Search results for "Olio"
showing 10 items of 630 documents
Risk forecasting models and optimal portfolio selection
2005
This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry and time varying risk are analysed. Specifically, it studies whether ARCH-type based models obtain portfolios whose risk-adjusted returns exceed those of the classical Markowitz model. The same analysis is performed with models based on the Lower Partial Moment (LPM) which take into account the assymetry in the distribution of returns. The results suggest that none of the models achieve a clearly su…
Identifying Portfolio-Based Risk Factors in Foreign Exchange Markets
2018
This paper shows that a link between the conditional mean and conditional volatility of any factor-mimicking portfolio in the foreign exchange (FX) market must exist if the proposed portfolio-based currency factor is priced and the pricing kernel has a linear factor structure. Thereby, this paper tests whether the carry risk factor and currency momentum are priced risk factors. Surprisingly, the carry risk factor does not meet the necessary conditions consistent with being a priced risk factor, whereas currency momentum indeed meets those criteria. The findings also indicate that the relation between the conditional mean and conditional risk is moreover economically reasonable for the curre…
Risk-Managed 52-Week High Industry Momentum, Momentum Crashes, and Hedging Macroeconomic Risk
2017
This is the first study that investigates the profitability of Barroso and Santa-Clara’s (2015) risk managing approach for George and Hwang’s (2004) 52-week high momentum strategy in an industrial portfolio setting. The findings indicate that risk-managing adds value as the Sharpe ratio increases, and the downside risk remarkably decreases. Even after controlling for the spread of the traditional 52-week high industry momentum strategy in association with standard risk-factors, the risk-managed version generates economically and statistically significant payoffs. Notably, the risk-managed strategy is partially explained by changes in cross-sectional return dispersion, whereas the traditiona…
La expansión geográfica de la renta del tabaco
2007
El monopolio real del tabaco fue decretado sólo para la Corona de Castilla en 1636. Debido a su reconocida eficacia, los gobernantes españoles intentaron implantarlo allá donde fuese políticamente posible. Después de la guerra de Sucesión, fue establecido en la Corona de Aragón, ya que estos territorios perdieron entonces su régimen foral de autonomía. Como las provincias vascas y Navarra consiguieron conservar su régimen foral, el Gobierno español no pudo someter allí el régimen general del estanco tabaquero y tuvo que contentarse con negociar soluciones que no perjudicasen al estanco general. Finalmente, en el contexto de las reformas borbónicas en América, la Renta del Tabaco fue gradual…
ELECTRE TRI-based approach for sorting projects portfolio: Focus on the European strategy
2018
The European Framework Programme for Research and Innovation aims to facilitate the collaboration between public and private sectors in delivering innovation. To achieve this goal, Union Research and Innovation Programme provides various financial instruments, among which the Horizon 2020 is one of the most significant. Since its implementation, the Horizon 2020 has stimulated the interest of several research organizations making the partnerships among companies their core business for improving local economy. In this context, technological districts are the main proponents of research and innovation spreading in the local territory. In Sicily, the AgroBioPesca district exploited these oppo…
Mercosur entre mundialización y nacionalismos
2000
Versión corta e inédita del artículo "Mercosur y la otra mundialización" (en: El País, 5 de octubre de 2000) destinada a la Embajada de España en Paraguay.
Mercosur y la otra mundialización
2000
La versión publicada de este artículo aparece también en Cassen, Bernard, et al. (2002). Attac : contra la dictadura de los mercados : alternativas a la mundialización neoliberal (pp. 111-116). Barcelona: Icaria.
Presacral Myelolipoma
2014
Many reports have described adrenal myelolipomas but there have been only a few reports of extra-adrenal myelolipomas. We describe a 74-year-old woman who came to our observation for MRI of the lumbar spine for typical lumbar back pain. In addition to signs of mild scoliosis and spondylo disc arthrosis, MR imaging revealed a presacral mass showing a heterogeneously high signal in all pulse sequences and almost completely suppressed on inversion recovery sequences for fat tissue. CT imaging confirmed the fatty nature of the lesion and no signs of bone involvement. These findings were most consistent with a diagnosis of a rare presacral myelolipoma as confirmed at histopathologic analysis. T…
Pediatrisko skoliozes pacientu aprūpe agrīnajā pēcoperācijas periodā
2022
Bakalaura darba tēma: “Pediatrisko skoliozes pacientu aprūpe agrīnajā pēcoperācijas periodā”. Tēmas aktualitāti pamato Slimību profilakses un kontroles centra dati, ka ik gadu Latvijā tiek reģistrēti aptuveni 70 jauni skoliozes gadījumi. Skolioze skar 3 līdz 4 bērnus no 1000, savukārt 15% no viņiem slimība progresē, kas nozīmē, ka ir nepieciešama ķirurģiska iejaukšanās. Veicot bērnam ķirurģisku skoliozes operāciju, ļoti svarīga ir bērna aprūpe agrīnajā pēcoperācijas periodā, tādējādi novēršot jebkuru iespējamo komplikāciju risku un veicinot pacientu atlabšanu. Darba mērķis: noskaidrot pediatrisko skoliozes pacientu aprūpi agrīnajā pēcoperācijas periodā. Pētniecības uzdevumi: apkopot un anal…
Effects of renewables on the stylized facts of electricity prices
2015
Abstract Many countries around the world have increased their renewable installed capacity due to a greater awareness of climate concerns. Under this new framework, with renewables being among the main generation sources, the literature warns of a dramatic change in price behaviour. Some of the most commonly claimed effects of having a significant proportion of renewable generating sources in the total electricity production mix include: (i) a systematic decrease in overall wholesale market prices, (ii) a higher occurrence of price jumps, and (iii) a significant increase in price volatility. The goal of the present study is to test whether these changes in price behaviour have actually come…