Covariance Matrix Estimation and Mean-Variance Optimization in application to International Diversification

Tutkimus keskittyy kansainväliseen hajauttamiseen suomalaisen sijoittajan näkökulmasta. Tutkimuksen toinen tavoite on selvittää tehostavatko uudet kovarianssimatriisiestimaattorit minimivarianssiportfolion optimointiprosessia. Tavallisen otoskovarianssimatriisin lisäksi optimoinnissa käytetään kahta kutistusestimaattoria ja joustavaa monimuuttuja-GARCH(1,1)-mallia. Tutkimusaineisto koostuu Dow Jonesin toimialaindekseistä ja OMX-H:n portfolioindeksistä. Kansainvälinen hajautusstrategia on toteutettu käyttäen toimialalähestymistapaa ja portfoliota optimoidaan käyttäen kahtatoista komponenttia. Tutkimusaieisto kattaa vuodet 1996-2005 eli 120 kuukausittaista havaintoa. Muodostettujen portfolioiden suorituskykyä mitataan Sharpen indeksillä. Tutkimustulosten mukaan kansainvälisesti hajautettujen investointien ja kotimaisen portfolion riskikorjattujen tuottojen välillä ei ole tilastollisesti merkitsevää eroa. Myöskään uusien kovarianssimatriisiestimaattoreiden käytöstä ei synnytilastollisesti merkitsevää lisäarvoa verrattuna otoskovarianssimatrisiin perustuvaan portfolion optimointiin.

Gelatin as an additive in bio-based barrier films

The main objective of the present study was to verify the approach on starch-gelatin blending for the paperboard coating formulations with enhanced barrier and mechanical properties. Based on that, another objective was to find out, how the approach will function with wood-based polysaccharides (CMC, EHEC and HPC) by analyzing their barrier properties and convertibility. The last objective was to find out, if pigments can be used in the composition of polysaccharide-protein blends without causing any negative effect on stated properties. The whole process chain of the barrier coating development was studied in the research. The methodology applied included pilot-scale coating and converting trials for the evaluation of mechanical properties of obtained coatings, namely their exposure to cracking with the loss of barrier properties. The results obtained indicated that the combination of starch with gelatin, in fact, improves the grease barrier properties and flexibility of starch-based coatings, thereby confirming the offered approach. The similar results were obtained for CMC, exhibited elevated barrier properties and surface coverage, proving that the approach also functions with wood-based polysaccharides. The introduction of equal amounts of talc gave various effects at different gelatin dosages on barrier properties of wood-based polysaccharides. Mainly, the elevation of grease barrier properties was observed. The convertibility of talc-filled coatings was not sufficient.

Characterization Of Process Efficiency Improvement In Laser Additive Manufacturing

Laser additive manufacturing (LAM), known also as 3D printing, has gained a lot of interest in past recent years within various industries, such as medical and aerospace industries. LAM enables fabrication of complex 3D geometries by melting metal powder layer by layer with laser beam. Research in laser additive manufacturing has been focused in development of new materials and new applications in past 10 years. Since this technology is on cutting edge, efficiency of manufacturing process is in center role of research of this industry. Aim of this thesis is to characterize methods for process efficiency improvements in laser additive manufacturing. The aim is also to clarify the effect of process parameters to the stability of the process and in microstructure of manufactured pieces. Experimental tests of this thesis were made with various process parameters and their effect on build pieces has been studied, when additive manufacturing was performed with a modified research machine representing EOSINT M-series and with EOS EOSINT M280. Material used was stainless steel 17-4 PH. Also, some of the methods for process efficiency improvements were tested. Literature review of this thesis presents basics of laser additive manufacturing, methods for improve the process efficiency and laser beam – material- interaction. It was observed that there are only few public studies about process efficiency of laser additive manufacturing of stainless steel. According to literature, it is possible to improve process efficiency with higher power lasers and thicker layer thicknesses. The process efficiency improvement is possible if the effect of process parameter changes in manufactured pieces is known. According to experiments carried out in this thesis, it was concluded that process parameters have major role in single track formation in laser additive manufacturing. Rough estimation equations were created to describe the effect of input parameters to output parameters. The experimental results showed that the WDA (width-depth-area of cross-sections of single track) is correlating exponentially with energy density input. The energy density input is combination of the input parameters of laser power, laser beam spot diameter and scan speed. The use of skin-core technique enables improvement of process efficiency as the core of the part is manufactured with higher laser power and thicker layer thickness and the skin with lower laser power and thinner layer thickness in order to maintain high resolution. In this technique the interface between skin and core must have overlapping in order to achieve full dense parts. It was also noticed in this thesis that keyhole can be formed in LAM process. It was noticed that the threshold intensity value of 106 W/cm2 was exceeded during the tests. This means that in these tests the keyhole formation was possible.

