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We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...
Real-time control systems (RTCSs) tolerate delay and crash faults by replicating the controller. Each replica computes and issues setpoints to actuators over a network that might drop or delay messages. Hence, the actuators might receive an inconsistent se ...
Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary ...
This thesis contains four chapters, each of which utilizes new or unusual data sources to analyze a different area of financial economics. In the first chapter, I construct a novel dataset linking individual bankers to large borrowers in the U.S. syndicate ...
Estimates of intangible capital stock are of prime importance for accurate measurement of productivity growth. Aggregate intangible capital stock is usually estimated using the so-called Corrado-Hulten-Sichel (CHS) new growth accounting framework. Yet this ...
The sugarcane sector in Brazil has undergone a major modernization in the last thirty years. Embracing the biorefinery concept, this sector is investigating bioproduct diversification and mostly putting a lot of effort and investment on second generation e ...
Real-time control systems (RTCSs) tolerate delay and crash faults by replicating the controller. Each replica computes and issues setpoints to actuators over a network that might drop or delay messages. Hence, the actuators might receive an inconsistent se ...
We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are ...
Nowadays exploiting the full potential of the humongous amount of data that manufactures can produce with their production means is a real challenge. Moreover, increasing production capabilities without large investments is a recurring objective for them. ...
In this study, we discuss the difference regarding thermo-economic and environmental (water intake) aspects between two methods of biomass hydrolysis. A thermo-economic model was developed using Aspen Plus® and MATLAB software in order to analyze the energ ...