956 resultados para Modern portfolio theory


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Este trabalho pretende mostrar que a Teoria da Otimidade proporciona novas formas para explicar mudanças de som que não a re-ordenação no ranqueamento deconstraints. Ele examina os aspectos diacrônicos de harmonia nasal na família Mundurukú, tronco Tupi. A comparação entre os sistemas modernos de Mundurukú e Kuruaya salienta que o sistema original, Proto-Mundurukú, tem propriedades semelhantes às atualmente observadas em Kuruaya. Em especial, os alvos do espalhamento de nasalidadeincluiamoclusivas sonoras e soantes, enquanto que as obstruintes surdas eram transparentes. Esse sistema evoluiu para outro em Pré-Munduruku, quando novos contrastes foram introduzidos na língua, transformando obstruintes em segmentos opacos e, portanto, bloqueando a nasalização. A análise, formalizada dentro da Teoria da Otimidade, demonstra que não houve uma re-ordenação dos constraints harmônicos; eles apenas se tornaram mais restritos, como mostra a cronologia relativa que deu origem ao sistema moderno de Mundurukú. Além disso, o estudo discute também as consequências dessa mudança para a gramática sincrônica, e como isso explica as irregularidades do processo.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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This paper consists in applying the Modern Theory of Portfolio (MPT) using central position measurements for modeling the return on investment fund of a renowned financial institution and compare with the Medium- CVaR model. The measurement of risks and returns becomes increasingly important for investors to minimize their losses to maximize thus their possibilities of earnings, taking into account sudden change scenarios. We present concepts of investment funds used as data and research on central position measurements to determine which measure was more suitable. To assemble the Efficient Frontier of assets considering the method proposed measure of central position-CVaR position is used MatLab. Then, after getting the Frontier, it was possible to compare it with the Medium-CVaR model, already proven effective. Finally, we analyze the viability of the proposed model in portfolio management

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Maximum-likelihood decoding is often the optimal decoding rule one can use, but it is very costly to implement in a general setting. Much effort has therefore been dedicated to find efficient decoding algorithms that either achieve or approximate the error-correcting performance of the maximum-likelihood decoder. This dissertation examines two approaches to this problem. In 2003 Feldman and his collaborators defined the linear programming decoder, which operates by solving a linear programming relaxation of the maximum-likelihood decoding problem. As with many modern decoding algorithms, is possible for the linear programming decoder to output vectors that do not correspond to codewords; such vectors are known as pseudocodewords. In this work, we completely classify the set of linear programming pseudocodewords for the family of cycle codes. For the case of the binary symmetric channel, another approximation of maximum-likelihood decoding was introduced by Omura in 1972. This decoder employs an iterative algorithm whose behavior closely mimics that of the simplex algorithm. We generalize Omura's decoder to operate on any binary-input memoryless channel, thus obtaining a soft-decision decoding algorithm. Further, we prove that the probability of the generalized algorithm returning the maximum-likelihood codeword approaches 1 as the number of iterations goes to infinity.

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Este artigo propõe que a semiótica peirceana pode oferecer bases tanto lógicas quanto epistemológicas para a busca de uma teoria geral da comunicação. No entanto, o desenvolvimento de uma teoria semiótica da comunicação depende, em primeiro lugar, de uma melhor compreensão dos aspectos formais do signo, tarefa atribuída por Peirce à gramática, o primeiro ramo de sua semiótica. Nós apresentamos uma análise das relações do signo, revelando um aspecto não trabalhado por Peirce, ampliando seu número para onze. Este novo aspecto é a relação triádica entre signo, objeto dinâmico e interpretante dinâmico (S-OD-ID). Nós defendemos que esta relação é essencial para a compreensão da comunicação como semiose, por dar conta da repetição ou redundância do signo comunicativo, quando se cria ou transmite informação. O artigo pretende dar um passo a mais na direção de uma teoria da comunicação verdadeiramente universal, através do vínculo entre a semiótica peirceana e a moderna filosofia da linguagem.

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This is a short nontechnical introduction to applications of the Quantum Field Theory methods to graphene. We derive the Dirac model from the tight binding model and describe calculations of the polarization operator (conductivity). Later on, we use this quantity to describe the Quantum Hall Effect, light absorption by graphene, the Faraday effect, and the Casimir interaction.

