Risk-return trade-off and autocorrelation

A trade-off between return and risk plays a central role in financial economics. The intertemporal capital asset pricing model (ICAPM) proposed by Merton (1973) provides a neoclassical theory for expected returns on risky assets. The model assumes that risk-averse investors (seeking to maximize their expected utility of lifetime consumption) demand compensation for bearing systematic market risk and the risk of unfavorable shifts in the investment opportunity set. Although the ICAPM postulates a positive relation between the conditional expected market return and its conditional variance, the empirical evidence on the sign of the risk-return trade-off is conflicting. In contrast, autocorrelation in stock returns is one of the most consistent and robust findings in empirical finance. While autocorrelation is often interpreted as a violation of market efficiency, it can also reflect factors such as market microstructure or time-varying risk premia. This doctoral thesis investigates a relation between the mixed risk-return trade-off results and autocorrelation in stock returns. The results suggest that, in the case of the US stock market, the relative contribution of the risk-return trade-off and autocorrelation in explaining the aggregate return fluctuates with volatility. This effect is then shown to be even more pronounced in the case of emerging stock markets. During high-volatility periods, expected returns can be described using rational (intertemporal) investors acting to maximize their expected utility. During lowvolatility periods, market-wide persistence in returns increases, leading to a failure of traditional equilibrium-model descriptions for expected returns. Consistent with this finding, traditional models yield conflicting evidence concerning the sign of the risk-return trade-off. The changing relevance of the risk-return trade-off and autocorrelation can be explained by heterogeneous agents or, more generally, by the inadequacy of the neoclassical view on asset pricing with unboundedly rational investors and perfect market efficiency. In the latter case, the empirical results imply that the neoclassical view is valid only under certain market conditions. This offers an economic explanation as to why it has been so difficult to detect a positive tradeoff between the conditional mean and variance of the aggregate stock return. The results highlight the importance, especially in the case of emerging stock markets, of noting both the risk-return trade-off and autocorrelation in applications that require estimates for expected returns.

Toimintaohjeistus HSY:n jätteenpolton materiaalivirtojen hallintaan

Vantaan Energia rakentaa ympäristövaatimukset täyttävän jätevoimalan Itä-Vantaan Långmossebergeniin. Jätevoimalassa tullaan käyttämään polttoaineena kierrätykseen kelpaamatonta syntypaikkalajiteltua yhdyskuntajätettä sekä maakaasua. Helsingin seudun ympäristöpalvelut -kuntayhtymä HSY tulee toimittamaan noin 80 % vuosittaisesta jätepolttoaineesta. Tässä työssä on esitetty toimintamalli HSY:n jätteenpolton materiaalivirtojen hallitsemiseksi. Toimintamallin tarkoituksena on antaa ohjeistus jätteiden materiaalivirtojen käsittelymenetelmistä ennen jätteenpolttolaitosta. Lisäksi toimintamallin tarkoituksena on saada vähennettyä pohjakuonan määrää. Toimintamalli sisältää ohjeistuksen kotitalouksien sekajätteen, pienjäteasemien sekajätteen, sekalaisen rakennus- ja purkujätteen sekä kaupan- ja teollisuuden jätteiden käsittelytavoista. Jätevirtojen koostumusta on selvitetty kirjallisuudesta löytyvien tietojen perusteella ja tietoja on täydennetty kesällä 2013 suoritetun lajittelututkimuksen tiedoilla. Tutkimuksen tuloksista selvisi, että pienjäteasemien sekajätteiden lajittelua tehostamalla HSY:llä pystytään tekemään merkittäviä taloudellisia säästöjä. Tutkimuksessa selvisi, että kipsilevy olisi kannattavinta kerätä omalle lavalleen pienjäteasemilla. Sekalaisen rakennus- ja purkujätteen osalta todettiin, että sitä ei kannata ohjata suoraan jätevoimalalle poltettavaksi, eikä sitä voida sijoittaa käsittelemättömänä kaatopaikalle vuoden 2020 jälkeen. Tästä syystä työssä on ehdotettu, että sekalainen rakennus- ja purkujäte ohjattaisiin lajittelulaitokselle käsiteltäväksi ennen sen loppusijoittamista. Tutkimuksen tulosten perusteella voidaan myös todeta, että toimintamallia noudattamalla, pohjakuonan määrää on mahdollista vähentää lähes puolella alkuperäisestä arviosta.

