Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban (Methods of capital allocation and their characteristics in practice)

A pénzügyekben mind elméletileg, mind az alkalmazások szempontjából fontos kérdés a tőkeallokáció. Hogyan osszuk szét egy adott portfólió kockázatát annak alportfóliói között? Miként tartalékoljunk tőkét a fennálló kockázatok fedezetére, és a tartalékokat hogyan rendeljük az üzleti egységekhez? A tőkeallokáció vizsgálatára axiomatikus megközelítést alkalmazunk, tehát alapvető tulajdonságok megkövetelésével dolgozunk. Cikkünk kiindulópontja Csóka-Pintér [2010] azon eredménye, hogy a koherens kockázati mértékek axiómái, valamint a tőkeallokációra vonatkozó méltányossági, ösztönzési és stabilitási követelmények nincsenek összhangban egymással. Ebben a cikkben analitikus és szimulációs eszközökkel vizsgáljuk ezeket a követelményeket. A gyakorlati alkalmazások során használt, illetve az elméleti szempontból érdekes tőkeallokációs módszereket is elemezzük. A cikk fő következtetése, hogy a Csóka-Pintér [2010] által felvetett probléma gyakorlati szempontból is releváns, tehát az nemcsak az elméleti vizsgálatok során merül fel, hanem igen sokszor előforduló és gyakorlati probléma. A cikk további eredménye, hogy a vizsgált tőkeallokációs módszerek jellemzésével segítséget nyújt az alkalmazóknak a különböző módszerek közötti választáshoz. / === / Risk capital allocation in finance is important theoretically and also in practical applications. How can the risk of a portfolio be shared among its sub-portfolios? How should the capital reserves be set to cover risks, and how should the reserves be assigned to the business units? The study uses an axiomatic approach to analyse risk capital allocation, by working with requiring basic properties. The starting point is a 2010 study by Csoka and Pinter (2010), who showed that the axioms of coherent measures of risk are not compatible with some fairness, incentive compatibility and stability requirements of risk allocation. This paper discusses these requirements using analytical and simulation tools. It analyses methods used in practical applications that have theoretically interesting properties. The main conclusion is that the problems identified in Csoka and Pinter (2010) remain relevant in practical applications, so that it is not just a theoretical issue, it is a common practical problem. A further contribution is made because analysis of risk allocation methods helps practitioners choose among the different methods available.

A study of methods used to analyze total oil and polycyclic aromatic hydrocarbons in produced water: steps towards the validation of molecularly imprinted polymers for use in marine environmetns

Produced water is a by-product of offshore oil and gas production, and is released in large volumes when platforms are actively processing crude oil. Some pollutants are not typically removed by conventional oil/water separation methods and are discharged with produced water. Oil and grease can be found dispersed in produced water in the form of tiny droplets, and polycyclic aromatic hydrocarbons (PAHs) are commonly found dissolved in produced water. Both can have acute and chronic toxic effects in marine environments even at low exposure levels. The analysis of the dissolved and dispersed phases are a priority, but effort is required to meet the necessary detection limits. There are several methods for the analysis of produced water for dispersed oil and dissolved PAHs, all of which have advantages and disadvantages. In this work, EPA Method 1664 and APHA Method 5520 C for the determination of oil and grease will be examined and compared. For the detection of PAHs, EPA Method 525 and PAH MIPs will be compared, and results evaluated. APHA Method 5520 C Partition-Infrared Method is a liquid-liquid extraction procedure with IR determination of oil and grease. For analysis on spiked samples of artificial seawater, extraction efficiency ranged from 85 – 97%. Linearity was achieved in the range of 5 – 500 mg/L. This is a single-wavelength method and is unsuitable for quantification of aromatics and other compounds that lack sp³-hybridized carbon atoms. EPA Method 1664 is the liquid-liquid extraction of oil and grease from water samples followed by gravimetric determination. When distilled water spiked with reference oil was extracted by this procedure, extraction efficiency ranged from 28.4 – 86.2%, and %RSD ranged from 7.68 – 38.0%. EPA Method 525 uses solid phase extraction with analysis by GC-MS, and was performed on distilled water and water from St. John’s Harbour, all spiked with naphthalene, fluorene, phenanthrene, and pyrene. The limits of detection in harbour water were 0.144, 3.82, 0.119, and 0.153 g/L respectively. Linearity was obtained in the range of 0.5-10 g/L, and %RSD ranged from 0.36% (fluorene) to 46% (pyrene). Molecularly imprinted polymers (MIPs) are sorbent materials made selective by polymerizing functional monomers and crosslinkers in the presence of a template molecule, usually the analytes of interest or related compounds. They can adsorb and concentrate PAHs from aqueous environments and are combined with methods of analysis including GC-MS, LC-UV-Vis, and desorption electrospray ionization (DESI)- MS. This work examines MIP-based methods as well as those methods previously mentioned which are currently used by the oil and gas industry and government environmental agencies. MIPs are shown to give results consistent with other methods, and are a low-cost alternative improving ease, throughput, and sensitivity. PAH MIPs were used to determine naphthalene spiked into ASTM artificial seawater, as well as produced water from an offshore oil and gas operation. Linearity was achieved in the range studied (0.5 – 5 mg/L) for both matrices, with R² = 0.936 for seawater and R² = 0.819 for produced water. The %RSD for seawater ranged from 6.58 – 50.5% and for produced water, from 8.19 – 79.6%.

