969 resultados para mean-variance portfolio optimization
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Darwin's paradigm holds that the diversity of present-day organisms has arisen via a process of genetic descent with modification, as on a bifurcating tree. Evidence is accumulating that genes are sometimes transferred not along lineages but rather across lineages. To the extent that this is so, Darwin's paradigm can apply only imperfectly to genomes, potentially complicating or perhaps undermining attempts to reconstruct historical relationships among genomes (i.e., a genome tree). Whether most genes in a genome have arisen via treelike (vertical) descent or by lateral transfer across lineages can be tested if enough complete genome sequences are used. We define a phylogenetically discordant sequence (PDS) as an open reading frame (ORF) that exhibits patterns of similarity relationships statistically distinguishable from those of most other ORFs in the same genome. PDSs represent between 6.0 and 16.8% (mean, 10.8%) of the analyzable ORFs in the genomes of 28 bacteria, eight archaea, and one eukaryote (Saccharomyces cerevisiae). In this study we developed and assessed a distance-based approach, based on mean pairwise sequence similarity, for generating genome trees. Exclusion of PDSs improved bootstrap support for basal nodes but altered few topological features, indicating that there is little systematic bias among PDSs. Many but not all features of the genome tree from which PDSs were excluded are consistent with the 16S rRNA tree.
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Multi-environment trials (METs) used to evaluate breeding lines vary in the number of years that they sample. We used a cropping systems model to simulate the target population of environments (TPE) for 6 locations over 108 years for 54 'near-isolines' of sorghum in north-eastern Australia. For a single reference genotype, each of 547 trials was clustered into 1 of 3 'drought environment types' (DETs) based on a seasonal water stress index. Within sequential METs of 2 years duration, the frequencies of these drought patterns often differed substantially from those derived for the entire TPE. This was reflected in variation in the mean yield of the reference genotype. For the TPE and for 2-year METs, restricted maximum likelihood methods were used to estimate components of genotypic and genotype by environment variance. These also varied substantially, although not in direct correlation with frequency of occurrence of different DETs over a 2-year period. Combined analysis over different numbers of seasons demonstrated the expected improvement in the correlation between MET estimates of genotype performance and the overall genotype averages as the number of seasons in the MET was increased.
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We compared the quality of realtime fetal ultrasound images transmitted using ISDN and IP networks. Four experienced obstetric ultrasound specialists viewed standard recordings in a randomized trial and rated the appearance of 30 fetal anatomical landmarks, each on a seven-point scale. A total of 12 evaluations were performed for various combinations of bandwidths (128, 384 or 768 kbit/s) and networks (ISDN or IF). The intraobserver coefficient of variation was 2.9%, 5.0%, 12.7% and 14.7% for the four observers. The mean overall ratings by each of the four observers were 4.6, 4.8, 5.0 and 5.3, respectively (a rating of 4 indicated satisfactory visualization and 7 indicated as good as the original recording). Analysis of variance showed that there were no significant interobserver variations nor significant differences in the mean scores for the different types of videoconferencing machines used. The most significant variable affecting the mean score was the bandwidth used. For ISDN, the mean score was 3.7 at 128 kbit/s, which was significantly worse than the mean score of 4.9 at 384 kbit/s, which was in turn significantly worse than the mean score of 5.9 at 768 kbit/s. The mean score for transmission using IP was about 0.5 points lower than that using ISDN across all the different bandwidths, but the differences were not significant. It appears that IP transmission in a private (non-shared) network is an acceptable alternative to ISDN for fetal tele-ultrasound and one deserving further study.
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This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.
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Sensitivity of output of a linear operator to its input can be quantified in various ways. In Control Theory, the input is usually interpreted as disturbance and the output is to be minimized in some sense. In stochastic worst-case design settings, the disturbance is considered random with imprecisely known probability distribution. The prior set of probability measures can be chosen so as to quantify how far the disturbance deviates from the white-noise hypothesis of Linear Quadratic Gaussian control. Such deviation can be measured by the minimal Kullback-Leibler informational divergence from the Gaussian distributions with zero mean and scalar covariance matrices. The resulting anisotropy functional is defined for finite power random vectors. Originally, anisotropy was introduced for directionally generic random vectors as the relative entropy of the normalized vector with respect to the uniform distribution on the unit sphere. The associated a-anisotropic norm of a matrix is then its maximum root mean square or average energy gain with respect to finite power or directionally generic inputs whose anisotropy is bounded above by a≥0. We give a systematic comparison of the anisotropy functionals and the associated norms. These are considered for unboundedly growing fragments of homogeneous Gaussian random fields on multidimensional integer lattice to yield mean anisotropy. Correspondingly, the anisotropic norms of finite matrices are extended to bounded linear translation invariant operators over such fields.
