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).

Synthèse de sulfilimines et de sulfoximines catalysée par les métaux de transition

Les sulfilimines et les sulfoximines sont des motifs structuraux dont l’intérêt synthétique est grandissant, notamment du fait de leurs applications en chimie médicinale et en agrochimie. Les travaux rapportés dans cet ouvrage décrivent le développement de nouvelles méthodes de synthèse efficaces pour la production de ces unités atypiques. Ces méthodes sont basées sur la réactivité d’une source d’azote électrophile, vis-à-vis de thioéthers et de sulfoxydes. L’utilisation d’un complexe métallique introduit en quantité catalytique a permis de favoriser le processus réactionnel. En tirant bénéfice de l’expertise de notre groupe de recherche sur le développement de réactions d’amination stéréosélectives de liaisons C-H et d’aziridination de styrènes, nous avons d’abord étudié la réactivité des N-mésyloxycarbamates comme source d’azote électrophile. Après avoir optimisé sa synthèse sur grande échelle, ce réactif chiral a été utilisé dans des réactions d’amination de thioéthers et de sulfoxydes, catalysées par un dimère de rhodium (II) chiral. Un processus diastéréosélectif efficace a été mis au point, permettant de produire des sulfilimines et des sulfoximines chirales avec d’excellents rendements et sélectivités. Au cours de l’optimisation de cette méthode de synthèse, nous avons pu constater l’effet déterminant de certains additifs sur la réactivité et la sélectivité de la réaction. Une étude mécanistique a été entreprise afin de comprendre leur mode d’action. Il a été observé qu’une base de Lewis telle que le 4-diméthylaminopyridine (DMAP) pouvait se coordiner au dimère de rhodium(II) et modifier ses propriétés structurales et redox. Les résultats que nous avons obtenus suggèrent que l’espèce catalytique active est un dimère de rhodium de valence mixte Rh(II)/Rh(III). Nous avons également découvert que l’incorporation de sels de bispyridinium avait une influence cruciale sur la diastéréosélectivité de la réaction. D’autres expériences sur la nature du groupe partant du réactif N-sulfonyloxycarbamate nous ont permis de postuler qu’une espèce nitrénoïde de rhodium était l’intermédiaire clé du processus d’amination. De plus, l’exploitation des techniques de chimie en débit continu nous a permis de développer une méthode d’amination de thioéthers et de sulfoxydes très performante, en utilisant les azotures comme source d’azote électrophile. Basée sur la décompositon photochimique d’azotures en présence d’un complexe de fer (III) simple et commercialement disponible, nous avons été en mesure de produire des sulfilimines et des sulfoximines avec d’excellents rendements. Le temps de résidence du procédé d’amination a pu être sensiblement réduit par la conception d’un nouveau type de réacteur photochimique capillaire. Ces améliorations techniques ont permis de rendre la synthèse plus productive, ce qui constitue un élément important d’un point de vue industriel.

Otimização de MIZUSUMASHI

Nos dias de hoje as diferentes indústrias e sectores de atividade económica assentam os seus pilares de desenvolvimento na procura constante de fontes de melhoria, para que assim seja possível melhorar a relação qualidade / preço. Embora no setor industrial as melhorias e inovações tecnológicas surjam a cada dia, estas por si não chegam. Grande parte da otimização incorrida, quer na indústria de manufatura, quer na indústria de serviços, surge da “simples” eliminação de desperdícios, e da procura constante por fontes de melhoria. Com o objetivo traçado, a Grohe Portugal Componentes Sanitários, Lda. propôs a eliminação de desperdícios no âmbito do abastecimento de componentes às linhas de montagem existentes na sua fábrica em Albergaria-a-Velha. Este processo passa não só por uma otimização do tempo de abastecimento e das quantidades de abastecimento, mas também consiste na reestruturação das diferentes rotinas de abastecimento. Todo este processo de otimização estará assente no conceito de Mizusumashi. O Mizusumashi, ou comboio logístico como muitas vezes é referenciado, surge com o objetivo de separar a tarefa de abastecimento da função de montagem. A sua origem surge da adaptação do conceito de Milk Run (volta do leiteiro) à logística interna. Torna-se de relevo referir que, para que este “simples” conceito funcione com uma eficiência que proporcione a sua aplicação, são vastos os fatores que necessitam de ajustamentos ou mesmo, em alguns casos, de uma reestruturação completa. O trabalho desenvolvido nestas instalações fabris, e que culminou neste documento, teve como princípio a análise, avaliação e implementação de melhorias no sistema de abastecimento às linhas de montagem. Todo o processo de abastecimento foi analisado e desconstruído nas suas componentes, para que assim fosse possível desenhar o plano de reestruturação indicado. Foram implementadas melhorias de layout, tempos e tarefas. Os resultados foram positivos tendo em conta o objetivo inicial. Todo este plano foi pensado e documentado com o objetivo de tornar este sistema adaptável a possíveis mudanças. Foi possível então criar um sistema voltado para um plano de melhoria contínua. Com um abastecimento normalizado e rotinado a gestão de stocks é mais precisa diminuindo assim os desperdícios inerentes a estas funções.

