Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

A study of magnetic non-linearity and finite length effects in solid iron subjected to a travelling MMF wave

This thesis describes an experimental and analytic study of the effects of magnetic non-linearity and finite length on the loss and field distribution in solid iron due to a travelling mmf wave. In the first half of the thesis, a two-dimensional solution is developed which accounts for the effects of both magnetic non-linearity and eddy-current reaction; this solution is extended, in the second half, to a three-dimensional model. In the two-dimensional solution, new equations for loss and flux/pole are given; these equations contain the primary excitation, the machine parameters and factors describing the shape of the normal B-H curve. The solution applies to machines of any air-gap length. The conditions for maximum loss are defined, and generalised torque/frequency curves are obtained. A relationship between the peripheral component of magnetic field on the surface of the iron and the primary excitation is given. The effects of magnetic non-linearity and finite length are combined analytically by introducing an equivalent constant permeability into a linear three-dimensional analysis. The equivalent constant permeability is defined from the non-linear solution for the two-dimensional magnetic field at the axial centre of the machine to avoid iterative solutions. In the linear three-dimensional analysis, the primary excitation in the passive end-regions of the machine is set equal to zero and the secondary end faces are developed onto the air-gap surface. The analyses, and the assumptions on which they are based, were verified on an experimental machine which consists of a three-phase rotor and alternative solid iron stators, one with copper end rings, and one without copper end rings j the main dimensions of the two stators are identical. Measurements of torque, flux /pole, surface current density and radial power flow were obtained for both stators over a range of frequencies and excitations. Comparison of the measurements on the two stators enabled the individual effects of finite length and saturation to be identified, and the definition of constant equivalent permeability to be verified. The penetration of the peripheral flux into the stator with copper end rings was measured and compared with theoretical penetration curves. Agreement between measured and theoretical results was generally good.

Three Essays on Economic Development in the Natural Resources Sector

This thesis examines two ongoing development projects that received financial support from international development organizations, and an alternative mining tax proposed by the academia. Chapter 2 explores the impact of commoditization of coffee on its export price in Ethiopia. The first part of the chapter traces how the Ethiopian’s current coffee trade system and commoditization come to be. Using regression analysis, the second part tests and confirms the hypothesis that commoditization has led to a reduction in coffee export price. Chapter 3 conducts a cost-benefit analysis on a controversial, liquefied natural gas export project in Peru that sought to export one-third of the country’s proven natural gas reserves. While the country can receive royalty and corporate income tax in the short and medium term, these benefits are dwarfed by the future costs of paying for alternative energy after gas depletion. The conclusion is robust for a variety of future energy-price and energy-demand scenarios. Chapter 4 quantifies through simulation the economic distortions of two common mining taxes, the royalty and ad-valorem tax, vis-à-vis the resource rent tax. The latter is put forward as a better mining tax instrument on account of its non-distortionary nature. The rent tax, however, necessitates additional administrative burdens and induces tax-avoidance behavior, both leading to a net loss of tax revenue. By quantifying the distortions of royalty and the ad-valorem tax, one can establish the maximum loss that can be incurred by the rent tax. Simulation results indicate that the distortion of the ad-valorem tax is quite modest. If implemented, the rent tax is likely to result in a greater loss. While the subject matters may appear diverse, they are united by one theme. These initiatives were endorsed and supported by authorities and development agencies in the aim of furthering economic development and efficiency, but they are unlikely to fulfill the goal. Lessons for international development can be learnt from successful stories as well as from unsuccessful ones.

Rock fracture mean trace length estimation and confidence interval calculation using maximum likelihood methods

There has been a resurgence of interest in the mean trace length estimator of Pahl for window sampling of traces. The estimator has been dealt with by Mauldon and Zhang and Einstein in recent publications. The estimator is a very useful one in that it is non-parametric. However, despite some discussion regarding the statistical distribution of the estimator, none of the recent works or the original work by Pahl provide a rigorous basis for the determination a confidence interval for the estimator or a confidence region for the estimator and the corresponding estimator of trace spatial intensity in the sampling window. This paper shows, by consideration of a simplified version of the problem but without loss of generality, that the estimator is in fact the maximum likelihood estimator (MLE) and that it can be considered essentially unbiased. As the MLE, it possesses the least variance of all estimators and confidence intervals or regions should therefore be available through application of classical ML theory. It is shown that valid confidence intervals can in fact be determined. The results of the work and the calculations of the confidence intervals are illustrated by example. (C) 2003 Elsevier Science Ltd. All rights reserved.

