International stock portfolio selection and performance measures recognizing higher moments of return distributions

Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973)) argue that the higher moments cannot be neglected unless there is reason to believe that: (i) the asset returns are normally distributed and the investor's utility function is quadratic, or (ii) the empirical evidence demonstrates that higher moments are irrelevant to the investor's decision. Based on the same argument, this dissertation investigates the impact of higher moments of return distributions on three issues concerning the 14 international stock markets.^ First, the portfolio selection with skewness is determined using: the Polynomial Goal Programming in which investor preferences for skewness can be incorporated. The empirical findings suggest that the return distributions of international stock markets are not normally distributed, and that the incorporation of skewness into an investor's portfolio decision causes a major change in the construction of his optimal portfolio. The evidence also indicates that an investor will trade expected return of the portfolio for skewness. Moreover, when short sales are allowed, investors are better off as they attain higher expected return and skewness simultaneously.^ Second, the performance of international stock markets are evaluated using two types of performance measures: (i) the two-moment performance measures of Sharpe (1966), and Treynor (1965), and (ii) the higher-moment performance measures of Prakash and Bear (1986), and Stephens and Proffitt (1991). The empirical evidence indicates that higher moments of return distributions are significant and relevant to the investor's decision. Thus, the higher moment performance measures should be more appropriate to evaluate the performances of international stock markets. The evidence also indicates that various measures provide a vastly different performance ranking of the markets, albeit in the same direction.^ Finally, the inter-temporal stability of the international stock markets is investigated using the Parhizgari and Prakash (1989) algorithm for the Sen and Puri (1968) test which accounts for non-normality of return distributions. The empirical finding indicates that there is strong evidence to support the stability in international stock market movements. However, when the Anderson test which assumes normality of return distributions is employed, the stability in the correlation structure is rejected. This suggests that the non-normality of the return distribution is an important factor that cannot be ignored in the investigation of inter-temporal stability of international stock markets. ^

An innovative approach to teaching structural induction for computer science

Proofs by induction are central to many computer science areas such as data structures, theory of computation, programming languages, program efficiency-time complexity, and program correctness. Proofs by induction can also improve students’ understanding and performance of computer science concepts such as programming languages, algorithm design, and recursion, as well as serve as a medium for teaching them. Even though students are exposed to proofs by induction in many courses of their curricula, they still have difficulties understanding and performing them. This impacts the whole course of their studies, since proofs by induction are omnipresent in computer science. Specifically, students do not gain conceptual understanding of induction early in the curriculum and as a result, they have difficulties applying it to more advanced areas later on in their studies. The goal of my dissertation is twofold: (1) identifying sources of computer science students’ difficulties with proofs by induction, and (2) developing a new approach to teaching proofs by induction by way of an interactive and multimodal electronic book (e-book). For the first goal, I undertook a study to identify possible sources of computer science students’ difficulties with proofs by induction. Its results suggest that there is a close correlation between students’ understanding of inductive definitions and their understanding and performance of proofs by induction. For designing and developing my e-book, I took into consideration the results of my study, as well as the drawbacks of the current methodologies of teaching proofs by induction for computer science. I designed my e-book to be used as a standalone and complete educational environment. I also conducted a study on the effectiveness of my e-book in the classroom. The results of my study suggest that, unlike the current methodologies of teaching proofs by induction for computer science, my e-book helped students overcome many of their difficulties and gain conceptual understanding of proofs induction.