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I present a new experimental method called Total Internal Reflection Fluorescence Cross-Correlation Spectroscopy (TIR-FCCS). It is a method that can probe hydrodynamic flows near solid surfaces, on length scales of tens of nanometres. Fluorescent tracers flowing with the liquid are excited by evanescent light, produced by epi-illumination through the periphery of a high NA oil-immersion objective. Due to the fast decay of the evanescent wave, fluorescence only occurs for tracers in the ~100 nm proximity of the surface, thus resulting in very high normal resolution. The time-resolved fluorescence intensity signals from two laterally shifted (in flow direction) observation volumes, created by two confocal pinholes are independently measured and recorded. The cross-correlation of these signals provides important information for the tracers’ motion and thus their flow velocity. Due to the high sensitivity of the method, fluorescent species with different size, down to single dye molecules can be used as tracers. The aim of my work was to build an experimental setup for TIR-FCCS and use it to experimentally measure the shear rate and slip length of water flowing on hydrophilic and hydrophobic surfaces. However, in order to extract these parameters from the measured correlation curves a quantitative data analysis is needed. This is not straightforward task due to the complexity of the problem, which makes the derivation of analytical expressions for the correlation functions needed to fit the experimental data, impossible. Therefore in order to process and interpret the experimental results I also describe a new numerical method of data analysis of the acquired auto- and cross-correlation curves – Brownian Dynamics techniques are used to produce simulated auto- and cross-correlation functions and to fit the corresponding experimental data. I show how to combine detailed and fairly realistic theoretical modelling of the phenomena with accurate measurements of the correlation functions, in order to establish a fully quantitative method to retrieve the flow properties from the experiments. An importance-sampling Monte Carlo procedure is employed in order to fit the experiments. This provides the optimum parameter values together with their statistical error bars. The approach is well suited for both modern desktop PC machines and massively parallel computers. The latter allows making the data analysis within short computing times. I applied this method to study flow of aqueous electrolyte solution near smooth hydrophilic and hydrophobic surfaces. Generally on hydrophilic surface slip is not expected, while on hydrophobic surface some slippage may exists. Our results show that on both hydrophilic and moderately hydrophobic (contact angle ~85°) surfaces the slip length is ~10-15nm or lower, and within the limitations of the experiments and the model, indistinguishable from zero.

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Some of the most interesting phenomena that arise from the developments of the modern physics are surely vacuum fluctuations. They appear in different branches of physics, such as Quantum Field Theory, Cosmology, Condensed Matter Physics, Atomic and Molecular Physics, and also in Mathematical Physics. One of the most important of these vacuum fluctuations, sometimes called "zero-point energy", as well as one of the easiest quantum effect to detect, is the so-called Casimir effect. The purposes of this thesis are: - To propose a simple retarded approach for dynamical Casimir effect, thus a description of this vacuum effect when we have moving boundaries. - To describe the behaviour of the force acting on a boundary, due to its self-interaction with the vacuum.

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Reform is a word that, one might easily say, characterizes more than any other the history and development of Buddhism. Yet, it must also be said that reform movements in East Asian Buddhism have often taken on another goal—harmony or unification; that is, a desire not only to reconstruct a more worthy form of Buddhism, but to simultaneously bring together all existing forms under a single banner, in theory if not in practice. This paper explores some of the tensions between the desire for reform and the quest for harmony in modern Japanese Buddhism thought, by comparing two developments: the late 19th century movement towards ‘New Buddhism’ (shin Bukkyō) as exemplified by Murakami Senshō 村上専精 (1851–1929), and the late 20th century movement known as ‘Critical Buddhism’ (hihan Bukkyō), as found in the works of Matsumoto Shirō 松本史朗 and Hakamaya Noriaki 袴谷憲昭. In all that has been written about Critical Buddhism, in both Japanese and English, very little attention has been paid to the place of the movement within the larger traditions of Japanese Buddhist reform. Here I reconsider Critical Buddhism in relation to the concerns of the previous, much larger trends towards Buddhist reform that emerged almost exactly 100 years previous—the so-called shin Bukkyō or New Buddhism of the late-Meiji era. Shin Bukkyō is a catch-all term that includes the various writings and activities of Inoue Enryō, Shaku Sōen, and Kiyozawa Manshi, as well as the so-called Daijō-hibussetsuron, a broad term used (often critically) to describe Buddhist writers who suggested that Mahāyāna Buddhism is not, in fact, the Buddhism taught by the ‘historical’ Buddha Śākyamuni. Of these, I will make a few general remarks about Daijō-hibusseturon, before turning attention more specifically to the work of Murakami Senshō, in order to flesh out some of the similarities and differences between his attempt to construct a ‘unified Buddhism’ and the work of his late-20th century avatars, the Critical Buddhists. Though a number of their aims and ideas overlap, I argue that there remain fundamental differences with respect to the ultimate purposes of Buddhist reform. This issue hinges on the implications of key terms such as ‘unity’ and ‘harmony’ as well as the way doctrinal history is categorized and understood, but it also relates to issues of ideology and the use and abuse of Buddhist doctrines in 20th-century politics.

