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Aplicação de programação estocástica para estratégias de investimento em fundos estruturados.; Stochastic programming application for investment strategies in funds structured.

Vanzetto, Bruno Marquetti
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 02/04/2014 PT
Relevância na Pesquisa
55.98%
Este trabalho apresenta a aplicação de uma abordagem via programação estocástica linear para definição da alocação de ativos ótima em um fundo de investimento estruturado. A carteira adotada é formada por caixa, futuro de Ibovespa e call de Ibovespa. A partir da definição da alocação ótima é feita uma análise do sucesso dessa carteira em superar a performance do índice Bovespa. Além disso, é feita uma análise comparativa contra uma carteira formada apenas por caixa e um ativo com retorno igual ao do índice Bovespa à vista. Tal comparação analisa a diferença de performance e também a diferença de risco medido pelo VaR (value at risk) versus retorno. A metodologia adotada para obtenção da alocação ótima é baseada na geração de uma árvore de cenários de parâmetros de mercado sobre a qual os ativos que formam a carteira são revalorizados de tal modo que o lucro acumulado ao fim do prazo de vida do fundo seja maximizado. Os resultados obtidos mostram que a performance da carteira formada por caixa, futuros e calls supera a performance da carteira formada por caixa e índice Bovespa à vista mesmo quando sujeito a um mesmo nível de risco. Além disso, a metodologia de comparação proposta neste trabalho também se mostrou bastante útil na prática de tomada de decisões de investimento por permitir comparar a performance de estratégias de investimentos dinâmicas.; This paper presents an application that uses linear stochastic programming to define the optimal asset allocation of an structured investment fund. The portfolio adopted is comprised of cash...

Unexploited Gains from International Diversification : Patterns of Portfolio Holdings around the World

Didier, Tatiana; Rigobon, Roberto; Schmukler, Sergio L.
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
56.09%
This paper studies how portfolios with a global investment scope are allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role.

Managing Resources to Build Back and Create a Better Future for Nias : Nias Public Expenditure Analysis

World Bank
Fonte: Washington, DC Publicador: Washington, DC
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55.98%
Already one of the poorest regions in Indonesia, the island of Nias was badly affected by the twin disasters of the 26 December 2004 tsunami and a devastating earthquake that struck three months later, on 28 March 2005. Now, more than two years after the disasters and despite the significant progress that has undoubtedly been made, some troubling trends are starting to emerge, of which this report takes stock. In particular, funds are not being disbursed at the desired pace as the reconstruction effort faces enormous implementation challenges. The allocation of significant resources for reconstruction, as well as the decentralization process, entails both opportunities and challenges for the development of Nias. This report assists in making use of those opportunities and overcoming the challenges by informing the planning and budgeting process of the two district governments in Nias, and analyzing constraints in public financial management in both districts, as well as identifying key gaps in the reconstruction process.

Cameroon - The Path to Fiscal Decentralization : Opportunities and Challenges

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
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55.98%
Decentralization in Cameroon is an instrument to meet multiple objectives. This report takes stock of Cameroon s experience with decentralization. It examines whether the design has been coherently formulated and preconditions for decentralization have been put in place. It also suggests short to medium-term proposals to make the process work better, within the constraints of significant data limitations. The design of the decentralization process in Cameroon reflects the normative approaches to decentralization-assuming benign officials and policy makers, and stipulating a normative allocation of responsibilities. In reality, a political economy story is at play, as suggested by developments in the positive literature that drop the assumption of disinterested officials. The legal framework relating to decentralization is overlapping, cumbersome and contradictory, and in many respects open to different interpretations. The main difficulty is that decentralized functions are ill-defined and not distinct from deconcentrated operations of the central government. This report examines the building blocks of the decentralization framework-starting in chapter one with a description of the status quo and the methods to be used. In chapter two discuss the unclear legal framework in Cameroon. The fuzzy spending responsibilities and lack of effective strategy to address the extent and scope of decentralization are examined in chapter three. The weaknesses in information flows and public financial management (PFM) issues...

