Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

Sensory evaluation of black instant coffee beverage with some volatile compounds present in aromatic oil from roasted coffee

The oil obtained from Brazilian roasted coffee by supercritical CO2 extraction shows considerable aromatic properties, mainly composed by five aromatic compounds, 2-methylpyrazine; 2-furfurylalcohol, 2,5-dimethylpyrazine; γ-butyrolactone and 2-furfurylacetate. Sensory analyses were used to verify the influence of a mixture of these important classes of aromatic coffee compounds (pyrazines, furans and lactones) and of the roasted coffee aromatic oil on the coffee aroma and flavour of black instant freeze and spray-dried coffee beverages. In the acceptance evaluation of the aroma, the samples prepared with freeze-dried instant coffee without the mixture of volatile compounds (sample 4) were not significantly different from the freeze-dried instant coffee in which the aromatic coffee oil was added (sample 5) and from the sample prepared with freeze-dried coffee in which the mixture of the five volatile was added (sample 3), coincidentally from the same drying process. Therefore, sample (3) did not differ from samples prepared with spray dried instant coffee without (sample 1) and to which (sample 2) the mixture of volatile was added. Therefore, with respect to this attribute, the addition of this mixture did not interfere in this drink acceptance. Taking into consideration the flavor, samples prepared with freeze-dried instant coffee in which the aromatic coffee oil was added (5) and the samples with (3) and without (4) the mixture of the five volatile was added did not differ significantly, however sample (4) did not differ from samples (1) and (2). Regarding this attribute, the addition of the aromatic oil of roasted coffee or a mixture of volatile in samples of freeze-dried instant coffee had a better acceptance than those dried by spray dryer (1) and (2). Thus, the enrichment of drinks with the aromatic oil of roasted coffee, or even with the mixture of the five components did not influence the consumer acceptance with respect to the aroma, but exerts influence with respect to flavour.

Physicochemical and antioxidative properties of black, brown and red rice varieties of northern Thailand

Rice, the seed of Oryza species, is the major cereal crop in most of the developing countries. Nearly 95% of global rice production is done in Asian countries, and about half of the world’s population consumes it. Some speciality rices are not commonly consumed. Colored rice is one of such variety. In these varieties, high amounts of anthocyanin pigment are deposited in the rice coat to form its black (also known as purple), brown and red colors. Minimum studies are there to explain the properties of these rice varieties of Thailand. Thus, the current study was aimed to assess the physicochemical and antioxidative properties of three rice varieties (Chiang Mai Black rice, Mali Red rice and Suphanburi-1 Brown rice) of different cultivars of northern Thailand. Rice bran extracts of these three cultivars were prepared with different solvents (polar and non-polar) for the evaluation of total phytochemical content and anti-oxidant free-radical-scavenging properties. Chiang Mai Black rice contained higher concentration of phenolic acid, flavonoids, and anthocyanins (Cyanidin 3-glucoside, peonidin 3-glucoside, cyanidin chloride). Chiang Mai Black rice is richer in free-radical-scavenging compounds and activities than the other tested varieties. Polar extractions of rice bran are high in anti-oxidative compounds and activities than non-polar extractions.

Antioxidant activity of black bean (Phaseolus vulgaris L.) protein hydrolysates

Abstract The objective of this work was to study the effect of enzymatic hydrolysis of black bean protein concentrate using different enzymes. Bean proteins were extracted and hydrolyzed over a period of 120 min using the enzymes pepsin or alcalase. The protein hydrolysates’ molecular weight was assayed by electrophoresis and the antioxidant activity was evaluated by the capturing methods of free radicals ABTS●+ and DPPH. Electrophoretic results showed that the bands above 50 kDa disappeared, when the beans protein was subjected to hydrolysis with pepsin. The bean protein hydrolysate obtained by hydrolysis with alcalase enzyme, showed higher antioxidant activity for inhibition of the radical ABTS●+. However, the hydrolysates obtained by hydrolysis with pepsin had higher antioxidant activity for inhibition of the radical DPPH. The use of pepsin and alcalase enzymes, under the same reaction time, produced black bean protein hydrolysates with different molecular weight profiles and superior antioxidant activity than the native bean protein.

The effect of different concentrations of pre-harvest gibberellic acid on the quality and durability of ‘Obilnaja’ and ‘Black Star’ plum varieties

Abstract The research work aimed at investigating the effect of pre-harvest gibberellic acid (GA3) treatment on the quality of ‘Obilnaja’ and ‘Black Star’ Japanese plum varieties. GA3 was sprayed onto the trees during the fruit color break at 0, 25, 50, 75, and 100 ppm concentrations. After pre-cooling, the plums were placed in modified atmosphere packages and exposed to the following conditions as follows: short storage-transportation (ST) [20 days at 2 °C and 90% relative humidity (RH)]; distribution center (DC) (5 days at 6 °C and 80% RH), and shelf life conditions (SL) (2 days at 20 °C and 70% RH). Pre-harvest GA3 treatments increased the fruit weight and size. Treatment of GA3 at 50, 75, and 100 ppm increased the fruit flesh firmness and total soluble substances (TSS) values in both the plum varieties during storage, transport, and marketing; it also limited the weight loss during the marketing process. Treatment of GA3 had no significant effects on the color, titratable acidity (TA), and the total phenolic and antioxidant activity values of plums. Pre-harvest GA3 treatment at 50 ppm GA3 can be thus recommended for both the plum varieties due to its effect on the fruit quality.

