A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Photochemical heat-shock response in common bean leaves as affected by previous water deficit

The heat sensitivity of photochemical processes was evaluated in the common bean (Phaseolus vulgaris) cultivars A222, A320, and Carioca grown under well-watered conditions during the entire plant cycle (control treatment) or subjected to a temporal moderate water deficit at the preflowering stage (PWD). The responses of chlorophyll fluorescence to temperature were evaluated in leaf discs excised from control and PWD plants seven days after the complete recovery of plant shoot hydration. Heat treatment was done in the dark (5 min) at the ambient CO2 concentration. Chlorophyll fluorescence was assessed under both dark and light conditions at 25, 35, and 45 degrees C. In the dark, a decline of the potential quantum efficiency of photosystem II (PSII) and an increase in minimum chlorophyll fluorescence were observed in all genotypes at 45 degrees C, but these responses were affected by PWD. In the light, the apparent electron transport rate and the effective quantum efficiency of PSII were reduced by heat stress (45 degrees C), but no change due to PWD was demonstrated. Interestingly, only the A222 cultivar subjected to PWD showed a significant increase in nonphotochemical fluorescence quenching at 45 degrees C. The common bean cultivars had different photochemical sensitivities to heat stress altered by a previous water deficit period. Increased thermal tolerance due to PWD was genotype-dependent and associated with an increase in potential quantum efficiency of PSII at high temperature. Under such conditions, the genotype responsive to PWD treatment enhanced its protective capacity against excessive light energy via increased nonphotochemical quenching.

The generalized inverse Weibull distribution

The inverse Weibull distribution has the ability to model failure rates which are quite common in reliability and biological studies. A three-parameter generalized inverse Weibull distribution with decreasing and unimodal failure rate is introduced and studied. We provide a comprehensive treatment of the mathematical properties of the new distribution including expressions for the moment generating function and the rth generalized moment. The mixture model of two generalized inverse Weibull distributions is investigated. The identifiability property of the mixture model is demonstrated. For the first time, we propose a location-scale regression model based on the log-generalized inverse Weibull distribution for modeling lifetime data. In addition, we develop some diagnostic tools for sensitivity analysis. Two applications of real data are given to illustrate the potentiality of the proposed regression model.

Extensions of discrete triangular distributions and boundary bias in kernel estimation for discrete functions

Asymmetric discrete triangular distributions are introduced in order to extend the symmetric ones serving for discrete associated kernels in the nonparametric estimation for discrete functions. The extension from one to two orders around the mode provides a large family of discrete distributions having a finite support. Establishing a bridge between Dirac and discrete uniform distributions, some different shapes are also obtained and their properties are investigated. In particular, the mean and variance are pointed out. Applications to discrete kernel estimators are given with a solution to a boundary bias problem. (C) 2010 Elsevier B.V. All rights reserved.

The beta modified Weibull distribution

A five-parameter distribution so-called the beta modified Weibull distribution is defined and studied. The new distribution contains, as special submodels, several important distributions discussed in the literature, such as the generalized modified Weibull, beta Weibull, exponentiated Weibull, beta exponential, modified Weibull and Weibull distributions, among others. The new distribution can be used effectively in the analysis of survival data since it accommodates monotone, unimodal and bathtub-shaped hazard functions. We derive the moments and examine the order statistics and their moments. We propose the method of maximum likelihood for estimating the model parameters and obtain the observed information matrix. A real data set is used to illustrate the importance and flexibility of the new distribution.

The generalized log-gamma mixture model with covariates: local influence and residual analysis

In a sample of censored survival times, the presence of an immune proportion of individuals who are not subject to death, failure or relapse, may be indicated by a relatively high number of individuals with large censored survival times. In this paper the generalized log-gamma model is modified for the possibility that long-term survivors may be present in the data. The model attempts to separately estimate the effects of covariates on the surviving fraction, that is, the proportion of the population for which the event never occurs. The logistic function is used for the regression model of the surviving fraction. Inference for the model parameters is considered via maximum likelihood. Some influence methods, such as the local influence and total local influence of an individual are derived, analyzed and discussed. Finally, a data set from the medical area is analyzed under the log-gamma generalized mixture model. A residual analysis is performed in order to select an appropriate model.