Technical Note on the Methodology for the Allocation of Intergovernmental Grants in the Republic of Belarus

Timofeev, Andrey; Martinez-Vazquez, Jorge
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
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65.92%
This technical note evaluates the methodology proposed by the Ministry of Finance for the allocation of transfers to subnational governments and suggest a number of alternative options for various grant design elements Overall, the framework laid out in the Budget Code and the implementation approach developed in the draft methodology conform to sound principles in fiscal decentralization and the best international practices. However, a number of elements of the methodology still need to be elaborated and some elements might need to be revised.

The Income Lever and the Allocation of Aid

Ceriani, Lidia; Verme, Paolo
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
EN_US
Relevância na Pesquisa
56%
The paper develops a concept and a measure of the monetary capacity of a country to reduce its own poverty and shows how these tools can be used to guide budget allocations or the allocation of aid. The authors call this concept the income lever. Making use of tax and distributive theory, the paper shows how different redistributive criteria correspond to the different normative criteria of the income lever. It then constructs various income lever indexes based on these criteria and uses such indexes to rank countries according to their own capacity to reduce poverty. As shown in the empirical application, this methodology can provide an equitable tool to rank countries or regions when it comes to budget or aid allocations, whether it is the allocation of social funds within the European Union (North-North transfers) or the allocation of aid from rich to poor countries (North-South transfers). The findings indicate that the allocation of social funds in the European Union follows closely the rank that results from the income lever indexes proposed while the allocation of aid to Sub-Saharan African countries does not.

Potential Benefits and Risks of Increased Aid Flows to Burundi

Nielsen, Hannah; Madani, Dorsati
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
65.98%
Burundi has experienced a significant increase in aid flows in recent years. Currently, about half of the budget is funded by aid, mostly grants. The high external assistance has, however, not yet translated into high and sustainable growth rates. This paper analyzes (i) the policy response of the government to the aid surge and its impact on macroeconomic variables; and (ii) the allocation of external assistance and its implications for growth. Since not all aid affects economic development in the same way, aid disbursements are disaggregated by sector as well as by their lag in impacting growth. The analysis shows that Burundi has mostly spent and absorbed increased aid flows, but has until now not suffered significantly from the possible negative effects of an appreciating exchange rate and the related loss of competitiveness, but the possibility of a Dutch disease effect remains a risk. The country s low growth performance, despite high aid inflows, is not necessarily a sign that aid is ineffective or exceeding Burundi s absorptive capacity. It reflects that a large share of aid has been allocated to either humanitarian and emergency aid or long-run growth enhancing sectors. Therefore...

Planning the efficient allocation of research funds: An adapted application of a non-parametric Bayesian value of information analysis

Karnon, J.
Fonte: Elsevier Sci Ireland Ltd Publicador: Elsevier Sci Ireland Ltd
Tipo: Artigo de Revista Científica
Publicado em //2002 EN
Relevância na Pesquisa
55.96%
The issue of the efficient allocation of research funds has been addressed using various quantitative methods. Bayesian value of information (VoI) analysis provides an explicit and comprehensive analytic process for the comparison of alternative sources of research. This paper presents an adapted non-parametric application of a VoI analysis of prospective trials comparing alternative adjuvant therapies for postmenopausal women with node positive early breast cancer. The results show that such trials would produce substantial net benefits, though the extent of the net benefits is clearly influenced by the assumed length of usefulness of the research. The application of the VoI methodology shows that such analyses are practical and the recent increase in the use of stochastic decision models in the economic evaluation of health care technologies facilitates further applications of VoI analyses to inform the allocation of research funds.; http://www.elsevier.com/wps/find/journaldescription.cws_home/505962/description#description; Jonathan Karnon; Copyright © 2002 Elsevier Science Ireland Ltd. All rights reserved.

Investing in Habope; Financial Assessment of Community-Based Small Investments in Sierra Leone

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Working Paper; Publications & Research :: Working Paper; Publications & Research
ENGLISH; EN_US
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55.95%
In countries ravaged by a history of civil war and genocide, the overarching goal for local government and international donors alike is to promote social cohesion, stability and community reconstruction. In Sierra Leone, reconstruction programs emphasize a decentralized approach to: (i) rapidly build market institutions; (ii) enhance community decision making; and (iii) strengthen intra and inter-community tolerance and benefit sharing. This study addresses a program to provide small grants to some of the poorest communities in Sierra Leone. The program builds on the success of relevant micro financing initiatives. However, compared to traditional loans to small enterprises, which are generally available in urban and peri-urban areas where micro financing institutions are accessible, socially motivated grants to reach the poorest households are used. This report presents the findings of financial assessments funded by the Public Private Infrastructure Advisory Facility (PPIAF) of the World Bank. The assessments cover two of the poorest districts in northern Sierra Leone under the Habope project. The project...