Fabrication additive ou Impression 3D. Aperçus sur une variation terminographique

Materiaalia lisäävä valmistus eli 3D-tulostus on valmistusmenetelmä, jossa kappale tehdään 3D-mallin pohjalta materiaalikerroksia lisäämällä, käyttäen useita tekniikoita ja materiaaleja. Menetelmää sovelletaan useilla teollisuuden aloilla. Lisääviä valmistustekniikoita on kehitetty 1990-luvun alkupuolelta lähtien, ja ne monipuolistuvat jatkuvasti. Tässä pro gradu -tutkielmassa tutkitaan sovellusalan terminologian kehitystä vertailevilla menetelmillä ja luodaan kolmikielinen sanasto alan asiantuntijoille, joita edustaa Suomessa FIRPA ry. Sanaston kielet ovat englanti, ranska ja suomi. Terminologian tutkimus on perinteisesti keskittynyt sanastotyöhön ja käsiteanalyysiin, sen sijaan termihistorian tutkimus on ollut vähäisempää. Tässä työssä on tehty vertailevaa termitutkimusta sekä sanastotyön että termihistorian näkökulmista. Vertailutasoja ovat termien merkityksen muuttuminen, vertailu pivot-kielen suhteen ja kielikohtaisten ominaisuuksien tarkastelu termien muotoutumisessa. Tutkittavia asioita ovat sanastokäsitteiden väliset suhteet, synonyymien, varianttien ja uudissanojen moninaisuus, ja termien yleiskielistyminen. Samalla pohditaan muita termien muuttumiseen vaikuttavia syita. Tärkeimpänä lähteenä käytetään Wohlersin vuosiraportteja, jotka kuvaavat kattavasti koko teollisuudenalaa. Koska englannin pivot-vaikutus on voimakasta teknisillä aloilla, omankielisen terminologian kehittyminen vaatii tietoista terminologiatyötä ja aktiivista omankielisten termien käyttöä. Terminologian vakiintumista voidaan arvioida termivarianttien ja uudissanojen määristä, sekä termien yleiskielistymisestä. Terminologia muuttuu jatkuvasti toimialan kehittyessä ja vaatii säännöllistä päivittämistä. Termihistorian tunteminen tukee sanastotyön termivalintoja. Alan asiantuntijat ovat vastuussa omasta terminologiastaan, ja heidän aktiivisuutensa on tärkeää sen kehittämisessä. Toteutettu sanasto on tämän pro gradu -tutkielman liitteenä ja se julkaistaan myös FIRPA ry:n Internet-sivustolla. Suomenkielinen osio sanastosta on ensimmäinen laaja suomeksi julkaistu materiaalia lisäävän valmistuksen sanasto.

Statistical segmentation methods and color variance analysis of retinal images

In this research, the effectiveness of Naive Bayes and Gaussian Mixture Models classifiers on segmenting exudates in retinal images is studied and the results are evaluated with metrics commonly used in medical imaging. Also, a color variation analysis of retinal images is carried out to find how effectively can retinal images be segmented using only the color information of the pixels.