A generalized modified Weibull distribution for lifetime modeling

A four parameter generalization of the Weibull distribution capable of modeling a bathtub-shaped hazard rate function is defined and studied. The beauty and importance of this distribution lies in its ability to model monotone as well as non-monotone failure rates, which are quite common in lifetime problems and reliability. The new distribution has a number of well-known lifetime special sub-models, such as the Weibull, extreme value, exponentiated Weibull, generalized Rayleigh and modified Weibull distributions, among others. We derive two infinite sum representations for its moments. The density of the order statistics is obtained. The method of maximum likelihood is used for estimating the model parameters. Also, the observed information matrix is obtained. Two applications are presented to illustrate the proposed distribution. (C) 2008 Elsevier B.V. All rights reserved.

Double generalized linear model for tissue culture proportion data: a Bayesian perspective

Joint generalized linear models and double generalized linear models (DGLMs) were designed to model outcomes for which the variability can be explained using factors and/or covariates. When such factors operate, the usual normal regression models, which inherently exhibit constant variance, will under-represent variation in the data and hence may lead to erroneous inferences. For count and proportion data, such noise factors can generate a so-called overdispersion effect, and the use of binomial and Poisson models underestimates the variability and, consequently, incorrectly indicate significant effects. In this manuscript, we propose a DGLM from a Bayesian perspective, focusing on the case of proportion data, where the overdispersion can be modeled using a random effect that depends on some noise factors. The posterior joint density function was sampled using Monte Carlo Markov Chain algorithms, allowing inferences over the model parameters. An application to a data set on apple tissue culture is presented, for which it is shown that the Bayesian approach is quite feasible, even when limited prior information is available, thereby generating valuable insight for the researcher about its experimental results.

A positive growth response to NaCl applications in Eucalyptus plantations established on K-deficient soils

Contrasting responses of Eucalyptus trees to K fertilizer applications have been reported on soils with low K contents. A complete randomized block experiment was set up in Brazil to test the hypothesis that large atmospheric deposits of NaCl in coastal regions might lead to a partial substitution of K by Na in Eucalyptus physiology and enhance tree growth. Treatments with application of 1.5, 3.0, 4.5 kmol K ha(-1) (K(1.5), K(3.0), 1(4.5, respectively) as KCl, 3.0 kmol K ha(-1) applied as K(2)SO(4), 3.0 kmol Na ha(-1) (Na(3.0)) as NaCl commercialized for cattle feeding, and a mixture of 1.5 kmol K + 1.5 kmol Na ha(-1) (K(1.5) + Na(1.5)) were compared to a control treatment (C) with no K and Na applications. All the plots were fertilized with large amounts of the other nutrients. A positive effect of NaCl applications on the growth of E. grandis trees was observed. NaCl and KCl additions in treatments Na(3.0) and K(3.0) increased above-ground biomass by 56% and 130% three years after planting, respectively, in comparison with the C treatment. By contrast, accumulated litterfall up to age 3 years was not significantly modified. NaCl applications in the Na(3.0) treatment significantly increased Na accumulation in above-ground tree components but did not modify K accumulation, whatever the sampling age. A partial substitution of K by Na in tree physiology, as observed for various agricultural crops, might explain this behaviour. Our results suggest the possibility of applying inexpensive K fertilizers, which are less purified in Na, and explain why high yields are achieved without K fertilizer applications in areas with large dry depositions of marine aerosols. Further investigations are necessary to identify the processes involving Na in Eucalyptus tree physiology. (C) 2009 Elsevier B.V. All rights reserved.

