60 resultados para mean-variance portfolio optimization


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The anisotropic norm of a linear discrete-time-invariant system measures system output sensitivity to stationary Gaussian input disturbances of bounded mean anisotropy. Mean anisotropy characterizes the degree of predictability (or colouredness) and spatial non-roundness of the noise. The anisotropic norm falls between the H-2 and H-infinity norms and accommodates their loss of performance when the probability structure of input disturbances is not exactly known. This paper develops a method for numerical computation of the anisotropic norm which involves linked Riccati and Lyapunov equations and an associated special type equation.

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Using the classical twin design, this study investigates the influence of genetic factors on the large phenotypic variance in inspection time (IT), and whether the well established IT-IQ association can be explained by a common genetic factor. Three hundred ninety pairs of twins (184 monozygotic, MZ; 206 dizygotic, DZ) with a mean age of 16 years participated, and 49 pairs returned approximately 3 months, later for retesting. As in many IT studies, the pi figure stimulus was used and IT was estimated from the cumulative normal ogive. IT ranged from 39.4 to 774.1 ms (159 +/- 110.1 ms) with faster ITs (by an average of 26.9 ms) found in the retest session from which a reliability of .69 was estimated. Full-scale IQ (FIQ) was assessed by the Multidimensional Aptitude Battery (MAB) and ranged from 79 to 145 (111 +/- 13). The phenotypic association between IT and FIQ was confirmed (- .35) and bivariate results showed that a common genetic factor accounted for 36% of the variance in IT and 32% of the variance in FIQ. The maximum likelihood estimate of the genetic correlation was - .63. When performance and verbal IQ (PIQ & VIQ) were analysed with IT, a stronger phenotypic and genetic relationship was found between PIQ and IT than with VIQ. A large part of the IT variance (64%) was accounted for by a unique environmental factor. Further genetic factors were needed to explain the remaining variance in IQ with a small component of unique environmental variance present. The separability of a shared genetic factor influencing IT and IQ from the total genetic variance in IQ suggests that IT affects a specific subcomponent of intelligence rather than a generalised efficiency. (C) 2001 Elsevier Science Inc. All rights reserved.

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The P3(00) event-related potential (ERP) component is widely used as a measure of cognitive functioning and provides a sensitive electrophysiological index of the attentional and working memory demands of a task. This study investigated what proportion of the variance in the amplitude and latency of the P3, elicited in a delayed response working memory task, could be attributed to genetic factors. In 335 adolescent twin pairs and 48 siblings, the amplitude and latency of the P3 were examined at frontal, central, and parietal sites. Additive genetic factors accounted for 48% to 61% of the variance in P3 amplitude. Approximately one-third of the genetic variation at frontal sites was mediated by a common genetic factor that also influenced the genetic variation at parietal and central sites. Familial resemblance in P3 latency was due to genetic influence that accounted for 44% to 50% of the variance. Genetic covariance in P3 latency across sites was substantial, with a large part of the variance found at parietal, central, and frontal sites attributed to a common genetic factor. The findings provide further evidence that the P3 is a promising phenotype of neural activity of the brain and has the potential to be used in linkage and association analysis in the search for quantitative trait loci (QTLs) influencing cognition.

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In population pharmacokinetic studies, the precision of parameter estimates is dependent on the population design. Methods based on the Fisher information matrix have been developed and extended to population studies to evaluate and optimize designs. In this paper we propose simple programming tools to evaluate population pharmacokinetic designs. This involved the development of an expression for the Fisher information matrix for nonlinear mixed-effects models, including estimation of the variance of the residual error. We implemented this expression as a generic function for two software applications: S-PLUS and MATLAB. The evaluation of population designs based on two pharmacokinetic examples from the literature is shown to illustrate the efficiency and the simplicity of this theoretic approach. Although no optimization method of the design is provided, these functions can be used to select and compare population designs among a large set of possible designs, avoiding a lot of simulations.

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The repeatability of initial values and rate of change of EMG signal mean spectral frequency (MNF), average rectified values (ARV), muscle fiber conduction velocity (CV) and maximal voluntary contraction (MVC) was investigated in the vastus medialis obliquus (VMO) and vastus lateralis (VL) muscles of both legs of nine healthy male subjects during voluntary, isometric contractions sustained for 50 s at 50% MVC. The values of MVC were recorded for both legs three times on each day and for three subsequent days, while the EMG signals have been recorded twice a day for three subsequent days. The degree of repeatability was investigated using the Fisher test based upon the ANalysis Of VAriance (ANOVA), the Standard Error of the Mean (SEM) and the Intraclass Correlation Coefficient (ICC). Data collected showed a high level of repeatability of MVC measurement (normalized SEM from 1.1% to 6.4% of the mean). MNF and ARV initial values also showed a high level of repeatability (ICC > 70% for all muscles and legs except right VMO). At 50% MVC level no relevant pattern of fatigue was observed for the VMO and VL muscles, suggesting that other portions of the quadriceps might have contributed to the generated effort. These observations seem to suggest that in the investigation of muscles belonging to a multi-muscular group at submaximal level, the more selective electrically elicited contractions should be preferred to voluntary contractions. (C) 2001 Elsevier Science Ltd. All rights reserved.