RELIBILITY ANALYSIS OF SIMPLE SLOPES AND SOIL-STRUCTURES WITH LINEAR LIMIT STATES

The first objective of this research was to develop closed-form and numerical probabilistic methods of analysis that can be applied to otherwise conventional methods of unreinforced and geosynthetic reinforced slopes and walls. These probabilistic methods explicitly include random variability of soil and reinforcement, spatial variability of the soil, and cross-correlation between soil input parameters on probability of failure. The quantitative impact of simultaneously considering the influence of random and/or spatial variability in soil properties in combination with cross-correlation in soil properties is investigated for the first time in the research literature. Depending on the magnitude of these statistical descriptors, margins of safety based on conventional notions of safety may be very different from margins of safety expressed in terms of probability of failure (or reliability index). The thesis work also shows that intuitive notions of margin of safety using conventional factor of safety and probability of failure can be brought into alignment when cross-correlation between soil properties is considered in a rigorous manner. The second objective of this thesis work was to develop a general closed-form solution to compute the true probability of failure (or reliability index) of a simple linear limit state function with one load term and one resistance term expressed first in general probabilistic terms and then migrated to a LRFD format for the purpose of LRFD calibration. The formulation considers contributions to probability of failure due to model type, uncertainty in bias values, bias dependencies, uncertainty in estimates of nominal values for correlated and uncorrelated load and resistance terms, and average margin of safety expressed as the operational factor of safety (OFS). Bias is defined as the ratio of measured to predicted value. Parametric analyses were carried out to show that ignoring possible correlations between random variables can lead to conservative (safe) values of resistance factor in some cases and in other cases to non-conservative (unsafe) values. Example LRFD calibrations were carried out using different load and resistance models for the pullout internal stability limit state of steel strip and geosynthetic reinforced soil walls together with matching bias data reported in the literature.

Unconventional Methods of Marketing Communication

In the era of an information revolution customers come in contact with huge numbers of marketing messages in their everyday lives. This leads to so called, information noise, which may result in many messages going unnoticed. Thus marketing managers are forced to search for more effectively ways of getting customers’ attention and are more willingly to use unconventional promotional methods based on using original forms or places in an effort to create the element of surprise and make their message more eye-catching for the targeted audience. This kind of move tends to evoke strong emotions, motiving readers to pass the message on. Creating such a buzz around brand name would also enhance the campaign’s effect. Unfortunately, this form of communication also brings with it some negative effects due to controversial or taboo topics connected with sensitive social issues. An analysis of the advertising methods used by the owners of the most powerful Polish brands shows that there is some evidence of the use of such methods in Poland. Nevertheless unconventional advertising methods are not a commonly used practice.