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The effect of number of samples and selection of data for analysis on the calculation of surface motor unit potential (SMUP) size in the statistical method of motor unit number estimates (MUNE) was determined in 10 normal subjects and 10 with amyotrophic lateral sclerosis (ALS). We recorded 500 sequential compound muscle action potentials (CMAPs) at three different stable stimulus intensities (10–50% of maximal CMAP). Estimated mean SMUP sizes were calculated using Poisson statistical assumptions from the variance of 500 sequential CMAP obtained at each stimulus intensity. The results with the 500 data points were compared with smaller subsets from the same data set. The results using a range of 50–80% of the 500 data points were compared with the full 500. The effect of restricting analysis to data between 5–20% of the CMAP and to standard deviation limits was also assessed. No differences in mean SMUP size were found with stimulus intensity or use of different ranges of data. Consistency was improved with a greater sample number. Data within 5% of CMAP size gave both increased consistency and reduced mean SMUP size in many subjects, but excluded valid responses present at that stimulus intensity. These changes were more prominent in ALS patients in whom the presence of isolated SMUP responses was a striking difference from normal subjects. Noise, spurious data, and large SMUP limited the Poisson assumptions. When these factors are considered, consistent statistical MUNE can be calculated from a continuous sequence of data points. A 2 to 2.5 SD or 10% window are reasonable methods of limiting data for analysis. Muscle Nerve 27: 320–331, 2003
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A major component of variation in body height is due to genetic differences, but environmental factors have a substantial contributory effect. In this study we aimed to analyse whether the genetic architecture of body height varies between affluent western societies. We analysed twin data from eight countries comprising 30,111 complete twin pairs by using the univariate genetic model of the Mx statistical package. Body height and zygosity were self-reported in seven populations and measured directly in one population. We found that there was substantial variation in mean body height between countries; body height was least in Italy (177 cm in men and 163 cm in women) and greatest in the Netherlands (184 cm and 171 cm, respectively). In men there was no corresponding variation in heritability of body height, heritability estimates ranging from 0.87 to 0.93 in populations under an additive genes/unique environment (AE) model. Among women the heritability estimates were generally lower than among men with greater variation between countries, ranging from 0.68 to 0.84 when an additive genes/shared environment/unique environment (ACE) model was used. In four populations where an AE model fit equally well or better, heritability ranged from 0.89 to 0.93. This difference between the sexes was mainly due to the effect of the shared environmental component of variance, which appears to be more important among women than among men in our study populations. Our results indicate that, in general, there are only minor differences in the genetic architecture of height between affluent Caucasian populations, especially among men.
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The objectives of this study were: (1) to quantify the genetic variation in foliar carbon isotope composition (delta(13)C) of 122 clones of ca. 4-year-old F-1 hybrids between slash pine (Pinus elliottii Engelm var. elliottii) and Caribbean pine (Pinus caribaea var. hondurensis Barr.,et Golf.) grown at two field experimental sites with different water and nitrogen availability in southeast Queensland, Australia, in relation to tree growth and foliar nitrogen concentration (N-mass); and (2) to assess the potential of using delta(13)C measurements, in the foliage materials collected from the clone hedges at nursery and the 4-year-old tree canopies in the field, as an indirect index of tree water use efficiency for selecting elite F-1 hybrid pine clones with improved tree growth. There were significant differences in foliar delta(13)C between the nursery hedges and the 4-year-old tree canopies in the field, between the summer and winter seasons, between the two experimental sites, and between the upper outer and lower outer canopy positions sampled. This indicates that delta(13)C measurements in the foliage materials are significantly influenced by the sampling techniques and environmental conditions. Significant differences in foliar delta(13)C, at the upper outer canopy in both field experiments in summer and winter, were detected between the clones, and between the female parents of the clones. Clone means of tree height at age ca. 3 years were positively related to those of the upper outer canopy delta(13)C at both experimental sites in winter, but only for the wetter site in summer. There were positive, linear relationships between clone means of canopy delta(13)C and those of canopy N-mass, indicating that canopy photosynthetic capacity might be an important factor regulating the clonal variation in canopy delta(13)C. Significant correlations were found between clone means of canopy delta(13)C at both experimental sites in summer and winter, and between those at the upper outer and lower outer canopy positions. Mean clone delta(13)C for the nursery hedges was only positively related to mean clone stem diameter at 1.3 m height at age 3 years on the wetter site. The clone by site interaction for foliar delta(13)C at the upper outer canopy was significant only in summer. Overall, the relatively high genetic variance components for foliar delta(13)C and significant, positive correlations between clone means of foliar delta(13)C and tree growth have highlighted the potential of using foliar delta(13)C measurements for assisting in selection of the elite F-1 hybrid pine clones with improved tree growth. (C) 2002 Elsevier Science B.V. All rights reserved.
