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Author Bernales, A; Reus, L.; Valdenegro, V.
Title Speculative bubbles under supply constraints, background risk and investment fraud in the art market Type
Year 2022 Publication Journal of Corporate Finance Abbreviated Journal J. Corp. Financ.
Volume 77 Issue Pages 101746
Keywords Art Markets; Speculative bubbles; Investment fraud; Background risk; Asset supply constraints
Abstract We examine the unexplored effects on art markets of artist death (asset supply constraints), collectors' wealth (background risk) and forgery risk (risk of investment fraud), under short-sale constraints and risk aversion. Speculative bubbles emerge and have the form of an option strangle (a put option and a call option), in which strike prices are affected by art supply constraints and the association of the artworks' emotional value with both collectors' wealth and forgery, while the options' underlying asset is the stochastic heterogeneous beliefs of agents. We show that speculative bubbles increase with four elements: art supply constraints; a more negative correlation between collectors' wealth and the artworks' emotional value; a more positive relationship between forgery and the artworks' emotional value; and more heterogeneous beliefs. These four sources of speculation increase the expected turnover rate; however, they also augment the variance of speculative bubbles, which generates price discounts (i.e. risk premiums) for holding artworks. Consequently, the net impact of speculation is not necessarily increased art prices. This study not only contributes to the art market literature, but also to studies about speculative bubbles in other financial markets under heterogeneous beliefs, short-sale constraints and risk-averse investors, since we additionally consider the simultaneous effect of asset supply constraints, investors' background risk and the risk of investment fraud.
Address
Corporate Author Thesis
Publisher Place of Publication Editor
Language Summary Language Original Title
Series Editor Series Title Abbreviated Series Title
Series Volume Series Issue Edition
ISSN 0929-1199 ISBN Medium
Area Expedition Conference
Notes Approved
Call Number UAI @ alexi.delcanto @ Serial 1281
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Author Castaneda, P.; Reus, L.
Title Suboptimal investment behavior and welfare costs: A simulation based approach Type
Year 2019 Publication Finance Research Letters Abbreviated Journal Financ. Res. Lett.
Volume 30 Issue Pages 170-180
Keywords Asset allocation; Martingale method; Portfolio selection; Suboptimal investment; Monte Carlo simulation; Welfare loss
Abstract We propose a representation of suboptimal investment behavior based on the stochastic discount factor (SDF) paradigm. Suboptimal investment behavior is rationalized as being the investor's optimal decision under a wrong SDF, while wealth trajectories and budget constraints are based on the true SDF. We develop a novel Monte Carlo simulation approach to compute the welfare costs for this suboptimal behavior. We study the suboptimal portfolio choice under CRRA preferences using two financial market models. The Monte Carlo simulation delivers comparable welfare losses to those computed in the original studies, which are based on partial differential equations (PDE) and – finite-difference schemes.
Address [Castaneda, Pablo] Univ Adolfo lbanez, Business Sch, Diagonal Las Torres 2640, Santiago, Chile, Email: pablo.castaneda@uai.cl;
Corporate Author Thesis
Publisher Academic Press Inc Elsevier Science Place of Publication Editor
Language English Summary Language Original Title
Series Editor Series Title Abbreviated Series Title
Series Volume Series Issue Edition
ISSN 1544-6123 ISBN Medium
Area Expedition Conference
Notes WOS:000487349000024 Approved
Call Number UAI @ eduardo.moreno @ Serial 1169
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Author Munoz, F.D.; van der Weijde, A.H.; Hobbs, B.F.; Watson, J.P.
Title Does risk aversion affect transmission and generation planning? A Western North America case study Type
Year 2017 Publication Energy Economics Abbreviated Journal Energy Econ.
Volume 64 Issue Pages 213-225
Keywords Risk aversion; Stochastic programming; Transmission and generation planning; Investment
Abstract We investigate the effects of risk aversion on optimal transmission and generation expansion planning in a competitive and complete market. To do so, we formulate a stochastic model that minimizes a weighted average of expected transmission and generation costs and their conditional value at risk (CVaR). We show that the solution of this optimization problem is equivalent to the solution of a perfectly competitive risk averse Stackelberg equilibrium, in which a risk-averse transmission planner maximizes welfare after which risk-averse generators maximize profits. This model is then applied to a 240-bus representation of the Western Electricity Coordinating Council, in which we examine the impact of risk aversion on levels and spatial patterns of generation and transmission investment. Although the impact of risk aversion remains small at an aggregate level, state-level impacts on generation and transmission investment can be significant, which emphasizes the importance of explicit consideration of risk aversion in planning models. (C) 2017 Elsevier B.V. All rights reserved.
Address [Munoz, Francisco D.] Univ Adolfo Ibanez, Fac Ingn & Ciencias, Diagonal Las Torres 2640, Santiago, Chile, Email: fdmunoz@uai.cl
Corporate Author Thesis
Publisher Elsevier Science Bv Place of Publication Editor
Language English Summary Language Original Title
Series Editor Series Title Abbreviated Series Title
Series Volume Series Issue Edition
ISSN 0140-9883 ISBN Medium
Area Expedition Conference
Notes WOS:000404704900020 Approved
Call Number UAI @ eduardo.moreno @ Serial 746
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Author Ortega-Martinez, E.; Toledo-Alarcon, J.; Fernandez, E.; Campos, J.L.; Oyarzun, R.; Etchebehere, C.; Cardena, R.; Cabezas, A.; Koók, L.; Bakonyi, P.
