The Persistence of Finnish Equity Fund Performance

Tutkimuksen tavoitteena on selvittää, esiintyykö suomeen sijoittavilla osakerahastoilla menestyksen pysyvyyttä. Tutkimusaineisto koostuu kaikista suomalaisista osakerahastoista, jotka toimivat ajanjaksolla 15.1.1998-13.1.2005. Aineisto on vapaa selviytymisvinoumasta. Suorituskyvyn mittareina käytetään CAPM-alfaa sekä kolmi- ja nelifaktori-alfaa. Empiirisessä osassa osakerahastojen menestyksen pysyvyyttä testataan Spearmanin järjestyskorrelaatiotestillä. Evidenssi menestyksen pysyvyydestä jäi vähäiseksi, vaikkakin sitä esiintyi satunnaisesti kaikilla menestysmittareilla joillakin ranking- ja sijoitusperiodin yhdistelmillä. CAPM-alfalla tarkasteltuna tilastollisesti merkitsevää menestyksen pysyvyyttä esiintyi selvästi useammin kuin muilla menestysmittareilla. Tulokset tukevat viimeaikaisia kansainvälisiä tutkimuksia, joiden mukaan menestyksen pysyvyys riippuu usein mittaustavasta. Menestysmittareina käytettyjen regressiomallien merkitsevyystestit osoittavat multifaktorimallien selittävän osakerahastojen tuottoja CAPM:a paremmin. Lisätyt muuttujat parantavat merkittävästi CAPM:n selitysvoimaa.

Context-specific independence in graphical models

The theme of this thesis is context-speci c independence in graphical models. Considering a system of stochastic variables it is often the case that the variables are dependent of each other. This can, for instance, be seen by measuring the covariance between a pair of variables. Using graphical models, it is possible to visualize the dependence structure found in a set of stochastic variables. Using ordinary graphical models, such as Markov networks, Bayesian networks, and Gaussian graphical models, the type of dependencies that can be modeled is limited to marginal and conditional (in)dependencies. The models introduced in this thesis enable the graphical representation of context-speci c independencies, i.e. conditional independencies that hold only in a subset of the outcome space of the conditioning variables. In the articles included in this thesis, we introduce several types of graphical models that can represent context-speci c independencies. Models for both discrete variables and continuous variables are considered. A wide range of properties are examined for the introduced models, including identi ability, robustness, scoring, and optimization. In one article, a predictive classi er which utilizes context-speci c independence models is introduced. This classi er clearly demonstrates the potential bene ts of the introduced models. The purpose of the material included in the thesis prior to the articles is to provide the basic theory needed to understand the articles.

Structure learning of context-specific graphical models

Abstract The ultimate problem considered in this thesis is modeling a high-dimensional joint distribution over a set of discrete variables. For this purpose, we consider classes of context-specific graphical models and the main emphasis is on learning the structure of such models from data. Traditional graphical models compactly represent a joint distribution through a factorization justi ed by statements of conditional independence which are encoded by a graph structure. Context-speci c independence is a natural generalization of conditional independence that only holds in a certain context, speci ed by the conditioning variables. We introduce context-speci c generalizations of both Bayesian networks and Markov networks by including statements of context-specific independence which can be encoded as a part of the model structures. For the purpose of learning context-speci c model structures from data, we derive score functions, based on results from Bayesian statistics, by which the plausibility of a structure is assessed. To identify high-scoring structures, we construct stochastic and deterministic search algorithms designed to exploit the structural decomposition of our score functions. Numerical experiments on synthetic and real-world data show that the increased exibility of context-specific structures can more accurately emulate the dependence structure among the variables and thereby improve the predictive accuracy of the models.

Empirical Tests of Asset Pricing Models in Finnish Stock Market

Tämän tutkielman tavoitteena on selvittää mitkä riskitekijät vaikuttavat osakkeiden tuottoihin. Arvopapereina käytetään kuutta portfoliota, jotka ovat jaoteltu markkina-arvon mukaan. Aikaperiodi on vuoden 1987 alusta vuoden 2004 loppuun. Malleina käytetään pääomamarkkinoiden hinnoittelumallia, arbitraasihinnoitteluteoriaa sekä kulutuspohjaista pääomamarkkinoiden hinnoittelumallia. Riskifaktoreina kahteen ensimmäiseen malliin käytetään markkinariskiä sekä makrotaloudellisia riskitekijöitä. Kulutuspohjaiseen pääomamarkkinoiden hinnoinoittelumallissa keskitytään estimoimaan kuluttajien riskitottumuksia sekä diskonttaustekijää, jolla kuluttaja arvostavat tulevaisuuden kulutusta. Tämä työ esittelee momenttiteorian, jolla pystymme estimoimaan lineaarisia sekä epälineaarisia yhtälöitä. Käytämme tätä menetelmää testaamissamme malleissa. Yhteenvetona tuloksista voidaan sanoa, että markkinabeeta onedelleen tärkein riskitekijä, mutta löydämme myös tukea makrotaloudellisille riskitekijöille. Kulutuspohjainen mallimme toimii melko hyvin antaen teoreettisesti hyväksyttäviä arvoja.