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A Combined Genetic Algorithm and Method of Moments design methods is presented for the design of unusual near-field antennas for use in Magnetic Resonance Imaging systems. The method is successfully applied to the design of an asymmetric coil structure for use at 190MHz and demonstrates excellent radiofrequency field homogeneity.
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Background and aims: Hip fracture is a devastating event in terms of outcome in the elderly, and the best predictor of hip fracture risk is hip bone density, usually measured by dual X-ray absorptiometry (DXA). However, bone density can also be ascertained from computerized tomography (CT) scans, and mid-thigh scans are frequently employed to assess the muscle and fat composition of the lower limb. Therefore, we examined if it was possible to predict hip bone density using mid-femoral bone density. Methods: Subjects were 803 ambulatory white and black women and men, aged 70-79 years, participating in the Health, Aging and Body Composition (Health ABC) Study. Bone mineral content (BMC, g) and volumetric bone mineral density (vBMD, mg/cm(3)) of the mid-femur were obtained by CT, whereas BMC and areal bone mineral density (aBMD, g/cm(2)) of the hip (femoral neck and trochanter) were derived from DXA. Results: In regression analyses stratified by race and sex, the coefficient of determination was low with mid-femoral BMC, explaining 6-27% of the variance in hip BMC, with a standard error of estimate (SEE) ranging from 16 to 22% of the mean. For mid-femur vBMD, the variance explained in hip aBMD was 2-17% with a SEE ranging from 15 to 18%. Adjusting aBMD to approximate volumetric density did not improve the relationships. In addition, the utility of fracture prediction was examined. Forty-eight subjects had one or more fractures (various sites) during a mean follow-up of 4.07 years. In logistic regression analysis, there was no association between mid-femoral vBMD and fracture (all fractures), whereas a 1 SD increase in hip BMD was associated with reduced odds for fracture of similar to60%. Conclusions: These results do not support the use of CT-derived mid-femoral vBMD or BMC to predict DXA-measured hip bone mineral status, irrespective of race or sex in older adults. Further, in contrast to femoral neck and trochanter BMD, mid-femur vBMD was not able to predict fracture (all fractures). (C) 2003, Editrice Kurtis.
Resumo:
O cultivo do café é uma das atividades do agronegócio de maior importância socioeconômica dentre as diferentes atividades ligadas ao comércio agrícola mundial. Uma das maiores contribuições da genética quantitativa para o melhoramento genético é a possibilidade de prever ganhos genéticos. Quando diferentes critérios de seleção são considerados, a predição de ganhos referentes a cada critério tem grande importância, pois indica os melhoristas sobre como utilizar o material genético disponível, visando obter o máximo de ganhos possível para as características de interesse. O presente trabalho foi instalado em julho de 2004, na Fazenda Experimental de Bananal do Norte, conduzida pelo Incaper, no distrito de Pacotuba, município de Cachoeiro de Itapemirim, região Sul do Estado, com o objetivo de selecionar as melhores plantas entre e dentro de progênies de meios- irmãos de Coffea canephora, por meio de diferentes critérios de seleção. Foram realizadas análises de variância individuais e conjuntas para 26 progênies de meios- irmãos Coffea canephora. O delineamento experimental utilizado foi em blocos ao acaso com quatro testemunhas adicionais com quatro repetições e parcela composta por cinco plantas, com o espaçamento de 3,0 m x 1,2 m. Neste trabalho, considerou-se os dados das últimas cinco colheitas. As características mensuradas foram: florescimento, maturação, tamanho do grão, peso, porte, vigor, ferrugem, mancha cercóspora, seca de ponteiros, escala geral, porcentagem de frutos boia e bicho mineiro. Todas as análises estatísticas foram realizadas com o aplicativo computacional em genética e estatística (GENES). Foram estimados os ganhos de seleção em função da porcentagem de seleção de 20% entre e dentro, sendo as mesmas mantidas para todas as características. Todas as características foram submetidas a seleção no sentido positivo, exceto para florescimento, porte, ferrugem, mancha cercóspora, seca de ponteiros, porcentagem de frutos boia e bicho mineiro, para obter decréscimo em suas médias originais. Os critérios de seleção estudados foram: seleção convencional entre e dentro das famílias, índice de seleção combinada, seleção massal e seleção massal estratificada. Esta dissertação é composta por dois capítulos, em que foram realizadas análises biométricas, como a obtenção de estimativas de parâmetros genéticos. Na maioria das características estudadas, verificaram-se diferenças significativas (P<0,05) para genótipos que, associados aos coeficientes de variação genotípicos e também ao coeficiente de determinação genotípico e à relação CVg/CVe, indicam a existência