humanos. O uso de extração de preferências ajuda a realizar a delegação, permitindo que mesmo pessoas leigas possam programar facilmente um sistema computacional com suas preferências. As preferências de uma pessoa são obtidas por meio de respostas para questões específicas, que são formuladas pelo próprio sistema computacional. A pessoa age como um usuário do sistema computacional, enquanto este é visto como um agente que age no lugar da pessoa. A estrutura e contexto das questões são apontadas como fonte de variações das respostas do usuário, e tais variações podem impossibilitar a factibilidade da extração de preferências. Uma forma de evitar tais variações é questionar um usuário sobre a sua preferência entre dois comportamentos observados por ele. A questão de avaliar relativamente comportamentos observados é mais simples e transparente ao usuário, diminuindo as possíveis variações, mas pode não ser fácil para o agente interpretar tais avaliações. Se existem divergências entre as percepções do agente e do usuário, o agente pode ficar impossibilitado de aprender as preferências do usuário. As avaliações são geradas com base nas percepções do usuário, mas tudo que um agente pode fazer é relacionar tais avaliações às suas próprias percepções. Um outro problema é que questões, que são expostas ao usuário por meio de comportamentos demonstrados, são agora restritas pela dinâmica do ambiente e um comportamento não pode ser escolhido arbitrariamente. O comportamento deve ser factível e uma política de ação deve ser executada no ambiente para que um comportamento seja demonstrado. Enquanto o primeiro problema influencia a inferência de como o usuário avalia comportamentos, o segundo problema influencia quão rápido e acurado o processo de aprendizado pode ser feito. Esta tese propõe o problema de Extração de Preferências com base em Comportamentos Observados utilizando o arcabouço de Processos Markovianos de Decisão, desenvolvendo propriedades teóricas em tal arcabouço que viabilizam computacionalmente tal problema. O problema de diferentes percepções é analisado e soluções restritas são desenvolvidas. O problema de demonstração de comportamentos é analisado utilizando formulação de questões com base em políticas estacionárias e replanejamento de políticas, sendo implementados algoritmos com ambas soluções para resolver a extração de preferências em um cenário sob condições restritas. / Recently, computer systems have been delegated to accomplish a variety of tasks, when the computer system can be more reliable or when the task is not suitable or not recommended for a human being. The use of preference elicitation in computational systems helps to improve such delegation, enabling lay people to program easily a computer system with their own preference. The preference of a person is elicited through his answers to specific questions, that the computer system formulates by itself. The person acts as an user of the computer system, whereas the computer system can be seen as an agent that acts in place of the person. The structure and context of the questions have been pointed as sources of variance regarding the users answers, and such variance can jeopardize the feasibility of preference elicitation. An attempt to avoid such variance is asking an user to choose between two behaviours that were observed by himself. Evaluating relatively observed behaviours turn questions more transparent and simpler for the user, decreasing the variance effect, but it might not be easier interpreting such evaluations. If divergences between agents and users perceptions occur, the agent may not be able to learn the users preference. Evaluations are generated regarding users perception, but all an agent can do is to relate such evaluation to his own perception. Another issue is that questions, which are exposed to the user through behaviours, are now constrained by the environment dynamics and a behaviour cannot be chosen arbitrarily, but the behaviour must be feasible and a policy must be executed in order to achieve a behaviour. Whereas the first issue influences the inference regarding users evaluation, the second problem influences how fast and accurate the learning process can be made. This thesis proposes the problem of Preference Elicitation under Evaluations over Observed Behaviours using the Markov Decision Process framework and theoretic properties in such framework are developed in order to turn such problem computationally feasible. The problem o different perceptions is analysed and constraint solutions are developed. The problem of demonstrating a behaviour is considered under the formulation of question based on stationary policies and non-stationary policies. Both type of questions was implemented and tested to solve the preference elicitation in a scenario with constraint conditions.

