A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

Attitudes towards the Marine Environment and Implications for Marine Resource Management in Seward, Alaska

This research, conducted in 2006-2008, examines the ways in which various groups involved with the marine resources of Seward, Alaska construct attitudes towards the environment. Participant observation and semi-structured interviews are used to assess how commercial halibut fishers, tour boat operators, local residents and government officials understand the marine environment based on their previous experiences. This study also explores how ideologies relate to the current practices of each group. Two theories orient the analyses: The first, cultural modeling provided a theoretical and methodological framework for pursuing a more comprehensive analysis of resource management. The second, Theory of Reasoned Action (Ajzen and Fishbein 1980), guided the analysis of the ways in which each participant’s ideology towards the marine environment relates to their practice. Aside from contributing to a better understanding of a coastal community’s ideologies and practices, this dissertation sought to better understand the role of ecological ideologies and behaviors in fisheries management. The research illustrates certain domains where ideologies and practices concerning Pacific halibut and the marine environment differ among commercial fishers, government, and management officials, tour boat operators and residents of Seward, AK. These differences offer insights into how future collaborative efforts between government officials, managers and local marine resource users might better incorporate local ideology into management, and provide ecological information to local marine resource users in culturally appropriate ways.

Transformative Learning Theory and Its Relevance to Managing Group Dynamics in a Competitive Work Environment

In any environment, group dynamics would exist. How we deal with it in a competitive work environment defines who we are using transformative learning. This paper provides useful information from a number of theorists who share perspectives on the complex nature of groups.

Leveraging Symbiotic Relationships for Emulation of Computer Networks

The lack of analytical models that can accurately describe large-scale networked systems makes empirical experimentation indispensable for understanding complex behaviors. Research on network testbeds for testing network protocols and distributed services, including physical, emulated, and federated testbeds, has made steady progress. Although the success of these testbeds is undeniable, they fail to provide: 1) scalability, for handling large-scale networks with hundreds or thousands of hosts and routers organized in different scenarios, 2) flexibility, for testing new protocols or applications in diverse settings, and 3) inter-operability, for combining simulated and real network entities in experiments. This dissertation tackles these issues in three different dimensions. First, we present SVEET, a system that enables inter-operability between real and simulated hosts. In order to increase the scalability of networks under study, SVEET enables time-dilated synchronization between real hosts and the discrete-event simulator. Realistic TCP congestion control algorithms are implemented in the simulator to allow seamless interactions between real and simulated hosts. SVEET is validated via extensive experiments and its capabilities are assessed through case studies involving real applications. Second, we present PrimoGENI, a system that allows a distributed discrete-event simulator, running in real-time, to interact with real network entities in a federated environment. PrimoGENI greatly enhances the flexibility of network experiments, through which a great variety of network conditions can be reproduced to examine what-if questions. Furthermore, PrimoGENI performs resource management functions, on behalf of the user, for instantiating network experiments on shared infrastructures. Finally, to further increase the scalability of network testbeds to handle large-scale high-capacity networks, we present a novel symbiotic simulation approach. We present SymbioSim, a testbed for large-scale network experimentation where a high-performance simulation system closely cooperates with an emulation system in a mutually beneficial way. On the one hand, the simulation system benefits from incorporating the traffic metadata from real applications in the emulation system to reproduce the realistic traffic conditions. On the other hand, the emulation system benefits from receiving the continuous updates from the simulation system to calibrate the traffic between real applications. Specific techniques that support the symbiotic approach include: 1) a model downscaling scheme that can significantly reduce the complexity of the large-scale simulation model, resulting in an efficient emulation system for modulating the high-capacity network traffic between real applications; 2) a queuing network model for the downscaled emulation system to accurately represent the network effects of the simulated traffic; and 3) techniques for reducing the synchronization overhead between the simulation and emulation systems.

Analysis of Land Use Change as a Method of Predicting Water Demands in an Urbanizing Environment: Redland, Miami-Dade County, Florida

The fluctuation in water demand in the Redland community of Miami-Dade County was examined using land use data from 2001 and 2011 and water estimation techniques provided by local and state agencies. The data was converted to 30 m mosaicked raster grids that indicated land use change, and associated water demand measured in gallons per day per acre. The results indicate that, first, despite an increase in population, water demand decreased overall in Redland from 2001 to 2011. Second, conversion of agricultural lands to residential lands actually caused a decrease in water demand in most cases while acquisition of farmland by public agencies also caused a sharp decline. Third, conversion of row crops and groves to nurseries was substantial and resulted in a significant increase in water demand in all such areas converted. Finally, estimating water demand based on land use, rather than population, is a more accurate approach.