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## Calibration of shrinkage estimators for portfolio optimization

Miguel, Victor de; Martín Utrera, Alberto; Nogales, Francisco J.
Tipo: Trabalho em Andamento Formato: application/pdf
Shrinkage estimators is an area widely studied in statistics. In this paper, we contemplate the role of shrinkage estimators on the construction of the investor's portfolio. We study the performance of shrinking the sample moments to estimate portfolio weights as well as the performance of shrinking the naive sample portfolio weights themselves. We provide a theoretical and empirical analysis of different new methods to calibrate shrinkage estimators within portfolio optimization

## Testing BOI and BOB algorithms for solving the Winner Determination

Sáez, Yago; Mochón, Asunción; Gómez-Barroso, J.L.; Isasi, Pedro
Tipo: info:eu-repo/semantics/conferenceObject; info:eu-repo/semantics/bookPart Formato: application/pdf
Combinatorial auctions are a promising auction format for allocating radio spectrum, as well as other goods. An important handicap of combinatorial auctions is determining the winner bids among many options, that is, solving the winner determination problem (WDP). This paper tackles this computational problem using two approaches in a combinatorial first-price sealed bid auction. The first one, is an A* based on items (BOI). The second one, is an A* based on bids (BOB). These two techniques are tested in several scenarios for allocating radio spectrum licenses. The results obtained reveal that the search algorithm A* with the BOB formulation outperforms the other and always finds the optimal solution very quickly.; Eighth International Conference on Hybrid Intelligent Systems, 2008. HIS '08. Barcelona, 10-12 September 2008

## Interoperability between classification systems using metadata

San Segundo Manuel, Rosa
Fonte: Rinton Press Publicador: Rinton Press
Tipo: info:eu-repo/semantics/conferenceObject; info:eu-repo/semantics/article Formato: application/pdf
Metadata are structures which catalogue, classify, describe and articulate electronic information. The Subject element of Dublin Core is used for c1assification systems and subject headings. There are five ways of applying semantic interoperability: interoperability between controlled vocabularies in the same language; between controlled vocabularies in different languages and classification systems; between subject headings and c1assification systems; between c1assification systems; and between languages. The relations between diverse types of standards or systems present diverse difficulties. The electronic information container, which is Internet, guarantees the trend to try and achieve the interoperability of content analysis, whether it be between c1assification systems, or subject headings. The organisation of information in a physical format has transferred its organisational forms to the structuring of electronic information. The digital formal transforms the organisational form itself. If, in information the message is the medium, in organisation the structure is the medium.; The First on-Line conference on Metadata and Semantics Research Conference (MTSR'05): Approaches to advanced information systems, 21-30 November 2005

## Goodness-of-fit Techniques for Count Data Models: An Application to the Demand for Den

Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
This paper compares the practical performance of alternative goodness-of-fit techniques for count data models in the context of a study of the determinants of demand for dental care in Spain. We apply alternative goodness-of-fit techniques to different specifications. In particular, we implement recently proposed specification tests which are consistent in the direction of general nonparametric alternatives. The analysis suggests that a negative binomial model is an appropriate specification for dental care demand. Dental health and income are identified as important predictors of individuals' behavior.

## A social welfare model for the evaluation of the spanish income tax system

Ruiz-Castillo, Javier; Vargas, Carmen
Tipo: Trabalho em Andamento Formato: application/pdf
In this paper we present a social welfare model for the evaluation of the Spanish income tax system in 1986 and 1988. The redistributive effect, capturing the improvement in vertical inequality, and the revenue effect, capturing the loss in mean disposable income as a consequence of the tax, are combined to produce a measure of social welfare change. Then, following Lambert and Ramos (1996) the redistributive effect is decomposed into a horizontal and a vertical contribution. The main novelties we introduce are the following three. (a) We adopt an absolute framework which is seldom used in the empirical literature. (b) We emphasize the differences between the horizontal inequality due to the exemptions and tax credits not based on equity considerations, and what we call unintended horizontal inequality arising from: i) the practice of applying a progressive tax schedule to unadjusted incomes followed by family tax credits, rather than applying directly the tax schedule to income adjusted by family circunmstances; ii) differences between the analyst's equivalence scale and the implicit fiscal scale, and iii) the existence of other eharaeteristies, ignored by the analyst but taken as ethieally relevant by the fiscal authority. Among other things...