Key Account Management in Paper and Board Industry- Identification of Key Accounts for Stora Enso Graphical Boards

Tutkimuksen tarkoituksena oli tunnistaa nykyiset sekä potentiaaliset avainasiakkaat case yritykselle. Avainasiakkaat tunnistettiin Chevertonin tunnistamis- ja valintamatriisin avulla, jossa asiakkaan sijoittumista matriisiin arvioidaan asiakkaan houkuttelevuuden sekä toimittajan suhteellisten vahvuuksien avulla. Kriteereiksi avainasiakkaiden tunnistamiseen valittiin asiakkaan vuotuinen ostovolyymi, asiakkaan business-potentiaali sekä case-yrityksen toimittajaosuus. Asiakkaat luokiteltiin avainasiakkaisiin, kehitettäviin avainasiakkaisiin, ylläpidettäviin asiakkaisiin sekä satunnaisiin asiakkaisiin. Tutkimus tarjosi lähtökohdan case-yrityksen uusille avainasiakaspäälliköille sekä osoitti suunnan tulevaisuuden tutkimustarpeille. Aktiivisen tiedonvaihdannan kautta eri myyntikonttoreiden johtohenkilöstön sekä myös yrityksen eri funktionaalisten divisioonien välillä voidaan saavuttaa kilpailuetua kun lähestytään asiakasta toimintojaan järkiperäisesti koordinoineena toimittajana samalla kun asiakkaat keskittävät ostojaan. Jotta yrityksen tavoitteet, markkinamahdollisuudet sekä resurssit olisivat hyvin tasapainossa, tulisi myös asiakaskannattavuutta sekä asiakkaiden strategista merkittävyyttä arvioida ja mitata säännöllisesti tässä tutkimuksessa käytettyjen tunnistuskriteereiden lisäksi.

Tests of International Asset Pricing Models in Scandinavian Stock Markets

This thesis examines whether global, local and exchange risks are priced in Scandinavian countries’ equity markets by using conditional international asset pricing models. The employed international asset pricing models are the world capital asset pricing model, the international asset pricing model augmented with the currency risk, and the partially segmented model augmented with the currency risk. Moreover, this research traces estimated equity risk premiums for the Scandinavian countries. The empirical part of the study is performed using generalized method of moments approach. Monthly observations from February 1994 to June 2007 are used. Investors’ conditional expectations are modeled using several instrumental variables. In order to keep system parsimonious the prices of risk are assumed to be constant whereas expected returns and conditional covariances vary over time. The empirical findings of this thesis suggest that the prices of global and local market risk are priced in the Scandinavian countries. This indicates that the Scandinavian countries are mildly segmented from the global markets. Furthermore, the results show that the exchange risk is priced in the Danish and Swedish stock markets when the partially segmented model is augmented with the currency risk factor.

Fibroblast Growth Factor 8 and its Receptors in The Growth and Angiogenesis of Experimental Breast Cancer . With Special Reference to Thrombospondin-1 as a Novel Target Gene for FGF-8

