854 resultados para mean-variance frontiers


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Selective papers of the workshop on "Development of models and forest soil surveys for monitoring of soil carbon", Koli, Finland, April 5-9 2006.

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The objective of this work is to demonstrate the efficient utilization of the Principal Components Analysis (PCA) as a method to pre-process the original multivariate data, that is rewrite in a new matrix with principal components sorted by it's accumulated variance. The Artificial Neural Network (ANN) with backpropagation algorithm is trained, using this pre-processed data set derived from the PCA method, representing 90.02% of accumulated variance of the original data, as input. The training goal is modeling Dissolved Oxygen using information of other physical and chemical parameters. The water samples used in the experiments are gathered from the Paraíba do Sul River in São Paulo State, Brazil. The smallest Mean Square Errors (MSE) is used to compare the results of the different architectures and choose the best. The utilization of this method allowed the reduction of more than 20% of the input data, which contributed directly for the shorting time and computational effort in the ANN training.

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The aim of this work is to compare two families of mathematical models for their respective capability to capture the statistical properties of real electricity spot market time series. The first model family is ARMA-GARCH models and the second model family is mean-reverting Ornstein-Uhlenbeck models. These two models have been applied to two price series of Nordic Nord Pool spot market for electricity namely to the System prices and to the DenmarkW prices. The parameters of both models were calibrated from the real time series. After carrying out simulation with optimal models from both families we conclude that neither ARMA-GARCH models, nor conventional mean-reverting Ornstein-Uhlenbeck models, even when calibrated optimally with real electricity spot market price or return series, capture the statistical characteristics of the real series. But in the case of less spiky behavior (System prices), the mean-reverting Ornstein-Uhlenbeck model could be seen to partially succeeded in this task.

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Based on a polygenic system of a diploid species, without epistasis, and a population in Hardy-Weinberg equilibrium, without inbreeding and under linkage equilibrium, it can be shown that: (1) the narrow sense heritability at half-sib family level is equal to the square of the correlation coefficient between family mean and the additive genetic value of its common parent; (2) the narrow sense heritability at full-sib family level is equal to the square of the correlation coefficient between family mean and the mean of the additive genetic values of its parents; (3) the narrow sense heritability at Sn family level is exactly equal to the square of the correlation coefficient between family mean and the additive genetic value of its parent only in absence of dominance or when allele frequencies are equal; and (4) the broad sense heritability at full-sib or Sn family level can be used to analyze selection efficiency, since the progeny genotypic mean is, in general, a good indicator of parents, or Sn-1 plant superiority with respect to the frequency of favorable genes.

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Since its introduction, fuzzy set theory has become a useful tool in the mathematical modelling of problems in Operations Research and many other fields. The number of applications is growing continuously. In this thesis we investigate a special type of fuzzy set, namely fuzzy numbers. Fuzzy numbers (which will be considered in the thesis as possibility distributions) have been widely used in quantitative analysis in recent decades. In this work two measures of interactivity are defined for fuzzy numbers, the possibilistic correlation and correlation ratio. We focus on both the theoretical and practical applications of these new indices. The approach is based on the level-sets of the fuzzy numbers and on the concept of the joint distribution of marginal possibility distributions. The measures possess similar properties to the corresponding probabilistic correlation and correlation ratio. The connections to real life decision making problems are emphasized focusing on the financial applications. We extend the definitions of possibilistic mean value, variance, covariance and correlation to quasi fuzzy numbers and prove necessary and sufficient conditions for the finiteness of possibilistic mean value and variance. The connection between the concepts of probabilistic and possibilistic correlation is investigated using an exponential distribution. The use of fuzzy numbers in practical applications is demonstrated by the Fuzzy Pay-Off method. This model for real option valuation is based on findings from earlier real option valuation models. We illustrate the use of number of different types of fuzzy numbers and mean value concepts with the method and provide a real life application.

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The high seedlings quality is essential for deployment of homogeneous orchards. This study evaluated the baruzeiro (Dipteryx alata Vog) seedlings formation on different substrates within protected environments. It was used substrates with100% of cattle manure; 100% of cassava stems; 100% of vermiculite; 50% of cattle manure + 50% of cassava stems; 50% of cattle manure + 50% of vermiculite; 50% of cassava stems + 50% of vermiculite; and + ⅓ of cattle manure + ⅓ of cassava stems + ⅓ of vermiculite. These substrates were tested in protected areas: greenhouse; black shade net of 50% shading; and aluminized thermo-reflective screen of 50% shading. A completely randomized experimental design with five replicates of four plants was adopted. Initially, data were submitted to analysis of individual variance of the substrates, in each environment of cultivation, then performing the evaluation of the residual mean square and the analysis of these environments together for comparison. The best substrate for baruzeiro seedlings was pure vermiculite. The substrates with 100% of manure and the substrate with 33.33% of the mixed studied materials can be used for seedlings formation. The environment with screen can be indicated for the production of baruzeiro seedlings, since it gave vigor to the seedlings.

