On certain geometric aspects of portfolio optimisation with higher moments

We discuss geometric properties related to the minimisation of a portfolio kurtosis given its first two odd moments, considering a risk-less asset and allowing for short sales. The findings are generalised for the minimisation of any given even portfolio moment with fixed excess return and skewness, and then for the case in which only excess return is constrained. An example with two risky assets provides a better insight on the problems related to the solutions. The importance of the geometric properties and their use in the higher moments portfolio choice context is highlighted.

Optimisation of stir bar sorptive extraction and liquid desorption combined with large volume injection-gas chromatography–quadrupole mass spectrometry for the determination of volatile compounds in wines

Stir bar sorptive extraction and liquid desorption followed by large volume injection coupled to gas chromatography–quadrupole mass spectrometry (SBSE–LD/LVI-GC–qMS) had been applied for the determination of volatiles in wines. The methodology was optimised in terms of extraction time and influence of ethanol in the matrix; LD conditions, and instrumental settings. The optimisation was carried out by using 10 standards representative of the main chemical families of wine, i.e. guaiazulene, E,E-farnesol, β-ionone, geranylacetone, ethyl decanoate, β-citronellol, 2-phenylethanol, linalool, hexyl acetate and hexanol. The methodology shows good linearity over the concentration range tested, with correlation coefficients higher than 0.9821, a good reproducibility was attained (8.9–17.8%), and low detection limits were achieved for nine volatile compounds (0.05–9.09 μg L−1), with the exception of 2-phenylethanol due to low recovery by SBSE. The analytical ability of the SBSE–LD/LVI-GC–qMS methodology was tested in real matrices, such as sparkling and table wines using analytical curves prepared by using the 10 standards where each one was applied to quantify the structurally related compounds. This methodology allowed, in a single run, the quantification of 67 wine volatiles at levels lower than their respective olfactory thresholds. The proposed methodology demonstrated to be easy to work-up, reliable, sensitive and with low sample requirement to monitor the volatile fraction of wine.

Optimisation of solid-phase microextraction combined with gas chromatography–mass spectrometry based methodology to establish the global volatile signature in pulp and skin of Vitis vinifera L. grape varieties

The volatiles (VOCs) and semi-volatile organic compounds (SVOCs) responsible for aroma are mainly present in skin of grape varieties. Thus, the present investigation is directed towards the optimisation of a solvent free methodology based on headspace-solid-phase microextraction (HS-SPME) combined with gas chromatography–quadrupole mass spectrometry (GC–qMS) in order to establish the global volatile composition in pulp and skin of Bual and Bastardo Vitis vinifera L. varieties. A deep study on the extraction-influencing parameters was performed, and the best results, expressed as GC peak area, number of identified compounds and reproducibility, were obtained using 4 g of sample homogenised in 5 mL of ultra-pure Milli-Q water in a 20 mL glass vial with addition of 2 g of sodium chloride (NaCl). A divinylbenzene/carboxen/polydimethylsiloxane fibre was selected for extraction at 60 °C for 45 min under continuous stirring at 800 rpm. More than 100 VOCs and SVOCs, including 27 monoterpenoids, 27 sesquiterpenoids, 21 carbonyl compounds, 17 alcohols (from which 2 aromatics), 10 C13 norisoprenoids and 5 acids were identified. The results showed that, for both grape varieties, the levels and number of volatiles in skin were considerably higher than those observed in pulp. According to the data obtained by principal component analysis (PCA), the establishment of the global volatile signature of grape and the relationship between different part of grapes—pulp and skin, may be an useful tool to winemaker decision to define the vinification procedures that improves the organoleptic characteristics of the corresponding wines and consequently contributed to an economic valorization and consumer acceptance.

Framework for analysis and representation of external systems for online reactive-optimisation studies

The paper proposes a framework for the analysis and representation of external systems for online optimisation studies. The basis for this framework is the equivalent OPF (EOPF), an optimisation model obtained by partitioning of the OPF model. The EOPF is mathematically redefined in the paper to accommodate the concept of a buffer zone. The resulting model is more useful for online optimisation, since external information obtained through intercontrol-centre exchange contracts can be used to improve internal control calculation. Numerical results obtained with original studies involving the boundary-matching procedure have provided a conceptual basis for the definition of a buffer zone for optimisation studies with the EOPF. In the proposed framework, the accuracy of the external representation in optimisation studies is evaluated by comparing the controls obtained by an EOPF procedure with those obtained by the reference-optimisation procedure defined in this paper. The framework is then used to evaluate the accuracy of equivalent optimisation studies involving the IEEE 118-bus test system and the Brazilian South Southeast 810-bus system. The results show that the incorporation of a buffer zone improves the external system representation for all optimisation studies performed.

Optimisation of environmental gas cleaning routes for solid wastes cogeneration systems. Part II - Analysis of waste incineration combined gas/steam cycle

In the first paper of this paper (Part I), conditions were presented for the gas cleaning technological route for environomic optimisation of a cogeneration system based in a thermal cycle with municipal solid waste incineration. In this second part, an environomic analysis is presented of a cogeneration system comprising a combined cycle composed of a gas cycle burning natural gas with a heat recovery steam generator with no supplementary burning and a steam cycle burning municipal solid wastes (MSW) to which will be added a pure back pressure steam turbine (another one) of pure condensation. This analysis aims to select, concerning some scenarios, the best atmospheric pollutant emission control routes (rc) according to the investment cost minimisation, operation and social damage criteria. In this study, a comparison is also performed with the results obtained in the Case Study presented in Part I. (c) 2007 Elsevier Ltd. All rights reserved.

Optimisation of environmental gas cleaning routes for solid wastes cogeneration systems - Part I - Analysis of waste incineration steam cycle

Research of advanced technologies for energy generation contemplates a series of alternatives that are introduced both in the investigation of new energy sources and in the improvement and/or development of new components and systems. Even though significant reductions are observed in the amount of emissions, the proposed alternatives require the use of exhaust gases cleaning systems. The results of environmental analyses based on two configurations proposed for urban waste incineration are presented in this paper; the annexation of integer (Boolean) variables to the environomic model makes it possible to define the best gas cleaning routes based on exergetic cost minimisation criteria. In this first part, the results for steam cogeneration system analysis associated with the incineration of municipal solid wastes (MSW) is presented. (c) 2007 Elsevier Ltd. All rights reserved.

Optimisation of a continuous flash fermentation for butanol production using the response surface methodology

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)