Energy and raw material consumption analysis of powder bed fusion: case study: CNC machining and laser additive manufacturing

Laser additive manufacturing (LAM), known also as 3D printing, is a powder bed fusion (PBF) type of additive manufacturing (AM) technology used to manufacture metal parts layer by layer by assist of laser beam. The development of the technology from building just prototype parts to functional parts is due to design flexibility. And also possibility to manufacture tailored and optimised components in terms of performance and strength to weight ratio of final parts. The study of energy and raw material consumption in LAM is essential as it might facilitate the adoption and usage of the technique in manufacturing industries. The objective this thesis was find the impact of LAM on environmental and economic aspects and to conduct life cycle inventory of CNC machining and LAM in terms of energy and raw material consumption at production phases. Literature overview in this thesis include sustainability issues in manufacturing industries with focus on environmental and economic aspects. Also life cycle assessment and its applicability in manufacturing industry were studied. UPLCI-CO2PE! Initiative was identified as mostly applied exiting methodology to conduct LCI analysis in discrete manufacturing process like LAM. Many of the reviewed literature had focused to PBF of polymeric material and only few had considered metallic materials. The studies that had included metallic materials had only measured input and output energy or materials of the process and compared to different AM systems without comparing to any competitive process. Neither did any include effect of process variation when building metallic parts with LAM. Experimental testing were carried out to make dissimilar samples with CNC machining and LAM in this thesis. Test samples were designed to include part complexity and weight reductions. PUMA 2500Y lathe machine was used in the CNC machining whereas a modified research machine representing EOSINT M-series was used for the LAM. The raw material used for making the test pieces were stainless steel 316L bar (CNC machined parts) and stainless steel 316L powder (LAM built parts). An analysis of power, time, and the energy consumed in each of the manufacturing processes on production phase showed that LAM utilises more energy than CNC machining. The high energy consumption was as result of duration of production. Energy consumption profiles in CNC machining showed fluctuations with high and low power ranges. LAM energy usage within specific mode (standby, heating, process, sawing) remained relatively constant through the production. CNC machining was limited in terms of manufacturing freedom as it was not possible to manufacture all the designed sample by machining. And the one which was possible was aided with large amount of material removed as waste. Planning phase in LAM was shorter than in CNC machining as the latter required many preparation steps. Specific energy consumption (SEC) were estimated in LAM based on the practical results and assumed platform utilisation. The estimated platform utilisation showed SEC could reduce when more parts were placed in one build than it was in with the empirical results in this thesis (six parts).

Metal additive manufacturing of internal flow channels with powder bed fusion processes

This thesis studies the advantages, disadvantages and possibilities of additive manufacturing in making components with internal flow channels. These include hydraulic components, components with cooling channels and heat exchangers. Processes studied in this work are selective laser sintering and selective laser melting of metallic materials. The basic principles of processes and parameters involved in the process are presented and different possibilities of internal channel manufacturing and flow improvement are introduced

Optimizing counterparty credit risk portfolio by reducing exposure at default variance