Optimization of strength and toughness on the effect of the weldable high strength steels (hss) used in offshore structures

Optimization of high strength and toughness combination on the effect of weldability is very vital to be considered in offshore oil and gas industries. Having a balanced and improved high strength and toughness is very much recommended in offshore structures for an effective production and viable exploration of hydrocarbons. This thesis aims to investigate the possibilities to improve the toughness of high strength steel. High carbon contents induce hardness and needs to be reduced for increasing toughness. The rare combination of high strength with high toughness possibilities was examined by determining the following toughening mechanism of: Heat treatment and optimal microstructure, Thermomechanical processing, Effect of welding parameters on toughness and weldability of steel. The implementation of weldability of steels to attain high toughness for high strength in offshore structures is mostly in shipbuilding, offshore platforms, and pipelines for high operating pressures. As a result, the toughening mechanisms suggested have benefits to the aims of the effect of high strength to high toughness of steel for efficiency, production and cost reduction.

Greenhouse gas emissions from peat and biomass-derived fuels, electricity and heat — Estimation of various production chains by using LCA methodology

More discussion is required on how and which types of biomass should be used to achieve a significant reduction in the carbon load released into the atmosphere in the short term. The energy sector is one of the largest greenhouse gas (GHG) emitters and thus its role in climate change mitigation is important. Replacing fossil fuels with biomass has been a simple way to reduce carbon emissions because the carbon bonded to biomass is considered as carbon neutral. With this in mind, this thesis has the following objectives: (1) to study the significance of the different GHG emission sources related to energy production from peat and biomass, (2) to explore opportunities to develop more climate friendly biomass energy options and (3) to discuss the importance of biogenic emissions of biomass systems. The discussion on biogenic carbon and other GHG emissions comprises four case studies of which two consider peat utilization, one forest biomass and one cultivated biomasses. Various different biomass types (peat, pine logs and forest residues, palm oil, rapeseed oil and jatropha oil) are used as examples to demonstrate the importance of biogenic carbon to life cycle GHG emissions. The biogenic carbon emissions of biomass are defined as the difference in the carbon stock between the utilization and the non-utilization scenarios of biomass. Forestry-drained peatlands were studied by using the high emission values of the peatland types in question to discuss the emission reduction potential of the peatlands. The results are presented in terms of global warming potential (GWP) values. Based on the results, the climate impact of the peat production can be reduced by selecting high-emission-level peatlands for peat production. The comparison of the two different types of forest biomass in integrated ethanol production in pulp mill shows that the type of forest biomass impacts the biogenic carbon emissions of biofuel production. The assessment of cultivated biomasses demonstrates that several selections made in the production chain significantly affect the GHG emissions of biofuels. The emissions caused by biofuel can exceed the emissions from fossil-based fuels in the short term if biomass is in part consumed in the process itself and does not end up in the final product. Including biogenic carbon and other land use carbon emissions into the carbon footprint calculations of biofuel reveals the importance of the time frame and of the efficiency of biomass carbon content utilization. As regards the climate impact of biomass energy use, the net impact on carbon stocks (in organic matter of soils and biomass), compared to the impact of the replaced energy source, is the key issue. Promoting renewable biomass regardless of biogenic GHG emissions can increase GHG emissions in the short term and also possibly in the long term.

Mitigation possibilities to Greenhouse gas emissions from power production in India

Global warming is assertively the greatest environmental challenge for humans of 21st century. It is primarily caused by the anthropogenic greenhouse gas (GHG) that trap heat in the atmosphere. Because of which, the GHG emission mitigation, globally, is a critical issue in the political agenda of all high-profile nations. India, like other developing countries, is facing this threat of climate change while dealing with the challenge of sustaining its rapid economic growth. India’s economy is closely connected to its natural resource base and climate sensitive sectors like water, agriculture and forestry. Due to Climate change the quality and distribution of India’s natural resources may transform and lead to adverse effects on livelihood of its people. Therefore, India is expected to face a major threat due to the projected climate change. This study proposes possible solutions for GHG emission mitigation that are specific to the power sector of India. The methods discussed here will take Indian power sector from present coal dominant ideology to a system, centered with renewable energy sources. The study further proposes a future scenario for 2050, based on the present Indian government policies and global energy technologies advancements.

