969 resultados para mean-variance portfolio optimization


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A headspace solid-phase microextraction procedure (HS-SPME) was developed for the profiling of traces present in 3,4-methylenedioxymethylampethamine (MDMA). Traces were first extracted using HS-SPME and then analyzed by gas chromatography-mass spectroscopy (GC-MS). The HS-SPME conditions were optimized using varying conditions. Optimal results were obtained when 40 mg of crushed MDMA sample was heated at 80 °C for 15 min, followed by extraction at 80 °C for 15 min with a polydimethylsiloxane/divinylbenzene coated fibre. A total of 31 compounds were identified as traces related to MDMA synthesis, namely precursors, intermediates or by-products. In addition some fatty acids used as tabletting materials and caffeine used as adulterant, were also detected. The use of a restricted set of 10 target compounds was also proposed for developing a screening tool for clustering samples having close profile. 114 seizures were analyzed using an SPME auto-sampler (MultiPurpose Samples MPS2), purchased from Gerstel GMBH & Co. (Germany), and coupled to GC-MS. The data was handled using various pre-treatment methods, followed by the study of similarities between sample pairs based on the Pearson correlation. The results show that HS-SPME, coupled with the suitable statistical method is a powerful tool for distinguishing specimens coming from the same seizure and specimens coming from different seizures. This information can be used by law enforcement personnel to visualize the ecstasy distribution network as well as the clandestine tablet manufacturing.

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We study the incentives to acquire skill in a model where heterogeneous firmsand workers interact in a labor market characterized by matching frictions and costlyscreening. When effort in acquiring skill raises both the mean and the variance of theresulting ability distribution, multiple equilibria may arise. In the high-effort equilibrium, heterogeneity in ability is sufficiently large to induce firms to select the bestworkers, thereby confirming the belief that effort is important for finding good jobs.In the low-effort equilibrium, ability is not sufficiently dispersed to justify screening,thereby confirming the belief that effort is not so important. The model has implications for wage inequality, the distribution of firm characteristics, sorting patternsbetween firms and workers, and unemployment rates that can help explaining observedcross-country variation in socio-economic and labor market outcomes.

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The objectives of this study were to establish DRIS norms for sugarcane crop, to compare mean yield, foliar nutrient contents and variance of nutrient ratios of low- and high-yielding groups and to compare mean values of nutrient ratios selected as the DRIS norms of low- and high-yielding groups. Leaf samples (analyzed for N, P, K, Ca, Mg, S, Cu, Mn and Zn contents) and respective yields were collected in 126 commercial sugarcane fields in Rio de Janeiro State, Brazil and used to establish DRIS norms for sugarcane. Nearly all nutrient ratios selected as DRIS norms (77.8%) showed statistical differences between mean values of the low- and high-yielding groups. These different nutritional balances between the low- and high-yielding groups indicate that the DRIS norms developed in this paper are reliable. The DRIS norms for micronutrients with high S²l /S²h ratio and low coefficient of variation found can provide more security to evaluate the micronutrient status of sugarcane.

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We evaluate the performance of different optimization techniques developed in the context of optical flow computation with different variational models. In particular, based on truncated Newton methods (TN) that have been an effective approach for large-scale unconstrained optimization, we de- velop the use of efficient multilevel schemes for computing the optical flow. More precisely, we evaluate the performance of a standard unidirectional mul- tilevel algorithm - called multiresolution optimization (MR/OPT), to a bidrec- tional multilevel algorithm - called full multigrid optimization (FMG/OPT). The FMG/OPT algorithm treats the coarse grid correction as an optimiza- tion search direction and eventually scales it using a line search. Experimental results on different image sequences using four models of optical flow com- putation show that the FMG/OPT algorithm outperforms both the TN and MR/OPT algorithms in terms of the computational work and the quality of the optical flow estimation.

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Background: Conventional magnetic resonance imaging (MRI) techniques are highly sensitive to detect multiple sclerosis (MS) plaques, enabling a quantitative assessment of inflammatory activity and lesion load. In quantitative analyses of focal lesions, manual or semi-automated segmentations have been widely used to compute the total number of lesions and the total lesion volume. These techniques, however, are both challenging and time-consuming, being also prone to intra-observer and inter-observer variability.Aim: To develop an automated approach to segment brain tissues and MS lesions from brain MRI images. The goal is to reduce the user interaction and to provide an objective tool that eliminates the inter- and intra-observer variability.Methods: Based on the recent methods developed by Souplet et al. and de Boer et al., we propose a novel pipeline which includes the following steps: bias correction, skull stripping, atlas registration, tissue classification, and lesion segmentation. After the initial pre-processing steps, a MRI scan is automatically segmented into 4 classes: white matter (WM), grey matter (GM), cerebrospinal fluid (CSF) and partial volume. An expectation maximisation method which fits a multivariate Gaussian mixture model to T1-w, T2-w and PD-w images is used for this purpose. Based on the obtained tissue masks and using the estimated GM mean and variance, we apply an intensity threshold to the FLAIR image, which provides the lesion segmentation. With the aim of improving this initial result, spatial information coming from the neighbouring tissue labels is used to refine the final lesion segmentation.Results:The experimental evaluation was performed using real data sets of 1.5T and the corresponding ground truth annotations provided by expert radiologists. The following values were obtained: 64% of true positive (TP) fraction, 80% of false positive (FP) fraction, and an average surface distance of 7.89 mm. The results of our approach were quantitatively compared to our implementations of the works of Souplet et al. and de Boer et al., obtaining higher TP and lower FP values.Conclusion: Promising MS lesion segmentation results have been obtained in terms of TP. However, the high number of FP which is still a well-known problem of all the automated MS lesion segmentation approaches has to be improved in order to use them for the standard clinical practice. Our future work will focus on tackling this issue.

