975 resultados para Mean-variance analysis


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The objective of this study was to evaluate the larvicidal activity of essential oil aqueous solutions (hydrolates) obtained by steam distillation of stalks and leaves of Croton argyrophylloides, Croton nepetaefolius, Croton sonderianus and Croton zehntneri against Aedes aegypti larvae. Twenty-five larvae of third instar were placed in plastic beckers, containing the hydrolates (50 mL), in a four repetitions scheme. Water was used as control and the number of dead larvae was counted after 24 hours. The data obtained were submitted to Variance Analysis and Tukey test. Significant differences were observed among the hydrolates from different species and from different parts of each plant (p < 0.001). The hydrolates of stalk and leaf from C. nepetaefolius and C. zehntneri and leaf hydrolate of C. argyrophylloides presented 100% mortality against larvae. The compounds present in C. zenhtneri and C. nepetaefolius are oxygenated phenylpropanoids that are more soluble in water than the monoterpenes and sesquiterpenes detected in the oils of C. argyrophylloides and C. sonderianus. This study showed that all species analyzed presented compounds with larvicidal properties, with differences between each plant parts.

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Many texture measures have been developed and used for improving land-cover classification accuracy, but rarely has research examined the role of textures in improving the performance of aboveground biomass estimations. The relationship between texture and biomass is poorly understood. This paper used Landsat Thematic Mapper (TM) data to explore relationships between TM image textures and aboveground biomass in Rondônia, Brazilian Amazon. Eight grey level co-occurrence matrix (GLCM) based texture measures (i.e., mean, variance, homogeneity, contrast, dissimilarity, entropy, second moment, and correlation), associated with seven different window sizes (5x5, 7x7, 9x9, 11x11, 15x15, 19x19, and 25x25), and five TM bands (TM 2, 3, 4, 5, and 7) were analyzed. Pearson's correlation coefficient was used to analyze texture and biomass relationships. This research indicates that most textures are weakly correlated with successional vegetation biomass, but some textures are significantly correlated with mature forest biomass. In contrast, TM spectral signatures are significantly correlated with successional vegetation biomass, but weakly correlated with mature forest biomass. Our findings imply that textures may be critical in improving mature forest biomass estimation, but relatively less important for successional vegetation biomass estimation.

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Markowitz portfolio theory (1952) has induced research into the efficiency of portfolio management. This paper studies existing nonparametric efficiency measurement approaches for single period portfolio selection from a theoretical perspective and generalises currently used efficiency measures into the full mean-variance space. Therefore, we introduce the efficiency improvement possibility function (a variation on the shortage function), study its axiomatic properties in the context of Markowitz efficient frontier, and establish a link to the indirect mean-variance utility function. This framework allows distinguishing between portfolio efficiency and allocative efficiency. Furthermore, it permits retrieving information about the revealed risk aversion of investors. The efficiency improvement possibility function thus provides a more general framework for gauging the efficiency of portfolio management using nonparametric frontier envelopment methods based on quadratic optimisation.

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The effect of testosterone propionate in different treatments was tested in adult male rats (250 g.) with mechanical skin experimental lesions. The whole period of cicatrization was investigated in normals, castrated and testosterone treated animals. We could not detect any alteration in the regeneration process in both treated and untreated rats (normals and castrated). Diffusing factor obtained from homologous testis, directly applied upon the lesions also do not change the healing period. Related to the course of the healing process, little evidence is presented by variance analysis that significative differences could be detected in the first periods, in both castrated and testosterone treated groups; however new well planed experiments should be carried to test this point.

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The framework presents how trading in the foreign commodity futures market and the forward exchange market can affect the optimal spot positions of domestic commodity producers and traders. It generalizes the models of Kawai and Zilcha (1986) and Kofman and Viaene (1991) to allow both intermediate and final commodities to be traded in the international and futures markets, and the exporters/importers to face production shock, domestic factor costs and a random price. Applying mean-variance expected utility, we find that a rise in the expected exchange rate can raise both supply and demand for commodities and reduce domestic prices if the exchange rate elasticity of supply is greater than that of demand. Whether higher volatilities of exchange rate and foreign futures price can reduce the optimal spot position of domestic traders depends on the correlation between the exchange rate and the foreign futures price. Even though the forward exchange market is unbiased, and there is no correlation between commodity prices and exchange rates, the exchange rate can still affect domestic trading and prices through offshore hedging and international trade if the traders are interested in their profit in domestic currency. It illustrates how the world prices and foreign futures prices of commodities and their volatility can be transmitted to the domestic market as well as the dynamic relationship between intermediate and final goods prices. The equilibrium prices depends on trader behaviour i.e. who trades or does not trade in the foreign commodity futures and domestic forward currency markets. The empirical result applying a two-stage-least-squares approach to Thai rice and rubber prices supports the theoretical result.