An Innovative Approach to Teaching Structural Induction for Computer Science

Proofs by induction are central to many computer science areas such as data structures, theory of computation, programming languages, program efficiency-time complexity, and program correctness. Proofs by induction can also improve students’ understanding of and performance with computer science concepts such as programming languages, algorithm design, and recursion, as well as serve as a medium for teaching them. Even though students are exposed to proofs by induction in many courses of their curricula, they still have difficulties understanding and performing them. This impacts the whole course of their studies, since proofs by induction are omnipresent in computer science. Specifically, students do not gain conceptual understanding of induction early in the curriculum and as a result, they have difficulties applying it to more advanced areas later on in their studies. The goal of my dissertation is twofold: 1. identifying sources of computer science students’ difficulties with proofs by induction, and 2. developing a new approach to teaching proofs by induction by way of an interactive and multimodal electronic book (e-book). For the first goal, I undertook a study to identify possible sources of computer science students’ difficulties with proofs by induction. Its results suggest that there is a close correlation between students’ understanding of inductive definitions and their understanding and performance of proofs by induction. For designing and developing my e-book, I took into consideration the results of my study, as well as the drawbacks of the current methodologies of teaching proofs by induction for computer science. I designed my e-book to be used as a standalone and complete educational environment. I also conducted a study on the effectiveness of my e-book in the classroom. The results of my study suggest that, unlike the current methodologies of teaching proofs by induction for computer science, my e-book helped students overcome many of their difficulties and gain conceptual understanding of proofs induction.

Practical secure information flow in programming languages

If we classify variables in a program into various security levels, then a secure information flow analysis aims to verify statically that information in a program can flow only in ways consistent with the specified security levels. One well-studied approach is to formulate the rules of the secure information flow analysis as a type system. A major trend of recent research focuses on how to accommodate various sophisticated modern language features. However, this approach often leads to overly complicated and restrictive type systems, making them unfit for practical use. Also, problems essential to practical use, such as type inference and error reporting, have received little attention. This dissertation identified and solved major theoretical and practical hurdles to the application of secure information flow. ^ We adopted a minimalist approach to designing our language to ensure a simple lenient type system. We started out with a small simple imperative language and only added features that we deemed most important for practical use. One language feature we addressed is arrays. Due to the various leaking channels associated with array operations, arrays have received complicated and restrictive typing rules in other secure languages. We presented a novel approach for lenient array operations, which lead to simple and lenient typing of arrays. ^ Type inference is necessary because usually a user is only concerned with the security types for input/output variables of a program and would like to have all types for auxiliary variables inferred automatically. We presented a type inference algorithm B and proved its soundness and completeness. Moreover, algorithm B stays close to the program and the type system and therefore facilitates informative error reporting that is generated in a cascading fashion. Algorithm B and error reporting have been implemented and tested. ^ Lastly, we presented a novel framework for developing applications that ensure user information privacy. In this framework, core computations are defined as code modules that involve input/output data from multiple parties. Incrementally, secure flow policies are refined based on feedback from the type checking/inference. Core computations only interact with code modules from involved parties through well-defined interfaces. All code modules are digitally signed to ensure their authenticity and integrity. ^

Optimization of transit transfer times: A system-wide approach

This dissertation presents a system-wide approach, based on genetic algorithms, for the optimization of transfer times for an entire bus transit system. Optimization of transfer times in a transit system is a complicated problem because of the large set of binary and discrete values involved. The combinatorial nature of the problem imposes a computational burden and makes it difficult to solve by classical mathematical programming methods. ^ The genetic algorithm proposed in this research attempts to find an optimal solution for the transfer time optimization problem by searching for a combination of adjustments to the timetable for all the routes in the system. It makes use of existing scheduled timetables, ridership demand at all transfer locations, and takes into consideration the randomness of bus arrivals. ^ Data from Broward County Transit are used to compute total transfer times. The proposed genetic algorithm-based approach proves to be capable of producing substantial time savings compared to the existing transfer times in a reasonable amount of time. ^ The dissertation also addresses the issues related to spatial and temporal modeling, variability in bus arrival and departure times, walking time, as well as the integration of scheduling and ridership data. ^

A molecular and stable isotopic approach to investigate the importance of algal and detrital energy pathways in a freshwater marsh

The relative importance of algal and detrital energy pathways remains a central question in wetlands ecology. We used bulk stable isotope analysis and fatty acid composition to investigate the relative contributions of periphyton (algae) and floc (detritus) in a freshwater wetland with the goal of determining the inputs of these resource pools to lower trophic-level consumers. All animal samples revealed fatty acid markers indicative of both microbial (detrital) and algal origins, though the relative contributions varied among species. Vascular plant markers were in low abundance in most consumers. Detritivory is important for chironomids and amphipods, as demonstrated by the enhanced bacterial fatty acids present in both consumers, while algal resources, in the form of periphyton, likely support ephemeropteran larvae. Invertebrates such as amphipods and grass shrimp appear to be important resources for small omnivorous fish, while Poecilia latipinna appear to strongly use periphyton and Ephemeroptera larvae as food sources. Both P. latipinna and Lepomis spp. assimilated small amounts of vascular plant debris, possibly due to unintentional ingestion of floc while foraging for invertebrates and insect larvae. Physid snails, Haitia spp., were characterized by considerably different fatty acid compositions than other taxa examined, and likely play a unique role in Everglades’ food webs.

