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.

Teste da rede de interconexões de field programmable analog arrays

Os dispositivos analógicos programáveis (FPAAs, do inglês, Field Programmable Analog Arrays), apesar de ainda não terem a mesma popularidade de seus pares digitais (FPGAs, do inglês, Field Programmable Gate Arrays), possuem uma gama de aplicações bastante ampla, que vai desde o condicionamento de sinais em sistemas de instrumentação, até o processamento de sinais de radiofreqüência (RF) em telecomunicações. Porém, ao mesmo tempo em que os FPAAs trouxeram um impressionante ganho na agilidade de concepção de circuitos analógicos, também trouxeram um conjunto de novos problemas relativos ao teste deste tipo de dispositivo. Os FPAAs podem ser divididos em duas partes fundamentais: seus blocos programáveis básicos (CABs, do inglês, Configurable Analog Blocks) e sua rede de interconexões. A rede de interconexões, por sua vez, pode ser dividida em duas partes: interconexões internas (locais e globais entre CABs) e interconexões externas (envolvendo células de I/O). Todas estas partes apresentam características estruturais e funcionais distintas, de forma que devem ser testadas separadamente, pois necessitam que se considerem modelos de falhas, configurações e estímulos de teste específicos para assegurar uma boa taxa de detecção de defeitos. Como trabalhos anteriores já estudaram o teste dos CABs, o foco desta dissertação está direcionado ao desenvolvimento de metodologias que se propõem a testar a rede de interconexões de FPAAs. Apesar das várias diferenças entre as redes de interconexões de FPGAs e FPAAs, muitas também são as semelhanças entre elas, sendo, portanto, indiscutível que o ponto de partida deste trabalho tenha que ser o estudo das muitas técnicas propostas para o teste de interconexões em FPGAs, para posterior adaptação ao caso dos FPAAs. Além disto, embora o seu foco não recaia sobre o teste de CABs, pretende-se utilizá-los como recursos internos do dispositivo passíveis de gerar sinais e analisar respostas de teste, propondo uma abordagem de auto-teste integrado de interconexões que reduza o custo relativo ao equipamento externo de teste. Eventualmente, estes mesmos recursos poderão também ser utilizados para diagnóstico das partes defeituosas. Neste trabalho, utiliza-se como veículo de experimentação um dispositivo específico (Anadigm AN10E40), mas pretende-se que as metodologias de teste propostas sejam abrangentes e possam ser facilmente adaptadas a outros FPAAs comerciais que apresentem redes de interconexão semelhantes.

Optimal growth in a two-sector model without discounting: a geometric investigation

We characterize optimal policy in a two-sector growth model with xed coeÆcients and with no discounting. The model is a specialization to a single type of machine of a general vintage capital model originally formulated by Robinson, Solow and Srinivasan, and its simplicity is not mirrored in its rich dynamics, and which seem to have been missed in earlier work. Our results are obtained by viewing the model as a specific instance of the general theory of resource allocation as initiated originally by Ramsey and von Neumann and brought to completion by McKenzie. In addition to the more recent literature on chaotic dynamics, we relate our results to the older literature on optimal growth with one state variable: speci cally, to the one-sector setting of Ramsey, Cass and Koopmans, as well as to the two-sector setting of Srinivasan and Uzawa. The analysis is purely geometric, and from a methodological point of view, our work can be seen as an argument, at least in part, for the rehabilitation of geometric methods as an engine of analysis.

Fractais e percolação na recuperação de Petróleo

The complex behavior of a wide variety of phenomena that are of interest to physicists, chemists, and engineers has been quantitatively characterized by using the ideas of fractal and multifractal distributions, which correspond in a unique way to the geometrical shape and dynamical properties of the systems under study. In this thesis we present the Space of Fractals and the methods of Hausdorff-Besicovitch, box-counting and Scaling to calculate the fractal dimension of a set. In this Thesis we investigate also percolation phenomena in multifractal objects that are built in a simple way. The central object of our analysis is a multifractal object that we call Qmf . In these objects the multifractality comes directly from the geometric tiling. We identify some differences between percolation in the proposed multifractals and in a regular lattice. There are basically two sources of these differences. The first is related to the coordination number, c, which changes along the multifractal. The second comes from the way the weight of each cell in the multifractal affects the percolation cluster. We use many samples of finite size lattices and draw the histogram of percolating lattices against site occupation probability p. Depending on a parameter, ρ, characterizing the multifractal and the lattice size, L, the histogram can have two peaks. We observe that the probability of occupation at the percolation threshold, pc, for the multifractal is lower than that for the square lattice. We compute the fractal dimension of the percolating cluster and the critical exponent β. Despite the topological differences, we find that the percolation in a multifractal support is in the same universality class as standard percolation. The area and the number of neighbors of the blocks of Qmf show a non-trivial behavior. A general view of the object Qmf shows an anisotropy. The value of pc is a function of ρ which is related to its anisotropy. We investigate the relation between pc and the average number of neighbors of the blocks as well as the anisotropy of Qmf. In this Thesis we study likewise the distribution of shortest paths in percolation systems at the percolation threshold in two dimensions (2D). We study paths from one given point to multiple other points. In oil recovery terminology, the given single point can be mapped to an injection well (injector) and the multiple other points to production wells (producers). In the previously standard case of one injection well and one production well separated by Euclidean distance r, the distribution of shortest paths l, P(l|r), shows a power-law behavior with exponent gl = 2.14 in 2D. Here we analyze the situation of one injector and an array A of producers. Symmetric arrays of producers lead to one peak in the distribution P(l|A), the probability that the shortest path between the injector and any of the producers is l, while the asymmetric configurations lead to several peaks in the distribution. We analyze configurations in which the injector is outside and inside the set of producers. The peak in P(l|A) for the symmetric arrays decays faster than for the standard case. For very long paths all the studied arrays exhibit a power-law behavior with exponent g ∼= gl.