The intellectual structure of research in hospitality management: A literature review using bibliometric methods of the journal International Journal of Hospitality Management

The purpose of this study is to analyze the existing literature on hospitality management from all the research papers published in The International Journal of Hospitality Management (IJHM) between 2008 and 2014. The authors apply bibliometric methods – in particular, author citation and co-citation analyses (ACA) – to identify the main research lines within this scientific field; in other words, its ‘intellectual structure’. Social network analysis (SNA) is also used to perform a visualization of this structure. The results of the analysis allow us to define the different research lines or fronts which shape the intellectual structure of research on hospitality management.

Phosphorus quantification in fertilizers using laser induced breakdown spectroscopy (LIBS): a methodology of analysis to correct physical matrix effcts.

2016

Design methods of rhombic tensegrity structures

As a special type of novel flexible structures, tensegrity holds promise for many potential applications in such fields as materials science, biomechanics, civil and aerospace engineering. Rhombic systems are an important class of tensegrity structures, in which each bar constitutes the longest diagonal of a rhombus of four strings. In this paper, we address the design methods of rhombic structures based on the idea that many tensegrity structures can be constructed by assembling one-bar elementary cells. By analyzing the properties of rhombic cells, we first develop two novel schemes, namely, direct enumeration scheme and cell-substitution scheme. In addition, a facile and efficient method is presented to integrate several rhombic systems into a larger tensegrity structure. To illustrate the applications of these methods, some novel rhombic tensegrity structures are constructed.

A comparative study of the methods of inclusion of PMU current phasor measurements in a hybrid state estimator

The paper compares three different methods of inclusion of current phasor measurements by phasor measurement units (PMUs) in the conventional power system state estimator. For each of the three methods, comprehensive formulation of the hybrid state estimator in the presence of conventional and PMU measurements is presented. The performance of the state estimator in the presence of conventional measurements and optimally placed PMUs is evaluated in terms of convergence characteristics and estimator accuracy. Test results on the IEEE 14-bus and IEEE 300-bus systems are analyzed to determine the best possible method of inclusion of PMU current phasor measurements.

Application of higher order statistics/spectra in biomedical signals : a review

For many decades correlation and power spectrum have been primary tools for digital signal processing applications in the biomedical area. The information contained in the power spectrum is essentially that of the autocorrelation sequence; which is sufficient for complete statistical descriptions of Gaussian signals of known means. However, there are practical situations where one needs to look beyond autocorrelation of a signal to extract information regarding deviation from Gaussianity and the presence of phase relations. Higher order spectra, also known as polyspectra, are spectral representations of higher order statistics, i.e. moments and cumulants of third order and beyond. HOS (higher order statistics or higher order spectra) can detect deviations from linearity, stationarity or Gaussianity in the signal. Most of the biomedical signals are non-linear, non-stationary and non-Gaussian in nature and therefore it can be more advantageous to analyze them with HOS compared to the use of second order correlations and power spectra. In this paper we have discussed the application of HOS for different bio-signals. HOS methods of analysis are explained using a typical heart rate variability (HRV) signal and applications to other signals are reviewed.

A forensic investigation of single human hair fibres using FTIR-ATR spectroscopy and chemometrics

