Robust statistical modeling of portfolios

Atypical points in the data may result in meaningless e±cient frontiers. This follows since portfolios constructed using classical estimates may re°ect neither the usual nor the unusual days patterns. On the other hand, portfolios constructed using robust approaches are able to capture just the dynamics of the usual days, which constitute the majority of the business days. In this paper we propose an statistical model and a robust estimation procedure to obtain an e±cient frontier which would take into account the behavior of both the usual and most of the atypical days. We show, using real data and simulations, that portfolios constructed in this way require less frequent rebalancing, and may yield higher expected returns for any risk level.

Analysis an development of a prototype based on media wiki and semantic media wiki integrated with a design modeling that allows modeling of organizations based on demo

In a world where organizations are ever more complex the need for the knowledge of the organizational self is a growing necessity. The DEMO methodology sets a goal in achieving the specification of the organizational self capturing the essence of the organization in way independent of its implementation and also coherent, consistent, complete, modular and objective. But having such organization self notion is of little meaning if this notion is not shared by the organization actors. To achieve this goal in a society that has grown attached to technology and where time is of utmost importance, using a tool such as a semantic Wikipedia may be the perfect way of making the information accessible. However, to establish DEMO methodology in such platform there is a need to create bridges between its modeling components and semantic Wikipedia. It’s in that aspect that our thesis focuses, trying to establish and implement, using a study case, the principles of a way of transforming the DEMO methodology diagrams in comprehensive pages on semantic Wikipedia but keeping them as abstract as possible to allow expansibility and generalization to all diagrams without losing any valuable information so that, if that is the wish, those diagrams may be recreated from the semantic pages and make this process a full cycle.

Semiparametric modeling of the spatial distribution of occupational accident risk in the casual labor market, Piracicaba, southeast Brazil

The objective of this study was to estimate the spatial distribution of work accident risk in the informal work market in the urban zone of an industrialized city in southeast Brazil and to examine concomitant effects of age, gender, and type of occupation after controlling for spatial risk variation. The basic methodology adopted was that of a population-based case-control study with particular interest focused on the spatial location of work. Cases were all casual workers in the city suffering work accidents during a one-year period; controls were selected from the source population of casual laborers by systematic random sampling of urban homes. The spatial distribution of work accidents was estimated via a semiparametric generalized additive model with a nonparametric bidimensional spline of the geographical coordinates of cases and controls as the nonlinear spatial component, and including age, gender, and occupation as linear predictive variables in the parametric component. We analyzed 1,918 cases and 2,245 controls between 1/11/2003 and 31/10/2004 in Piracicaba, Brazil. Areas of significantly high and low accident risk were identified in relation to mean risk in the study region (p < 0.01). Work accident risk for informal workers varied significantly in the study area. Significant age, gender, and occupational group effects on accident risk were identified after correcting for this spatial variation. A good understanding of high-risk groups and high-risk regions underpins the formulation of hypotheses concerning accident causality and the development of effective public accident prevention policies.

Purification, characterization, crystallization and theoretical molecular modeling of gyroxin fraction from Crotalus durissus terrificus venom (Laurenti, 1768)