Branch and price solution approach for order acceptance and capacity planning in make -to -order operations

The increasing emphasis on mass customization, shortened product lifecycles, synchronized supply chains, when coupled with advances in information system, is driving most firms towards make-to-order (MTO) operations. Increasing global competition, lower profit margins, and higher customer expectations force the MTO firms to plan its capacity by managing the effective demand. The goal of this research was to maximize the operational profits of a make-to-order operation by selectively accepting incoming customer orders and simultaneously allocating capacity for them at the sales stage. ^ For integrating the two decisions, a Mixed-Integer Linear Program (MILP) was formulated which can aid an operations manager in an MTO environment to select a set of potential customer orders such that all the selected orders are fulfilled by their deadline. The proposed model combines order acceptance/rejection decision with detailed scheduling. Experiments with the formulation indicate that for larger problem sizes, the computational time required to determine an optimal solution is prohibitive. This formulation inherits a block diagonal structure, and can be decomposed into one or more sub-problems (i.e. one sub-problem for each customer order) and a master problem by applying Dantzig-Wolfe’s decomposition principles. To efficiently solve the original MILP, an exact Branch-and-Price algorithm was successfully developed. Various approximation algorithms were developed to further improve the runtime. Experiments conducted unequivocally show the efficiency of these algorithms compared to a commercial optimization solver.^ The existing literature addresses the static order acceptance problem for a single machine environment having regular capacity with an objective to maximize profits and a penalty for tardiness. This dissertation has solved the order acceptance and capacity planning problem for a job shop environment with multiple resources. Both regular and overtime resources is considered. ^ The Branch-and-Price algorithms developed in this dissertation are faster and can be incorporated in a decision support system which can be used on a daily basis to help make intelligent decisions in a MTO operation.^

Branch and Price Solution Approach for Order Acceptance and Capacity Planning in Make-to-Order Operations

The increasing emphasis on mass customization, shortened product lifecycles, synchronized supply chains, when coupled with advances in information system, is driving most firms towards make-to-order (MTO) operations. Increasing global competition, lower profit margins, and higher customer expectations force the MTO firms to plan its capacity by managing the effective demand. The goal of this research was to maximize the operational profits of a make-to-order operation by selectively accepting incoming customer orders and simultaneously allocating capacity for them at the sales stage. For integrating the two decisions, a Mixed-Integer Linear Program (MILP) was formulated which can aid an operations manager in an MTO environment to select a set of potential customer orders such that all the selected orders are fulfilled by their deadline. The proposed model combines order acceptance/rejection decision with detailed scheduling. Experiments with the formulation indicate that for larger problem sizes, the computational time required to determine an optimal solution is prohibitive. This formulation inherits a block diagonal structure, and can be decomposed into one or more sub-problems (i.e. one sub-problem for each customer order) and a master problem by applying Dantzig-Wolfe’s decomposition principles. To efficiently solve the original MILP, an exact Branch-and-Price algorithm was successfully developed. Various approximation algorithms were developed to further improve the runtime. Experiments conducted unequivocally show the efficiency of these algorithms compared to a commercial optimization solver. The existing literature addresses the static order acceptance problem for a single machine environment having regular capacity with an objective to maximize profits and a penalty for tardiness. This dissertation has solved the order acceptance and capacity planning problem for a job shop environment with multiple resources. Both regular and overtime resources is considered. The Branch-and-Price algorithms developed in this dissertation are faster and can be incorporated in a decision support system which can be used on a daily basis to help make intelligent decisions in a MTO operation.