This thesis studies the use of nonparametric econometric methods to reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for potential nonlinearity is seen in the presence of non-Gaussian distributions and excessive volatility of stock returns, or non-monotonic stochastic discount factors in option prices. More robust model specifications are therefore likely to contribute to risk management and return predictability, and lend credibility to economists’ assertions. Each of the chapters in this thesis relaxes certain functional form assumptions that seem most important for understanding certain asset price data. Chapter 1 focuses on the state-price density in option prices, which confounds the nonlinearity in both the preferences and the beliefs of investors. To understand both sources of nonlinearity in equity prices, Chapter 2 introduces a semiparametric generalization of the standard representative agent consumption-based asset pricing model. Chapter 3 returns to option prices to understand the relative importance of changes in the distribution of returns and in the shape of the pricing kernel. More specifically, Chapter 1 studies the use of noisy high-frequency data to estimate the time-varying state-price density implicit in European option prices. A dynamic kernel estimator of the conditional pricing function and its derivatives is proposed that can be used for model-free risk measurement. Infill asymptotic theory is derived that applies when the pricing function is either smoothly varying or driven by diffusive state variables. Trading times and moneyness levels are modelled by marked point processes to capture intraday trading patterns. A simulation study investigates the performance of the estimator using an iterated plug-in bandwidth in various scenarios. Empirical results using S&P 500 E-mini European option quotes finds significant time-variation at intraday frequencies. An application towards delta- and minimum variance-hedging further illustrates the use of the estimator. Chapter 2 proposes a semiparametric asset pricing model to measure how consumption and dividend policies depend on unobserved state variables, such as economic uncertainty and risk aversion. Under a flexible specification of the stochastic discount factor, the state variables are recovered from cross-sections of asset prices and volatility proxies, and the shape of the policy functions is identified from the pricing functions. The model leads to closed-form price-dividend ratios under polynomial approximations of the unknown functions and affine state variable dynamics. In the empirical application uncertainty and risk aversion are separately identified from size-sorted stock portfolios exploiting the heterogeneous impact of uncertainty on dividend policy across small and large firms. I find an asymmetric and convex response in consumption (-) and dividend growth (+) towards uncertainty shocks, which together with moderate uncertainty aversion, can generate large leverage effects and divergence between macroeconomic and stock market volatility. Chapter 3 studies the nonparametric identification and estimation of projected pricing kernels implicit in the pricing of options, the underlying asset, and a riskfree bond. The sieve minimum-distance estimator based on conditional moment restrictions avoids the need to compute ratios of estimated risk-neutral and physical densities, and leads to stable estimates even in regions with low probability mass. The conditional empirical likelihood (CEL) variant of the estimator is used to extract implied densities that satisfy the pricing restrictions while incorporating the forwardlooking information from option prices. Moreover, I introduce density combinations in the CEL framework to measure the relative importance of changes in the physical return distribution and in the pricing kernel. The nonlinear dynamic pricing kernels can be used to understand return predictability, and provide model-free quantities that can be compared against those implied by structural asset pricing models.