Combining Mager and Steinmetz: The Effect of Grain Size and Maximum Induction on Hysteresis Energy Loss

Twelve samples with different grain sizes were prepared by normal grain growth and by primary recrystallization, and the hysteresis dissipated energy was measured by a quasi-static method. Results showed a linear relation between hysteresis energy loss and the inverse of grain size, which is here called Mager`s law, for maximum inductions from 0.6 to 1.5 T, and a Steinmetz power law relation between hysteresis loss and maximum induction for all samples. The combined effect is better described by a Mager`s law where the coefficients follow Steinmetz law.

Differences between remaining ability and loss of capacity in maximum aerobic impairment

In the evaluation of exercise intolerance of patients with respiratory diseases the American Medical Association (AMA) and the American Thoracic Society (ATS) have proposed similar classifications for rating aerobic impairment using maximum oxygen uptake (VO2max) normalized for total body weight (ml min-1 kg-1). However, subjects with the same VO2max weight-corrected values may have considerably different losses of aerobic performance (VO2max expressed as % predicted). We have proposed a new, specific method for rating loss of aerobic capacity (VO2max, % predicted) and we have compared the two classifications in a prospective study involving 75 silicotic claimants. Logistic regression analysis showed that the disagreement between rating systems (higher dysfunction by the AMA/ATS classification) was associated with age >50 years (P<0.005) and overweight (P = 0.04). Interestingly, clinical (dyspnea score) and spirometric (FEV1) normality were only associated with the VO2max, % predicted, normal values (P<0.01); therefore, in older and obese subjects the AMA/ATS classification tended to overestimate the aerobic dysfunction. We conclude that in the evaluation of aerobic impairment in patients with respiratory diseases, the loss of aerobic capacity (VO2max, % predicted) should be used instead of the traditional method (remaining aerobic ability, VO2max, in ml min-1 kg-1).

The calculation of Afρ and mass loss rate for comets

Ab initio calculations of Afρ are presented using Mie scattering theory and a Direct Simulation Monte Carlo (DSMC) dust outflow model in support of the Rosetta mission and its target 67P/Churyumov-Gerasimenko (CG). These calculations are performed for particle sizes ranging from 0.010 μm to 1.0 cm. The present status of our knowledge of various differential particle size distributions is reviewed and a variety of particle size distributions is used to explore their effect on Afρ , and the dust mass production View the MathML sourcem˙. A new simple two parameter particle size distribution that curtails the effect of particles below 1 μm is developed. The contributions of all particle sizes are summed to get a resulting overall Afρ. The resultant Afρ could not easily be predicted a priori and turned out to be considerably more constraining regarding the mass loss rate than expected. It is found that a proper calculation of Afρ combined with a good Afρ measurement can constrain the dust/gas ratio in the coma of comets as well as other methods presently available. Phase curves of Afρ versus scattering angle are calculated and produce good agreement with observational data. The major conclusions of our calculations are: – The original definition of A in Afρ is problematical and Afρ should be: qsca(n,λ)×p(g)×f×ρqsca(n,λ)×p(g)×f×ρ. Nevertheless, we keep the present nomenclature of Afρ as a measured quantity for an ensemble of coma particles.– The ratio between Afρ and the dust mass loss rate View the MathML sourcem˙ is dominated by the particle size distribution. – For most particle size distributions presently in use, small particles in the range from 0.10 to 1.0 μm contribute a large fraction to Afρ. – Simplifying the calculation of Afρ by considering only large particles and approximating qsca does not represent a realistic model. Mie scattering theory or if necessary, more complex scattering calculations must be used. – For the commonly used particle size distribution, dn/da ∼ a−3.5 to a−4, there is a natural cut off in Afρ contribution for both small and large particles. – The scattering phase function must be taken into account for each particle size; otherwise the contribution of large particles can be over-estimated by a factor of 10. – Using an imaginary index of refraction of i = 0.10 does not produce sufficient backscattering to match observational data. – A mixture of dark particles with i ⩾ 0.10 and brighter silicate particles with i ⩽ 0.04 matches the observed phase curves quite well. – Using current observational constraints, we find the dust/gas mass-production ratio of CG at 1.3 AU is confined to a range of 0.03–0.5 with a reasonably likely value around 0.1.