Sudan - Public Expenditure Tracking Survey (PETS) : Case Study of the Health Sector

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review; Economic & Sector Work
ENGLISH; EN_US
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65.95%
The Sudan referendum on post-Comprehensive Peace Agreement (CPA) arrangements was held during January 9-15, 2011 with results in favor of secession of the South by July 9, 2011. The economic effects will transmit largely through the fiscal and external accounts and the outcome of secession negotiations will determine the post-CPA economic landscape. The secession outcome will likely put significant strain on economic stability in the North. The PETS study is organized as follows: chapter two presents the objectives of the study, and the survey methodology and sampling size. Chapter three focuses on the specific developments of budget data (functional classification) in the Northern States. The chapter sheds some light on revenues and expenditure in Northern States and also zooms into the specific responsibilities transferred to the states. Towards the end, the chapter addresses the budgets specifically of the six states that have been sampled for the study (in a purposive sample). Chapter four is the heart of the study and is based on the flow of funds analysis underlying the PET survey. It starts out with addressing the question on 'who' finances the health sector. With this it gives a good account of the decentralized nature of health services...

Basic Agricultural Public Expenditure Diagnostic Review : Ghana's Ministry of Food and Agriculture

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
55.92%
Ghana, like many other African countries, had made a commitment in 2003 to allocate at least ten percent of their national budgetary resources to develop the agricultural sector by 2008, following the adoption of the Comprehensive African Agriculture Development Programme (CAADP), with an aim towards realizing food security and poverty reduction. This Agriculture Public Expenditure Review (AgPER) for Ghana analyzes data on public spending from both government and donor sources to assess: 1) the alignment between expenditure patterns within the agricultural sector and stated policy priorities; and 2) the effectiveness of public spending by comparing spending against results. The outputs of the review include a comprehensive agricultural expenditure assessment to help provide a solid foundation for carrying out specialized studies, such as Public Expenditure Tracking Surveys (PETS), and the establishment of the levels and composition of public expenditure in the selected subsectors

Republic of Bulgaria : Institutional Fiduciary Assessment (IFA) of Road Executive Agency

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Other Public Sector Study; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
55.97%
This Institutional Fiduciary Assessment (IFA) of the Road Executive Agency (REA) was commissioned by the World Bank (WB) country and infrastructure sector management in connection with the government's request to provide the World Bank financing for a new Road Infrastructure Project (project). The IFA was used as a tool to assess the performance of the REA in regard to the financial management and procurement systems in order identify the areas in REA's public finance management that can be further strengthened to improve utilization of public funds irrespective of the source of financing. The Government wants to improve the condition of class two and three roads so as to enhance the population's access to markets and enterprises in small towns and rural areas and enhance business opportunities in rural areas expected after the EU accession. Second, REA wants to improve its road management system in order to be able to prepare multiyear road maintenance programs under a constrained budget environment. Third, the Government wants REA to strengthen its technical and managerial capacity to efficiently implement ongoing and future road projects, especially those to be partly financed with EU grants. This section presents a summary table of fiduciary issues and risks attached to the financial management and procurement arrangements in connection with REA's re-organization into an extra-budgetary fund responsible for the national road network...