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The objective of this study was to test container of polyethylene bags and protected environments on the papaya seedlings production, from May to August of 2008, in Aquidauana state of Mato Grosso do Sul (MS), Brazil. Five bags of polyethylene were used: 7.5 cm x 11.5 cm, 205.9 cm³; 8.4 cm x 10.6 cm, 238.1cm³; 10.0 cm x 16.5 cm, 525.2 cm³; 12.0 cm x 12.0 cm, 550.0 cm³ and 15.0 cm x 21.5 cm, 1539.8 cm³. These containers were placed in three protected environments: greenhouse; screened nursery with Sombrite® and screened nursery with Aluminet®. Because there is no replication of growing environment, each one was considered an experiment. For each cultivation environment, it was adopted a completely randomized design with eight replications of two plants each. Initially, data were submitted to analysis of individual variance of the container (for each cultivation environment), then performing the evaluation of the residual mean squares and the combined analysis of these environments for comparison of protected environments. The greenhouse and nursery with thermal reflector screen produced the best seedlings. The bags of 15.0 x 21.5 cm produced the best papaya seedlings. The Dickson Quality Index pointed the nursery with screen of thermal reflector as the environment that produced the most vigorous seedlings, when using the best container.

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The seedling production stage is the key to achieve uniformity in tree breeding stage. This study evaluated "bocaiúva" (Acrocomia aculeata) seedling formation, with pre-germinated seeds in different substrates and protected environments, in the University of Mato Grosso do Sul State, Aquidauana, MS. As substrates, we used 100% cattle manure (M), 100% cassava branches (CB), 100% vermiculite (V), 50% cattle manure + 50% cassava branches, 50 % cattle manure + 50% vermiculite, 50% cassava branches + 50% vermiculite and ⅓ cattle manure + ⅓ cassava branches + ⅓ vermiculite. These substrates were tested in a greenhouse covered with 150 µm low density polyethylene (LDPE) film under thermo-reflective screen with 50% shading under film; black screen with 50% shading on the sides; black monofilament screen with 50% shading set on roof and sides; and aluminized thermo- reflective screen with 50% shading set on roof and sides. The completely randomized experimental design with 5 replications of 5 plants each was adopted. Initially, data were submitted to analysis of substrate individual variance in each growing environment, then performing the waste mean square evaluation and their environment joint analysis for comparison. The best growing environment is the thermo-reflective screen compared to LDPE greenhouse and black screen set. All substrates containing manure are recommended for bocaiúva seedlings formation. The pure cassava branch is not indicated for seedling, even using chemical fertilizer.

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ABSTRACTThe objective of this study was to determine the energy balance of the poultry-shed system and its effect on broiler performance during the production cycle. The experimental design was completely random with sub-divided blocks. The blocks were composed of five different types of sheds and the sub-blocks of the evaluation times (00:00 h to 23:00 h), allowing an analysis of variance and a comparison between means with the Tukey test. There were no significant differences between the mean values of the exchanges of sensible, latent and total heat between the poultry sheds but the differences for the evaluation times were significant (P<0.05). There was no significant difference between sheds 1 and 4 for broiler productive performance regarding weight gain, feed consumption and feed conversion. Bird performance was significant (P<0.05) for the remaining poultry sheds. The productive indexes remained below the ranges considered ideal for broilers and values in the final weeks were characterized by the poor installation efficiency in controlling temperature variations and, consequently, the energy balance in the system, which adversely affected bird productive performance.

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ABSTRACTChanges in the frequency of occurrence of extreme weather events have been pointed out as a likely impact of global warming. In this context, this study aimed to detect climate change in series of extreme minimum and maximum air temperature of Pelotas, State of Rio Grande do Sul, (1896 - 2011) and its influence on the probability of occurrence of these variables. We used the general extreme value distribution (GEV) in its stationary and non-stationary forms. In the latter case, GEV parameters are variable over time. On the basis of goodness-of-fit tests and of the maximum likelihood method, the GEV model in which the location parameter increases over time presents the best fit of the daily minimum air temperature series. Such result describes a significant increase in the mean values of this variable, which indicates a potential reduction in the frequency of frosts. The daily maximum air temperature series is also described by a non-stationary model, whose location parameter decreases over time, and the scale parameter related to sample variance rises between the beginning and end of the series. This result indicates a drop in the mean of daily maximum air temperature values and increased dispersion of the sample data.