The effect of shielding gas feeding method in laser welding of steel

Gas shielding plays an important role in laser welding phenomena. This is because it does not only provide shielding against oxidization but it has an effect in beam absorption and thus welds penetration. The goal of this thesis is to study and compare the effects of different shielding gas feeding methods in laser welding of steel. Research method is a literature survey. It is found that the inclination angle and the arrangement of the gas feeding nozzles affect the phenomena significantly. It is suggested that by designing shielding gas feeding case specifically better welding results can be obtained.

Modelling of hydrogen stratification and gas mixing in containment using the APROS code

Hydrogen stratification and atmosphere mixing is a very important phenomenon in nuclear reactor containments when severe accidents are studied and simulated. Hydrogen generation, distribution and accumulation in certain parts of containment may pose a great risk to pressure increase induced by hydrogen combustion, and thus, challenge the integrity of NPP containment. The accurate prediction of hydrogen distribution is important with respect to the safety design of a NPP. Modelling methods typically used for containment analyses include both lumped parameter and field codes. The lumped parameter method is universally used in the containment codes, because its versatility, flexibility and simplicity. The lumped parameter method allows fast, full-scale simulations, where different containment geometries with relevant engineering safety features can be modelled. Lumped parameter gas stratification and mixing modelling methods are presented and discussed in this master’s thesis. Experimental research is widely used in containment analyses. The HM-2 experiment related to hydrogen stratification and mixing conducted at the THAI facility in Germany is calculated with the APROS lump parameter containment package and the APROS 6-equation thermal hydraulic model. The main purpose was to study, whether the convection term included in the momentum conservation equation of the 6-equation modelling gives some remarkable advantages compared to the simplified lumped parameter approach. Finally, a simple containment test case (high steam release to a narrow steam generator room inside a large dry containment) was calculated with both APROS models. In this case, the aim was to determine the extreme containment conditions, where the effect of convection term was supposed to be possibly high. Calculation results showed that both the APROS containment and the 6-equation model could model the hydrogen stratification in the THAI test well, if the vertical nodalisation was dense enough. However, in more complicated cases, the numerical diffusion may distort the results. Calculation of light gas stratification could be probably improved by applying the second order discretisation scheme for the modelling of gas flows. If the gas flows are relatively high, the convection term of the momentum equation is necessary to model the pressure differences between the adjacent nodes reasonably.

Managing innovation in oil and gas companies: A proposed framework for the management of innovation at Ecopetrol S.A.

Actually, the term innovation seems to be one of the most used in any kind of business practices. However, in order to get value from it, companies need to define a systematic and structured way to manage innovation. This process can be difficult and very risky since it is associated with the development of firm´s capabilities which involves human and technical challenges according to the context of a firm. Additionally, it seems not to exist a magic formula to manage innovation and what may work in a company may not work in another, even though in the same type of industry. In this sense, the purpose of this research is to identify how the oil and gas companies can manage innovation and what are the main elements, their interrelations and structure, required for managing innovation effectively in this critical sector for the world economy. The study follows a holistic single case study in a National Oil Company (NOC) of a developing country to explore how innovation performs in the industry, what are the main elements regarding innovation management and their interactions according to the nature of the industry. Contributory literature and qualitative data from the case study company (with the use of non-standardized interviews) is collected and analyzed. The research confirms the relevance and importance of the definition and implementation of an innovation framework in order to ensure the generation of value and organize as well as guide the efforts in innovation done by a firm. In this way based on the theoretical background, research´s findings, and in the company´s innovation environment and conditions, a framework for managing innovation at the case study company is suggested. This study is one of the few, if not only one, that has reviewed the way as oil and gas companies manage innovation and its practical implementation in a company from a developing country. Both researchers and practitioners will get a photograph of understanding innovation management in the oil and gas industry and its growing necessity in the business world. Some issues have been highlighted, so that future study can be focused in those directions. In fact, even though research on innovation management has significantly grown, there are still many issues that need to be addressed to get insight about managing innovation in various contexts and industries. Studies are mostly performed in the context of large firms and in developed countries, so then research in the context of developing countries is still almost an untouched area, especially in the oil and gas industry. Finally, from the research it seems crucial to explore the effect of some innovation-related variables such as: open innovation in third world economies and in state-own companies; the impact of mergers and acquisitions in innovation performance in oil and gas companies; value measurement in the first stages of the innovation process; and, development of innovation capabilities in companies from developing nations.