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AIMS: This article explores the structures of relational resources that individuals with psychiatric disorders get from their family configurations using the concept of social capital. METHODS: The research is based on a sample of 54 individuals with psychiatric disorders and behavioural problems, and a comparison sample of 54 individuals without a clinical record matched to the clinical respondents for age and sex. Standard measures of social capital from social network methods are applied on family configurations of individuals from both samples. Differences are tested by variance analysis. RESULTS: Structures of family resources available to individuals with psychiatric disorders are distinct. Individuals with psychiatric disorders perceive themselves as less central in their family configurations and less connected to their family members. Their significant family members are perceived as less connected with each other. As a whole, their family configurations are smaller and do not include spouses or partners. Therefore bridging and bonding social capitals are not readily available for them. CONCLUSION: As family configurations of individuals with psychiatric disorders provide fewer relational resources than other families, they are not able to deal with social integration of individuals with psychiatric disorders on their own.

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The genetic variation and population structure of three populations of Anopheles darlingi from Colombia were studied using random amplified polymorphic markers (RAPDs) and amplified fragment length polymorphism markers (AFLPs). Six RAPD primers produced 46 polymorphic fragments, while two AFLP primer combinations produced 197 polymorphic fragments from 71 DNA samples. Both of the evaluated genetic markers showed the presence of gene flow, suggesting that Colombian An. darlingi populations are in panmixia. Average genetic diversity, estimated from observed heterozygosity, was 0.374 (RAPD) and 0.309 (AFLP). RAPD and AFLP markers showed little evidence of geographic separation between eastern and western populations; however, the F ST values showed high gene flow between the two western populations (RAPD: F ST = 0.029; Nm: 8.5; AFLP: F ST = 0.051; Nm: 4.7). According to molecular variance analysis (AMOVA), the genetic distance between populations was significant (RAPD:phiST = 0.084; AFLP:phiST = 0.229, P < 0.001). The F ST distances and AMOVAs using AFLP loci support the differentiation of the Guyana biogeographic province population from those of the Chocó-Magdalena. In this last region, Chocó and Córdoba populations showed the highest genetic flow.

