[pt] O forward premium puzzle é um dos puzzles mais notáveis no mercado cambial. Seus estudos tiveram início na primeira metade da década de 1980 e desde então diversas metodologias, ao longo dos anos, foram elaboradas e utilizadas para tentar explicar a sua ocorrência. Entretanto, apesar dos esforços dos pesquisadores, ainda não há uma solução inequívoca. O objetivo desta dissertação é analisar esta anomalia no contexto macroeconômico dos países emergentes, considerando-se a abordagem das expectativas não-racionais dos agentes. Para isso, foram aplicadas técnicas de aprendizado econométrico, conforme as metodologias propostas por Chakraborty e Evans (2008) e Reed (2019). Segundo estas, as expectativas dos agentes acerca da taxa de câmbio spot futura, são modeladas de acordo com algoritmos de aprendizado e se mantêm próximas à solução de expectativas racionais, porém com desvios gerados por erros de previsão passados. Os resultados alcançados corroboram aqueles encontrados na literatura relacionada, demonstrando que o aprendizado econométrico pode fornecer uma explicação para o forward premium puzzle também quando se considera a taxa cambial das moedas dos países emergentes frente ao Dólar americano, tanto para o modelo com um único estado quanto para o modelo com dois estados. As simulações realizadas reproduzem as principais características empíricas encontradas na amostra analisada e exprimem a importância da persistência dos fundamentos monetários para explicar o viés negativo no coeficiente do forward premium. / [en] The forward premium puzzle is one of the most notable puzzles in the foreign exchange market. Seminal studies in the field began in the first half of the 1980s. Since then, several methodologies have been proposed and tested, aiming to explain the occurrence of forward premium puzzle. However, despite the researchers efforts, no unequivocal solution has been fund. The objective of this dissertation is to analyze this anomaly in the macroeconomic context of emerging countries considering the approach of the non-rational expectations. To that end, adaptive learning techniques were applied, following the methodologies proposed by Chakraborty and Evans (2008) and Reed (2019), where the modeling of agents expectations about the future spot exchange rate is conducted using learning algorithms and remain close to the rational expectations solution, but with deviations generated from past forecast errors. The results corroborate those found in the current body of literature, suggesting that adaptive learning can provide an explanation for the forward premium puzzle also when considering the exchange rate of emerging market currencies against the US dollar, both for the single-state model and for the two-state model. The simulations results reproduce the main empirical features found in the analyzed sample and express the importance of the monetary fundamentals persistence to explain the negative bias in the forward premium coefficient.

This diploma thesis deals with constructing of algorithms of consisting a puzzle and suggesting of the workplace for its imaging. There are studied two methods of forming a puzlle. First method is forming of the puzzle with a known pattern. For this method is used the Harris operator and the correlation. In the second method is the puzzle formed without a pattern. Fot this method is used the correlation. In the last part there is a mutual evaluation of these two methods.

Submitted by João Felipe Cury Guimarães (joaofcuryg@gmail.com) on 2014-07-24T19:28:41Z No. of bitstreams: 1 TESE_JOAO GUIMARAES_vABNT.pdf: 915217 bytes, checksum: 3af3016a61ad6056c7d3890331563e1c (MD5) / Approved for entry into archive by Gisele Gammaro (gisele.gammaro@fgv.br) on 2014-08-29T17:26:28Z (GMT) No. of bitstreams: 1 TESE_JOAO GUIMARAES_vABNT.pdf: 915217 bytes, checksum: 3af3016a61ad6056c7d3890331563e1c (MD5) / Made available in DSpace on 2014-09-23T13:58:31Z (GMT). No. of bitstreams: 1 TESE_JOAO GUIMARAES_vABNT.pdf: 915217 bytes, checksum: 3af3016a61ad6056c7d3890331563e1c (MD5) Previous issue date: 2014-05-30 / Segundo Sampaio (2002), os modelos intertemporais de equilíbrio começaram a ter a sua eficácia na determinação do retorno dos ativos questionada após a publicação do artigo de Mehra e Prescott em 1985. Tendo como objeto de análise os dados observados no mercado norte-americano, os autores não foram capazes de reproduzir a média histórica do prêmio do retorno das ações em relação ao retorno dos títulos públicos de curto prazo através de parâmetros comportamentais dentro de intervalos considerados plausíveis. Através das evidências, os autores, então, puderam verificar a necessidade de coeficientes exageradamente altos de aversão ao risco para equiparação do prêmio de risco histórico médio das ações norte-americanas, enigma que ficou conhecido como equity premium puzzle (EPP). Foi possível também a constatação de outro paradoxo: a necessidade de taxas de desconto intertemporais negativas para obtenção da média histórica da taxa de juros, o risk-free rate puzzle (RFP). Este trabalho tem como objetivo adaptar os dados do modelo proposto por Mehra e Prescott (2003) ao mercado brasileiro e notar se os puzzles apresentados anteriormente estão presentes. Testa-se o CCAPM com dados brasileiros entre 1995:1 e 2013:4 adotando preferências do tipo utilidade esperada e através da hipótese de log-normalidade conjunta dos retornos. Utiliza-se o método de calibração para avaliar se há EPP no Brasil. Em linha com alguns trabalhos prévios da literatura nacional, como Cysne (2006) e Soriano (2002) que mostraram a existência do puzzle nos períodos de 1992:1-2004:2 e 1980:1-1998:4, respectivamente, conclui-se que o modelo usado por Mehra e Prescott (2003) não é capaz de gerar o prêmio de risco observado na economia brasileira. Sampaio (2002), Bonomo e Domingues (2002) e Issler e Piqueira (2002), ao contrário, não encontram evidências da existência de um EPP brasileiro.