Power to Gas - sähköenergiasta luonnonkaasua, liiketoimintamahdollisuudet Suomessa

Uusiutuvan sähköntuotannon osuuden kasvaessa kasvaa tarve tasata sähköntuotannon ja kulutuksen vaihteluita varastoimalla sähköä. Power to Gas (PtG) - sähköenergiasta luonnonkaasua tarjoaa yhden mahdollisuuden varastoida sähköä. Sähköä käytetään veden elektrolyysiin, jossa syntynyt vety käytetään metanoinissa yhdessä hiilidioksidin kanssa muodostamaan korvaavaa luonnonkaasua. Näin syntynyttä korvaava luonnonkaasua sähköstä kutsutaan e-SNG-kaasuksi. Tässä työssä tutkitaan PtG-laitoksen investointi, käyttö- ja kunnossapitokuluja. Työssä luodaan laskentamalli, jolla lasketaan PtG-laitoksen neljälle käyttötapaukselle kannattavuuslaskelma. Käyttötapauksille lasketaan myös herkkyystarkasteluja. Kannattavuuslaskelmien perusteella päätellään PtG-laitoksen liiketoimintamahdollisuudet Suomessa. Työssä laskettujen kannattavuuslaskelmien perusteella PtG-laitoksen perustapausten liiketoimintamahdollisuudet ovat huonot. Laskettujen herkkyystarkastelujen perusteella havaittiin, että investointikulut, laitoksen ajoaika ja lisätulot hapesta ja lämmöstä ovat kannattavuuden kannalta kriittisimmät menestystekijät.

The Pay-Off Method as a Tool for Evaluating the Risk and Profitability of Public Real Estate Investments

Real option valuation, in particular the fuzzy pay-off method, has proven to be useful in defining risk and visualizing imprecision of investments in various industry applications. This study examines whether the evaluation of risk and profitability for public real estate investments can be improved by using real option methodology. Firstly, the context of real option valuation in the real estate industry is examined. Further, an empirical case study is performed on 30 real estate investments of a Finnish government enterprise in order to determine whether the presently used investment analysis system can be complemented by the pay-off method. Despite challenges in the application of the pay-off method to the case company’s large investment base, real option valuation is found to create additional value and facilitate more robust risk analysis in public real estate applications.

Printed platforms for paper-based analytical applications

Paper-based analytical technologies enable quantitative and rapid analysis of analytes from various application areas including healthcare, environmental monitoring and food safety. Because paper is a planar, flexible and light weight substrate, the devices can be transported and disposed easily. Diagnostic devices are especially valuable in resourcelimited environments where diagnosis as well as monitoring of therapy can be made even without electricity by using e.g. colorimetric assays. On the other hand, platforms including printed electrodes can be coupled with hand-held readers. They enable electrochemical detection with improved reliability, sensitivity and selectivity compared with colorimetric assays. In this thesis, different roll-to-roll compatible printing technologies were utilized for the fabrication of low-cost paper-based sensor platforms. The platforms intended for colorimetric assays and microfluidics were fabricated by patterning the paper substrates with hydrophobic vinyl substituted polydimethylsiloxane (PDMS) -based ink. Depending on the barrier properties of the substrate, the ink either penetrates into the paper structure creating e.g. microfluidic channel structures or remains on the surface creating a 2D analog of a microplate. The printed PDMS can be cured by a roll-ro-roll compatible infrared (IR) sintering method. The performance of these platforms was studied by printing glucose oxidase-based ink on the PDMS-free reaction areas. The subsequent application of the glucose analyte changed the colour of the white reaction area to purple with the colour density and intensity depending on the concentration of the glucose solution. Printed electrochemical cell platforms were fabricated on paper substrates with appropriate barrier properties by inkjet-printing metal nanoparticle based inks and by IR sintering them into conducting electrodes. Printed PDMS arrays were used for directing the liquid analyte onto the predetermined spots on the electrodes. Various electrochemical measurements were carried out both with the bare electrodes and electrodes functionalized with e.g. self assembled monolayers. Electrochemical glucose sensor was selected as a proof-of-concept device to demonstrate the potential of the printed electronic platforms.

User-generated experiences: how automated platforms for content creation and sharing has transformed information access

Esitys KDK-käytettävyystyöryhmän järjestämässä seminaarissa: Miten käyttäjien toiveet haastavat metatietokäytäntöjämme? / How users' expectations challenge our metadata practices? 30.9.2014.