Contexte et objectif. L’évasion fiscale a généré des pertes annuelles variant entre 2 et 44 milliards au Canada entre 1976 et 1995. Avec la croissance de l’évasion fiscale dans les années 1980 et 1990 plusieurs législations se sont attaquées à ce phénomène en mettant en place des mesures telles que les amnisties, les réformes fiscales et les nouvelles lois. Ces dernières reposent non seulement sur des principes théoriques distincts, mais leur efficacité même est remise en question. Bien que plusieurs auteurs affirment que les criminels en col blanc sont réceptifs aux sanctions pénales, une telle affirmation repose sur peu de preuves empiriques. L’objectif de ce mémoire est donc de réaliser une synthèse systématique des études évaluatives afin de faire un bilan des lois fiscales et d’évaluer leurs effets sur la fraude fiscale. Méthodologie. La synthèse systématique est la méthodologie considérée comme la plus rigoureuse pour se prononcer sur l’effet produit par une population relativement homogène d’études. Ainsi, 18 bases de données ont été consultées et huit études ont été retenues sur les 23 723 références. Ces huit études contiennent neuf évaluations qui ont estimé les retombés des lois sur 17 indicateurs de fraude fiscale. L’ensemble des études ont été codifiées en fonction du type de loi et leur rigueur méthodologique. La méthode du vote-count fut employée pour se prononcer sur l’efficacité des lois. Résultats. Sur les 17 indicateurs, sept indiquent que les lois n’ont eu aucun effet sur l’évasion fiscale tandis que six témoignent d’effets pervers. Seulement quatre résultats sont favorables aux lois, ce qui laisse présager que ces dernières sont peu efficaces. Toutefois, en scindant les résultats en fonction du type de loi, les réformes fiscales apparaissent comme une mesure efficace contrairement aux lois et amnisties. Conclusion. Les résultats démontrent que les mesures basées sur le modèle économique de Becker et qui rendent le système plus équitable sont prometteuses. Les amnisties qui visent à aller chercher des fraudeurs en leur offrant des avantages économiques et en suspendant les peines sont non seulement inefficaces, mais menaceraient le principe d’autocotisation basé sur l’équité. / Introduction and objectives. Between 1976 and 1995, tax evasion has generated losses varying between 2 to 44 billions in Canada. In order to stop the upward trend observed in tax evasion in the 1980s and 1990s, several jurisdictions introduced legal measures such as amnesties, tax reforms and new legislations. Not only these measures rest on different paradigms but their effectiveness has yet to be proven. While it is generally argued that threats of legal sanctions are effective to deal with offenders involved in economic crimes, such a claim rests on weak empirical evidence. By conducting a systematic review, the objective of this thesis is to further our understanding about the effect of tax laws on tax evasion. Method. Systematic review is referred to as the most suitable method to review a body of literature on a given subject and to determine its effect on a particular outcome. We searched 18 databases that led to the identification of 23,723 references. Overall, 8 studies containing 9 evaluations met inclusion criteria and were kept for the review. These studies assess the effect of tax laws on a total of 17 variables. All studies were assessed based on the type of law and their methodological robustness. The vote-count method was then used to identify effective measures. Results. Out of the 17 outcomes, 7 indicate that laws have no effect on tax evasion while 6 show increases in tax evasion indicators. Only 4 outcomes were in the expected direction. On the other hand, by grouping results according to the type of measures, tax reform appears as the only effective intervention. Conclusion. Our results suggest that programs based on Becker’s economic model and that promote equity are promising. Amnesties seeking to identify tax evaders by offering economic advantages and sanction immunity are not only ineffective but could compromise a system based on self-assessment, which rest on the principle of perceived equity.

No description available.

This thesis proposes a reading of David Gauthiers moral contractarianism (hereinafter Mb(CM)A) that demonstrates how cooperation can be rational in situations where expected utilities (EU) are stacked too high against cooperation. The dissertation critically examines Mb(CM)A and contends that it breaks down in the test of application, i.e. the problem of secession because of the conception of rationality it appeals to. Mb(CM)A identifies rationality with utility-maximization, where utility is the measure of considered coherent preferences about outcomes. Mb(CM)A links morality to reason, and reason to practical rationality, and practical rationality to interest, which it identifies with individual utility. On this view, an action (or a disposition) is rational if that action (or disposition) maximizes an agents EU. This conception of rationality the essay claims is both nave and misleading because it does not take into account an agents considered preference for the acts that are available, in addition to the EU of those acts. Therefore, the thesis argues that Mb(CM)As account of rationality be abandoned in favor of a decision-value/symbolic utilitys or morals by decision-value agreements conception of practical rationality. Morals by decision-value agreement (henceforth Mb(DV)A), the dissertation claims, handles serious problems, like the problem of secession in ways that Mb(CM)A cannot. Mb(CM)A breaks down in the test of application because when applied to the problem of secession, it suggests a single-tracked silver bullet solution. Specifically, it tracks only EU-reasons and claims that insofar as cooperation does not maximize the EU of better-off agents, it is not rational for them to cooperate with or support those that are less well-off. By contrast, Mb(DV)A offers a multi-tracked framework for solutions to the problem, namely: it factors in an agents considered preference for the acts that are available, in addition to EU of those acts. It is the argument of the thesis that when EU is stacked too high against cooperation, it may or may not be rational for an agent to cooperate, depending on which way symbolic utility (SU) for that agent points toward. If SU points in the direction of secession, then it is DV-rational for an agent not to cooperate, but if SU points toward non-secession, then it is DV-rational for that agent to cooperate.