## Some discrete approaches to continuum economies

Hervés Beloso, Carlos; Moreno García, Emma; Núñez, Carmelo
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Given the preferences of the agents of a continuum economy, we define the average and unanimous preference. This allow us to consider several sequences of economies, in which only a finite number of different agents' characteristics can be distinguished. We obtain approximation results for the core of these economies.

## Incentives for cost reducing innovations under quantitative import restraints

Costa-Cabral, Célia; Kujal, Praveen; Petrakis, Emmanuel
Tipo: Trabalho em Andamento Formato: application/pdf
The effect of quotas on fmns' incentive to invest in cost-reducing R&D is studied in a two-stage price-setting duopoly. A domestic and a foreign firm choose initially R&D efforts and then set the prices of their differentiated products in the domestic market. With a quota imposed at, or close to, the free-trade level of imports, the domestic fmn faces less competition than under free-trade and chooses to invest less in R&D. Contrarily, the constrained foreign fmn invests more in R&D as the negative strategic effect of a reduction in its cost is now absent. These results differ from the Coumot duopoly case in which R&D expenditures are lower for both fmns. We also show that as the quota becomes more restrictive, the domestic fmn increases and the foreign fmn decreases its expenditures in R&D. Finally, we show that domestic welfare is a1ways higher under free-trade than under any quota regardless of the degree of product substitutability.

## Assessing Muface's managed competition experiment in the Spanish health care system

Pellisé, Laura
Tipo: Trabalho em Andamento Formato: application/pdf
Besides the influence of international experiences, the existing debate about implementing managed competition in Spain is grounded on MUFACE. MUFACE is an experimental public1y funded health care system, restricted lO civil servants and their dependants, that meets all the conditions of managed competition among insurers. This article tries to offer an analysis of sorne aspects of MUFACE. It includes fIrstIy a fonnalization of the incentives (a capitation) imposed to insurers and their optimal behaviour. Secondly, it tries to assess the existence of risk selection and other equally "perverse" practices, like what we call service selection, in the presence of double insurance coverage.

## Dynamic efficiency of enviromental policy: the case of intertemporal emissions trading

Tipo: Trabalho em Andamento Formato: application/pdf
In this paper we analyze the effects of dynamic environmental policies on firms' optimal investment behavior within finite time horizons. We show that when finns are allowed to intertemporally trade their emissions, they invest in abatement in earlier periods, advancing compliance with future environmental standards. Therefore, policies such us emissions banking" enhances the dynamic efficiency of the marketable permits and derives substantial cost-savings by itself. We show the dynamics of banking policy and emissions trading when the firm faces a two step emission standard with strict requirements at the end of the programo The firm's optimaI trajectory under apure banking program is compared to command-and-control (CAC), Pigouvian taxes and emissions borrowing, aH for a finite time horizon. Banking introduces time flexibility, inducing the firm to over-comply with environmental standards in earlier periods, thus buying a delay in adjustment to future tighter policies. Finally, we analyze the dynamics of a pure emission trading program, where permits are available in a perfect competitive market, but do not last forever. Our results justify the current low trading in the U.S. Acid Rain Program (ARP) alld link firm's cost savings to the success of the banking policy.

## Percentile residual life orders

Franco-Pereira, Alba M.; Lillo, Rosa E.; Romo, Juan; Shaked, Moshe
Tipo: Trabalho em Andamento Formato: application/pdf
In this paper we study a family of stochastic orders of random variables defined via the comparison of their percentile residual life functions. Some interpretations of these stochastic orders are given, and various properties of them are derived. The relationships to other stochastic orders are also studied. Finally, some applications in reliability theory and finance are described.

## An Empirical Study of the Cyclical Effects of Monetary Policy in Spain (1977-97)

Fonte: Fundación SEPI Publicador: Fundación SEPI
Tipo: Artigo de Revista Científica Formato: text/html
In this paper, we provide empirical evidece for the Spanish economy, over the period 1977-97, on wether monetary policy shocks hav had different effects on real output growth depending on the state of the business cycle. To do so, we adopt an extension of Hamilton's (1989) Markow Switching Model, as recently proposed by García and Schaller (1995), where shocks to an interest rate policy rule followed by the Bank of Spain are allowed to affect both the growth rate of output and the transition probabilities of moving from one phase to another. The analysis is carried out both at the aggregate level and the sectorial level, with the aim of addressing the following questions: (i) Does monetary policy have the same effect regardless of the current phase of economic fluctuations?, (ii) Does monetary policy only have an incremental effect on output growth rate within a given state or does it also affect the probability of a state switch, and (iii) How do the aggregate and sectorial results compare?