The venom of Crotalus durissus terrificus snakes presents various substances, including a serine protease with thrombin-like activity, called gyroxin, that clots plasmatic fibrinogen and promote the fibrin formation. The aim of this study was to purify and structurally characterize the gyroxin enzyme from Crotalus durissus terrificus venom. For isolation and purification, the following methods were employed: gel filtration on Sephadex G75 column and affinity chromatography on benzamidine Sepharose 6B; 12% SDS-PAGE under reducing conditions; N-terminal sequence analysis; cDNA cloning and expression through RT-PCR and crystallization tests. Theoretical molecular modeling was performed using bioinformatics tools based on comparative analysis of other serine proteases deposited in the NCBI (National Center for Biotechnology Information) database. Protein N-terminal sequencing produced a single chain with a molecular mass of similar to 30 kDa while its full-length cDNA had 714 bp which encoded a mature protein containing 238 amino acids. Crystals were obtained from the solutions 2 and 5 of the Crystal Screen Kit (R), two and one respectively, that reveal the protein constitution of the sample. For multiple sequence alignments of gyroxin-like B2.1 with six other serine proteases obtained from snake venoms (SVSPs), the preservation of cysteine residues and their main structural elements (alpha-helices, beta-barrel and loops) was indicated. The localization of the catalytic triad in His57, Asp102 and Ser198 as well as S1 and S2 specific activity sites in Thr193 and Gli215 amino acids was pointed. The area of recognition and cleavage of fibrinogen in SVSPs for modeling gyroxin B2.1 sequence was located at Arg60, Arg72, Gln75, Arg81, Arg82, Lis85, Glu86 and Lis87 residues. Theoretical modeling of gyroxin fraction generated a classical structure consisting of two alpha-helices, two beta-barrel structures, five disulfide bridges and loops in positions 37, 60, 70, 99, 148, 174 and 218. These results provided information about the functional structure of gyroxin allowing its application in the design of new drugs.

Modeling of weeds interference periods in bean

Objetivou-se com este trabalho determinar o período de convivência anterior à interferência das plantas daninhas (PAI) e o período anterior ao dano no rendimento econômico (PADRE) na cultura do feijão, em diferentes espaçamentos (0,45 e 0,60 m) e densidade de plantas (10 e 15 plantas m-1). Os tratamentos foram constituídos de períodos de convivência entre a cultura e as plantas daninhas (0 a 10, 0 a 20, 0 a 30, 0 a 40, 0 a 50, 0 a 60, 0 a 70 e 0 a 80 dias), mais uma testemunha sem convívio com as plantas daninhas. Adotou-se o delineamento experimental de blocos casualizados, com quatro repetições. Os períodos anteriores à interferência (PAI) da cultura foram de 23, 27, 13 e 19 dias após emergência, e os períodos anteriores ao dano no rendimento econômico (PADRE), de 10, 9, 8 e 8 dias, para os tratamentos com espaçamento de 0,45 m e densidades de semeadura de 10 e 15 plantas m-1 e para aqueles com espaçamento de 0,60 m e densidades de semeadura de 10 e 15 plantas m-1, respectivamente, o que reduziu a produtividade de grãos em 63, 50, 42 e 57%, respectivamente, com a presença das plantas daninhas durante todo o ciclo do feijoeiro.

Modeling of average growth curve in Santa Ines sheep using random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Two-dimensional modeling of material failure in reinforced concrete by means of a continuum strong discontinuity approach

The paper presents a new methodology to model material failure, in two-dimensional reinforced concrete members, using the Continuum Strong Discontinuity Approach (CSDA). The mixture theory is used as the methodological approach to model reinforced concrete as a composite material, constituted by a plain concrete matrix reinforced with two embedded orthogonal long fiber bundles (rebars). Matrix failure is modeled on the basis of a continuum damage model, equipped with strain softening, whereas the rebars effects are modeled by means of phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bondslip and dowel effects. The proposed methodology extends the fundamental ingredients of the standard Strong Discontinuity Approach, and the embedded discontinuity finite element formulations, in homogeneous materials, to matrix/fiber composite materials, as reinforced concrete. The specific aspects of the material failure modeling for those composites are also addressed. A number of available experimental tests are reproduced in order to illustrate the feasibility of the proposed methodology. (c) 2007 Elsevier B.V. All rights reserved.

Modeling of interfaces in two-dimensional problems using solid finite elements with high aspect ratio

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A mixture theory based method for three-dimensional modeling of reinforce concrete members with embedded crack finite elements

The paper presents a methodology to model three-dimensional reinforced concrete members by means of embedded discontinuity elements based on the Continuum Strong Discontinuous Approach (CSDA). Mixture theory concepts are used to model reinforced concrete as a 31) composite material constituted of concrete with long fibers (rebars) bundles oriented in different directions embedded in it. The effects of the rebars are modeled by phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bond-slip and dowel action. The paper presents the constitutive models assumed for the components and the compatibility conditions chosen to constitute the composite. Numerical analyses of existing experimental reinforced concrete members are presented, illustrating the applicability of the proposed methodology.