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In the past century, the debate over whether or not density-dependent factors regulate populations has generally focused on changes in mean population density, ignoring the spatial variance around the mean as unimportant noise. In an attempt to provide a different framework for understanding population dynamics based on individual fitness, this paper discusses the crucial role of spatial variability itself on the stability of insect populations. The advantages of this method are the following: (1) it is founded on evolutionary principles rather than post hoc assumptions; (2) it erects hypotheses that can be tested; and (3) it links disparate ecological schools, including spatial dynamics, behavioral ecology, preference-performance, and plant apparency into an overall framework. At the core of this framework, habitat complexity governs insect spatial variance. which in turn determines population stability. First, the minimum risk distribution (MRD) is defined as the spatial distribution of individuals that results in the minimum number of premature deaths in a population given the distribution of mortality risk in the habitat (and, therefore, leading to maximized population growth). The greater the divergence of actual spatial patterns of individuals from the MRD, the greater the reduction of population growth and size from high, unstable levels. Then, based on extensive data from 29 populations of the processionary caterpillar, Ochrogaster lunifer, four steps are used to test the effect of habitat interference on population growth rates. (1) The costs (increasing the risk of scramble competition) and benefits (decreasing the risk of inverse density-dependent predation) of egg and larval aggregation are quantified. (2) These costs and benefits, along with the distribution of resources, are used to construct the MRD for each habitat. (3) The MRD is used as a benchmark against which the actual spatial pattern of individuals is compared. The degree of divergence of the actual spatial pattern from the MRD is quantified for each of the 29 habitats. (4) Finally, indices of habitat complexity are used to provide highly accurate predictions of spatial divergence from the MRD, showing that habitat interference reduces population growth rates from high, unstable levels. The reason for the divergence appears to be that high levels of background vegetation (vegetation other than host plants) interfere with female host-searching behavior. This leads to a spatial distribution of egg batches with high mortality risk, and therefore lower population growth. Knowledge of the MRD in other species should be a highly effective means of predicting trends in population dynamics. Species with high divergence between their actual spatial distribution and their MRD may display relatively stable dynamics at low population levels. In contrast, species with low divergence should experience high levels of intragenerational population growth leading to frequent habitat-wide outbreaks and unstable dynamics in the long term. Six hypotheses, erected under the framework of spatial interference, are discussed, and future tests are suggested.

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Forecasting category or industry sales is a vital component of a company's planning and control activities. Sales for most mature durable product categories are dominated by replacement purchases. Previous sales models which explicitly incorporate a component of sales due to replacement assume there is an age distribution for replacements of existing units which remains constant over time. However, there is evidence that changes in factors such as product reliability/durability, price, repair costs, scrapping values, styling and economic conditions will result in changes in the mean replacement age of units. This paper develops a model for such time-varying replacement behaviour and empirically tests it in the Australian automotive industry. Both longitudinal census data and the empirical analysis of the replacement sales model confirm that there has been a substantial increase in the average aggregate replacement age for motor vehicles over the past 20 years. Further, much of this variation could be explained by real price increases and a linear temporal trend. Consequently, the time-varying model significantly outperformed previous models both in terms of fitting and forecasting the sales data. Copyright (C) 2001 John Wiley & Sons, Ltd.

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We introduce a model for the dynamics of a patchy population in a stochastic environment and derive a criterion for its persistence. This criterion is based on the geometric mean (GM) through time of the spatial-arithmetic mean of growth rates. For the population to persist, the GM has to be greater than or equal to1. The GM increases with the number of patches (because the sampling error is reduced) and decreases with both the variance and the spatial covariance of growth rates. We derive analytical expressions for the minimum number of patches (and the maximum harvesting rate) required for the persistence of the population. As the magnitude of environmental fluctuations increases, the number of patches required for persistence increases, and the fraction of individuals that can be harvested decreases. The novelty of our approach is that we focus on Malthusian local population dynamics with high dispersal and strong environmental variability from year to year. Unlike previous models of patchy populations that assume an infinite number of patches, we focus specifically on the effect that the number of patches has on population persistence. Our work is therefore directly relevant to patchily distributed organisms that are restricted to a small number of habitat patches.