Hysteresis loss subdivision

Assuming that different energy dissipation mechanisms are at work along hysteresis, a hysteresis loss subdivision procedure has been proposed, using the induction at maximum permeability ( around 0.8 T, in electrical steels) as the boundary between the ""low-induction`` and the ""high-induction`` regions. This paper reviews the most important results obtained in 10 years of investigation of the effect of microstructure on these components of the hysteresis loss. As maximum induction increases, the ""low-induction loss`` increases linearly up to 1.2 T, while the ""high-induction loss`` is zero up to 0.7 T and then increases as a power law with n = 5. Low-induction loss behavior is linearly related to H(c) between 0.4 and 1.2 T. Grain size has a larger influence on low-induction losses than on high-induction losses. Texture has a much stronger influence on high loss than on low-induction loss, and it is related to the average magnetocrystalline energy. 6.5%Si steel shows smaler hysteresis loss at 1.5 T than 3.5%Si steel only because of its smaler high-induction component. The abrupt increase in hysteresis loss due to very small plastic deformation is strongly related to the high-induction loss component. These results are discussed in terms of energy dissipation mechanisms such as domain wall movement, irreversible rotation and domain wall energy dissipation at domain nucleation and annihilation. (C) 2008 Elsevier B.V. All rights reserved.

A computerized tomography scan method for calculating the hernia sac and abdominal cavity volume in complex large incisional hernia with loss of domain

Preoperative progressive pneumoperitoneum (PPP) is a safe and effective procedure in the treatment of large incisional hernia (size > 10 cm in width or length) with loss of domain (LIHLD). There is no consensus in the literature on the amount of gas that must be insufflated in a PPP program or even how long it should be maintained. We describe a technique for calculating the hernia sac volume (HSV) and abdominal cavity volume (ACV) based on abdominal computerized tomography (ACT) scanning that eliminates the need for subjective criteria for inclusion in a PPP program and shows the amount of gas that must be insufflated into the abdominal cavity in the PPP program. Our technique is indicated for all patients with large or recurrent incisional hernias evaluated by a senior surgeon with suspected LIHLD. We reviewed our experience from 2001 to 2008 of 23 consecutive hernia surgical procedures of LIHLD undergoing preoperative evaluation with CT scanning and PPP. An ACT was required in all patients with suspected LIHLD in order to determine HSV and ACV. The PPP was performed only if the volume ratio HSV/ACV (VR = HSV/ACV) was a parts per thousand yen25% (VR a parts per thousand yen 25%). We have performed this procedure on 23 patients, with a mean age of 55.6 years (range 31-83). There were 16 women and 7 men with an average age of 55.6 years (range 31-83), and a mean BMI of 38.5 kg/m(2) (range 23-55.2). Almost all patients (21 of 23 patients-91.30%) were overweight; 43.5% (10 patients) were severely obese (obese class III). The mean calculated volumes for ACV and HSV were 9,410 ml (range 6,060-19,230 ml) and 4,500 ml (range 1,850-6,600 ml), respectively. The PPP is performed by permanent catheter placed in a minor surgical procedure. The total amount of CO(2) insufflated ranged from 2,000 to 7,000 ml (mean 4,000 ml). Patients required a mean of 10 PPP sessions (range 4-18) to achieve the desired volume of gas (that is the same volume that was calculated for the hernia sac). Since PPP sessions were performed once a day, 4-18 days were needed for preoperative preparation with PPP. The mean VR was 36% (ranged from 26 to 73%). We conclude that ACT provides objective data for volume calculation of both hernia sac and abdominal cavity and also for estimation of the volume of gas that should be insufflated into the abdominal cavity in PPP.

The calculation of accident risks in fitness for work assessments: diseases that can cause sudden incapacity

Risk equations have been developed to assist in determining fitness for work of people with diseases that may cause rapid loss of control. The four equations calculate the frequency of fatal injury to the person with the disease, the frequency of fatal injury to colleagues in the workplace, and the cost of fatal injury and property damage to the employer, it is suggested that the additional risk of fatal injury to the person with the disease should not exceed the fatal injury rate in high-risk industries such as forestry, fishing and mining. it is also suggested that the additional risk of fatal injury to each colleague should be no more than one-tenth of the fatal injury rate due to motor vehicle accidents in the community. Two hypothetical case examples are given, demonstrating the use of the equations. The equations highlight the need to examine the risks associated with individuals, their specific jobs and their workplaces. They also highlight significant uncertainties in the determination of fitness, which perhaps have been underestimated in the past. Wherever possible, redundant defences should be utilized to prevent accidents in the event of sudden incapacity.