Human hair fibres are ubiquitous in nature and are found frequently at crime scenes often as a result of exchange between the perpetrator, victim and/or the surroundings according to Locard's Principle. Therefore, hair fibre evidence can provide important information for crime investigation. For human hair evidence, the current forensic methods of analysis rely on comparisons of either hair morphology by microscopic examination or nuclear and mitochondrial DNA analyses. Unfortunately in some instances the utilisation of microscopy and DNA analyses are difficult and often not feasible. This dissertation is arguably the first comprehensive investigation aimed to compare, classify and identify the single human scalp hair fibres with the aid of FTIR-ATR spectroscopy in a forensic context. Spectra were collected from the hair of 66 subjects of Asian, Caucasian and African (i.e. African-type). The fibres ranged from untreated to variously mildly and heavily cosmetically treated hairs. The collected spectra reflected the physical and chemical nature of a hair from the near-surface particularly, the cuticle layer. In total, 550 spectra were acquired and processed to construct a relatively large database. To assist with the interpretation of the complex spectra from various types of human hair, Derivative Spectroscopy and Chemometric methods such as Principal Component Analysis (PCA), Fuzzy Clustering (FC) and Multi-Criteria Decision Making (MCDM) program; Preference Ranking Organisation Method for Enrichment Evaluation (PROMETHEE) and Geometrical Analysis for Interactive Aid (GAIA); were utilised. FTIR-ATR spectroscopy had two important advantages over to previous methods: (i) sample throughput and spectral collection were significantly improved (no physical flattening or microscope manipulations), and (ii) given the recent advances in FTIR-ATR instrument portability, there is real potential to transfer this work.s findings seamlessly to on-field applications. The "raw" spectra, spectral subtractions and second derivative spectra were compared to demonstrate the subtle differences in human hair. SEM images were used as corroborative evidence to demonstrate the surface topography of hair. It indicated that the condition of the cuticle surface could be of three types: untreated, mildly treated and treated hair. Extensive studies of potential spectral band regions responsible for matching and discrimination of various types of hair samples suggested the 1690-1500 cm^-1 IR spectral region was to be preferred in comparison with the commonly used 1750-800 cm^-1. The principal reason was the presence of the highly variable spectral profiles of cystine oxidation products (1200-1000 cm^-1), which contributed significantly to spectral scatter and hence, poor hair sample matching. In the preferred 1690-1500 cm^-1 region, conformational changes in the keratin protein attributed to the α-helical to β-sheet transitions in the Amide I and Amide II vibrations and played a significant role in matching and discrimination of the spectra and hence, the hair fibre samples. For gender comparison, the Amide II band is significant for differentiation. The results illustrated that the male hair spectra exhibit a more intense β-sheet vibration in the Amide II band at approximately 1511 cm^-1 whilst the female hair spectra displayed more intense α-helical vibration at 1520-1515cm^-1. In terms of chemical composition, female hair spectra exhibit greater intensity of the amino acid tryptophan (1554 cm^-1), aspartic and glutamic acid (1577 cm^-1). It was also observed that for the separation of samples based on racial differences, untreated Caucasian hair was discriminated from Asian hair as a result of having higher levels of the amino acid cystine and cysteic acid. However, when mildly or chemically treated, Asian and Caucasian hair fibres are similar, whereas African-type hair fibres are different. In terms of the investigation's novel contribution to the field of forensic science, it has allowed for the development of a novel, multifaceted, methodical protocol where previously none had existed. The protocol is a systematic method to rapidly investigate unknown or questioned single human hair FTIR-ATR spectra from different genders and racial origin, including fibres of different cosmetic treatments. Unknown or questioned spectra are first separated on the basis of chemical treatment i.e. untreated, mildly treated or chemically treated, genders, and racial origin i.e. Asian, Caucasian and African-type. The methodology has the potential to complement the current forensic analysis methods of fibre evidence (i.e. Microscopy and DNA), providing information on the morphological, genetic and structural levels.

Seasonality of suicide in Shandong China, 1991–2009 : associations with gender, age, area and methods of suicide

Backgrounds Whether suicide in China has significant seasonal variations is unclear. The aim of this study is to examine the seasonality of suicide in Shandong China and to assess the associations of suicide seasonality with gender, residence, age and methods of suicide. Methods Three types of tests (Chi-square, Edwards' T and Roger's Log method) were used to detect the seasonality of the suicide data extracted from the official mortality data of Shandong Disease Surveillance Point (DSP) system. Peak/low ratios (PLRs) and 95% confidence intervals (CIs) were calculated to indicate the magnitude of seasonality. Results A statistically significant seasonality with a single peak in suicide rates in spring and early summer, and a dip in winter was observed, which remained relatively consistent over years. Regardless of gender, suicide seasonality was more pronounced in rural areas, younger age groups and for non-violent methods, in particular, self-poisoning by pesticide. Conclusions There are statistically significant seasonal variations of completed suicide for both men and women in Shandong, China. Differences exist between residence (urban/rural), age groups and suicide methods. Results appear to support a sociological explanation of suicide seasonality.