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BACKGROUND: We assessed the impact of a multicomponent worksite health promotion program for0 reducing cardiovascular risk factors (CVRF) with short intervention, adjusting for regression towards the mean (RTM) affecting such nonexperimental study without control group. METHODS: A cohort of 4,198 workers (aged 42 +/- 10 years, range 16-76 years, 27% women) were analyzed at 3.7-year interval and stratified by each CVRF risk category (low/medium/high blood pressure [BP], total cholesterol [TC], body mass index [BMI], and smoking) with RTM and secular trend adjustments. Intervention consisted of 15 min CVRF screening and individualized counseling by health professionals to medium- and high-risk individuals, with eventual physician referral. RESULTS: High-risk groups participants improved diastolic BP (-3.4 mm Hg [95%CI: -5.1, -1.7]) in 190 hypertensive patients, TC (-0.58 mmol/l [-0.71, -0.44]) in 693 hypercholesterolemic patients, and smoking (-3.1 cig/day [-3.9, -2.3]) in 808 smokers, while systolic BP changes reflected RTM. Low-risk individuals without counseling deteriorated TC and BMI. Body weight increased uniformly in all risk groups (+0.35 kg/year). CONCLUSIONS: In real-world conditions, short intervention program participants in high-risk groups for diastolic BP, TC, and smoking improved their CVRF, whereas low-risk TC and BMI groups deteriorated. Future programs may include specific advises to low-risk groups to maintain a favorable CVRF profile.

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OBJECTIVE: Standard cardiopulmonary bypass (CPB) circuits with their large surface area and volume contribute to postoperative systemic inflammatory reaction and hemodilution. In order to minimize these problems a new approach has been developed resulting in a single disposable, compact arterio-venous loop, which has integral kinetic-assist pumping, oxygenating, air removal, and gross filtration capabilities (CardioVention Inc., Santa Clara, CA, USA). The impact of this system on gas exchange capacity, blood elements and hemolysis is compared to that of a conventional circuit in a model of prolonged perfusion. METHODS: Twelve calves (mean body weight: 72.2+/-3.7 kg) were placed on cardiopulmonary bypass for 6 h with a flow of 5 l/min, and randomly assigned to the CardioVention system (n=6) or a standard CPB circuit (n=6). A standard battery of blood samples was taken before bypass and throughout bypass. Analysis of variance was used for comparison. RESULTS: The hematocrit remained stable throughout the experiment in the CardioVention group, whereas it dropped in the standard group in the early phase of perfusion. When normalized for prebypass values, both profiles differed significantly (P<0.01). Both O2 and CO2 transfers were significantly improved in the CardioVention group (P=0.04 and P<0.001, respectively). There was a slightly higher pressure drop in the CardioVention group but no single value exceeded 112 mmHg. No hemolysis could be detected in either group with all free plasma Hb values below 15 mg/l. Thrombocyte count, when corrected by hematocrit and normalized by prebypass values, exhibited an increased drop in the standard group (P=0.03). CONCLUSION: The CardioVention system with its concept of limited priming volume and exposed foreign surface area, improves gas exchange probably because of the absence of detectable hemodilution, and appears to limit the decrease in the thrombocyte count which may be ascribed to the reduced surface. Despite the volume and surface constraints, no hemolysis could be detected throughout the 6 h full-flow perfusion period.

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Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

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Rapport de synthèse : Introduction : La stimulation électrique représente une nouvelle modalité thérapeutique de divers troubles digestifs. Dans la constipation par exemple, le péristaltisme colique peut être activé par un système électrique alimenté par une batterie. La présente étude a pour but de démontrer l'impact d'une stimulation électrique directe du côlon sur le temps de transit moyen, en utilisant un modèle expérimental chronique porcin. L'effet de la stimulation et du matériel implanté dans la paroi colique est également évalué. Matériel et méthode : Trois paires d'électrodes ont été implantées dans la paroi cæcale de douze porcs anesthésiés. Avant implantation, un temps de transit colique de référence a été déterminé chez chaque animal par utilisation de marqueurs radio-opaques. Cette évaluation a été répétée quatre semaines après implantation, sous stimulation factice, et cinq semaines après implantation, sous stimulation électrique. Des trains séquentiels et aboraux de stimulation (10 V ; 120 Hz ; 1 ms) ont été appliqués quotidiennement durant six jours, en utilisant un stimulateur externe fonctionnant sur batteries. Pour chaque série de marqueurs, une valeur moyenne a été calculée à partir du temps de transit individuel des porcs. Un examen microscopique du cæcum a été systématiquement entrepris après sacrifice des animaux. Résultats : Une réduction du temps de transit moyen a été observée après stimulation électrique (19h ± 13 ; moyenne ± DS), comparativement au temps de référence (34h ± 7 ; p=0.045) et au temps de transit après stimulation factice (36h ± 9 ; p=0.035). L'examen histologique a montré la présence d'une inflammation chronique minime, autour des électrodes. Conclusion : Le temps de transit colique porcin peut être réduit, en conditions expérimentales chroniques, par une stimulation électrique directe et séquentielle de l'intestin. Des lésions tissulaires limitées ont été occasionnées par la stimulation ou le matériel implanté. La stimulation électrique colique représente certainement une approche prometteuse du traitement de certains troubles spécifiques du côlon, avant tout fonctionnels.