{"id":3534,"date":"2013-02-01T00:00:56","date_gmt":"2013-02-01T00:00:56","guid":{"rendered":"http:\/\/obegef.pt\/wordpress\/?p=3534"},"modified":"2013-07-20T15:37:19","modified_gmt":"2013-07-20T15:37:19","slug":"23-working-papers","status":"publish","type":"post","link":"https:\/\/obegef.pt\/wordpress\/?p=3534","title":{"rendered":"23# Working Paper"},"content":{"rendered":"\n\n\n
\"capa<\/a>Carregue na imagem para importar o livro<\/td>\nAutor:<\/strong>\u00a0M\u00e1rio Cunha; H\u00e9lder Valente; Paulo B. Vasconcelos
\nT\u00edtulo:\u00a0<\/strong>Ponzi schemes: computer simulation
\nEditor:<\/strong>\u00a0Edi\u00e7\u00f5es H\u00famus & OBEGEF
\nData:<\/strong>\u00a02013,Fev.
\nP\u00e1ginas:\u00a0<\/strong>20
\n\u00a9:<\/strong>\u00a0Observat\u00f3rio de Economia e Gest\u00e3o de Fraude
\nFormato ficheiro:<\/strong>\u00a0pdf (portable document format)
\nDimens\u00e3o:\u00a0<\/strong>1292 kb
\nSolicita\u00e7\u00e3o:<\/strong>\u00a0Transmita-nos<\/a>\u00a0a sua opini\u00e3o sobre este trabalho<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

Resumo:<\/strong>
\n<\/a><\/p>\n

\"textoOs nomes de Ponzi e Madoff, assim como no caso portugu\u00eas D. Branca, s\u00e3o conhecidos como associados a esquemas de investimentos. Trata-se de um tipo de planos de investimentos profusamente espalhados e que continuam a existir, com maiores ou menores adapta\u00e7\u00f5es, produzindo graves danos a muitas pessoas e \u00e0 sociedade em geral. Consistindo num fen\u00f3meno de f\u00e1cil explica\u00e7\u00e3o ap\u00f3s a sua implos\u00e3o, a sua perce\u00e7\u00e3o n\u00e3o \u00e9 f\u00e1cil num momento pr\u00e9vio e oportuno. Existem alguns trabalhos interessantes nesta \u00e1rea mas num n\u00famero reduzido. Neste trabalho \u00e9 apresentada uma abordagem computacional ao modelo matem\u00e1tico desenvolvido por Artzrouni (2009) para a an\u00e1lise dos esquemas de Ponzi. O modelo descreve a din\u00e2mica de um fundo de investimento que promete taxas de rendibilidade superiores aquelas que pode na realidade oferecer. Na g\u00e9nese do esquema existem uma taxa de rendibilidade prometida pelo fundo, a taxa nominal presente, uma taxa irrealista de captura de mercado para novos investimentos e a taxa de resgate para os dep\u00f3sitos acumulados. S\u00e3o apresentadas simula\u00e7\u00f5es resultantes dos choques nos par\u00e2metros do modelo, com o objetivo de ilustrar o seu impacto no sucesso ou no colapso do fundo de investimento. Para a calibra\u00e7\u00e3o do modelo s\u00e3o utilizados dados dispon\u00edveis referentes ao mais famoso esquema fraudulento deste tipo: Charles Ponzi, 1920. \u00c9 igualmente apresentada para discuss\u00e3o uma vers\u00e3o filantr\u00f3pica do modelo, tendo em mente os modelos de seguran\u00e7a social. A aptid\u00e3o das t\u00e9cnicas de simula\u00e7\u00e3o na dete\u00e7\u00e3o de padr\u00f5es insustent\u00e1veis pode ser do interesse de reguladores financeiros e investidores quando confrontados com situa\u00e7\u00f5es em que os fundos apresentam desempenhos irrealistas face \u00e0s restri\u00e7\u00f5es econ\u00f3micas e financeiras. Palavras-chave: Esquemas de Ponzi; investimento; taxa de rendibilidade; equa\u00e7\u00f5es diferenciais ordin\u00e1rias; m\u00e9todos num\u00e9ricos; simula\u00e7\u00e3o.<\/p>\n

\"TextoPonzi and Madoff names, as well as the Portuguese D. Branca, are so-called investment schemes that have become well-known. These scams are widespread and continue to exist, with more or less modifications, depicting serious damage to many people and society in general. Being a phenomenon of easy explanation after the implosion, its perception is not easy in a timely manner. There are some interesting studies on this subject, although in reduced numbers. In this paper we present a computational approach to the mathematical model developed by Artzrouni (2009), to study Ponzi schemes. The model describes the dynamics of an investment fund that promises higher incomes than those it can effectively offer. In the genesis there are a promised return rate, the actual nominal rate, unrealistic market capture rate of new investment and the rate of removal of accumulated deposits. Simulations resulting from shocks on the parameters of the model will be presented, in order to illustrate the impact on the success or the collapse of the investment fund. For the model calibration, data available for one of the most famous fraudulent financial schemes was used: Charles Ponzi, 1920. A philanthropic version of the model is also presented for discussion, bearing in mind social security models. The aptitude of simulation in the detection of unsustainable patterns may be of interest to financial regulators and investors when confronted with situations where funds show unrealistic performances vis-\u00e0-vis the economic and financial constraints.<\/p>\n

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Carregue na imagem para importar o livro Autor:\u00a0M\u00e1rio Cunha; H\u00e9lder Valente; Paulo B. Vasconcelos T\u00edtulo:\u00a0Ponzi schemes: computer simulation Editor:\u00a0Edi\u00e7\u00f5es H\u00famus & OBEGEF Data:\u00a02013,Fev. P\u00e1ginas:\u00a020 \u00a9:\u00a0Observat\u00f3rio de Economia e Gest\u00e3o de Fraude Formato ficheiro:\u00a0pdf (portable document format) Dimens\u00e3o:\u00a01292 kb Solicita\u00e7\u00e3o:\u00a0Transmita-nos\u00a0a sua opini\u00e3o sobre este trabalho<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_bbp_topic_count":0,"_bbp_reply_count":0,"_bbp_total_topic_count":0,"_bbp_total_reply_count":0,"_bbp_voice_count":0,"_bbp_anonymous_reply_count":0,"_bbp_topic_count_hidden":0,"_bbp_reply_count_hidden":0,"_bbp_forum_subforum_count":0,"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[71],"tags":[],"class_list":["post-3534","post","type-post","status-publish","format-standard","hentry","category-working-papers-publicacoes"],"_links":{"self":[{"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=\/wp\/v2\/posts\/3534","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=3534"}],"version-history":[{"count":7,"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=\/wp\/v2\/posts\/3534\/revisions"}],"predecessor-version":[{"id":3848,"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=\/wp\/v2\/posts\/3534\/revisions\/3848"}],"wp:attachment":[{"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3534"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3534"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/obegef.pt\/wordpress\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3534"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}