Insper Institute of Education and Research


Insper Institute of Education and Research

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Lopes H.F.,INSPER Institute of Education and Research | Polson N.G.,University of Chicago
Econometric Reviews | Year: 2016

It is well known that parameter estimates and forecasts are sensitive to assumptions about the tail behavior of the error distribution. In this article, we develop an approach to sequential inference that also simultaneously estimates the tail of the accompanying error distribution. Our simulation-based approach models errors with a tν-distribution and, as new data arrives, we sequentially compute the marginal posterior distribution of the tail thickness. Our method naturally incorporates fat-tailed error distributions and can be extended to other data features such as stochastic volatility. We show that the sequential Bayes factor provides an optimal test of fat-tails versus normality. We provide an empirical and theoretical analysis of the rate of learning of tail thickness under a default Jeffreys prior. We illustrate our sequential methodology on the British pound/U.S. dollar daily exchange rate data and on data from the 2008–2009 credit crisis using daily S&P500 returns. Our method naturally extends to multivariate and dynamic panel data. © 2016, Taylor & Francis Group, LLC.

Gramani M.C.N.,Insper Institute of Education and Research | Franca P.M.,São Paulo State University | Arenales M.N.,University of Sao Paulo
Journal of the Franklin Institute | Year: 2011

Two fundamental processes usually arise in the production planning of many industries. The first one consists of deciding how many final products of each type have to be produced in each period of a planning horizon, the well-known lot sizing problem. The other process consists of cutting raw materials in stock in order to produce smaller parts used in the assembly of final products, the well-studied cutting stock problem. In this paper the decision variables of these two problems are dependent of each other in order to obtain a global optimum solution. Setups that are typically present in lot sizing problems are relaxed together with integer frequencies of cutting patterns in the cutting problem. Therefore, a large scale linear optimizations problem arises, which is exactly solved by a column generated technique. It is worth noting that this new combined problem still takes the trade-off between storage costs (for final products and the parts) and trim losses (in the cutting process). We present some sets of computational tests, analyzed over three different scenarios. These results show that, by combining the problems and using an exact method, it is possible to obtain significant gains when compared to the usual industrial practice, which solve them in sequence. © 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

Sampaio-Barros P.D.,University of Sao Paulo | Bortoluzzo A.B.,Insper Institute of Education and Research | Marangoni R.G.,University of Sao Paulo | Rocha L.F.,University of Sao Paulo | And 4 more authors.
Journal of Rheumatology | Year: 2012

Objective. To analyze survival, prognostic factors, and causes of death in a large cohort of patients with systemic sclerosis (SSc). Methods. From 1991 to 2010, 947 patients with SSc were treated at 2 referral university centers in Brazil. Causes of death were considered SSc-related and non-SSc-related. Multiple logistic regression analysis was used to identify prognostic factors. Survival at 5 and 10 years was estimated using the Kaplan-Meier method. Results. One hundred sixty-eight patients died during the followup. Among the 110 deaths considered related to SSc, there was predominance of lung (48.1%) and heart (24.5%) involvement. Most of the 58 deaths not related to SSc were caused by infection, cardiovascular or cerebrovascular disease, and cancer. Male sex, modified Rodnan skin score (mRSS) > 20, osteoarticular involvement, lung involvement, and renal crisis were the main prognostic factors associated to death. Overall survival rate was 90% for 5 years and 84% for 10 years. Patients presented worse prognosis if they had diffuse SSc (85% vs 92% at 5 yrs, respectively, and 77% vs 87% at 10 yrs, compared to limited SSc), male sex (77% vs 90% at 5 yrs and 64% vs 86% at 10 yrs, compared to female sex), and mRSS > 20 (83% vs 90% at 5 yrs and 66% vs 86% at 10 yrs, compared to mRSS < 20). Conclusion. Survival was worse in male patients with diffuse SSc, and lung and heart involvement represented the main causes of death in this South American series of patients with SSc. The Journal of Rheumatology Copyright © 2012. All rights reserved.

Chateauneuf A.,CES University | Faro J.H.,Insper Institute of Education and Research
Fuzzy Sets and Systems | Year: 2012

In this paper we study the model of decision under uncertainty consistent with confidence preferences. In that model, a decision maker held beliefs represented by a fuzzy set of priors and tastes captured by a standard affine utility index on consequences. First, we find some interesting properties concerning the well-known maxmin expected utility model, taking into account the point of view of the confidence preferences model. Further, we provide new examples of preferences that capture ambiguity-averse attitudes weaker than ambiguity attitudes featured by maxmin expected utility theory. Finally, we discuss the axiomatic foundations for the confidence preferences model with optimistic behavior. © 2011 Elsevier B.V. All rights reserved.