The growth of breast cancer is regulated by hormones and growth factors. Recently, aberrant fibroblast growth factor (FGF) signalling has been strongly implicated in promoting the progression of breast cancer and is thought to have a role in the development of endocrine resistant disease. FGFs mediate their auto- and paracrine signals through binding to FGF receptors 1-4 (FGFR1-4) and their isoforms. Specific targets of FGFs in breast cancer cells and the differential role of FGFRs, however, are poorly described. FGF-8 is expressed at elevated levels in breast cancer, and it has been shown to act as an angiogenic, growth promoting factor in experimental models of breast cancer. Furthermore, it plays an important role in mediating androgen effects in prostate cancer and in some breast cancer cell lines. We aimed to study testosterone (Te) and FGF-8 regulated genes in Shionogi 115 (S115) breast cancer cells, characterise FGF-8 activated intracellular signalling pathways and clarify the role of FGFR1, -2 and -3 in these cells. Thrombospondin-1 (TSP-1), an endogenous inhibitor of angiogenesis, was recognised as a Te and FGF-8 regulated gene. Te repression of TSP-1 was androgen receptor (AR)-dependent. It required de novo protein synthesis, but it was independent of FGF-8 expression. FGF-8, in turn, downregulated TSP-1 transcription by activating the ERK and PI3K pathways, and the effect could be reversed by specific kinase inhibitors. Differential FGFR1-3 action was studied by silencing each receptor by shRNA expression in S115 cells. FGFR1 expression was a prerequisite for the growth of S115 tumours, whereas FGFR2 expression alone was not able to promote tumour growth. High FGFR1 expression led to a growth advantage that was associated with strong ERK activation, increased angiogenesis and reduced apoptosis, and all of these effects could be reversed by an FGFR inhibitor. Taken together, the results of this thesis show that FGF-8 and FGFRs contribute strongly to the regulation of the growth and angiogenesis of experimental breast cancer and support the evidence for FGF-FGFR signalling as one of the major players in breast cancers.

CFD Modelling of Direct Contact Condensation in Suppression Pools by Applying Condensation Models of Separated Flow

The condensation rate has to be high in the safety pressure suppression pool systems of Boiling Water Reactors (BWR) in order to fulfill their safety function. The phenomena due to such a high direct contact condensation (DCC) rate turn out to be very challenging to be analysed either with experiments or numerical simulations. In this thesis, the suppression pool experiments carried out in the POOLEX facility of Lappeenranta University of Technology were simulated. Two different condensation modes were modelled by using the 2-phase CFD codes NEPTUNE CFD and TransAT. The DCC models applied were the typical ones to be used for separated flows in channels, and their applicability to the rapidly condensing flow in the condensation pool context had not been tested earlier. A low Reynolds number case was the first to be simulated. The POOLEX experiment STB-31 was operated near the conditions between the ’quasi-steady oscillatory interface condensation’ mode and the ’condensation within the blowdown pipe’ mode. The condensation models of Lakehal et al. and Coste & Lavi´eville predicted the condensation rate quite accurately, while the other tested ones overestimated it. It was possible to get the direct phase change solution to settle near to the measured values, but a very high resolution of calculation grid was needed. Secondly, a high Reynolds number case corresponding to the ’chugging’ mode was simulated. The POOLEX experiment STB-28 was chosen, because various standard and highspeed video samples of bubbles were recorded during it. In order to extract numerical information from the video material, a pattern recognition procedure was programmed. The bubble size distributions and the frequencies of chugging were calculated with this procedure. With the statistical data of the bubble sizes and temporal data of the bubble/jet appearance, it was possible to compare the condensation rates between the experiment and the CFD simulations. In the chugging simulations, a spherically curvilinear calculation grid at the blowdown pipe exit improved the convergence and decreased the required cell count. The compressible flow solver with complete steam-tables was beneficial for the numerical success of the simulations. The Hughes-Duffey model and, to some extent, the Coste & Lavi´eville model produced realistic chugging behavior. The initial level of the steam/water interface was an important factor to determine the initiation of the chugging. If the interface was initialized with a water level high enough inside the blowdown pipe, the vigorous penetration of a water plug into the pool created a turbulent wake which invoked the chugging that was self-sustaining. A 3D simulation with a suitable DCC model produced qualitatively very realistic shapes of the chugging bubbles and jets. The comparative FFT analysis of the bubble size data and the pool bottom pressure data gave useful information to distinguish the eigenmodes of chugging, bubbling, and pool structure oscillations.

The Effects of Fibroblast Growth Factor 8b on Reproductive Organs and Prostate Tumorigenesis