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PURPOSE: To assess quality of life and climacteric symptoms in women with and without liver transplants. METHODS: This was a cross-sectional study of 52 women undergoing follow-up at a university hospital in southeastern Brazil from February 4th, 2009 to January 5th, 2011. Twenty-four of these women were 35 years old or older and had undergone liver transplantation at least one year before study entry. The remaining 28 women had no liver disease and were matched by age and menstrual patterns to the patients with transplants. The abbreviated version of the World Health Organization (WHOQOL-BREF) questionnaire was used to assess quality of life. Menopausal symptoms were assessed using the Menopause Rating Scale (MRS). Statistical analysis was carried out by Student's t-test, Mann-Whitney test and analysis of variance. Correlations between MRS and the WHOQOL-BREF were established by correlation coefficients. RESULTS: The mean age of the women included in the study was 52.2 (±10.4) years and the mean time since transplantation was 6.1 (±3.3) years. Women with liver transplants had better quality of life scores in the environment domain (p=0.01). No difference was noted between the two groups in any domain of the MRS. For women in the comparison group, there was a strongly negative correlation between somatic symptoms in the MRS and the physical domain of the WHOQOL-BREF (p<0.01; r=-0.8). In contrast, there was only a moderate association for women with liver transplants (p<0.01; r=-0.5). CONCLUSIONS: Women with liver transplants had better quality of life scores in the domain related to environment and did not exhibit more intense climacteric symptoms than did those with no liver disease. Climacteric symptoms negatively influenced quality of life in liver transplant recipients, although less intensely than in women without a history of liver disease.

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PURPOSE: To investigate the prevalence of chromosomal abnormalities in couples with two or more recurrent first trimester miscarriages of unknown cause. METHODS: The study was conducted on 151 women and 94 partners who had an obstetrical history of two or more consecutive first trimester abortions (1-12 weeks of gestation). The controls were 100 healthy women without a history of pregnancy loss. Chromosomal analysis was performed on peripheral blood lymphocytes cultured for 72 hours, using Trypsin-Giemsa (GTG) banding. In all cases, at least 30 metaphases were analyzed and 2 karyotypes were prepared, using light microscopy. The statistical analysis was performed using the Student t-test for normally distributed data and the Mann-Whitney test for non-parametric data. The Kruskal-Wallis test or Analysis of Variance was used to compare the mean values between three or more groups. The software used was Statistical Package for the Social Sciences (SPSS), version 17.0. RESULTS: The frequency of chromosomal abnormalities in women with recurrent miscarriages was 7.3%, including 4.7% with X-chromosome mosaicism, 2% with reciprocal translocations and 0.6% with Robertsonian translocations. A total of 2.1% of the partners of women with recurrent miscarriages had chromosomal abnormalities, including 1% with X-chromosome mosaicism and 1% with inversions. Among the controls, 1% had mosaicism. CONCLUSION: An association between chromosomal abnormalities and recurrent miscarriage in the first trimester of pregnancy (OR=7.7; 95%CI 1.2--170.5) was observed in the present study. Etiologic identification of genetic factors represents important clinical information for genetic counseling and orientation of the couple about the risk for future pregnancies and decreases the number of investigations needed to elucidate the possible causes of miscarriages.

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PURPOSE: To assess the effects of a soy dietary supplement on the main biomarkers of cardiovascular health in postmenopausal women compared with the effects of low-dose hormone therapy (HT) and placebo.METHODS: Double-blind, randomized and controlled intention-to-treat trial. Sixty healthy postmenopausal women, aged 40-60 years, 4.1 years mean time since menopause were recruited and randomly assigned to 3 groups: a soy dietary supplement group (isoflavone 90mg), a low-dose HT group (estradiol 1 mg plus noretisterone 0.5 mg) and a placebo group. Lipid profile, glucose level, body mass index, blood pressure and abdominal/hip ratio were evaluated in all the participants at baseline and after 16 weeks. Statistical analyses were performed using the χ2 test, Fisher's exact test, Kruskal-Wallis non-parametric test, analysis of variance (ANOVA), paired Student's t-test and Wilcoxon test.RESULTS: After a 16-week intervention period, total cholesterol decreased 11.3% and LDL-cholesterol decreased 18.6% in the HT group, but both did not change in the soy dietary supplement and placebo groups. Values for triglycerides, HDL-cholesterol, glucose level, body mass index, blood pressure and abdominal/hip ratio did not change over time in any of the three groups.CONCLUSION: The use of dietary soy supplement did not show any significant favorable effect on cardiovascular health biomarkers compared with HT. Clinical Trial Registry: The trial is registered at the Brazilian Clinical Trials Registry (Registro Brasileiro de Ensaios Clínicos - ReBEC), number RBR-76mm75.