Submitted by Maria Aparecida (cidazen@gmail.com) on 2017-05-09T13:49:19Z No. of bitstreams: 1 Jéssica Cristina da Sousa Silva.pdf: 3803180 bytes, checksum: 09661347277c0b6b6dadfa09a5e05299 (MD5) / Made available in DSpace on 2017-05-09T13:49:19Z (GMT). No. of bitstreams: 1 Jéssica Cristina da Sousa Silva.pdf: 3803180 bytes, checksum: 09661347277c0b6b6dadfa09a5e05299 (MD5) Previous issue date: 2017-04-03 / FAPEMA / As a result of a contingency, severe overloads may occur in a power transformer. One of the greatest concerns of energy utilities is to find a way to operate this equipment that ensures its useful life is preserved. However, there is a sharp reduction in the useful life in proportion to the level of overload and this increases the risk of failure. This paper sets out a framework for decision-making in emergency operations for power transformers, that rely on interruption contracts as decision variables and which take into account the risk of accepting any level of violation of the transformer´s operating limits. The risk of failure is calculated by measuring the useful life of the transformer and the presence of dissolved gases. The useful life is estimated by means of the Arrhenius model of thermal damage , while incipient faults can be detected by Dissolved Gas Analysis (DGA). The risk of transformer failure is estimated by examining the data cited above, on the basis of information theory concepts. It is formulated as a multi-period optimization problem with linear objectives and nonlinear constraints and restricted to the risk of accepting transformer overloads. The results are validated by means of an adapted version of the IEEE14 system, which is shown to be effective as a tool for emergency decision-making in the case studies included here. / Como consequência de uma contingência, sobrecargas severas podem ocorrer em transformadores de potência. Uma das maiores preocupações das concessionárias de energia, é operar estes equipamentos de forma que a vida útil seja preservada. No entanto esta diminui drasticamente em proporção ao nível de sobrecarga aplicado além do aumento do risco de falha. Este trabalho apresenta uma estrutura para o auxílio na tomada de decissões de operação em emergência de transformadores de potência, utilizando como variáveis de decisão contratos de interrupção conjugados com a decisão de aceitar um nível de sobrecarga baseado no risco. São usados modelos térmicos de envelhecimento do transformador para cálculo de perda de vida. Para atualização da probabilidade do risco de falha, são utilizadas informações de Análise de Gases Dissolvidos (DGA) e da perda de vida útil do transformador combinadas através de conceitos de teoria da informação. Os resultados são validados usando uma versão adaptada do sistema IEEE 14, mostrado-se eficaz como ferramenta de tomada de decisões nos estudos de caso apresentados. Contratos de interrup¸c~ao, teoria da informa¸c~ao.

A metacognição é processo conceituado como o julgamento que um organismo (humano ou não humano) faz sobre seu próprio saber ou não saber. Há relatos de pesquisas sobre esse processo com seres humanos e diversas espécies de não humanos. Poucos estudos, porém, discutem a ocorrência de metacognição em ratos, e os resultados são controversos, em função de questionamentos sobre os procedimentos experimentais empregados. Este estudo teve o objetivo de investigar o efeito da manipulação de diferentes proporções de reforço produzidas em duas alternativas, sendo uma probabilística e outra com reforçamento contínuo, sobre o desempenho de ratos em uma tarefa de discriminação de diferentes durações de estímulos sonoros. O procedimento empregado é uma adaptação do utilizado por Foote e Crystal (2007), que investigou a ocorrência de metacognição em ratos. Foram utilizados cinco ratos machos, da linhagem Wistar (Rattus norvegicus) mantidos a 80% de seu peso ad libitum. O aparato utilizado foi um labirinto em Ey. O procedimento consistiu de quatro fases: 1) Treino exploratório no braço em Y, no qual o animal foi exposto a alternativas que continham seis pelotas de ração; 2) Treino de discriminação de estímulos sonoros, no qual foram treinadas duas discriminações condicionais com duas durações de estímulo sonoro, uma curta (2s), e uma longa (8s), cada uma correlacionada com a escolha de uma das portas do braço em Y; 3) Treino exploratório no braço em I, no qual os animais foram expostos a uma alternativa livre, que continha três pelotas de ração; e 4) Fase de Teste, na qual foram apresentadas diferentes durações de som (2.00, 2.44, 2.97, 3.62, 4.42, 5.38, 6.56 e 8.00s), a partir das quais o animal poderia escolher entre o braço em Y (fazer o teste), e receber seis pelotas de ração caso escolhesse a porta correta (correlacionada à duração curta ou longa), ou escolher a alternativa de recusa do teste, produzindo, com certeza, a quantidade de ração estabelecida pela condição em vigor. Foi analisada a porcentagem de escolhas realizadas pelos animais nos braços Y e I em cada condição, assim como a relação entre a porcentagem de acertos e erros nos testes e recusa, para cada duração de som. Todos os sujeitos atingiram o critério de aprendizagem estabelecido na fase de treino. Na fase de testes, observou-se que o som deixou de exercer controle sobre a resposta de escolha de todos os animais. À medida que a proporção de reforço variou na alternativa de recusa, os animais alteraram o padrão de escolha, de propensão para aversão ao risco, de acordo com a condição em vigor. A escolha por uma alternativa não se mostrou sob controle da acurácia dos animais em discriminar as durações dos estímulos apresentados, mas