960 resultados para DYNAMIC PORTFOLIO SELECTION


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There are 23,500 level crossings in Australia. In these types of environments it is important to understand what human factor issues are present and how road users and pedestrians engage with crossings. A series of on-site observations were performed over a 2-day period at a 3-track active crossing. This was followed by 52 interviews with local business owners and members of the public. Data were captured using a manual-coding scheme for recording and categorising violations. Over 700 separate road user and pedestrian violations were recorded, with representations in multiple categories. Time stamping revealed that the crossing was active for 59% of the time in some morning periods. Further, trains could take up to 4-min to arrive following its first activation. Many pedestrians jaywalked under side rails and around active boom gates. In numerous cases pedestrians put themselves at risk in order to beat or catch the approaching train, ignored signs to stop walking when the lights were flashing. Analysis of interview data identified themes associated with congestion, safety, and violations. This work offers insight into context specific issues associated with active level crossing protection.

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In this paper, we propose a self Adaptive Migration Model for Genetic Algorithms, where parameters of population size, the number of points of crossover and mutation rate for each population are fixed adaptively. Further, the migration of individuals between populations is decided dynamically. This paper gives a mathematical schema analysis of the method stating and showing that the algorithm exploits previously discovered knowledge for a more focused and concentrated search of heuristically high yielding regions while simultaneously performing a highly explorative search on the other regions of the search space. The effective performance of the algorithm is then shown using standard testbed functions, when compared with Island model GA(IGA) and Simple GA(SGA).

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Guo and Nixon proposed a feature selection method based on maximizing I(x; Y),the multidimensional mutual information between feature vector x and class variable Y. Because computing I(x; Y) can be difficult in practice, Guo and Nixon proposed an approximation of I(x; Y) as the criterion for feature selection. We show that Guo and Nixon's criterion originates from approximating the joint probability distributions in I(x; Y) by second-order product distributions. We remark on the limitations of the approximation and discuss computationally attractive alternatives to compute I(x; Y).

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The viscosity of five binary gas mixtures - namely, oxygen-hydrogen, oxygen-nitrogen, oxygen-carbon dioxide, carbon dioxide-nitrogen, carbon dioxide-hydrogen - and two ternary mixtures - oxygen-nitrogen-carbon dioxide and oxygen-hydrogen-carbon dioxide - were determined at ambient temperature and pressure using an oscillating disk viscometer. The theoretical expressions of several investigators were in good agreement with the experimental results obtained with this viscometer. In the case of the ternary gas mixture oxygen-carbon dioxide-nitrogen, as long as the volumetric ratio of oxygen to carbon dioxide in the mixture was maintained at 11 to 8, the viscosity of the ternary mixture at ambient temperature and pressure remained constant irrespective of the percentage of nitrogen present in the mixture.

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In this paper, we propose a self Adaptive Migration Model for Genetic Algorithms, where parameters of population size, the number of points of crossover and mutation rate for each population are fixed adaptively. Further, the migration of individuals between populations is decided dynamically. This paper gives a mathematical schema analysis of the method stating and showing that the algorithm exploits previously discovered knowledge for a more focused and concentrated search of heuristically high yielding regions while simultaneously performing a highly explorative search on the other regions of the search space. The effective performance of the algorithm is then shown using standard testbed functions, when compared with Island model GA(IGA) and Simple GA(SGA).

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This paper reports a measurement of the cross section for the pair production of top quarks in ppbar collisions at sqrt(s) = 1.96 TeV at the Fermilab Tevatron. The data was collected from the CDF II detector in a set of runs with a total integrated luminosity of 1.1 fb^{-1}. The cross section is measured in the dilepton channel, the subset of ttbar events in which both top quarks decay through t -> Wb -> l nu b where l = e, mu, or tau. The lepton pair is reconstructed as one identified electron or muon and one isolated track. The use of an isolated track to identify the second lepton increases the ttbar acceptance, particularly for the case in which one W decays as W -> tau nu. The purity of the sample may be further improved at the cost of a reduction in the number of signal events, by requiring an identified b-jet. We present the results of measurements performed with and without the request of an identified b-jet. The former is the first published CDF result for which a b-jet requirement is added to the dilepton selection. In the CDF data there are 129 pretag lepton + track candidate events, of which 69 are tagged. With the tagging information, the sample is divided into tagged and untagged sub-samples, and a combined cross section is calculated by maximizing a likelihood. The result is sigma_{ttbar} = 9.6 +/- 1.2 (stat.) -0.5 +0.6 (sys.) +/- 0.6 (lum.) pb, assuming a branching ratio of BR(W -> ell nu) = 10.8% and a top mass of m_t = 175 GeV/c^2.