Synthèse de sulfilimines et de sulfoximines catalysée par les métaux de transition

Les sulfilimines et les sulfoximines sont des motifs structuraux dont l’intérêt synthétique est grandissant, notamment du fait de leurs applications en chimie médicinale et en agrochimie. Les travaux rapportés dans cet ouvrage décrivent le développement de nouvelles méthodes de synthèse efficaces pour la production de ces unités atypiques. Ces méthodes sont basées sur la réactivité d’une source d’azote électrophile, vis-à-vis de thioéthers et de sulfoxydes. L’utilisation d’un complexe métallique introduit en quantité catalytique a permis de favoriser le processus réactionnel. En tirant bénéfice de l’expertise de notre groupe de recherche sur le développement de réactions d’amination stéréosélectives de liaisons C-H et d’aziridination de styrènes, nous avons d’abord étudié la réactivité des N-mésyloxycarbamates comme source d’azote électrophile. Après avoir optimisé sa synthèse sur grande échelle, ce réactif chiral a été utilisé dans des réactions d’amination de thioéthers et de sulfoxydes, catalysées par un dimère de rhodium (II) chiral. Un processus diastéréosélectif efficace a été mis au point, permettant de produire des sulfilimines et des sulfoximines chirales avec d’excellents rendements et sélectivités. Au cours de l’optimisation de cette méthode de synthèse, nous avons pu constater l’effet déterminant de certains additifs sur la réactivité et la sélectivité de la réaction. Une étude mécanistique a été entreprise afin de comprendre leur mode d’action. Il a été observé qu’une base de Lewis telle que le 4-diméthylaminopyridine (DMAP) pouvait se coordiner au dimère de rhodium(II) et modifier ses propriétés structurales et redox. Les résultats que nous avons obtenus suggèrent que l’espèce catalytique active est un dimère de rhodium de valence mixte Rh(II)/Rh(III). Nous avons également découvert que l’incorporation de sels de bispyridinium avait une influence cruciale sur la diastéréosélectivité de la réaction. D’autres expériences sur la nature du groupe partant du réactif N-sulfonyloxycarbamate nous ont permis de postuler qu’une espèce nitrénoïde de rhodium était l’intermédiaire clé du processus d’amination. De plus, l’exploitation des techniques de chimie en débit continu nous a permis de développer une méthode d’amination de thioéthers et de sulfoxydes très performante, en utilisant les azotures comme source d’azote électrophile. Basée sur la décompositon photochimique d’azotures en présence d’un complexe de fer (III) simple et commercialement disponible, nous avons été en mesure de produire des sulfilimines et des sulfoximines avec d’excellents rendements. Le temps de résidence du procédé d’amination a pu être sensiblement réduit par la conception d’un nouveau type de réacteur photochimique capillaire. Ces améliorations techniques ont permis de rendre la synthèse plus productive, ce qui constitue un élément important d’un point de vue industriel.

Biotecnologia de Dunaliella salina para produção de B caroteno

Dissertação de mest. em Aquacultura, Unidade de Ciências e Tecnologia dos Recursos Aquáticos, Univ. do Algarve, 1997

Sintonia automática de controladores PID: uma abordagem neuro - genética

Dissertação de dout. em Electrónica e Computação, Faculdade de Ciências e Tecnologia, Univ. do Algarve, 2004

Análisis medioambiental de las plantas de tratamiento de aguas residuales del cantón Girón: diagnóstico y elaboración de un plan de mejoras

El presente trabajo de titulación tiene como finalidad la evaluación, el diagnóstico y la elaboración de un plan de mejoras que permita optimizar los procesos de depuración de las plantas de tratamiento de aguas residuales de los sectores Pambadel y Zhuringualo del Cantón Girón. En el diagnóstico de las PTAR se realizó la caracterización de los afluentes y efluentes; los valores obtenidos se compararon con la normativa ambiental TULSMA, a fin de evaluar el cumplimiento. Los resultados de laboratorio de los años 2014, 2015 y 2016junto con la valoración in situpermitieron determinar los porcentajes de eficiencia de las depuradoras. Laseficiencias alcanzadas en el 2014 fueron de 70,98% para Pambadel, 69,14% en Zhuringualo, en el año 2015 de -266,94% paraplanta de Pambadel, 66,03% para Zhuringualo, en el 2016 de 40,45% y 71,23% respectivamente. Al momento de comparar con la normativa encontramos incumplimiento en parámetros como: fósforo, coliformes totales y termotolerantes. También se efectuó un análisis social en el cual se encuestó a los pobladores de las zonas de influencia directa de las PTAR con la finalidad de conocer las necesidades y molestias que estas generan. Concluyendo que es necesaria la implementación del plan de mejoras que implica los siguientes procesos de optimización: un programa de mantenimiento emergente y remodelación de infraestructura deteriorada, la implementación de un laboratorio básico, la construcción de un sistema de pretratamiento basándose en los planos de diseño y la realización de estudios técnicos posteriores.