Spending for Development : Making the Most of Indonesia's New Opportunities, Indonesia Public Expenditure Review 2007

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review; Economic & Sector Work
ENGLISH
Relevância na Pesquisa
55.92%
This Public Expenditure Review (PER) 2007 examines and explains some of the constraints facing the government in public resource management and allocation, and offers recommendations for improvements in six critical areas: fiscal space, education, health, infrastructure, public financial management and decentralization. Although Indonesia has made important progress in reforming its public finances and increasing transparency, Indonesia's reform agenda, as highlighted by the PER, is far from complete. Equity and efficiency of spending remain major issues, for instance finding an optimal allocation of resources that reflects development priorities, and achieving an annual spending pattern that is no longer strongly skewed towards the end of the financial year. This report tries to establish the facts about Indonesia's public expenditures, presenting trends over time and analyzing the composition across sectors and levels of government. It presents comprehensive information on key sectors, including sub-national governments and state-owned enterprises in key infrastructure sectors. Based on these facts...

Tajikistan : Review of Public Expenditures on Health

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review
ENGLISH; EN_US
Relevância na Pesquisa
55.96%
This policy note is part of the World Bank's Programmatic Public Expenditure Review (PER) work program for FY2012-2014. The PER consists of a series of fiscal policy notes, which aim at providing the Government of Tajikistan with recommendations to strengthen budgetary processes and analysis. This policy note, the second in the series, examines public expenditures on health in Tajikistan. After an introductory section, the note describes the institutional and administrative structure of the health sector. Section 3 presents health outcomes and health care utilization indicators. Section 4 describes health financing in Tajikistan and presents the main options to expand fiscal space for health. Section 5 reviews the health financing and organizational reforms implemented in Tajikistan. Section 6 provides the main conclusions: 1) despite progress, health sector outcomes are mixed in Tajikistan and utilization pattern of health services is characterized by significant inequalities; 2) public spending on health is relatively low and skewed towards hospitals rather than outpatient care; 3) the hospital sector is characterized by oversupply of beds...

Financial Liberalization and Allocative Efficiency of Capital

Kukenova, Madina
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
ENGLISH
Relevância na Pesquisa
56.02%
Financial liberalization may have a positive effect on growth not only through the increase in the quantity of the available funds, but also through a more efficient allocation of resources across firms and sectors. Despite this intuitive appeal, there is little empirical evidence on the positive effect of financial liberalization on capital allocation. The main difficulty of investigating the linkage between liberalization of financial markets and capital allocation efficiency lies in the fact that the efficiency of capital allocation is not directly observable. One way to address this issue is to evaluate the effect of financial liberalization within the Heckscher-Ohlin framework. Producing and exporting products inconsistent with a country's factor endowments constitutes a serious misallocation of the funds, which undermines competitiveness of the economy and inhibits its long run growth. This paper tests the allocative efficiency hypothesis by evaluating the effect of stock market liberalization on the survival of different product categories using export data for 91 countries over the period of 1975-2003. Preliminary results suggest that after liberalization of the domestic stock market...

Explaining Leakage of Public Funds

Reinikka, Ritva; Svensson, Jakob
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
55.98%
Using panel data from a unique survey of public primary schools in Uganda, The authors assess the degree of leakage of public funds in education. The survey data reveal that on average during 1991-95 schools received only 13 percent of the central government's allocation for the schools' nonwage expenditures. Most of the allocated funds were used by public officials for purposes unrelated to education or captured for private gain (leakage). The survey data also reveal large variations in leakage across schools. A small set of school-specific variables can explain a significant part of this variation. Specifically, the authors find that larger schools receive a larger share of the intended funds per student. Schools with children of wealthier parents also experience a lower degree of leakage, while schools with a higher share of unqualified teachers receive less. After addressing potential selection and measurement issues, the authors show that these school characteristics have a quantitatively large impact on the degree of leakage. The findings are consistent with the view that resource flows-and leakage-are endogenous to schools' sociopolitical endowment. Rather than being passive recipients of flows from government...

Colombia - National Level Public Financial Management and Procurement Report : Public Financial Management Performance; Colombia - Informe de la gestion financiera publica y sistema de contratacion

