Otimização de portfólio utilizando como métricas de retorno medidas de posição central

This paper consists in applying the Modern Theory of Portfolio (MPT) using central position measurements for modeling the return on investment fund of a renowned financial institution and compare with the Medium- CVaR model. The measurement of risks and returns becomes increasingly important for investors to minimize their losses to maximize thus their possibilities of earnings, taking into account sudden change scenarios. We present concepts of investment funds used as data and research on central position measurements to determine which measure was more suitable. To assemble the Efficient Frontier of assets considering the method proposed measure of central position-CVaR position is used MatLab. Then, after getting the Frontier, it was possible to compare it with the Medium-CVaR model, already proven effective. Finally, we analyze the viability of the proposed model in portfolio management

Sistema de gerenciamento de energia para controle de carga/descarga entre baterias de lítio e ultracapacitores, envolvendo sistema de tração elétrica com frenagem regenerativa

Pós-graduação em Engenharia Elétrica - FEIS

Inserção e extração de marca d'água em imagens digitais usando a transformada wavelet

Pós-graduação em Engenharia Elétrica - FEIS

Método primal-dual previsor-corretor de pontos interiores e exteriores com estratégias de correção de inércia e suavização hiperbólica aplicado ao problema de despacho econômico com ponto de carregamento de válvula e representação da transmissão

Pós-graduação em Engenharia Elétrica - FEB

Alocação de bancos de capacitores em sistemas de distribuição radiais usando busca dispersa

Pós-graduação em Engenharia Elétrica - FEIS

Detecção e restauração de áreas sombreadas em imagens digitais de alta resolução espacial

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Alocação ótima de equipamentos SVC e TCSC na rede de transmissão de energia elétrica

Pós-graduação em Engenharia Elétrica - FEIS

Suposição de normalidade e gestão de risco: uma aplicação do var paramétrico via teste de aderência

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

Ergonomia de tablets em uso ocupacional: atividade visual e biomecânica postural sob a influência de ofuscamentos reflexivos causados pela iluminação

Pós-graduação em Design - FAAC

Estimação de parâmetros de linhas de transmissão utilizando técnicas de decomposição modal: Aplicação em linhas com plano de simetria vertical

Pós-graduação em Engenharia Elétrica - FEIS

Adaptação e instrumentação de um esqui ergométrico para pessoas com deficiência motora dos membros inferiores

Pós-graduação em Engenharia Elétrica - FEIS

Modelo fuzzy estimando tempo de internação por doenças cardiovasculares

Abstract A fuzzy linguistic model based on the Mamdani method with input variables, particulate matter, sulfur dioxide, temperature and wind obtained from CETESB with two membership functions each was built to predict the average hospitalization time due to cardiovascular diseases related to exposure to air pollutants in São José dos Campos in the State of São Paulo in 2009. The output variable is the average length of hospitalization obtained from DATASUS with six membership functions. The average time given by the model was compared to actual data using lags of 0 to 4 days. This model was built using the Matlab v. 7.5 fuzzy toolbox. Its accuracy was assessed with the ROC curve. Hospitalizations with a mean time of 7.9 days (SD = 4.9) were recorded in 1119 cases. The data provided revealed a significant correlation with the actual data according to the lags of 0 to 4 days. The pollutant that showed the greatest accuracy was sulfur dioxide. This model can be used as the basis of a specialized system to assist the city health authority in assessing the risk of hospitalizations due to air pollutants.

Identificação de funções de transferência de ordem fracionária utilizando como entrada um degrau

Pós-graduação em Engenharia Elétrica - FEIS

Modelagem fuzzy aplicada a políticas públicas: proposta de um indice municipal de qualidade ambiental

Pós-graduação em Ciências Ambientais - Sorocaba

Image segmentation using morphological watershed applied to cartography

Image segmentation is a process frequently used in several different areas including Cartography. Feature extraction is a very troublesome task, and successful results require more complex techniques and good quality data. The aims of this paper is to study Digital Image Processing techniques, with emphasis in Mathematical Morphology, to use Remote Sensing imagery, making image segmentation, using morphological operators, mainly the multi-scale morphological gradient operator. In the segmentation process, pre-processing operators of Mathematical Morphology were used, and the multi-scales gradient was implemented to create one of the images used as marker image. Orbital image of the Landsat satellite, sensor TM was used. The MATLAB software was used in the implementation of the routines. With the accomplishment of tests, the performance of the implemented operators was verified and carried through the analysis of the results. The extration of linear feature, using mathematical morphology techniques, can contribute in cartographic applications, as cartographic products updating. The comparison to the best result obtained was performed by means of the morphology with conventional techniques of features extraction. © Springer-Verlag 2004.