Hybrid Power System Intelligent Operation and Protection Involving Distributed Architectures and Pulsed Loads

Efficient and reliable techniques for power delivery and utilization are needed to account for the increased penetration of renewable energy sources in electric power systems. Such methods are also required for current and future demands of plug-in electric vehicles and high-power electronic loads. Distributed control and optimal power network architectures will lead to viable solutions to the energy management issue with high level of reliability and security. This dissertation is aimed at developing and verifying new techniques for distributed control by deploying DC microgrids, involving distributed renewable generation and energy storage, through the operating AC power system. To achieve the findings of this dissertation, an energy system architecture was developed involving AC and DC networks, both with distributed generations and demands. The various components of the DC microgrid were designed and built including DC-DC converters, voltage source inverters (VSI) and AC-DC rectifiers featuring novel designs developed by the candidate. New control techniques were developed and implemented to maximize the operating range of the power conditioning units used for integrating renewable energy into the DC bus. The control and operation of the DC microgrids in the hybrid AC/DC system involve intelligent energy management. Real-time energy management algorithms were developed and experimentally verified. These algorithms are based on intelligent decision-making elements along with an optimization process. This was aimed at enhancing the overall performance of the power system and mitigating the effect of heavy non-linear loads with variable intensity and duration. The developed algorithms were also used for managing the charging/discharging process of plug-in electric vehicle emulators. The protection of the proposed hybrid AC/DC power system was studied. Fault analysis and protection scheme and coordination, in addition to ideas on how to retrofit currently available protection concepts and devices for AC systems in a DC network, were presented. A study was also conducted on the effect of changing the distribution architecture and distributing the storage assets on the various zones of the network on the system’s dynamic security and stability. A practical shipboard power system was studied as an example of a hybrid AC/DC power system involving pulsed loads. Generally, the proposed hybrid AC/DC power system, besides most of the ideas, controls and algorithms presented in this dissertation, were experimentally verified at the Smart Grid Testbed, Energy Systems Research Laboratory. All the developments in this dissertation were experimentally verified at the Smart Grid Testbed.

Physics-Based Modeling of Power System Components for the Evaluation of Low-Frequency Radiated Electromagnetic Fields

The low-frequency electromagnetic compatibility (EMC) is an increasingly important aspect in the design of practical systems to ensure the functional safety and reliability of complex products. The opportunities for using numerical techniques to predict and analyze system’s EMC are therefore of considerable interest in many industries. As the first phase of study, a proper model, including all the details of the component, was required. Therefore, the advances in EMC modeling were studied with classifying analytical and numerical models. The selected model was finite element (FE) modeling, coupled with the distributed network method, to generate the model of the converter’s components and obtain the frequency behavioral model of the converter. The method has the ability to reveal the behavior of parasitic elements and higher resonances, which have critical impacts in studying EMI problems. For the EMC and signature studies of the machine drives, the equivalent source modeling was studied. Considering the details of the multi-machine environment, including actual models, some innovation in equivalent source modeling was performed to decrease the simulation time dramatically. Several models were designed in this study and the voltage current cube model and wire model have the best result. The GA-based PSO method is used as the optimization process. Superposition and suppression of the fields in coupling the components were also studied and verified. The simulation time of the equivalent model is 80-100 times lower than the detailed model. All tests were verified experimentally. As the application of EMC and signature study, the fault diagnosis and condition monitoring of an induction motor drive was developed using radiated fields. In addition to experimental tests, the 3DFE analysis was coupled with circuit-based software to implement the incipient fault cases. The identification was implemented using ANN for seventy various faulty cases. The simulation results were verified experimentally. Finally, the identification of the types of power components were implemented. The results show that it is possible to identify the type of components, as well as the faulty components, by comparing the amplitudes of their stray field harmonics. The identification using the stray fields is nondestructive and can be used for the setups that cannot go offline and be dismantled

An Evaluative Model to Assess the Organizational Efficiency in Training Corporations

In an organisation any optimization process of its issues faces increasing challenges and requires new approaches to the organizational phenomenon. Indeed, in this work it is addressed the problematic of efficiency dynamics through intangible variables that may support a different view of the corporations. It focuses on the challenges that information management and the incorporation of context brings to competitiveness. Thus, in this work it is presented the analysis and development of an intelligent decision support system in terms of a formal agenda built on a Logic Programming based methodology to problem solving, complemented with an attitude to computing grounded on Artificial Neural Networks. The proposed model is in itself fairly precise, with an overall accuracy, sensitivity and specificity with values higher than 90 %. The proposed solution is indeed unique, catering for the explicit treatment of incomplete, unknown, or even self-contradictory information, either in a quantitative or qualitative arrangement.