sim da proporção e probabilidade do reforço em cada alternativa. Discute-se a necessidade de se recorrer ao conceito de metacognição para descrever o desempenho dos animais em tarefas como a empregada no presente estudo. / The metacognition process is known as the judgment that an organism (human or nonhuman) makes of its own knowing or not knowing. There are research reports on this process in humans and several nonhuman species. Few discuss the occurrence of metacognition in rats, though, and the results are controversial due to the questionings about the experimental procedures applied. The aim of this study was to investigate the effects in handling different reinforcement proportions in two alternatives, one being probabilistic and the other with continuous reinforcement, on the performance of rats in a task of discrimination of different sound stimuli duration. The applied procedure was adapted from that used by Foote and Crystal (2007), which investigated the occurrence of metacognition in rats. Five male Wistar rats (Rattus norvegicus) were used and maintained at 80% of their weight ad libitum. The apparatus used was an Ey-shaped maze. The procedure consisted of four phases: 1) exploratory training on the Y arm, in which the animal was exposed to alternatives containing six pellets of food; 2) training on sound stimuli discrimination, in which were trained two conditional discriminations with two different sound stimuli durations one short (2s) and one long (8s) each linked to the choice of one door from the Y arm; 3) exploratory training on the I arm, in which the animals were exposed to a free-choice alternative containing three pellets; and 4) test phase, in which were used different sound durations (2.00, 2.44, 2.97, 3.62, 4.42, 5.38, 6.56 and 8.00s), giving the animal the option of choosing between the Y arm (doing the test) and get six pellets of food if it chooses the correct door (according to the short or long duration), and the refusal of the test, producing, that way, an amount of food established by the current condition. The percentage of choices made by the animals on the Y and I arms in each condition was analyzed, as well as the relation between the percentage of successes and errors in tests and refusals for each sound duration. All the subjects achieved the learning criterion stated in the training phase. During the test phase it was noted that the sound ceased in exerting control over all the animals responses. As the reinforcement proportions varied in the refusal alternatives the animals altered the pattern of choice from risk-proneness to risk-aversion, according to the current condition. The choice for an alternative didnt show to be controlled by the animals accuracy in discriminating the stimuli durations presented, but by the proportion and probability of the reinforcement in each alternative. Its been discussed the need to resort to the concept of metacognition to describe the animals performance in tasks such as the one applied in the present study.

The aim of this thesis is to study through four essays the economics of migration from developing countries. The …rst chapter assesses the e¤ect of natural disasters (mainly due to climate change), in developing countries, on migration rates and looks at how this e¤ect varies according to the level of education of people. Our results show that natural disasters are positively associated with emigration rates and also involve the migration of highly skilled people. The second chapter presents the di¤erent channels explaining the intention to migrate illegally. One of the novelties of the analysis is that it uses a tailor-made survey among urban Senegalese individuals. We …nd that potential illegal migrants are willing to accept a substantial risk of death and tend to be young, single and with a low level of education. We also show that the price of illegal migration, migrant networks, high expectations, tight immigration policies and the preferred destination country all play a role in the willingness to migrate illegally. The third chapter completes the second one by studying the role of risk-aversion and discount rate in illegal migration from Senegal. Our results show that these individual preferences matter in the willingness to migrate illegally and to pay a smuggler. Finally in the fourth chapter, we are interested in the e¤ect of migrants on credit markets in a rural Senegalese context. According to our results, having a migrant in a household increases both the likelihood of having a loan and its size, whether the loan is formal or informal. We also …nd that this positive e¤ect remains signi…cant no matter if the loan is taken for professional activities or simply to buy food.

The relationship between gender and bail is an important yet understudied area of research. Studies that have found a relationship between gender and bail generally overlook important differences that shape how men and women enter into crime and the types of conditions imposed on their recognisances. This study utilizes 115 bail cases from the Provincial Courthouse in Kitchener, ON to examine the effect of accused gender on bail outcome. Results show that accused gender did influence decisions to grant or deny bail. While almost all accused persons required a surety and/or bail conditions to be released, the regression analysis suggests that women were more likely to be released compared to men. Based on the deep sample exploratory analysis, gender differences emerged around issues of mental health and drug use. Theoretical and policy implications from this study are discussed as are avenues for future research.