Rahoitusyhtiöt pitävät omaa pääomaa taseessa harvinaisen suuria markkinamuutoksia varten ja tämän pääoman määrä on ohjattu valvontaviranomaisten toimesta. Euroopassa Basel akordi antaa suuntaviivat näille säädöksille. 2007 vuoden finanssikriisin jälkeen rahoitusyhtiöt sekä valvojat ovat olleet entistä kiinnostuneempia pääoman riittävyydestä. Tutkimuksia riskistä, säädöksistä ja pääomavaateen madaltamisesta on tehty aikaisemmin, mutta tässä tutkimuksessa keskitytään vaateen jatkuvan muutoksen suuruuteen. Tutkimus sisältää hypoteettisen vastapuoliriski portfolion, jossa on mukana valuuttajohdannaisia. Tätä portfoliota simuloidaan eri tavoin, jotta nähtäisiin kuinka suuri vaikutus portfolion koostumuksella voi olla pääomavaateen varianssiin. Jos tämä muuttuja on merkittävä, pitäisikö rahoitusyhtiöiden yrittää pienentää muutosta, jotta yhtiöiden varapääoman määrää voitaisiin alentaa? Tutkimuksessa on myös haastateltu Suomen johtavia vastapuoliriski asiantuntijoita, jotta nähtäisiin rahoitusalan oma näkemys asian merkittävyydestä. Tutkimusmenetelminä toimivat haastattelut sekä numeerinen analyysi hypoteettisella portfoliolla. Kaupat tähän vastapuoliriski portfolioon on luotu 14 vuoden ajalle ja se sisältää ainoastaan valuuttajohdannaisia viidessä eri valuutassa. Riski lasketaan markkina-arvo menetelmällä, joista lasketaan VaR-mallilla tulevaisuuden riski nettoutuksen kera. Portfolion rakennetta muutetaan simuloinneissa, jotta nähtäisiin vaikutus tulevaisuuden riskeille, joita käytetään edustamaan pääomavaateen määrää ja sen vaihtelua yli ajan. Portfolioiden riskejä lasketaan myös rasituskokeiden avulla, jotta tuloksista saataisiin mahdollisimman todenmukaisia. Analyyttinen osuus tutkimuksesta näyttää sen, että tämän kaltainen optimointi on suuresti riippuvainen alkuperäisestä portfoliosta, jonka määrittää yleisesti rahoitusyhtiön myyntistrategia. Yleisesti ottaen pääomavaateen varianssin muutos voi simuloinneissa olla melko suurta, varsinkin jos mukaan huomioidaan rasitus testit, puuttuvat tuotteet sekä muut pääomavaateen laskentaan huomioitavat seikat. Haastatteluissa saatiin selville millainen optimointi voisi olla mahdollista todellisuudessa. Huomattiin myös että tämän kaltainen ajattelumalli on jo huomattu alalla ennestään. Jon Gregory jopa mainitsi, että jotkin rahoitusyhtiöt ovat enemmän kiinnostuneita muutosten pienentämisestä kuin itse pääomavaateen suuruudesta. Näyttääkin siltä, että tämän aihepiiri vaatisi entistä enemmän tutkimusta, sillä sitä ei ennestään vielä ole, ja rahoitusyhtiöt ovat jo alkaneet etsimään uusia keinoja selvitäkseen rahoitusalalla, joka on yhä entisestään kilpailullisempi.

Variance reduction properties of dynamic hedging models - empirical evidence from BRICS countries

This Master’s Thesis analyses the effectiveness of different hedging models on BRICS (Brazil, Russia, India, China, and South Africa) countries. Hedging performance is examined by comparing two different dynamic hedging models to conventional OLS regression based model. The dynamic hedging models being employed are Constant Conditional Correlation (CCC) GARCH(1,1) and Dynamic Conditional Correlation (DCC) GARCH(1,1) with Student’s t-distribution. In order to capture the period of both Great Moderation and the latest financial crisis, the sample period extends from 2003 to 2014. To determine whether dynamic models outperform the conventional one, the reduction of portfolio variance for in-sample data with contemporaneous hedge ratios is first determined and then the holding period of the portfolios is extended to one and two days. In addition, the accuracy of hedge ratio forecasts is examined on the basis of out-of-sample variance reduction. The results are mixed and suggest that dynamic hedging models may not provide enough benefits to justify harder estimation and daily portfolio adjustment. In this sense, the results are consistent with the existing literature.

Characterization of design of a product for additive manufacturing

The purpose of conducting this thesis is to gather around information about additive manufacturing and to design a product to be additively manufactured. The specific manufacturing method dealt with in this thesis, is powder bed fusion of metals. Therefore when mentioning additive manufacturing in this thesis, it is referred to powder bed fusion of metals. The literature review focuses on the principle of powder bed fusion, the general process chain in additive manufacturing, design rules for additive manufacturing. Examples of success stories in additive manufacturing and reasons for selecting parts to be manufactured with additive manufacturing are also explained in literature review. This knowledge is demanded to understand the experimental part of the thesis. The experimental part of the thesis is divided into two parts. Part A concentrates on finding proper geometry for building self-supporting pipes and proper parameters for support structures of them. Part B of the experimental part concentrates on a case study of designing a product for additive manufacturing. As a result of experimental part A, the design process of self-supporting pipes, results of visual analysis and results of 3D scanning are presented. As a result of experimental part B the design process of the product is presented and compared to the original model.