World Bank; Inter-American Development Bank
Fonte: World Bank Publicador: World Bank
Tipo: Economic & Sector Work :: Other Financial Sector Study
ENGLISH
Relevância na Pesquisa
55.93%
This Public Financial Management Performance Report (PFMPR) analyzes the performance of Colombia's public financial management (PFM) institutions, systems and processes. It documents areas where performance is close to or follows international good practice, as well as opportunities to further enhance PFM contribution to the goals of strengthening fiscal discipline, enabling more efficient allocation of resources, increasing operational efficiency, and fostering transparency. It is expected that the identified opportunities will strengthen further the Government of Colombia's programs of continuous PFM improvement, as provided for under the National Development Plan pillar regarding a state at the service of its citizens: efficient and effective Government. The main challenges cited in the report could also be an important reference to future development plans and PFM reforms. Ensuring the sustainability and trajectory of PFM programs becomes even more critical in the context of public expenditure policies to deal with the current international economic crisis. The study is based on the 28 high-level indicators and 69 individual dimensions that compose the PFM performance measurement framework. Each indicator seeks to measure performance of a key PFM element against a scale from A to D. The highest score is warranted for an individual indicator if the core PFM element meets the relevant objective in a complete...

Bangladesh - Public Expenditure and Institutional Review : Towards a Better Quality of Public Expenditure - Main Report

World Bank
Fonte: World Bank Publicador: World Bank
Tipo: Economic & Sector Work :: Public Expenditure Review
ENGLISH
Relevância na Pesquisa
55.93%
Bangladesh has recorded many impressive achievements in economic and social development in the last decade and a half. It has achieved steady economic growth of over 5.5 percent annually (over 6 percent on average since 2004), maintained relatively low inflation and stable levels of domestic debt. More remarkable have been its achievements in reducing income poverty and improving social indicators, such as life expectancy, fertility control, child mortality, literacy and enrollment rates, which, in many cases, exceed other countries in the region and outside. In addition to standard expenditure policy analysis typically associated with Public Expenditure Reviews (PERs), this study combines an assessment of key institutional elements that are likely to affect budget outcomes with political economy analysis of the budget institutions, in order to discover the underlying reasons behind the existing equilibrium. While the Public Expenditure and Institutional Review (PEIR) does not include a description of the technical aspects of Public Financial Management (PFM) institutions...

Colombia - Lessons from the Competitive Allocation of Research Funding in the Agricultural Sector; Colombia - Experiencia reciente de la convocatoria del sector agricola : siguiendo tendencias y estandares internacionales

Cristancho, Edwin; Ekanayake, Indira Janaki; Janssen, Willem
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
ENGLISH
Relevância na Pesquisa
65.92%
Since 2004, Colombia's ministry of agriculture and rural development has implemented a strategy of competitive funding or public call for proposals for the allocation of public funds for Research, Technological Development and Innovation (RTDI) programs and projects targeting the agricultural sector. This strategy considers science and technology as core elements of agricultural sector policy, and the allocation of funds is governed by principles of cost-effectiveness and transparency. The fact that Latin American (LAC) countries, especially Colombia, are commonly endowed with a high concentrations of biodiversity (habitats and species) compared to other regions of the world, generates significant opportunities for RTDI. These projects offer a systematic way of making use of biodiversity in life sciences aimed at solving problems (e.g. a new disease-resistant variety of a traditional crop) or generating commercial returns (e.g. a native fruit that can be domesticated, harvested and industrialized). Moreover...

Improving Federal Allocation of EQIP Funding

Gilbert, Emily; Liu, Jiemei; Qin, Jianming; Neal, Ashley
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Masters' project
Publicado em 25/04/2013 EN_US
Relevância na Pesquisa
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The motivation behind this report is to evaluate and respond to past and current decision pathways employed for determining state allocation of the Environmental Quality Incentives Program [EQIP] funding under the Natural Resource Conservation Service [NRCS]. We work to provide justifiable recommendations for how the allocation of EQIP dollars might be improved, especially as it pertains to improving equity among those states with the highest priority needs. The distribution mechanism of federal EQIP funding to each state has received significant criticism in the past. The criticism stems primarily from the usage of a weighted factor formula that has been thought to unfairly favor certain states over others. Beyond questions of equity, there have also been more fundamental concerns over the quality of data inputted into the funding formula. In this project, we worked with our client, a Program Analyst at the North Carolina NRCS office, to tailor our recommendations to the specific concerns of one state. Our client’s specific concern was that North Carolina has historically been positioned lower in the national ranking of EQIP funding that it receives as compared to many other large agricultural states. To better understand the process of federal EQIP allocation...