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Cette thèse s'intéresse à étudier les propriétés extrémales de certains modèles de risque d'intérêt dans diverses applications de l'assurance, de la finance et des statistiques. Cette thèse se développe selon deux axes principaux, à savoir: Dans la première partie, nous nous concentrons sur deux modèles de risques univariés, c'est-à- dire, un modèle de risque de déflation et un modèle de risque de réassurance. Nous étudions le développement des queues de distribution sous certaines conditions des risques commun¬s. Les principaux résultats sont ainsi illustrés par des exemples typiques et des simulations numériques. Enfin, les résultats sont appliqués aux domaines des assurances, par exemple, les approximations de Value-at-Risk, d'espérance conditionnelle unilatérale etc. La deuxième partie de cette thèse est consacrée à trois modèles à deux variables: Le premier modèle concerne la censure à deux variables des événements extrême. Pour ce modèle, nous proposons tout d'abord une classe d'estimateurs pour les coefficients de dépendance et la probabilité des queues de distributions. Ces estimateurs sont flexibles en raison d'un paramètre de réglage. Leurs distributions asymptotiques sont obtenues sous certaines condi¬tions lentes bivariées de second ordre. Ensuite, nous donnons quelques exemples et présentons une petite étude de simulations de Monte Carlo, suivie par une application sur un ensemble de données réelles d'assurance. L'objectif de notre deuxième modèle de risque à deux variables est l'étude de coefficients de dépendance des queues de distributions obliques et asymétriques à deux variables. Ces distri¬butions obliques et asymétriques sont largement utiles dans les applications statistiques. Elles sont générées principalement par le mélange moyenne-variance de lois normales et le mélange de lois normales asymétriques d'échelles, qui distinguent la structure de dépendance de queue comme indiqué par nos principaux résultats. Le troisième modèle de risque à deux variables concerne le rapprochement des maxima de séries triangulaires elliptiques obliques. Les résultats théoriques sont fondés sur certaines hypothèses concernant le périmètre aléatoire sous-jacent des queues de distributions. -- This thesis aims to investigate the extremal properties of certain risk models of interest in vari¬ous applications from insurance, finance and statistics. This thesis develops along two principal lines, namely: In the first part, we focus on two univariate risk models, i.e., deflated risk and reinsurance risk models. Therein we investigate their tail expansions under certain tail conditions of the common risks. Our main results are illustrated by some typical examples and numerical simu¬lations as well. Finally, the findings are formulated into some applications in insurance fields, for instance, the approximations of Value-at-Risk, conditional tail expectations etc. The second part of this thesis is devoted to the following three bivariate models: The first model is concerned with bivariate censoring of extreme events. For this model, we first propose a class of estimators for both tail dependence coefficient and tail probability. These estimators are flexible due to a tuning parameter and their asymptotic distributions are obtained under some second order bivariate slowly varying conditions of the model. Then, we give some examples and present a small Monte Carlo simulation study followed by an application on a real-data set from insurance. The objective of our second bivariate risk model is the investigation of tail dependence coefficient of bivariate skew slash distributions. Such skew slash distributions are extensively useful in statistical applications and they are generated mainly by normal mean-variance mixture and scaled skew-normal mixture, which distinguish the tail dependence structure as shown by our principle results. The third bivariate risk model is concerned with the approximation of the component-wise maxima of skew elliptical triangular arrays. The theoretical results are based on certain tail assumptions on the underlying random radius.

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Aims  To investigate whether the predominant finding of generalized positive associations between self-rated motives for drinking alcohol and negative consequences of drinking alcohol are influenced by (i) using raw scores of motives that may weight inter-individual response behaviours too strongly, and (ii) predictor-criterion contamination by using consequence items where respondents attribute alcohol use as the cause. Design  Cross-sectional study within the European School Survey Project on Alcohol and other Drugs (ESPAD). Setting  School classes. Participants  Students, aged 13-16 (n = 5633). Measurements  Raw, rank and mean-variance standardized scores of the Drinking Motives Questionnaire-Revised (DMQ-R); four consequences: serious problems with friends, sexual intercourse regretted the next day, physical fights and troubles with the police, each itemized with attribution ('because of your alcohol use') and without. Findings  As found previously in the literature, raw scores for all drinking motives had positive associations with negative consequences of drinking, while transformed (rank or Z) scores showed a more specific pattern: external reinforcing motives (social, conformity) had negative and internal reinforcing motives (enhancement, coping) had non-significant or positive associations with negative consequences. Attributed consequences showed stronger associations with motives than non-attributed ones. Conclusion  Standard scoring of the Drinking Motives Questionnaire (Revised) fails to capture motives in a way that permits specific associations with different negative consequences to be identified, whereas use of rank or Z-scores does permit this. Use of attributed consequences overestimates the association with drinking motives.

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Objective: To assess the efficacy of massage for decreasing occupational low back pain in workers of a Nursing team in an Emergency Room. Method: A randomized controlled trial, using a socio-demographic/morbidity questionnaire and a Pain Numeric Scale. Forty-five subjects were randomly allocated for intervention (G1 – Massage by acupressure), placebo group (G2 – application of Garlium Arseneid Laser 904nm turned off) and control (G3 – no intervention). Results: The main triggering factor, as well as the worsening of pain, was the patient manipulation, both with a prevalence of 34.9%. The main treatment for low back pain before this research was the use of medication, with a prevalence of 44.2%. In accordance with a variance analysis, only G1 presented a significant statistical difference, with a better result after 12 sessions. Massage presented an enormous effect (d = 4.59), corresponding to 86% of reduction in the pain level. Conclusion: Massage was effective to decrease occupational low back pain of those Nursing workers.