Cette thèse propose une généralisation des préférences moyenne-variance à l'ambiguïté, c'est-à-dire aux contextes dans lesquels l'investisseur ne peut pas, ou ne souhaite pas, décrire le comportement des actifs risqués par un modèle probabilisé unique. Elle se rattache donc au champ de recherche qui vise à appliquer les modèles de décision dans l'ambiguïté à la théorie mathématique de la finance, et dont le but est d'améliorer les capacités descriptives de cette théorie financière par la généralisation d'une de ses hypothèses centrales : l'utilité espérée.Les modèles étudiés ici sont ceux qui représentent les croyances du décideur par un ensemble de probabilités, ou priors : on cherche à montrer, d'une part, sous quelles conditions ces modèles peuvent être appliqués à la théorie financière et, d'autre part, ce qu'ils lui apportent. Ainsi, après une introduction générale qui propose une synthèse des avancées de ce champ de recherche, un premier essai étudie les conditions de compatibilité entre ces modèles à ensemble de priors et les préférences moyenne-variance, un deuxième essai analyse les possibilités offertes par le modèle Vector Expected Utility pour généraliser ces préférences à l'ambiguïté et, finalement, un troisième essai développe l'une de ces pistes pour construire un critère moyenne-variance généralisé et étudier les effets de l'aversion à l'ambiguïté sur la composition optimale d'un portefeuille d'actifs risqués. Les résultats obtenus permettent notamment de conclure que l'aversion à l'ambiguïté est bien une explication possible du puzzle de la préférence pour le pays d'origine. / This dissertation proposes a generalisation of the mean-variance preferences to ambiguity, that is contexts in which the investor can not, or does not wish to, describe the behaviour of the risky assets with a single probabilistic model. Hence it belongs to the field of research that seeks to apply models of decision under ambiguity to the mathematical theory of finance, and whose aim is to improve the descriptive capacities of this theory of finance through the generalisation of one of its central hypothesis: expected utility.The models that are studied here are those which represent the decision maker's beliefs by a set of priors: we aim to show, on the one hand, under which conditions these models can be applied to the financial theory, and, on the other hand, what they bring to it. Therefore, following a general introduction which proposes a survey of the advances of this field of research, a first essay studies the conditions of compatibility between these models with a set of priors and the mean-variance preferences, a second essay analyses the possibilities given by the Vector Expected Utility model to generalise these preferences to ambiguity and, finally, a third essay develops one of these threads to construct a generalised mean-variance criterion and to study the effects of ambiguity aversion on the optimal composition of a portfolio of risky assets. The results that are obtained allow notably to conclude that aversion to ambiguity is indeed a possible explanation of the home-bias puzzle.

No description available.

Bakgrund: Skatteplanering är ett aktuellt och omdebatterat ämne. I USA har ett Under-sheltering Puzzle kunnat påvisas då vissa företag avstår från att skatteplanera. Vi frågar oss om fenomenet förekommer i Sverige och i så fall varför vissa företag ej skatteplanerar.  Syfte: Studien avser att förklara förekomsten av The Under-sheltering Puzzle i Sverige. Med hjälp av ett företags olika strategier vill vi påvisa fenomenet och förklara omfattningen av börsföretagens skatteplanering.  Metod: En deduktiv ansats genomförs där teorier testas genom hypotesprövning. Teorierna behandlar ett företags olika strategier samt teorin om Upper Echelon. Datan är insamlad mellan åren 2011 och 2015. Slutsatser: Vi kan i studien påvisa att The Under-sheltering Puzzle förekommer i Sverige då vissa grupper av företag tenderar att betala mer skatt än andra. Företagens marknadsstrategi kan anses mest betydelsefull för att förklara varför ett företag väljer eller avstår från att skatteplanera. / Background: Tax sheltering is a subject of debates and a current issue in society. In the USA however, results have demonstrated that some companies exhibit a phenomenon called The Under-sheltering Puzzle and avoid tax sheltering. We raise the question if the phenomenon also is present in Sweden and if that is the case, why some companies avoid taxes.  Purpose: The thesis pertains to explain The Under-sheltering Puzzle in Sweden. By applying theories which cover the different strategies in a company, we intend to proof the existence of the phenomenon and explain the magnitude of tax sheltering in public corporations. Method: A deductive research approach has been used and theories constitutes the basis for our hypotheses. The theories discuss the different strategies in a corporation and the impact of Upper Echelons. The data is collected between the years of 2011 and 2015.  Conclusions: In this thesis we can proof that The Under-sheltering Puzzle is present in Sweden and that some groups of companies tend to pay higher taxes than others. We believe that the market strategy is the most primal factor in explaining why a company choose or avoid tax sheltering.