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We develop an alternate characterization of the statistical distribution of the inter-cell interference power observed in the uplink of CDMA systems. We show that the lognormal distribution better matches the cumulative distribution and complementary cumulative distribution functions of the uplink interference than the conventionally assumed Gaussian distribution and variants based on it. This is in spite of the fact that many users together contribute to uplink interference, with the number of users and their locations both being random. Our observations hold even in the presence of power control and cell selection, which have hitherto been used to justify the Gaussian distribution approximation. The parameters of the lognormal are obtained by matching moments, for which detailed analytical expressions that incorporate wireless propagation, cellular layout, power control, and cell selection parameters are developed. The moment-matched lognormal model, while not perfect, is an order of magnitude better in modeling the interference power distribution.

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We propose and demonstrate a dynamic point spread function (PSF) for single and multiphoton fluorescence microscopy. The goal is to generate a PSF whose shape and size can be maneuvered from highly localized to elongated one, thereby allowing shallow-to-depth excitation capability during active imaging. The PSF is obtained by utilizing specially designed spatial filter and dynamically altering the filter parameters. We predict potential applications in nanobioimaging and fluorescence microscopy.

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We propose and demonstrate a dynamic point spread function (PSF) for single and multiphoton fluorescence microscopy. The goal is to generate a PSF whose shape and size can be maneuvered from highly localized to elongated one, thereby allowing shallow-to-depth excitation capability during active imaging. The PSF is obtained by utilizing specially designed spatial filter and dynamically altering the filter parameters. We predict potential applications in nanobioimaging and fluorescence microscopy.

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In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

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Investors significantly overweight domestic assets in their portfolios. This behavior which is commonly called “home bias” contradicts the prescriptions of portfolio theory. This thesis explores potential reasons for the “home bias” by examining the characteristics of the investing and the target countries and features of the interaction between them. A common theme of the four essays is a focus on the importance of information about foreign markets in explaining the share of these markets in investors’ portfolios. The results indicate that the size of the equity ownership in another country strongly relates to the distance to the financial capital of that country, and to trade in goods with and direct investments (FDI) to that country. The first essay empirically investigates the relationship between trade in real goods and portfolio investments. Overall, the evidence indicates a substantial role for trade in reducing the information cost relating to portfolio investments. The second essay examines the implications of the launch of the European Monetary Union (EMU) on international portfolio investments. The evidence on the allocation of Finnish international portfolio investments is more consistent with an information-based than a diversification motive explanation. The third essay employs new data for a large number of countries and further explores the role of trade on international portfolio investments. The results indicate that trade provides important information especially on firms in countries in which the corporate governance structure and the information environment of firms generate less reliable information. The fourth essay examines the relationship between direct investments (FDI) and portfolio investments. In contrast to the predications of portfolio theory, it provides evidence that FDI is a complement rather than a substitute for portfolio investments.

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In this work a single edge notched plate (SEN(T)) subjected to a tensile stress pulse is analysed, using a 2D plane strain dynamic finite element procedure. The interaction of the notch with a pre-nucleated hole ahead of it is examined. The background material is modelled by the Gurson constitutive law and ductile failure by microvoid coalescence in the ligament connecting the notch and the hole is simulated. Both rate independent and rate dependent material behaviour is considered. The notch tip region is subjected to a range of loading rates j by varying the peak value and the rise time of the applied stress pulse. The results obtained from these simulations are compared with a three point bend (TPB) specimen subjected to impact loading analysed in an earlier work [3] The variation of J at fracture initiation, J(c), with average loading rate j is obtained from the finite element simulations. It is found that the functional relationship between J(c) and j is fairly independent of the specimen geometry and is only dependent on material behaviour.

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The growth of characteristic length scales associated with dynamic heterogeneity in glass-forming liquids is investigated in an extensive computational study of a four-point, time-dependent structure factor defined from spatial correlations of mobility, for a model liquid for system sizes extending up to 351 232 particles, in constant-energy and constant-temperature ensembles. Our estimates for dynamic correlation lengths and susceptibilities are consistent with previous results from finite size scaling. We find scaling exponents that are inconsistent with predictions from inhomogeneous mode coupling theory and a recent simulation confirmation of these predictions.