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This paper shows how to introduce liquidity into the well known mean-variance framework of portfolio selection. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the Sharpe ratio relative to the tangency portfolio, varies significantly with liquidity. Moreover, although mean-variance performance becomes clearly worse, the levels of liquidity onoptimal portfolios obtained when there is a positive preference for liquidity are much lower than on those optimal portfolios where investors show no sign of preference for liquidity.

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We show that unconditionally efficient returns do not achieve the maximum unconditionalSharpe ratio, neither display zero unconditional Jensen s alphas, when returns arepredictable. Next, we define a new type of efficient returns that is characterized by thoseunconditional properties. We also study a different type of efficient returns that is rationalizedby standard mean-variance preferences and motivates new Sharpe ratios and Jensen salphas. We revisit the testable implications of asset pricing models from the perspective ofthe three sets of efficient returns. We also revisit the empirical evidence on the conditionalvariants of the CAPM and the Fama-French model from a portfolio perspective.

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The effects of flow induced by a random acceleration field (g-jitter) are considered in two related situations that are of interest for microgravity fluid experiments: the random motion of isolated buoyant particles, and diffusion driven coarsening of a solid-liquid mixture. We start by analyzing in detail actual accelerometer data gathered during a recent microgravity mission, and obtain the values of the parameters defining a previously introduced stochastic model of this acceleration field. The diffusive motion of a single solid particle suspended in an incompressible fluid that is subjected to such random accelerations is considered, and mean squared velocities and effective diffusion coefficients are explicitly given. We next study the flow induced by an ensemble of such particles, and show the existence of a hydrodynamically induced attraction between pairs of particles at distances large compared with their radii, and repulsion at short distances. Finally, a mean field analysis is used to estimate the effect of g-jitter on diffusion controlled coarsening of a solid-liquid mixture. Corrections to classical coarsening rates due to the induced fluid motion are calculated, and estimates are given for coarsening of Sn-rich particles in a Sn-Pb eutectic fluid, an experiment to be conducted in microgravity in the near future.

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ABSTRACT The large production of sewage sludge (SS), especially in large urban centers, has led to the suggestion of using this waste as fertilizer in agriculture. The economic viability of this action is great and contributes to improve the environment by cycling the nutrients present in this waste, including high contents of organic matter and plant nutrients. This study evaluated the chemical and biochemical properties of Dystrophic and EutroferricLatossolos Vermelhos (Oxisols) under corn and after SS application at different rates for 16 years. The field experiment was carried out in Jaboticabal, São Paulo State, Brazil, using a randomized block design with four treatments and five replications. Treatments consisted of control - T1 (mineral fertilization, without SS application), 5 Mg ha-1 SS - T2, 10 Mg ha-1 SS - T3, and 20 Mg ha-1 SS - T4 (dry weight base). The data were submitted to variance analysis and means were compared by the Duncan test at 5 %. Sewage sludge increased P extracted by resin in both theLatossolos Vermelhos, Dystrophic and Eutroferric, and the organic matter content in the Dystrophic Latossolo Vermelho. The waste at the rate 20 Mg ha-1 on a dry weight basis promoted increases in acid phosphatase activity in Eutroferric Latossolo Vermelho, basal respiration and metabolic quotient in DystrophicLatossolo Vermelho. The rate 20 Mg ha-1 sewage sludge on a dry weight basis did not alter the soil microbial biomass in both the Latossolos Vermelhos; in addition, it improved corn yields without inducing any symptoms of phytotoxicity or nutrient deficiency in the plants.

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We conduct a large-scale comparative study on linearly combining superparent-one-dependence estimators (SPODEs), a popular family of seminaive Bayesian classifiers. Altogether, 16 model selection and weighing schemes, 58 benchmark data sets, and various statistical tests are employed. This paper's main contributions are threefold. First, it formally presents each scheme's definition, rationale, and time complexity and hence can serve as a comprehensive reference for researchers interested in ensemble learning. Second, it offers bias-variance analysis for each scheme's classification error performance. Third, it identifies effective schemes that meet various needs in practice. This leads to accurate and fast classification algorithms which have an immediate and significant impact on real-world applications. Another important feature of our study is using a variety of statistical tests to evaluate multiple learning methods across multiple data sets.