This dissertation addresses issues concerning liquidity and its volatility. It consists of two essays. The first essay, "Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets", examines the role of liquidity on equity flows from the U.S. to fifteen emerging markets around the world. Since liquidity has many dimensions, an emphasis is placed on utilizing various measures of liquidity. Moreover, both static and dynamic analyses, as well as short and long-horizon regressions, are performed to investigate the research questions. The results suggest that a liquid market attracts flows, after controlling for market size, political openness, exchange rate and other macro factors. Additionally, evidence indicates that the importance of liquidity varies across regions. For instance in the Asian region, the relation between equity flows and volume-related liquidity is weak while that between flows and price impacts of trading is strong. Evidence also supports the relevance of macro factors such as a country's economic freedom. The second essay, "Liquidity Risk Premium Puzzle and Possible Explanations", attempts to resolve the liquidity risk puzzle: a negative relation between returns and liquidity risk, documented by Chordia, Subrahmanyam, and Anshuman (2001b), by employing alternative liquidity measures and by incorporating factors that might potentially affect the relation. The main findings are as follows. The relation between stock returns and volatility of liquidity depends on the measure of liquidity. When liquidity measures are based on trading volume, the results are largely mixed, but when liquidity is measured based on price impact of trading, the relation between returns and volatility of price impacts is positive, as expected. The results are sensitive to time periods examined. Moreover, during extreme down markets, the aversion to liquidity volatility is lower, suggesting behavioral bias might potentially address the puzzle. Empirical findings also suggest that liquidity risk premium tends to be greater for small stocks. Finally, when the VIX index is included as a proxy for investor sentiment, the results indicate that the relation between returns and liquidity risk is significantly positive in four out of five liquidity measures. In sum, the empirical analysis partially but not completely addresses the puzzle.

I detta kandidatarbete har vi undersökt hur man på bästa sätt kan främja direktmedieringen med hjälp av den visuella designen. Detta utforskades och visualiserades genom ett tredimensionellt pusselspel med fem olika objekt som innehåller olika pussel, där vi har fokuserat på den visuella designen. Som designperspektiv har vi använt ramverket MDA i kombination med core pillars för att hålla oss inom rätt områden i vår designprocess. Några övriga metoder vi använt under projektets gång var: Metod 635, scrumban, moodboards. Resultatet blev genom vår gestaltning en kombination av olika medie- och designval i ett försök att hitta balansen för rätt estetiska känsla. / In this bachelor thesis, we have investigated how to best promote immediacy using visual design. This was explored and visualized through a three-dimensional puzzle game with five different objects containing different puzzles, where we focused on the visual design. As a design perspective, we have used the MDA framework in combination with core pillars to keep us in relevant areas in our design process. Some other methods we used during the project were: Method 635, scrumban, mood boards. The result was, through our design, a combination of different media and design choices in an attempt to find the balance for the right aesthetic feeling.

The Apprentices' Tower of Hanoi is introduced in this thesis. Several bounds are found in regards to optimal algorithms which solve the puzzle. Graph theoretic properties of the associated state graphs are explored. A brief summary of other Tower of Hanoi variants is also presented.

Combining multiple forecasts in order to generate a single, more accurate one is a well-known approach. A simple average of forecasts has been found to be robust despite theoretically better approaches, increasing availability in the number of expert forecasts, and improved computational capabilities. The dominance of a simple average is related to the small sample sizes and to the estimation errors associated with more complex methods. We study the role that expert correlation, multiple experts, and their relative forecasting accuracy have on the weight estimation error distribution. The distributions we find are used to identify the conditions when a decision maker can confidently estimate weights versus using a simple average. We also propose an improved expert weighting approach that is less sensitive to covariance estimation error while providing much of the benefit from a covariance optimal weight. These two improvements create a new heuristic for better forecast aggregation that is simple to use. This heuristic appears new to the literature and is shown to perform better than a simple average in a simulation study and by application to economic forecast data.