Submitted by Paulo César Coimbra Lisbôa (pc.coimbra@gmail.com) on 2010-11-11T01:39:34Z No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) / Rejected by Andrea Virginio Machado(andrea.machado@fgv.br), reason: Conforme conversamos, peço fazer a alteração para acesso livre. Andrea on 2010-11-11T14:03:11Z (GMT) / Submitted by Paulo César Coimbra Lisbôa (pc.coimbra@gmail.com) on 2010-11-11T14:17:27Z No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) / Approved for entry into archive by Andrea Virginio Machado(andrea.machado@fgv.br) on 2010-11-16T11:21:16Z (GMT) No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) / Made available in DSpace on 2010-11-17T10:49:20Z (GMT). No. of bitstreams: 1 PhD_Thesis_Coimbra_v1.pdf: 516617 bytes, checksum: c44a6f3efb7c504da91a6f20e0a95b3f (MD5) Previous issue date: 2009-11-30 / Contaminação da confiança é um caso especial de incerteza Knightiana ou ambiguidade na qual o tomador de decisões está diante de não apenas uma única distribuição de probabilidades, mas sim de um conjunto de distribuições de probabilidades. A primeira parte desta tese tem o propósito de fornecer uma caracterização da contaminação da confiança e então apresentar um conjunto de axiomas comportamentais simples sob os quais as preferências de um tomador de decisões é representada pela utilidade esperada de Choquet com contaminação da confiança. A segunda parte desta tese apresenta duas aplicações econômicas de contaminação da confiança: a primeira delas generaliza o teorema de existência de equilíbrio de Nash de Dow e Werlang (o que permite apresentar uma solução explícita para o paradoxo segundo o qual os jogadores de um jogo do dilema dos prisioneiros com um número infinito de repetições não agem de acordo com o esperado pelo procedimento da indução retroativa) e a outra estuda o impacto da contaminação da confiança na escolha de portfolio. / Contamination of confidence is a special case of Knightian uncertainty or ambiguity in which the decision maker faces not simple probability measure but a set of probability measures. The first part of this thesis has the purpose to provide a characterization of the contamination of confidence and then present a simple set of behavioral axioms under which the decision maker’s preference is represented by the Choquet expected utility with contamination of confidence. The second part of this thesis presents two economic applications of the contamination of confidence: the first of them generalizes Dow and Werlang’s existence Theorem of Nash equilibrium under uncertainty (which enables to present an explicit solution to the paradox on which players in a finitely repeated prisoners’ dilemma breaks down backward induction) and the other studies the impact of the contamination of confidence in the portfolio choice.

First-class software engineering is no longer enough for an information system product to gain success on a market. Developing successful information system products has become a challenging practice that requires an understanding of those who are going to use the products. As product innovation has become the lifeblood of companies competing in the fast- paced IT industry, the end users have ultimately become those who determine the success of these type of products. User research is conducted to gather insights of users’ contexts, behaviors and feelings when using products. It can be practiced to explore how to create products and features that end users will find useful. This thesis examines how methods and tools used in user research can expose opportunities for innovation. The study was conducted by a literature study and a case study, where user research methods were put to practice to discover opportunities for creating a concept for a new product. Emphasis was also put on studying how to provide utility when developing a new product. The case study was performed over a four month period at an e- commerce company called Swiss Clinic in Stockholm, Sweden. The study shows that opportunities for innovation in user research occur in the interplay between business, user research discoveries and iterative design and that effective communication and artifacts play essential parts for innovating successfully.