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Mr. Pechersky set out to examine a specific feature of the employer-employee relationship in Russian business organisations. He wanted to study to what extent the so-called "moral hazard" is being solved (if it is being solved at all), whether there is a relationship between pay and performance, and whether there is a correlation between economic theory and Russian reality. Finally, he set out to construct a model of the Russian economy that better reflects the way it actually functions than do certain other well-known models (for example models of incentive compensation, the Shapiro-Stiglitz model etc.). His report was presented to the RSS in the form of a series of manuscripts in English and Russian, and on disc, with many tables and graphs. He begins by pointing out the different examples of randomness that exist in the relationship between employee and employer. Firstly, results are frequently affected by circumstances outside the employee's control that have nothing to do with how intelligently, honestly, and diligently the employee has worked. When rewards are based on results, uncontrollable randomness in the employee's output induces randomness in their incomes. A second source of randomness involves the outside events that are beyond the control of the employee that may affect his or her ability to perform as contracted. A third source of randomness arises when the performance itself (rather than the result) is measured, and the performance evaluation procedures include random or subjective elements. Mr. Pechersky's study shows that in Russia the third source of randomness plays an important role. Moreover, he points out that employer-employee relationships in Russia are sometimes opposite to those in the West. Drawing on game theory, he characterises the Western system as follows. The two players are the principal and the agent, who are usually representative individuals. The principal hires an agent to perform a task, and the agent acquires an information advantage concerning his actions or the outside world at some point in the game, i.e. it is assumed that the employee is better informed. In Russia, on the other hand, incentive contracts are typically negotiated in situations in which the employer has the information advantage concerning outcome. Mr. Pechersky schematises it thus. Compensation (the wage) is W and consists of a base amount, plus a portion that varies with the outcome, x. So W = a + bx, where b is used to measure the intensity of the incentives provided to the employee. This means that one contract will be said to provide stronger incentives than another if it specifies a higher value for b. This is the incentive contract as it operates in the West. The key feature distinguishing the Russian example is that x is observed by the employer but is not observed by the employee. So the employer promises to pay in accordance with an incentive scheme, but since the outcome is not observable by the employee the contract cannot be enforced, and the question arises: is there any incentive for the employer to fulfil his or her promises? Mr. Pechersky considers two simple models of employer-employee relationships displaying the above type of information symmetry. In a static framework the obtained result is somewhat surprising: at the Nash equilibrium the employer pays nothing, even though his objective function contains a quadratic term reflecting negative consequences for the employer if the actual level of compensation deviates from the expectations of the employee. This can lead, for example, to labour turnover, or the expenses resulting from a bad reputation. In a dynamic framework, the conclusion can be formulated as follows: the higher the discount factor, the higher the incentive for the employer to be honest in his/her relationships with the employee. If the discount factor is taken to be a parameter reflecting the degree of (un)certainty (the higher the degree of uncertainty is, the lower is the discount factor), we can conclude that the answer to the formulated question depends on the stability of the political, social and economic situation in a country. Mr. Pechersky believes that the strength of a market system with private property lies not just in its providing the information needed to compute an efficient allocation of resources in an efficient manner. At least equally important is the manner in which it accepts individually self-interested behaviour, but then channels this behaviour in desired directions. People do not have to be cajoled, artificially induced, or forced to do their parts in a well-functioning market system. Instead, they are simply left to pursue their own objectives as they see fit. Under the right circumstances, people are led by Adam Smith's "invisible hand" of impersonal market forces to take the actions needed to achieve an efficient, co-ordinated pattern of choices. The problem is that, as Mr. Pechersky sees it, there is no reason to believe that the circumstances in Russia are right, and the invisible hand is doing its work properly. Political instability, social tension and other circumstances prevent it from doing so. Mr. Pechersky believes that the discount factor plays a crucial role in employer-employee relationships. Such relationships can be considered satisfactory from a normative point of view, only in those cases where the discount factor is sufficiently large. Unfortunately, in modern Russia the evidence points to the typical discount factor being relatively small. This fact can be explained as a manifestation of aversion to risk of economic agents. Mr. Pechersky hopes that when political stabilisation occurs, the discount factors of economic agents will increase, and the agent's behaviour will be explicable in terms of more traditional models.