Creating a terminology resource for local food from Modena and localizing a traditional restaurant's website.

This thesis describes a project of terminology and localization focused on local and traditional cuisine from the province of Modena: the final products of this project are a specialized termbase and the localized version of the website of Trattoria Ermes, a small Modenese restaurant offering traditional dishes. It is a known fact the Internet has drastically altered the way companies and businesses communicate with their audience. Considering that food tourism is an invaluable sector of Italy’s economy and a great aid to safeguarding its culinary traditions, business owners can benefit from localizing their websites, allowing them to reach wider international audiences. The project is divided into two main sections: the first focuses on the terminological systematization of specialized terminology collected from Sandro Bellei’s cooking book and two web-derived monolingual corpora, while the second section offers insight into the analysis of the localization and optimization process of Trattoria Ermes website. In particular, the thesis approaches localization from the point of view of web marketing, with a theoretical and practical section dedicated to the Search Engine Optimization (SEO) processes employed by web marketing teams to ensure the visibility and popularity of the website

Optimization of the AZO dyes decoloration process through neural networks: Determination of the H2O2 addition critical point

The concentration of hydrogen peroxide is an important parameter in the azo dyes decoloration process through the utilization of advanced oxidizing processes, particularly by oxidizing via UV/H2O2. It is pointed out that, from a specific concentration, the hydrogen peroxide works as a hydroxyl radical self-consumer and thus a decrease of the system`s oxidizing power happens. The determination of the process critical point (maximum amount of hydrogen peroxide to be added) was performed through a ""thorough mapping"" or discretization of the target region, founded on the maximization of an objective function objective (constant of reaction kinetics of pseudo-first order). The discretization of the operational region occurred through a feedforward backpropagation neural model. The neural model obtained presented remarkable coefficient of correlation between real and predicted values for the absorbance variable, above 0.98. In the present work, the neural model had, as phenomenological basis the Acid Brown 75 dye decoloration process. The hydrogen peroxide addition critical point, represented by a value of mass relation (F) between the hydrogen peroxide mass and the dye mass, was established in the interval 50 < F < 60. (C) 2007 Elsevier B.V. All rights reserved.

OPTIMIZATION OF THE TREATMENT PROCESS FOR RESIDUAL WATER FROM A BEER INDUSTRY

The optimization of the treatment process for residual waters from a brewery operating under the modality of an anaerobic reactor and activated sludge combination was studied in two phases. In the first stage, lasting for six months, the characteristics and parameters of the plant operation were analyzed, wherein a diversion rate of more than 50% to aerobic treatment, the use of two aeration tanks and a high sludge production prevailed. The second stage comprised four months during which the system worked under the proposed operational model, with the aim of improving the treatment: reduction of the diversion rate to 30% and use of only one aeration tank At each stage, TSS, VSS and COD were measured at the entrance and exit of the anaerobic reactor mid the aeration tanks. The results were compared with the corresponding design specifications and the needed conditions were applied to reduce the diversion rate towards the aerobic process through monitoring the volume and concentration of the affluent, while applying the strategic changes in reactor parameters needed to increase its efficiency. A diversion reduction from 53 to 34% was achieved, reducing the sludge discharge generated in the aerobic system from 3670mg TSS/l. with two aeration tanks down to 2947mf TSS/l using one tank keeping the same relation VSS:TSS (0.55) and an efficiency of total removal of 98% in terms of COD.

Economic, environmental and mixed objective functions in non-linear process optimization using simulated annealing and tabu search

Screening of topologies developed by hierarchical heuristic procedures can be carried out by comparing their optimal performance. In this work we will be exploiting mono-objective process optimization using two algorithms, simulated annealing and tabu search, and four different objective functions: two of the net present value type, one of them including environmental costs and two of the global potential impact type. The hydrodealkylation of toluene to produce benzene was used as case study, considering five topologies with different complexities mainly obtained by including or not liquid recycling and heat integration. The performance of the algorithms together with the objective functions was observed, analyzed and discussed from various perspectives: average deviation of results for each algorithm, capacity for producing high purity product, screening of topologies, objective functions robustness in screening of topologies, trade-offs between economic and environmental type objective functions and variability of optimum solutions.