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Laparoscopy is not widely used as a tool to perform assisted reproduction techniques in South American cervids; thus, scarce information in literature is available regarding its effects and appropriate anesthetic protocols to perform it. This study evaluated the effect of laparoscopy on heart rate (HR), respiration rate (RR), saturation of oxyhemoglobin (SpO2) and rectal temperature (RT) of six female brown brocket deer (Mazama gouazoubira) anesthetized with ketamine (5mg/kg), xylazine (0.3mg/kg), midazolam (0.5mg/kg) combination i.v. and isoflurane. Twelve laparoscopies were performed and each animal was used twice with a 40-day interval. After anesthetized, the animals were placed in dorsal recumbency to perform laparoscopy procedure using abdominal CO2 insufflations (14.2 ± 2.39mmHg; M ± SE). The main events of the laparoscopy procedure were divided into three periods: animal without (P1) and with abdominal insufflation (P2) and abdominal insufflation with the hips raised at 45º (P3). As a control, the animals were anesthetized again 40 days after the last laparoscopy, and were maintained in a dorsal recumbency for the same average duration of the previous anesthesia and no laparoscopy procedure was conducted. The period of anesthesia for the controls was also divided into P1, P2, and P3 considering the average duration of these periods in previous laparoscopies performed. Data were analyzed through the (ANOVA) variance analysis followed by Tukey test and values at P<0.05 were considered significant. No significant differences were observed in the parameters evaluated at P1, P2 and P3 between the animals submitted to laparoscopy and control. However, the RR mean between P1 (38.8 ± 4.42) and P3 (32.7 ± 4.81); and the RT mean between the P1 (38.2ºC ± 0.17), P2 (37.6ºC ± 0.19) and P3 (37.0ºC ± 0.21) varied significantly, independent of the laparoscopy. These data indicated that laparoscopy didn't cause any significant alterations in the cardiorespiratory parameters evaluated, even though the anesthetic protocol used can cause a reduction in the RT contributing to development of hypothermia during anesthesia.

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A trade-off between return and risk plays a central role in financial economics. The intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a neoclassical theory for expected returns on risky assets. The model assumes that risk-averse investors (seeking to maximize their expected utility of lifetime consumption) demand compensation for bearing systematic market risk and the risk of unfavorable shifts in the investment opportunity set. Although the ICAPM postulates a positive relation between the conditional expected market return and its conditional variance, the empirical evidence on the sign of the risk-return trade-off is conflicting. In contrast, autocorrelation in stock returns is one of the most consistent and robust findings in empirical finance. While autocorrelation is often interpreted as a violation of market efficiency, it can also reflect factors such as market microstructure or time-varying risk premia. This doctoral thesis investigates a relation between the mixed risk-return trade-off results and autocorrelation in stock returns. The results suggest that, in the case of the US stock market, the relative contribution of the risk-return trade-off and autocorrelation in explaining the aggregate return fluctuates with volatility. This effect is then shown to be even more pronounced in the case of emerging stock markets. During high-volatility periods, expected returns can be described using rational (intertemporal) investors acting to maximize their expected utility. During lowvolatility periods, market-wide persistence in returns increases, leading to a failure of traditional equilibrium-model descriptions for expected returns. Consistent with this finding, traditional models yield conflicting evidence concerning the sign of the risk-return trade-off. The changing relevance of the risk-return trade-off and autocorrelation can be explained by heterogeneous agents or, more generally, by the inadequacy of the neoclassical view on asset pricing with unboundedly rational investors and perfect market efficiency. In the latter case, the empirical results imply that the neoclassical view is valid only under certain market conditions. This offers an economic explanation as to why it has been so difficult to detect a positive tradeoff between the conditional mean and variance of the aggregate stock return. The results highlight the importance, especially in the case of emerging stock markets, of noting both the risk-return trade-off and autocorrelation in applications that require estimates for expected returns.