[pt] O processo decisório na logística humanitária compreende diversos tipos de prioridades que por vezes estão relacionados com situações de vida ou morte. Neste grau de importância, os objetivos a serem perseguidos pelos tomadores de decisão na situação de um desastre e as restrições do problema devem ser estabelecidos para se alinhar com os anseios das vítimas e com as limitações existentes. Este estudo visa analisar de que maneiras as prioridades conflitantes num problema repleto de incertezas como em um desastre podem impactar o resultado do atendimento humanitário no que tange à sua eficiência, efetividade e equidade (3E). A dissertação apresenta o papel de alguns objetivos e restrições conflitantes (trade-offs) na tomada de decisão durante a fase de preparação para um desastre. Para tal, modelos de otimização estocástica são propostos utilizando-se dos conceitos de desempenho via 3E e sensibilidade ao risco, através da medida CVaR. Os resultados sugerem que a inclusão da aversão ao risco pode levar a um sistema mais efetivo em média. Outro ponto importante é que o modelo de minimização de custos incluindo o custo da falta forneceu uma resposta com melhor desempenho do que na maximização de equidade ou de cobertura de forma independente. Além disso, a restrição de orçamento (eficiência) quando mal dimensionada pode tornar um problema de maximização de cobertura (efetividade) desnecessariamente ineficiente. Conclui-se que a priorização da maximização conjunta da eficiência e da efetividade com restrição de inequidade e sensibilidade ao risco torna o modelo mais preciso quanto ao atendimento das vítimas do desastre. / [en] The decision-making process in humanitarian logistics comprises several types of priorities that are sometimes related to life or death situations. In this degree of importance, the objectives to be pursued by decision-makers in the event of a disaster as well as the constraints of the problem must be established to align both with the needs of the victims and with the existing limitations. This study aims at analyzing how conflicting priorities in an uncertainty-filled problem such as a disaster can impact the performance of the solution with respect to its efficiency, effectiveness and equity (3E). The dissertation presents the role of some decision-making trade-offs within disaster preparedness phase. For this, stochastic optimization models are proposed using the concept of 3E-performance and risk sensitivity, through the measure CVaR. Results indicate that the inclusion of risk aversion may lead to a more effective system on average. Another important point is that the cost minimization model including the shortage penalty provided a better performing response than in equity or coverage maximization independently. In addition, budget constraint (efficiency) when poorly dimensioned can make a problem of maximizing coverage (effectiveness) unnecessarily inefficient. It is concluded that the prioritization of the joint maximization of efficiency and effectiveness with restriction of inequity and risk sensitivity makes a model more precise as regards the care of the disaster victims.

[pt] Eu calculo uma proxy da propensão à tomada de risco dos jogadores de cassino através dos dados de receita de cassinos. Usando regressões insample e out-of-sample, eu então analiso o quão bem essa proxy prevê o prêmio de risco do mercado de ações. / [en] I estimate a proxy for the risk taking behavior of Casino gamblers through a measure of total Casino gambling revenue. Using in-sample and out-of-sample regressions, I then analyze how suited this proxy is in predicting market risk premium.