Modeling of optoelectronic devices through neuro-fuzzy architectures

The advantages offered by the electronic component LED (Light Emitting Diode) have caused a quick and wide application of this device in replacement of incandescent lights. However, in its combined application, the relationship between the design variables and the desired effect or result is very complex and it becomes difficult to model by conventional techniques. This work consists of the development of a technique, through comparative analysis of neuro-fuzzy architectures, to make possible to obtain the luminous intensity values of brake lights using LEDs from design data.

A new chart based on sample variances for monitoring the covariance matrix of multivariate processes

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A new chart for monitoring the covariance matrix of bivariate processes

In this article we consider a control chart based on the sample variances of two quality characteristics. The points plotted on the chart correspond to the maximum value of these two statistics. The main reason to consider the proposed chart instead of the generalized variance |S| chart is its better diagnostic feature, that is, with the new chart it is easier to relate an out-of-control signal to the variables whose parameters have moved away from their in-control values. We study the control chart efficiency considering different shifts in the covariance matrix. In this way, we obtain the average run length (ARL) that measures the effectiveness of a control chart in detecting process shifts. The proposed chart always detects process disturbances faster than the generalized variance |S| chart. The same is observed when the size of the samples is variable, except in a few cases in which the size of the samples switches between small size and very large size.

Control charts for monitoring the mean vector and the covariance matrix of bivariate processes

In this article, we propose new control charts for monitoring the mean vector and the covariance matrix of bivariate processes. The traditional tools used for this purpose are the T (2) and the |S| charts. However, these charts have two drawbacks: (1) the T (2) and the |S| statistics are not easy to compute, and (2) after a signal, they do not distinguish the variable affected by the assignable cause. As an alternative to (1), we propose the MVMAX chart, which only requires the computation of sample means and sample variances. As an alternative to (2), we propose the joint use of two charts based on the non-central chi-square statistic (NCS statistic), named as the NCS charts. Once the NCS charts signal, the user can immediately identify the out-of-control variable. In general, the synthetic MVMAX chart is faster than the NCS charts and the joint T (2) and |S| charts in signaling processes disturbances.

Mathematical modeling of the ester oil-refrigerant R134A mixture two-phase flow with foam formation through a small diameter tube

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

cDNA sequence and molecular modeling of a nerve growth factor from Bothrops jararacussu venomous gland

The complete nucleotide sequence of a nerve growth factor precursor from Bothrops jararacussu snake (Bj-NGF) was determined by DNA sequencing of a clone from cDNA library prepared from the poly(A) + RNA of the venom gland of B.jararacussu. cDNA encoding Bj-NGF precursor contained 723 bp in length, which encoded a prepro-NGF molecule with 241 amino acid residues. The mature Bj-NGF molecule was composed of I 18 amino acid residues with theoretical pI and molecular weight of 8.31 and 13,537, respectively. Its amino acid sequence showed 97%, 96%, 93%, 86%, 78%, 74%, 76%, 76% and 55% sequential similarities with NGFs from Crotalus durissus terrificus, Agkistrodon halys pallas, Daboia (Vipera) russelli russelli, Bungarus multicinctus, Naja sp., mouse, human, bovine and cat, respectively. Phylogenetic analyses based on the amino acid sequences of 15 NGFs separate the Elapidae family (Naja and Bungarus) from those Crotalidae snakes (Bothrops, Crotalus and Agkistrodon). The three-dimensional structure of mature Bj-NGF was modeled based on the crystal structure of the human NGF. The model reveals that the core of NGF, formed by a pair of P-sheets, is highly conserved and the major mutations are both at the three beta-hairpin loops and at the reverse turn. (C) 2002 Societe francaise de biochimie et biologic moleculaire/Editions scientifiques et medicales Elsevier SAS. All rights reserved.