## Study on the use of metadata for digital learning objects in university institutional repositories (MODERI)

Bueno-de-la-Fuente, Gema; Hernández Pérez, Antonio; Rodríguez Mateos, David; Méndez Rodríguez, Eva María; Martín-Galán, Bonifacio
Tipo: Artigo de Revista Científica Formato: text/plain; application/octet-stream; application/octet-stream; application/octet-stream; application/pdf
Metadata is a core issue for the creation of repositories. Different institutional repositories have chosen and use different metadata models, elements and values for describing the range of digital objects they store. Thus, this paper analyzes the current use of metadata describing those Learning Objects that some open higher educational institutions' repositories include in their collections. The goal of this work is to identify and analyze the different metadata models being used to describe educational features of those specific digital educational objects (such as audience, type of educational object, learning objectives, etc.). Also discussed is the concept and typology of Learning Objects (LO) through their use in University Repositories. We will also examine the usefulness of specifically describing those learning objects, setting them apart from other kind of documents included in the repository, mainly scholarly publications and research results of the Higher Education institution.

## Métodos cuantitativos para el análisis de la coyuntura económica valenciana: aplicación a un indicador de consumo

Díez, Francisco J.; Morales, E.; Espasa, Antoni
Fonte: Generalitat Valenciana, Conselleria d'Economia i Hisenda (Valencia) Publicador: Generalitat Valenciana, Conselleria d'Economia i Hisenda (Valencia)
Tipo: Artigo de Revista Científica Formato: text/html

## Estimación el crecimiento del V.A.B. no agrario de Baleares a partir de un indicador sintético

Morales, Eduardo; Espasa, Antoni; Font, A.; Izquierdo, J.F
Fonte: Conselleria d'Economia i Hisenda, Govern Balear (Palma de Mallorca) Publicador: Conselleria d'Economia i Hisenda, Govern Balear (Palma de Mallorca)
Tipo: Artigo de Revista Científica Formato: text/html

## "La relación entre desempleo y vacantes en España: perturbaciones agregadas y de reasignación

Fonte: Fundación Empresa Pública (Fundación SEPI) Publicador: Fundación Empresa Pública (Fundación SEPI)
Tipo: Artigo de Revista Científica
Este trabajo aporta una evaluación empírica de la importancia que han tenido los shocks de actividad, de reasignación y de población activa como factores explicativos de la dinámica de desempleo y las vacantes en España, tanto para el total de la economía como a nivel regional. Para ello, se ha utilizado la metodología de los VAR estructurales, a partir de unas restricciones plausibles de identificación a largo plazo que se imponen a un modelo minimalista basado en el enfoque de flujos del mercado de trabajo. Uno de los principales resultados es el efecto permanente de los shocks de actividad, que se explica por la presencia de mecanismos que provocan histéresis en el mercado de trabajo español.; This paper provides an empirical evaluation of the role played by aggregate activity, reallocation and labour force shocks in explaining the comovements of unemployment and vacancies in Spain, both at the aggregate and regional levels. To do so, we use a structural VAR approach based upon plausible longrun identifying restrictions stemming from a minimalist model of the 'flow approach' to the labour market. One of the main results is the permanent effect of aggregate demand shocks, in agreement with the presence of large hysteresis in the Spanish labour market.

## Lebesgue perturbation of a quasi-definite Hermitian functional. The positive definite case

Cachafeiro, Alicia; Marcellán, Francisco; Pérez, C.
Tipo: Artigo de Revista Científica Formato: application/pdf
In this work we study the problem of orthogonality with respect to a sum of measures or functionals. First we consider the case where one of the functionals is arbitrary and quasi-definite and the other one is the Lebesgue normalized functional. Next we study the sum of two positive measures. The first one is arbitrary and the second one is the Lebesgue normalized measure and we obtain some relevant properties concerning the new measure. Finally we consider the sum of a Bernstein–Szegö measure and the Lebesgue measure. In this case we obtain more simple explicit algebraic relations as well as the relation between the corresponding Szegö’s functions.; First (A.C.) and third (C.P.) author's research was supported by Dirección General de Investigación (Ministerio de Ciencia y Tecnología) of Spain under grant number BFM2000-0015 and by Universidad de Vigo and Xunta de Galicia. Second author (F.M.)'s research was supported by Dirección General de Investigación (Ministerio de Ciencia y Tecnología) of Spain under grant BFM2000-0206-C04-01 and INTAS project INTAS2000-272.; 16 pages, no figures.-- MSC2000 codes: 33C47; 42C05.; MR#: MR1988489 (2004d:42042); Zbl#: Zbl 1032.42030