Development of agnostic mobile applications with cross-platform cloud computing platforms

Smart phones became part and parcel of our life, where mobility provides a freedom of not being bounded by time and space. In addition, number of smartphones produced each year is skyrocketing. However, this also created discrepancies or fragmentation among devices and OSes, which in turn made an exceeding hard for developers to deliver hundreds of similar featured applications with various versions for the market consumption. This thesis is an attempt to investigate whether cloud based mobile development platforms can mitigate and eventually eliminate fragmentation challenges. During this research, we have selected and analyzed the most popular cloud based development platforms and tested integrated cloud features. This research showed that cloud based mobile development platforms may able to reduce mobile fragmentation and enable to utilize single codebase to deliver a mobile application for different platforms.

Susteinable steelmaking by process integration

Environmental issues, including global warming, have been serious challenges realized worldwide, and they have become particularly important for the iron and steel manufacturers during the last decades. Many sites has been shut down in developed countries due to environmental regulation and pollution prevention while a large number of production plants have been established in developing countries which has changed the economy of this business. Sustainable development is a concept, which today affects economic growth, environmental protection, and social progress in setting up the basis for future ecosystem. A sustainable headway may attempt to preserve natural resources, recycle and reuse materials, prevent pollution, enhance yield and increase profitability. To achieve these objectives numerous alternatives should be examined in the sustainable process design. Conventional engineering work cannot address all of these substitutes effectively and efficiently to find an optimal route of processing. A systematic framework is needed as a tool to guide designers to make decisions based on overall concepts of the system, identifying the key bottlenecks and opportunities, which lead to an optimal design and operation of the systems. Since the 1980s, researchers have made big efforts to develop tools for what today is referred to as Process Integration. Advanced mathematics has been used in simulation models to evaluate various available alternatives considering physical, economic and environmental constraints. Improvements on feed material and operation, competitive energy market, environmental restrictions and the role of Nordic steelworks as energy supplier (electricity and district heat) make a great motivation behind integration among industries toward more sustainable operation, which could increase the overall energy efficiency and decrease environmental impacts. In this study, through different steps a model is developed for primary steelmaking, with the Finnish steel sector as a reference, to evaluate future operation concepts of a steelmaking site regarding sustainability. The research started by potential study on increasing energy efficiency and carbon dioxide reduction due to integration of steelworks with chemical plants for possible utilization of available off-gases in the system as chemical products. These off-gases from blast furnace, basic oxygen furnace and coke oven furnace are mainly contained of carbon monoxide, carbon dioxide, hydrogen, nitrogen and partially methane (in coke oven gas) and have proportionally low heating value but are currently used as fuel within these industries. Nonlinear optimization technique is used to assess integration with methanol plant under novel blast furnace technologies and (partially) substitution of coal with other reducing agents and fuels such as heavy oil, natural gas and biomass in the system. Technical aspect of integration and its effect on blast furnace operation regardless of capital expenditure of new operational units are studied to evaluate feasibility of the idea behind the research. Later on the concept of polygeneration system added and a superstructure generated with alternative routes for off-gases pretreatment and further utilization on a polygeneration system producing electricity, district heat and methanol. (Vacuum) pressure swing adsorption, membrane technology and chemical absorption for gas separation; partial oxidation, carbon dioxide and steam methane reforming for methane gasification; gas and liquid phase methanol synthesis are the main alternative process units considered in the superstructure. Due to high degree of integration in process synthesis, and optimization techniques, equation oriented modeling is chosen as an alternative and effective strategy to previous sequential modelling for process analysis to investigate suggested superstructure. A mixed integer nonlinear programming is developed to study behavior of the integrated system under different economic and environmental scenarios. Net present value and specific carbon dioxide emission is taken to compare economic and environmental aspects of integrated system respectively for different fuel systems, alternative blast furnace reductants, implementation of new blast furnace technologies, and carbon dioxide emission penalties. Sensitivity analysis, carbon distribution and the effect of external seasonal energy demand is investigated with different optimization techniques. This tool can provide useful information concerning techno-environmental and economic aspects for decision-making and estimate optimal operational condition of current and future primary steelmaking under alternative scenarios. The results of the work have demonstrated that it is possible in the future to develop steelmaking towards more sustainable operation.