Root Water Extraction under Combined Water and Osmotic Stress

Using a numerical implicit model for root water extraction by a single root in a symmetric radial flow problem, based on the Richards equation and the combined convection-dispersion equation, we investigated some aspects of the response of root water uptake to combined water and osmotic stress. The model implicitly incorporates the effect of simultaneous pressure head and osmotic head on root water uptake, and does not require additional assumptions (additive or multiplicative) to derive the combined effect of water and salt stress. Simulation results showed that relative transpiration equals relative matric flux potential, which is defined as the matric flux potential calculated with an osmotic pressure head-dependent lower bound of integration, divided by the matric flux potential at the onset of limiting hydraulic conditions. In the falling rate phase, the osmotic head near the root surface was shown to increase in time due to decreasing root water extraction rates, causing a more gradual decline of relative transpiration than with water stress alone. Results furthermore show that osmotic stress effects on uptake depend on pressure head or water content, allowing a refinement of the approach in which fixed reduction factors based on the electrical conductivity of the saturated soil solution extract are used. One of the consequences is that osmotic stress is predicted to occur in situations not predicted by the saturation extract analysis approach. It is also shown that this way of combining salinity and water as stressors yields results that are different from a purely multiplicative approach. An analytical steady state solution is presented to calculate the solute content at the root surface, and compared with the outputs of the numerical model. Using the analytical solution, a method has been developed to estimate relative transpiration as a function of system parameters, which are often already used in vadose zone models: potential transpiration rate, root length density, minimum root surface pressure head, and soil theta-h and K-h functions.

Zn uptake, physiological response and stress attenuation in mycorrhizal jack bean growing in soil with increasing Zn concentrations

The influence of arbuscular mycorrhizal fungi (AMF) inoculation on Canavalia ensiformis growth. nutrient and Zn uptake, and on some physiological parameters in response to increasing soil Zn concentrations was studied. Treatments were applied in seven replicates in a 2 x 4 factorial design, consisting of the inoculation or not with the AMF Glomus etunicatum, and the addition of Zn to soil at the concentrations of 0, 100, 300 and 900 mg kg(-1). AMF inoculation enhanced the accumulation of Zn in tissues and promoted biomass yields and root nodulation. Mycorrhizal plants exhibited relative tolerance to Zn up to 300 mg kg(-1) without exhibiting visual symptoms of toxicity, in contrast to non-mycorrhizal plants which exhibited a significant growth reduction at the same soil Zn concentration. The highest concentration of Zn added to soil was highly toxic to the plants. Leaves of plants grown in high Zn concentration exhibited a Zn-induced proline accumulation and also an increase in soluble amino acid contents; however proline contents were lower in mycorrhizal jack beans. Plants in association or not with the AMF exhibited marked differences in the foliar soluble amino acid profile and composition in response to Zn addition to soil. In general, Zn induced oxidative stress which could be verified by increased lipid peroxidation rates and changes in catalase, ascorbate peroxidase, glutathione reductase and superoxide dismutase activities. In summary, G. etunicatum was able to maintain an efficient symbiosis with jack bean plants in moderately contaminated Zn-soils, improving plant performance under those conditions, which is likely to be due to a combination of physiological and nutritional changes caused by the intimate relation between fungus and plant. The enhanced Zn uptake by AMF inoculated jack bean plants might be of interest for phytoremediation purposes. (C) 2009 Elsevier Ltd. All rights reserved.

Antioxidant response of Nicotiana tabacum cv. Bright Yellow 2 cells to cadmium and nickel stress

Plant cell cultures are a suitable model system for investigation of the physiological mechanisms of tolerance to environmental stress. We have determined the effects of Cd (0.1 and 0.2 mM CdCl(2)) and Ni (0.075 and 0.75 mM NiCl(2)) on Nicotiana tabacum L. cv. Bright Yellow (TBY-2) cell suspension cultures over a 72-h period. Inhibition of growth, loss of cell viability and lipid peroxidation occurred, in general, only when the TBY-2 cells were grown at 0.2 mM CdCl(2) and at 0.75 mM NiCl(2). At 0.1 mM CdCl(2), a significant increase in growth was determined at the end of the experiment. Increases in the activities of all of the four enzymatic antioxidant defence systems tested, were induced by the two concentrations of Cd and Ni, but at different times during the period of metal exposure. Overall, the cellular antioxidant responses to Cd and Ni were similar and were apparently sufficient to avoid oxidative stress at the lower concentrations of Cd and Ni. The activities of glutathione reductase and glutathione S-transferase increased early but transiently, whereas the activities of catalase and guaiacol peroxidase increased in the latter half of the experimental period. Therefore it is likely that the metabolism of reduced glutathione was enhanced during the initial onset of the stress, while catalase and guaiacol-type peroxidase appeared to play a more important role in the antioxidant response once the stress became severe.