Generic Bifurcations of Planar Filippov Systems via Geometric Singular Perturbations

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

Digital radiography using digital detector arrays fulfills critical applications for offshore pipelines

Digital radiography in the inspection of welded pipes to be installed under deep water offshore gas and oil pipelines, like a presalt in Brazil, in the paper has been investigated. The aim is to use digital radiography for nondestructive testing of welds as it is already in use in the medical, aerospace, security, automotive, and petrochemical sectors. Among the current options, the DDA (Digital Detector Array) is considered as one of the best solutions to replace industrial films, as well as to increase the sensitivity to reduce the inspection cycle time. This paper shows the results of this new technique, comparing it to radiography with industrial films systems. In this paper, 20 test specimens of longitudinal welded pipe joints, specially prepared with artificial defects like cracks, lack of fusion, lack of penetration, and porosities and slag inclusions with varying dimensions and in 06 different base metal wall thicknesses, were tested and a comparison of the techniques was made. These experiments verified the purposed rules for parameter definitions and selections to control the required digital radiographic image quality as described in the draft international standard ISO/DIS 10893-7. This draft is first standard establishing the parameters for digital radiography on weld seam of welded steel pipes for pressure purposes to be used on gas and oil pipelines.

A geometric interpretation for transmission real losses minimization through the optimal power flow and its influence on voltage collapse

This work presents an approach for geometric solution of an optimal power flow (OPF) problem for a two bus system (a slack and a PV busses). Additionally, the geometric relationship between the losses minimization and the increase of the reactive margin and, therefore, the maximum loading point, is shown. The algebraic equations for the calculation of the Lagrange multipliers and for the minimum losses value are obtained. These equations are used to validate the results obtained using an OPF program. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Improved geometric parameterisation techniques for continuation power flow

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Identification of continuous interaction sites in PLA(2)-based protein complexes by peptide arrays

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Two 5S rDNA arrays in Neotropical fish species: is it a general rule for fishes ?

In this paper we describe Southern blot hybridization results probed with 5S rRNA genes for several Neotropical fish species representing different taxonomic groups. All the studied species showed a general trend with the 5S rDNA tandem repeats organized in two distinct size-classes. At the same time, data on 5S rDNA organization in fish genome were summarized. Previous information on the organization and evolution of 5S rRNA gene arrays in the genome of this vertebrate group are in agreement with the Southern results here presented. Sequences obtained for several fish species have revealed the occurrence of two distinct 5S rDNA classes characterized by distinct non-transcribed spacer sequences, which are clustered in different chromosomes in some species. Moreover, the 5S rDNA loci are generally distributed in an interstitial position in the chromosomes and they are usually not syntenic to the 45S rDNA. The presence of two classes of 5S rDNA in several non-related fish species suggests that this could be a common condition for the 5S rRNA gene organization in the fish genome.

Highly Sensitive Neurotransmitters Analysis at Platinum-Ultramicroelectrodes Arrays

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

Geographic variation in cranial shape in the Pumpkin Toadlet (Brachycephalus ephippium): A geometric analysis

The description of patterns of variation in any character system within well-defined species is fundamental for understanding lineage diversification and the identification of geographic units that represent opportunities for sustained evolutionary divergence. In this paper, we analyze intraspecific variation in cranial shape in the Pumpkin Toadlet, Brachycephalus ephippium-a miniaturized species composed of isolated populations on the slopes of the mountain ranges of southeastern Brazil. Shape variables were derived using geometric-statistical methods that describe shape change as localized deformations in a spatial framework defined by anatomical landmarks in the cranium of B. ephippium. By statistically weighting differences between landmarks that are not close together (changes at larger geometric scale), cranial variation among geographic samples of B. ephippium appears continuous with no obvious gaps. This pattern of variation is caused by a confounding effect between within-sample allometry and among-sample shape differences. In contrast, by statistically weighting differences between landmarks that are at close spacing (changes at smaller geometric scale), differences in shape within- and among-sample variation are not confounded, and a marked geographic differentiation among population samples of B. ephippium emerges. The observed pattern of geographic differentiation in cranial shape apparently cannot be explained as isolation-by-distance. This study provides the first evidence that the detection of morphological variation or lack thereof, that is, morphological conservatism, may be conditional on the scale of measurement of variation in shape within the methodological formalism of geometric morphometrics.