Nesta tese são desenvolvidos três estudos sobre as reservas internacionais brasileiras, utilizando diferentes técnicas econométricas, com o objetivo de determinar a influência de medidas absolutas e relativas de reservas sobre o rating soberano de crédito e o spread soberano, bem como o nível adequado para garantir a liquidez externa. As análises foram feitas com dados mensais do período jan/2000-jun/2008. No primeiro estudo, mostrou-se que diferentes medidas de reservas internacionais apresentam efeito significativo na explicação do rating soberano de crédito, através de modelos ordered logit para a média dos ratings emitidos pelas três principais agências (Moody's, Standard & Poors e Fitch). Entretanto, o indicador de maior poder explicativo não foi o nível absoluto de reservas, mas a razão entre dívida pública externa líquida e PIB. Outras variáveis de destacada importância na maioria dos modelos foram o percentual da dívida interna de curto prazo, investimento estrangeiro direto/PIB e inflação. Variáveis tradicionalmente utilizadas como indicadores de liquidez, como razão reservas/importações e conta corrente/PIB, não foram significativas na maioria dos modelos. Os resultados confirmam os indícios contidos no discurso das agências de rating, quanto à importância das reservas internacionais em sua avaliação, embora alertando que outras variáveis, como perfil de endividamento do governo e perspectivas de crescimento, são também fundamentais. O segundo estudo de caso encontrou relação significativa entre as reservas internacionais e o spread soberano, através de modelos de correção de erros. O efeito estimado do rating soberano foi não-significativo ou pouco explicativo, comparado aos fundamentos, provavelmente devido à volatilidade do spread soberano em resposta a variações nas condições do mercado, ao contrário do rating. O melhor modelo obtido utilizou o nível absoluto de reservas, evidenciando também efeitos significativos da aversão global ao risco, taxas de juros internacionais e crises políticas internas. Os resultados desse estudo indicam custo marginal decrescente das reservas internacionais e a necessidade de considerá-lo endógeno em modelos de minimização de custos para determinação do nível ótimo de reservas. O terceiro estudo implementou a metodologia de Liquidity-at-Risk sugerida por Greenspan (1999) para avaliar a adequação do nível de reservas internacionais para a manutenção da liquidez externa. Para a medida de liquidez reservas/dívida externa de curto prazo (razão de Guidotti), estimou-se que o nível de reservas internacionais mantidas pelo Brasil em jun/2008 (US$200 bilhões) era aproximadamente o dobro do necessário para garantir uma razão de Guidotti superior a 1, com 99% de probabilidade, durante 24, 36 ou 48 meses. Em diversos cenários alternativos de percentual das dívidas externa e interna de curto prazo, meta de superávit primário, índice de aversão ao risco e taxas de juros externas, as reservas iniciais necessárias situaram-se em US$85-105 bilhões. A análise de custos revela que o aumento das reservas diminui os juros médios da dívida, embora efeito maior pudesse ser alcançado através do aumento do superávit primário. As evidências sugerem que a motivação das autoridades brasileiras para a manutenção de reservas em torno de US$200 bilhões não é puramente precaucionária, admitindo as hipóteses de ganho de credibilidade e flexibilidade para a execução da política fiscal. / This thesis developed three case studies on the Brazilian international reserves, using various econometric techniques in order to determine the influence of absolute and relative measures of reserves over both the sovereign credit rating and the sovereign spread, as well as to assess the adequate reserves level to ensure external liquidity. Analyses were carried out on monthly data from Jan/2000 to Jun/2008. The first case study found significant effects of different reserves measures in explaining the sovereign credit rating, by fitting ordered logit models to the average of the ratings issued by the three main agencies (Moody's, Standard & Poors and Fitch) for the Brazilian long term external debt. However, the best explaining variable was not the absolute level of reserves, but the ratio "net public external debt/GDP" instead. It was noteworthy the significance of the following variables in most of the models tested: short term internal debt (%), foreign direct investment/GDP and inflation. Variables traditionally used as external liquidity measures, like reserves/imports and current account/GDP, are not statistically significant in most of the models fitted in this study. Results support the evidence found in the rating agencies' reports, as to the importance of international reserves in their credit quality assessment, although pointing to other variables, like government debt profile and growth perspectives, as equally critical. The second case study found significant relationship between the Brazilian international reserves and its sovereign spread, using error correction models. The estimated effect of sovereign rating was either non-significant, or poorly explanatory when compared to macroeconomic fundamentals, probably due to the volatility of sovereign spread in response to changes in market conditions, unlike the sovereign rating. The best model obtained included the absolute level of reserves, showing also significant effect of the global risk aversion, external interest rates and internal political crises. The results of this study point to a decreasing marginal cost of international reserves and the need of considering it as endogenous in optimal reserves models based in cost minimization. Finally, the third case study implemented the Liquidity-at-Risk methodology suggested by Greenspan (1999), in order to assess the Brazilian reserves level adequacy in maintaining external liquidity. For the liquidity measure adopted - the ratio "reserves/short term external debt" (Guidotti's ratio) - it was found that the Brazilian reserves level held in Jun/2008 (US$200 billion) was roughly twice the necessary one to ensure a Guidotti's ratio above 1, with 99% probability, within 24, 36 or 48 months. In several alternative scenarios varying the short term external debt, short term internal debt, primary surplus, global risk aversion and external interest rates, the required initial reserves was in the range US$85-105 billion. An analysis of alternative policies' costs revealed the expected effect of higher reserves in decreasing the average debt service, although a dramatically higher impact would be obtained by an increase in primary surplus. Evidence suggest that the Brazilian authorities motivation for holding international reserves as high as US$200 billion may not be purely precautionary, pointing to the hypotheses of credibility gains and fiscal flexibility issues.