Gramani M.C.N.,Insper Institute of Education and Research
Expert Systems with Applications | Year: 2012

In this paper a two-phase data envelopment analysis approach is proposed in order to examine in a separated way the operational and financial performances for airlines. Empirical results are based on panel data from Brazilian and American airlines, using data from 34 observations (within the period from 1997 to 2006), and shows that for the emergent market, operational performance is always much better than the financial one, showing that the resources optimization has been the main concern for these companies. Also, results for this market show that improving the operational efficiency does not necessarily generate an improvement in financial efficiency. Future research should ascertain whether or not these results replicate in companies other than airlines. © 2011 Elsevier Ltd. All rights reserved.

Madalozzo R.,Insper Institute of Education and Research
PLoS ONE | Year: 2012

The labor participation of Brazilian women has increased during the last few decades. According to the World Bank, the percentage of Brazilian women participating in the labor market rose from 20% in the early 1970s to 65% (for women between 16 and 64 years of age) in 2009. The fertility profile has also changed, the fertility rate has decreased from 6.2 in 1960 to 1.9 in 2009, below the replacement rate, according to the World Bank. This paper will present Brazilian fertility trends during the previous (20th) and present (21st) centuries and, emphasize the importance of individual profiles for fertility decisions. This work uses Brazilian data from PNAD (Pesquisa Nacional de Amostra por Domicilios) to understand the cause of this relationship and to predict the consequences of these choices on women's economic development. © 2012 Regina Madalozzo.

Most observations of the patent behavior of firms are derived from institutional environments in which relatively strong protection can be obtained, even if patents per se are imperfect protection mechanisms. As a result, the determinants of a firm's propensity to patent in a weak appropriability regime are still unclear. This paper advances our current understanding of patent behavior by exploring the effects of manufacturing firms' innovation partnerships, foreign ownership, and adoption of new management practices on the likelihood of patenting. Our analysis is based on the responses of firms to questions in the Brazilian Industrial Survey of Technological Innovation (Pintec). The findings presented here indicate that, despite the weaknesses of the patent system, firms engaged in innovation-oriented collaborations are more likely to patent than firms not involved in these partnerships. Additionally, the results reveal that domestic and foreign firms in a weak institutional environment are similar in their inclination to patent. Finally, the empirical exercise shows that when a patent system is characterized by high levels of formalism and low levels of safeguarding against infringements of property rights firms adopt novel management practices as substitutes for patents. © 2015 Elsevier Ltd.

Gramani M.C.,Insper Institute of Education and Research
PLoS ONE | Year: 2014

Previous cross-country studies have revealed a relationship between health and socio-economic factors. However, multinational studies that use aggregate figures could obfuscate the actual situation in each individual region, or even in each individual federal unit, mainly in a developing country that spans a continent and has large socioeconomic inequalities. We conducted a within-country study, in Brazil, of health system performance that examined data in the four perspectives that most strongly affect the performance of public health systems: financial, customer, internal processes and learning&growth. After estimating the interregional health system performance from each perspective, we identified the determinants of inefficiency (i.e., the factors that have the greatest potential for improvement in each region). The results showed that the major determinants of inefficiency in the less efficient regions (N and NE) are concentrated in the perspective of learning&growth (the number of health professionals and the number of graduates with a health-related undergraduate degree) and, in the regions with the best performance (S and SE) the major determinants of inefficiency are concentrated in the financial perspective (spending on health care and the amount paid for hospitalization). © 2014 Maria Cristina Gramani.

Sandoval L.,Insper Institute of Education and Research | Bortoluzzo A.B.,Insper Institute of Education and Research | Venezuela M.K.,Insper Institute of Education and Research
Physica A: Statistical Mechanics and its Applications | Year: 2014

Using stocks of the Brazilian stock exchange (BM&F-Bovespa), we build portfolios of stocks based on Markowitz's theory and test the predicted and realized risks. This is done using the correlation matrices between stocks, and also using Random Matrix Theory in order to clean such correlation matrices from noise. We also calculate correlation matrices using a regression model in order to remove the effect of common market movements and their cleaned versions using Random Matrix Theory. This is done for years of both low and high volatility of the Brazilian stock market, from 2004 to 2012. The results show that the use of regression to subtract the market effect on returns greatly increases the accuracy of the prediction of risk, and that, although the cleaning of the correlation matrix often leads to portfolios that better predict risks, in periods of high volatility of the market this procedure may fail to do so. The results may be used in the assessment of the true risks when one builds a portfolio of stocks during periods of crisis. © 2014 Elsevier B.V. All rights reserved.

Miranda R.,Insper Institute of Education and Research | Gramani M.C.,Insper Institute of Education and Research | Andrade E.,Insper Institute of Education and Research
International Transactions in Operational Research | Year: 2012

The aim of this study is to contribute to the existing literature on the efficiency of higher education institutions. The technical efficiency of higher education has been mostly studied using methods such as data envelopment analysis and stochastic frontier analysis. Many researchers compare either the efficiency among public education institutions or among departments in a university by using variables that give equal importance to teaching and research. In this paper, both these methodologies are applied to measure the efficiency of higher education courses, especially the business administration courses offered by private for-profit institutions that focus just on education and are located in the same geographical region. The variables selected covered the specific aspects of these courses and the results showed the complementarities of these two approaches. © 2012 International Federation of Operational Research Societies.

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