Title A review of autotrophic denitrification for groundwater remediation: A special focus on bioelectrochemical reactors Type
Year 2024 Publication Journal of Environmental Chemical Engineering Abbreviated Journal J. Environ. Chem. Eng.
Volume 12 Issue 1 Pages 111552
Keywords Autotrophic denitrification; Bioremediation; Bioelectrochemical systems; Investment costs; Groundwater recuperation; Microbial community
Abstract Groundwater is an important resource that can help in climate change adaptation. However, the pollution of these aquifers with nitrate is a widespread problem of growing concern. Biological denitrification using inorganic electron donors shows significant advantages in treating nitrate-polluted groundwater where organic matter presence is negligible. However, mass transfer limitations and secondary contamination seem to be the major hinderance to spread the use of these technologies. This could be solved by the use of bioelectrochemical systems (BES), which emerge as an attractive technology to solve these problems due to the reported low energy demand and high denitrification rates. However, technical and operational issues must be considered to replicate these results at full-scale. This review summarizes the biological basis of autotrophic denitrification and the key aspects of its application in bioelectrochemical systems. In addition, an estimation of the capital costs required for the implementation of a BES considering different population sizes and initial nitrate concentration in the ground-water is made.
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Corporate Author Thesis
Publisher Place of Publication Editor
Language Summary Language Original Title
Series Editor Series Title Abbreviated Series Title
Series Volume Series Issue Edition
ISSN 2213-2929 ISBN Medium
Area Expedition Conference
Notes WOS:001140225000001 Approved
Call Number UAI @ alexi.delcanto @ Serial 1948
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Author Reus, L.; Mulvey, J.M.
Title Dynamic allocations for currency futures under switching regimes signals Type
Year 2016 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.
Volume 253 Issue 1 Pages 85-93
Keywords Investment analysis; Currency futures; Carry trade; Regime identification; Mean-semivariance portfolio optimization
Abstract Over the last decades, speculative investors in the FX market have profited in the well known currency carry trade strategy (CT). However, during currencies or global financial crashes, CT produces substantial losses. In this work we present a methodology that enhances CT performance significantly. For our final strategy, constructed backtests show that the mean-semivolatility ratio can be more than doubled with respect to benchmark CT. To do the latter, we first identify and classify CT returns according to their behavior in different regimes, using a Hidden Markov Model (HMM). The model helps to determine when to open and close positions, depending whether the regime is favorable to CT or not. Finally we employ a mean-semivariance allocation model to improve allocations when positions are opened. (C) 2016 Elsevier B.V. All rights reserved.
Address [Reus, Lorenzo] Univ Adolfo Ibanez, Dept Sci & Engn, Diagonal Las Torres 2640, Santiago, Chile, Email: lorenzo.reus@uai.cl;
Corporate Author Thesis
Publisher Elsevier Science Bv Place of Publication Editor
Language English Summary Language Original Title
Series Editor Series Title Abbreviated Series Title
Series Volume Series Issue Edition
ISSN 0377-2217 ISBN Medium
Area Expedition Conference
Notes WOS:000374613900007 Approved
Call Number UAI @ eduardo.moreno @ Serial 612
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Author Villena, M.J.; Reus, L.
Title On the strategic behavior of large investors: A mean-variance portfolio approach Type
Year 2016 Publication European Journal Of Operational Research Abbreviated Journal Eur. J. Oper. Res.
Volume 254 Issue 2 Pages 679-688
Keywords Investment analysis; Large investors; Strategic behavior; Markowitz portfolio allocation; Nash equilibrium
Abstract One key assumption of Markowitz's model is that all traders act as price takers. In this paper, we extend this mean-variance approach in a setting where large investors can move prices. Instead of having an individual optimization problem, we find the investors' Nash equilibrium and redefine the efficient frontier in this new framework. We also develop a simplified application of the general model, with two assets and two investors to shed light on the potential strategic behavior of large and atomic investors. Our findings validate the claim that large investors enhance their portfolio performance in relation to perfect market conditions. Besides, we show under which conditions atomic investors can benefit in relation to the standard setting, even if they have not total influence on their eventual performance. The 'two investors-two assets' setting allows us to quantify performance and do sensitivity analysis regarding investors' market power, risk tolerance and price elasticity of demand. Finally, for a group of well known ETFs, we empirically show how price variations change depending on the volume traded. We also explain how to set up and use our model with real market data. (C) 2016 Elsevier B.V. All rights reserved.
Address [Villena, Marcelo J.; Reus, Lorenzo] Univ Adolfo Ibanez, Fac Sci & Engn, Diagonal Torres 2640, Santiago, Chile, Email: marcelo.villena@uai.cl;
Corporate Author Thesis
Publisher Elsevier Science Bv Place of Publication Editor
Language English Summary Language Original Title
Series Editor Series Title Abbreviated Series Title
Series Volume Series Issue Edition
ISSN 0377-2217 ISBN Medium
Area Expedition Conference
Notes WOS:000377732300026 Approved
Call Number UAI @ eduardo.moreno @ Serial 627
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