Submitted by Pedro Guimarães (pedroengel@hotmail.com) on 2017-12-28T19:42:52Z No. of bitstreams: 1 Tese.pdf: 917520 bytes, checksum: cfa05ebb1d37a4a617f387942ee05a15 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-01-15T18:46:52Z (GMT) No. of bitstreams: 1 Tese.pdf: 917520 bytes, checksum: cfa05ebb1d37a4a617f387942ee05a15 (MD5) / Made available in DSpace on 2018-01-16T19:08:33Z (GMT). No. of bitstreams: 1 Tese.pdf: 917520 bytes, checksum: cfa05ebb1d37a4a617f387942ee05a15 (MD5) Previous issue date: 2017-07-28 / This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries including both Advanced Economies (AE) and Emerging Markets (EM). In the second article, we develop a general robust allocation framework that is capable of dealing with parametric and non parametric asset allocation models. In the final paper, I investigate portfolio selection criteria and analyze a set of portfolios out of sample performance in terms of Sharpe ratio (SR) and Certainty Equivalent (CEQ)

Made available in DSpace on 2010-04-20T21:00:26Z (GMT). No. of bitstreams: 3 silviamontes.pdf.jpg: 15510 bytes, checksum: 69c0cc717aee542e0b58b0a369e96487 (MD5) silviamontes.pdf: 205734 bytes, checksum: e0e79a13f2432a1b556c5ccf9e77a6a4 (MD5) silviamontes.pdf.txt: 63049 bytes, checksum: fe745b0eb4d5ad32f45e7416f9b4a182 (MD5) Previous issue date: 2008-02-12T00:00:00Z / This paper investigates, what determines the use of derivatives by the non-financial companies listed in São Paulo Stock Exchange (BOVESPA). To our knowledge, no prior study in Brazil analyzed risk management under the perspective of managerial risk aversion and agency theory. This is our main contribution to academic study. In this research, 125 listed companies were selected, from which 82 present good levels of corporate governance (named as “Nível 1”, “Nível 2” or “Novo Mercado”). The selected period corresponds to calendar year 2006. Through the binary response model, logit, we found following statistically significant results: positive relation between derivative use and the variables firm’s leverage, market value and outside control blocks and negative relation with firm’s quick-ratio. Existence of stock option programs or characteristic as CFO´s age, CFO´s years vested in the firm or tenure of firm´s CFO´s were not relevant for determining risk management strategies in the companies. / O objetivo da pesquisa consiste em identificar os fatores determinantes à utilização de derivativos por empresas não financeiras listadas na Bolsa de Valores de São Paulo (Bovespa). A principal contribuição aos estudos já publicados sobre esse tema consiste na avaliação, se estrutura de propriedade e/ou motivos gerenciais influenciam as estratégias de redução do risco da firma. Foram coletados dados de 125 empresas de capital aberto referente ao período 2006, sendo que destas empresas, 82 apresentam níveis diferenciados de boas práticas de governança corporativa (Nível 1, Nível 2 ou Novo Mercado). Através do modelo de variáveis binárias Logit, identificaram-se as seguintes evidências: grau de endividamento, valor de mercado da companhia e concentração de propriedade estão positivamente relacionadas com a utilização de derivativos. Já a adoção de políticas financeiras alternativas, mensurada pelo índice de liquidez seca, apresenta relação negativa. Características como 'existência de programas de opções de ações' e 'idade', 'tempo de empresa' e 'prazo de mandato do diretor financeiro' não se mostraram estatisticamente significantes.