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This research was focused around the intersection of two discourses: that of marginality and that of ideology. Ponomarev analysed works by Alexander Zinoviev, Vladimir Maximov and Eduard Limonov - three writers representing different groups of Soviet dissidence - from the viewpoint of the concept, drawn from anthropological theory, of marginal man. Using a methodology he describes as ideological analysis, Ponomarev showed that the ideologies of both the writers and their characters are marginal, lying as they do between official Soviet and western democratic ideologies. He showed that the works and the 'creative behaviour' of the three writers did not change after 1991, when their ideas seemed victorious. Marginality is shown to be a permanent characteristic and is linked with the main ideas of the dissident movement in the USSR. On the basis of this marginality, Ponomarev identified some common traits in dissident ideas and drew up a model of dissident ideology. This general model of dissident ideology seems to be one of the special Russian variants of the marginal ideologies of intelligentsia and could be compared to the ideology of Rodon Raskolnikov, the central character in Dostoevsky's Crime and Punishment. The discourse of ideology in the USSR in the 1970s-1980s and in 1990s Russia thus appeared as a process in which the elements of the official Soviet ideology were gradually superseded by those of the dissident ideology linked with the ideology of the underground, the Russian version of the post-modern. Marginal ideologies won and became mainstream but did not lose their basic marginal traits. Ponomarev concludes that the gap between the 'state ideology' and the dissident ideology, taken together with the special Russian version of postmodernity has shaped the current literary process in Russia, making the figure of the marginal man into the main writer type.

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Quarks were introduced 50 years ago opening the road towards our understanding of the elementary constituents of matter and their fundamental interactions. Since then, a spectacular progress has been made with important discoveries that led to the establishment of the Standard Theory that describes accurately the basic constituents of the observable matter, namely quarks and leptons, interacting with the exchange of three fundamental forces, the weak, electromagnetic and strong force. Particle physics is now entering a new era driven by the quest of understanding of the composition of our Universe such as the unobservable (dark) matter, the hierarchy of masses and forces, the unification of all fundamental interactions with gravity in a consistent quantum framework, and several other important questions. A candidate theory providing answers to many of these questions is string theory that replaces the notion of point particles by extended objects, such as closed and open strings. In this short note, I will give a brief overview of string unification, describe in particular how quarks and leptons can emerge and discuss what are possible predictions for particle physics and cosmology that could test these ideas.

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The phenomenon of Christian–Muslim dialogue has had a very chequered history. At varying times, three broad modes of engagement can be said to have operated: antipathy, affinity and inquiry, and these three modes can be found still in today's world. In some places, hostility and antipathy abound. In others, voices and actions express cordial friendship, détente and affinity. In this latter climate, the prospect of engagement in mutual inquiry and cooperative ventures is not only theoretically possible, but actively pursued, and in the first decade of the twenty-first century, a number of notable initiatives in the arena of mutual inquiry have taken place. This article addresses aspects of the context and development of Christian–Muslim dialogue as a modern phenomenon, and then turns to a review of three twenty-first century developments – the Building Bridges seminar series; the Stuttgart-based Christian–Muslim Theological Forum and the “Common Word” letter. It also reflects on the models and theology of dialogue, including not only theology for dialogue, but also theology in and – importantly – after dialogue.