Maximum Likelihood Estimation of Mixture Densities for Binned and Truncated Multivariate Data

Binning and truncation of data are common in data analysis and machine learning. This paper addresses the problem of fitting mixture densities to multivariate binned and truncated data. The EM approach proposed by McLachlan and Jones (Biometrics, 44: 2, 571-578, 1988) for the univariate case is generalized to multivariate measurements. The multivariate solution requires the evaluation of multidimensional integrals over each bin at each iteration of the EM procedure. Naive implementation of the procedure can lead to computationally inefficient results. To reduce the computational cost a number of straightforward numerical techniques are proposed. Results on simulated data indicate that the proposed methods can achieve significant computational gains with no loss in the accuracy of the final parameter estimates. Furthermore, experimental results suggest that with a sufficient number of bins and data points it is possible to estimate the true underlying density almost as well as if the data were not binned. The paper concludes with a brief description of an application of this approach to diagnosis of iron deficiency anemia, in the context of binned and truncated bivariate measurements of volume and hemoglobin concentration from an individual's red blood cells.

A DC-DC Step-Up mu-Power Converter for Energy Harvesting Applications, Using Maximum Power PointTracking, Based on Fractional Open Circuit Voltage

A DC-DC step-up micro power converter for solar energy harvesting applications is presented. The circuit is based on a switched-capacitorvoltage tripler architecture with MOSFET capacitors, which results in an, area approximately eight times smaller than using MiM capacitors for the 0.131mu m CMOS technology. In order to compensate for the loss of efficiency, due to the larger parasitic capacitances, a charge reutilization scheme is employed. The circuit is self-clocked, using a phase controller designed specifically to work with an amorphous silicon solar cell, in order to obtain themaximum available power from the cell. This will be done by tracking its maximum power point (MPPT) using the fractional open circuit voltage method. Electrical simulations of the circuit, together with an equivalent electrical model of an amorphous silicon solar cell, show that the circuit can deliver apower of 1132 mu W to the load, corresponding to a maximum efficiency of 66.81%.

Help-seeking for 'memory loss' by older adults in India : patient, caregiver and health providers' perspectives

ABSTRACT: Background. In India, prevalence rates of dementia and prodromal amnestic Mild Cognitive Impairment (MCI) are 3.1% and 4.3% respectively. Most Indians refer to the full spectrum of cognitive disorders simply as ‘memory loss.’ Barring prevention or cure, these conditions will rise rapidly with population aging. Evidence-based policies and practices can improve the lives of affected individuals and their caregivers, but will require timely and sustained uptake. Objectives. Framed by social cognitive theories of health behavior, this study explores the knowledge, attitudes and practices concerning cognitive impairment and related service use by older adults who screen positive for MCI, their primary caregivers, and health providers. Methods. I used the Montreal Cognitive Assessment to screen for cognitive impairment in memory camps in Mumbai. To achieve sampling diversity, I used maximum variation sampling. Ten adults aged 60+ who had no significant functional impairment but screened positive for MCI and their caregivers participated in separate focus groups. Four other such dyads and six doctors/ traditional healers completed in-depth interviews. Data were translated from Hindi or Marathi to English and analyzed in Atlas.ti using Framework Analysis. Findings. Knowledge and awareness of cognitive impairment and available resources were very low. Physicians attributed the condition to disease-induced pathology while lay persons blamed brain malfunction due to normal aging. Main attitudes were that this condition is not a disease, is not serious and/or is not treatable, and that it evokes stigma toward and among impaired persons, their families and providers. Low knowledge and poor attitudes impeded help-seeking. Conclusions. Cognitive disorders of aging will take a heavy toll on private lives and public resources in developing countries. Early detection, accurate diagnosis, systematic monitoring and quality care are needed to compress the period of morbidity and promote quality of life. Key stakeholders provide essential insights into how scientific and indigenous knowledge and sociocultural attitudes affect use and provision of resources.

Seguros Income Protection com um período máximo de recebimento de benefícios

Dissertação de mestrado em Economia Monetária, Bancária e Financeira