Landscape unit discrimination for pedological surveys by orbital spectral response

Landscape unit discrimination for pedological surveys by orbital spectral response. The objective of tins study was compare two soil survey methods. The first was performed by methods traditionally used to distinguish landscape units and soil class discrimination. The second was based on soil class distinction through orbital spectral response. In order to establish soil characteristics and their classification, soil samples were collected at two depths in a grid system, with a distance of 500 meters between points. With these samples, physical and chemical analyses were carried out. In the sampling points, the apparent reflectance of the soil, front the orbital image, was determined and, through cluster analysis landscape units were established. In order to evaluate the resemblance reliability between the landscape units established in each method, the Kappa index was used, the value set for the confusion matrix was 0.43, indicating high quality in the comparison, showing that the non-conventional method was as close as the one carried out by photointerpretation.

Growth performance and body composition of pacu Piaractus mesopotamicus (Holmberg 1887) in response to dietary protein and energy levels

Improper dietary protein and energy levels and their ratio will lead to increased fish production cost. This work evaluated effects of dietary protein : energy ratio on growth and body composition of pacu, Piaractus mesopotamicus. Fingerling pacu (15.5 +/- 0.4 g) were fed twice a day for 10 weeks until apparent satiation with diets containing 220, 260, 300, 340 or 380 g kg-1 crude protein (CP) and 10.9, 11.7, 12.6, 13.4 or 14.2 MJ kg-1 digestible energy (DE) in a totally randomized experimental design, 5 x 5 factorial scheme (n = 3). Weight gain, specific growth rate increased and feed conversion ratio (FCR) decreased significantly (P < 0.05) when CP increased from 220 to 271, 268 and 281 g kg-1 respectively. Pacu was able to adjust feed consumption in a wide range of dietary DE concentration. Fish fed 260 CP diets showed best (P < 0.05) protein efficiency ratio and FCR with 11.7-12.6 MJ kg-1; but for the 380 CP-diets group, significant differences were observed only at 14.2 MJ kg-1 dietary energy level, suggesting that pacu favours protein as energy source. DE was the chief influence on whole body chemical composition. Minimum dietary protein requirement of pacu is 270 g kg-1, with an optimum CP : DE of 22.2 g MJ-1.

Parametric correlation functions to model the structure of permanent environmental (co)variances in milk yield random regression models

The objective of the present study was to estimate milk yield genetic parameters applying random regression models and parametric correlation functions combined with a variance function to model animal permanent environmental effects. A total of 152,145 test-day milk yields from 7,317 first lactations of Holstein cows belonging to herds located in the southeastern region of Brazil were analyzed. Test-day milk yields were divided into 44 weekly classes of days in milk. Contemporary groups were defined by herd-test-day comprising a total of 2,539 classes. The model included direct additive genetic, permanent environmental, and residual random effects. The following fixed effects were considered: contemporary group, age of cow at calving (linear and quadratic regressions), and the population average lactation curve modeled by fourth-order orthogonal Legendre polynomial. Additive genetic effects were modeled by random regression on orthogonal Legendre polynomials of days in milk, whereas permanent environmental effects were estimated using a stationary or nonstationary parametric correlation function combined with a variance function of different orders. The structure of residual variances was modeled using a step function containing 6 variance classes. The genetic parameter estimates obtained with the model using a stationary correlation function associated with a variance function to model permanent environmental effects were similar to those obtained with models employing orthogonal Legendre polynomials for the same effect. A model using a sixth-order polynomial for additive effects and a stationary parametric correlation function associated with a seventh-order variance function to model permanent environmental effects would be sufficient for data fitting.