Fibroblast growth factors (FGFs) are involved in the development and homeostasis of the prostate and other reproductive organs. FGF signaling is altered in prostate cancer. Fibroblast growth factor 8 (FGF8) is a mitogenic growth factor and its expression is elevated in prostate cancer and in premalignant prostatic intraepithelial neoplasia (PIN) lesions. FGF8b is the most transforming isoform of FGF8. Experimental models show that FGF8b promotes several phases of prostate tumorigenesis - including cancer initiation, tumor growth, angiogenesis, invasion and development of bone metastasis. The mechanisms activated by FGF8b in the prostate are unclear. In the present study, to examine the tumorigenic effects of FGF8b on the prostate and other FGF8b expressing organs, an FGF8b transgenic (TG) mouse model was generated. The effect of estrogen receptor beta (ERβ) deficiency on FGF8binduced prostate tumorigenesis was studied by breeding FGF8b-TG mice with ERβ knockout mice (BERKOFVB). Overexpression of FGF8b caused progressive histological and morphological changes in the prostate, epididymis and testis of FGF8b-TG-mice. In the prostate, hyperplastic, preneoplastic and neoplastic changes, including mouse PIN (mPIN) lesions, adenocarcinomas, sarcomas and carcinosarcomas were present in the epithelium and stroma. In the epididymis, a highly cancer-resistant tissue, the epithelium contained dysplasias and the stroma had neoplasias and hyperplasias with atypical cells. Besides similar histological changes in the prostate and epididymis, overexpression of FGF8b induced similar changes in the expression of genes such as osteopontin (Spp1), connective tissue growth factor (Ctgf) and FGF receptors (Fgfrs) in these two tissues. In the testes of the FGF8b-TG mice, the seminiferous epithelium was frequently degenerative and the number of spermatids was decreased. A portion of the FGF8b-TG male mice was infertile. Deficiency of ERβ did not accelerate prostate tumorigenesis in the FGF8b-TG mice, but increased significantly the frequency of mucinous metaplasia and slightly the frequency of inflammation in the prostate. This suggests putative differentiation promoting and anti-inflammatory roles for ERβ. In summary, these results underscore the importance of FGF signaling in male reproductive organs and provide novel evidence for a role of FGF8b in stromal activation and prostate tumorigenesis.

Linguistic models for decision support

Linguistic modelling is a rather new branch of mathematics that is still undergoing rapid development. It is closely related to fuzzy set theory and fuzzy logic, but knowledge and experience from other fields of mathematics, as well as other fields of science including linguistics and behavioral sciences, is also necessary to build appropriate mathematical models. This topic has received considerable attention as it provides tools for mathematical representation of the most common means of human communication - natural language. Adding a natural language level to mathematical models can provide an interface between the mathematical representation of the modelled system and the user of the model - one that is sufficiently easy to use and understand, but yet conveys all the information necessary to avoid misinterpretations. It is, however, not a trivial task and the link between the linguistic and computational level of such models has to be established and maintained properly during the whole modelling process. In this thesis, we focus on the relationship between the linguistic and the mathematical level of decision support models. We discuss several important issues concerning the mathematical representation of meaning of linguistic expressions, their transformation into the language of mathematics and the retranslation of mathematical outputs back into natural language. In the first part of the thesis, our view of the linguistic modelling for decision support is presented and the main guidelines for building linguistic models for real-life decision support that are the basis of our modeling methodology are outlined. From the theoretical point of view, the issues of representation of meaning of linguistic terms, computations with these representations and the retranslation process back into the linguistic level (linguistic approximation) are studied in this part of the thesis. We focus on the reasonability of operations with the meanings of linguistic terms, the correspondence of the linguistic and mathematical level of the models and on proper presentation of appropriate outputs. We also discuss several issues concerning the ethical aspects of decision support - particularly the loss of meaning due to the transformation of mathematical outputs into natural language and the issue or responsibility for the final decisions. In the second part several case studies of real-life problems are presented. These provide background and necessary context and motivation for the mathematical results and models presented in this part. A linguistic decision support model for disaster management is presented here – formulated as a fuzzy linear programming problem and a heuristic solution to it is proposed. Uncertainty of outputs, expert knowledge concerning disaster response practice and the necessity of obtaining outputs that are easy to interpret (and available in very short time) are reflected in the design of the model. Saaty’s analytic hierarchy process (AHP) is considered in two case studies - first in the context of the evaluation of works of art, where a weak consistency condition is introduced and an adaptation of AHP for large matrices of preference intensities is presented. The second AHP case-study deals with the fuzzified version of AHP and its use for evaluation purposes – particularly the integration of peer-review into the evaluation of R&D outputs is considered. In the context of HR management, we present a fuzzy rule based evaluation model (academic faculty evaluation is considered) constructed to provide outputs that do not require linguistic approximation and are easily transformed into graphical information. This is achieved by designing a specific form of fuzzy inference. Finally the last case study is from the area of humanities - psychological diagnostics is considered and a linguistic fuzzy model for the interpretation of outputs of multidimensional questionnaires is suggested. The issue of the quality of data in mathematical classification models is also studied here. A modification of the receiver operating characteristics (ROC) method is presented to reflect variable quality of data instances in the validation set during classifier performance assessment. Twelve publications on which the author participated are appended as a third part of this thesis. These summarize the mathematical results and provide a closer insight into the issues of the practicalapplications that are considered in the second part of the thesis.