## Risk factors in oil and gas industry returns: international evidence

Ramos, Sofia B.; Veiga, Helena
Tipo: Trabalho em Andamento Formato: application/pdf
This paper analyzes the exposure of the oil and gas industry of 34 countries to oil prices. Using a multifactor panel model to estimate the oil and gas excess stock returns, our results strongly support the view that oil price is a globally priced factor for the oil industry. In particular, the response of the oil and gas sector to changes oil prices is positive and larger for developed countries than for emerging markets. The industry response is asymmetric, with positive oil price changes having a greater impact on the oil sector returns than negative changes. Furthermore, local market index returns, currency rates and oil price volatility also have a significant impact on oil industry's excess returns. Finally, industry local sensitivities seem to vary with stock market activity and with levels of appropriation of industry revenues by governments. Results are robust to a battery of tests.

## Pseudo-uniform convexity in Hp and some extremal problems on Sobolev spaces

Bello, Manuel; Marcellán, Francisco; Mínguez, Judit
Fonte: Taylor & Francis Publicador: Taylor & Francis
Tipo: Artigo de Revista Científica Formato: application/pdf
We extend Newman and Keldysh theorems to the behavior of sequences of functions in Hp(μ) which explain geometric properties of discs in these spaces. Through Keldysh's theorem we obtain asymptotic results for extremal polynomials in Sobolev spaces.; The work of Bello Hernández and Mínguez Ceniceros has been supported by Dirección General de Investigación (Ministerio de Ciencia y Tecnología) of Spain under grant BFM2000-0206-C04-03. The work of Marcellán has been supported by Dirección General de Investigación (Ministerio de Ciencia y Technología) of Spain under grant BMF 2000-0206-C04-01 and INTAS 2000-272.; 12 pages, no figures.-- MSC2000 codes: 32A35; 42C05.; MR#: MR1974380 (2004e:30074); Zbl#: Zbl 1173.30321

## On a modification of the Jacobi linear functional: Asymptotic properties and zeros of orthogonal polynomials

Arvesú, Jorge; Marcellán, Francisco; Álvarez Nodarse, Renato
The paper deals with orthogonal polynomials in the case where the orthogonality condition is related to semiclassical functionals. The polynomials that we discuss are a generalization of Jacobi polynomials and Jacobi-type polynomials. More precisely, we study some algebraic properties as well as the asymptotic behaviour of polynomials orthogonal with respect to the linear functional ${\scr U}$ $${\scr U}={\scr J}_{\alpha,\beta}+A_1\delta(x-1)+B_1\delta(x+1)- A_2\delta'(x-1)-B_2\delta'(x+1),$$ where ${\scr J}_{\alpha,\beta}$ is the Jacobi linear functional, i.e. $$\langle{\scr J}_{\alpha,\beta},p\rangle=\int ^1_{-1}p(x)(1-x)^\alpha (1+x)^\beta dx,\quad \alpha,\beta>-1,\ p\in {\Bbb P},$$ and ${\Bbb P}$ is the linear space of polynomials with complex coefficients. The asymptotic properties are analyzed in $(-1,1)$ (inner asymptotics) and ${\Bbb C}\sbs [-1,1]$ (outer asymptotics) with respect to the behaviour of Jacobi polynomials. In a second step, we use the above results in order to obtain the location of zeros of such orthogonal polynomials. Notice that the linear functional ${\scr U}$ is a generalization of one studied by T. H. Koornwinder when $A_2=B_2=0$. From the point of view of rational approximation, the corresponding Markov function is a perturbation of the Jacobi-Markov function by a rational function with two double poles at $\pm 1$. The denominators of the $[n-1/n]$ Padé approximants are our orthogonal polynomials.; The first author (J.A.) was partially supported by Dirección General de Investigación del Ministerio de Ciencia y Tecnología of Spain under grants BFM2000-0029 and BFM2000-0206-C04-01. The research of the authors (F.M. and R.A.N.) was partially supported by Dirección General de Investigación del Ministerio de Ciencia y Tecnología of Spain under grants BFM2000-0206-C04-01 and BFM2000-0206-C04-02...