An investigative study on the effects of black fly (diptera: simuliidae) sugar meals on reproductive success and parasite transmission /

Black flies are opportunistic sugar-feeders. They take sugar meals from Homopteran honeydew secretions or plant nectars, depending on availability. Homopteran honeydew secretions contain both simple and complex carbohydrates while plant nectars contain primarily simple carbohydrates. In order to determine whether honeydew secretions offer more energy than plant nectars to their insect visitors a study of wild-caught black flies was undertaken in Algonquin Provincial Park, Canada during the spring of 1 998 and 1 999. It was hypothesized that female black flies maintained on honeydew sugars will survive longer, produce more eggs and have a greater parasite vectoring potential than those maintained on artificial nectar or distilled water. Results demonstrated that: (1) host-seeking female Prosimulimfuscum/mixtum and Simulium venustum maintained on artificial honeydew did not survive longer than those maintained on artificial nectar when fed ad libitum; (2) fiiUy engorged S. venustum and Simulium rugglesi maintained on artificial honeydew did not produce more eggs than those maintained on artificial nectar when fed ad libitum; and (3) S. rugglesi did not have a greater vectoring potential of Leucocytozoon simondi when maintained on artificial honeydew as opposed to artificial nectar when fed ad libitum. However, all flies maintained on the two sugars (artificial honeydew and artificial nectar) survived longer, produce more eggs and had greater vectoring potential than those maintained on distilled water alone.

Fade to black : picturing mortality in contemporary popular film /

This thesis attempts to understand representations of death in contemporary popular film within a framework that posits mortality as a category of particular social and political importance for the way we understand both individual subjectivity and social responsibility in the postmodern cultural moment. It addresses concerns over the social organizing categories of time and space, and performs a sustained consideration of predominant themes related to the popular representation of death, such as contingency, existential.meaning, and temporal finitude. Death consciousness and social consciousness are shown to be not just intertwined, but also vitally dependent on one another, and the analyses undertaken are ultimately aimed at making these intersections explicit in order • l to think through their potential implications for challenging consumer capitalist hegemony and envisioning the possibility of progressive social change through the lens of our mortality.

Mermithid (nematoa: mermithidae) infections of black flies (Diptera: Simuliidae) : seasonal variation and developmental characteristics /

Mermithid nematodes (Nematoda: Mermithidae) parasitize larval, pupal and adult black flies (Diptera: Simuliidae), oftentimes resulting in partial or complete host feminization. This study was designed to characterize parasite-host seasonal variation and to estabUsh the developmental life stage at which feminization is initiated. Data indicate that the total adult population of black flies collected from Algonquin Provincial Park throughout the spring of 2004 was comprised of 31.8% female, 67.8% male and 0.4% intersex individuals. Of the total population, 0.6% was infected by mermithid nematodes (69.0% female, 3.5% male and 27.6% intersex). Seasonal infection trends established over a 12-month period revealed that black flies with different life histories host the same mermithid subfamilies, while black flies with similar life histories host mermithids from different subfamilies. If a simuliid species simultaneously hosts two mermithid species, these parasites are from different subfamilies. Molecular mermithid identification revealed two mermithid subfamilies, Me.somermithinae and Gastromermithinae, present in the simuliid hosts. Mermithid colour variation was not found to be a reliable species indicator. The developmental stage at which feminization is initiated was determined by examining gonad morphology and meiotic chromosomal condition. Results indicate that mermithid-infected black flies exhibit feminization prior to larval histoblast formation. Larvae can be morphologically male (testes present) or female (ovaries present), with morphological males exhibiting either male (achiasmate) or female (chiasmate) meiotic chromosomes; morphological females were only genetically female. Additionally, mermithid infection inhibits simuliid gonad development.

A cytophylogenetic study of Pacific black flies (Diptera: Simuliidae)

The sequential banding patterns of the larval salivary gland polytene chromosomes of seven species of Inseliellum (Diptera: Simuliidae) were mapped. This was completed through the comparison with the standard maps of an eighth species of Inseliellum, Simulium cataractarum. During chromosomal analysis, both fixed and floating inversions were identified. A floating inversion (IIL-l ex,2ex) revealed a cytotype within Simulium exasperans that is distributed between two islands, Moorea and Tahiti. Inversion data revealed three shared fixed inversions that could be used as phylogenetic characters. In addition, the placement of a chromosomal landmark (the nucleolar organizer, or NO) was used as a phylogenetic character. The result of a cytophylogenetic (transformational) analysis showed two groups: the NO-IL group, and the NO-IS group. A combined phylogeny was created using the published morphological data and the cytological data of the eight species. The combined tree did not differ from the morphological data only tree. Possible routes of dispersal are hypothesized using geological, chromosomal, and phylogenetic data. These data showed a general pattern of dispersal and colonization from older islands to younger islands, with one possible instance of dispersal from younger to older islands. It is postulated that inter-island speciation has allowed this dispersal and colonization, but intra-island speciation has created the diversity seen in Inseliellum.