de variabilidade genética nos materiais genéticos para a maioria das características e condições favoráveis para obtenção de ganhos genéticos pela seleção. Essas características também foram correlacionadas. Os dados foram submetidos às análises de variância e multivariada, aplicando-se a técnica de agrupamento e UPGMA, teste de médias e estudo de correlações. Na técnica de agrupamento, foi utilizada a distância generalizada de Mahalanobis como medida de dissimilaridade, e na delimitação dos grupos, o método de Tocher. Foi encontrada diversidade genética para as características associadas à qualidade fisiológica, mobilização de reserva das sementes, dimensões e biomassa das plântulas. Quatro grupos de genótipos puderam ser formados. Peso de massa seca de sementes, redução de reserva de sementes e peso de massa seca de plântulas estão positivamente correlacionados entre si, enquanto a redução de reserva das sementes e a eficiência na conversão dessas reservas em plântulas estão negativamente correlacionadas. De acordo com os resultados obtidos, verificou-se que todas as características apresentaram níveis diferenciados de variabilidade genética e os critérios de seleção utilizados mostraram-se eficientes para o melhoramento, no qual o índice de seleção combinada é o critério de seleção que apresentou os melhores resultados em termos de ganhos, sendo indicado como critério mais apropriado para o melhoramento genético da população estudada. Nos estudos de correlações, em 70% dos casos, a correlação fenotípica foi superior à genotípica, mostrando maior influência dos fatores ambientais em relação aos genotípicos e condições propícias ao melhoramento dos diferentes caracteres. No estudo de divergência genética, observou-se que pelo agrupamento de genótipos, pela técnica de Tocher, indicou que os genótipos foram distribuídos em três grupos.
Os fundos de investimento imobiliário listados em bolsa e as variáveis que influenciam seus retornos
Resumo:
Os fundos de investimento imobiliário combinam características tanto do mercado imobiliário, fonte de seus rendimentos, quanto do mercado de capitais, ambiente em que são negociados. O impacto de cada um desses mercados subjacentes no comportamento, desempenho e risco dessa classe de ativos não é, no entanto, ainda claramente definida, sendo um dos grandes temas em análise, tanto na literatura acadêmica, quanto na indústria de fundos internacionais. Em face da significativa expansão dessa alternativa de investimento no mercado brasileiro, no presente estudo foram analisadas as variáveis que influenciam os retornos dos fundos imobiliários brasileiros para uma amostra de fundos listados em Bolsa de Valores de São Paulo, período de 2008-2013. Seguindo a metodologia de Clayton e Mackinnon (2003), os fatores explicativos dos retornos foram decompostos em quatro componentes principais, sendo três fatores de retorno de mercado (mercado de ações, mercado de renda fixa e mercado imobiliário) e risco idiossincrático. De acordo com a estatística descritiva, os fundos imobiliários da amostra apresentaram maior retorno em relação aos demais mercados, exceto em comparação com o mercado imobiliário, porém com menor risco. As análises de correlação, regressão e decomposição da variância indicam que o mercado de ações e o mercado imobiliário direto são, em geral, significativos no modelo, porém explicam apenas cerca de 15% da volatilidade dos retornos dos fundos da amostra. À luz da Moderna Teoria do Portfólio, esses resultados indicam que a inclusão de fundos imobiliários pode ter potencial diversificador numa carteira multi-ativo, seja aumentando o retorno total de uma carteira formada de ações e títulos de renda fixa, sem acréscimo em risco; ou mantendo o retorno dessa carteira, com diminuição da volatilidade, ampliando assim a fronteira eficiente da carteira. Esse efeito questiona o tradicional equilibrium fund de carteiras de investimentos formadas apenas de ações e renda fixa e aponta os fundos imobiliários como uma alternativa de investimento diversificadora, enquanto classe de ativo única. A análise de subamostras por tipologia indica, porém, que o papel diversificador dos fundos imobiliários está atrelado ao tipo de empreendimento que lastreia esse fundo, uma vez que os fatores explicativos e seus impactos nos retornos diferem de uma tipologia para outra. Esse resultado tem importantes implicações no critério de seleção a ser adotado tanto por investidores para seleção de ativos para uma carteira otimizada, como para gestores de fundos imobiliários na formatação e gestão desses produtos. Conclui-se também que os retornos dos fundos, de certo modo, refletem seu caráter híbrido, mas o modelo decomposto em 4 componentes não é suficiente para explicar os retornos dos fundos imobiliários, uma vez que o modelo estendido, demonstrou que outras variáveis, inclusive parâmetros desses próprios mercados, além de variáveis macroeconômicas e as características de cada fundo (eg. market-to-book, tamanho), podem ser responsáveis por explicar considerável parte da variância dos retornos dos FIIs.