Quadratic programming versus second order con programming in portfolio optimization

Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies.

What should Fundação Calouste Gulbenkian do in order to attract the National Millennials?

Branding Lab

Which communication strategy should a male luxury (fashion) brand – associated with a luxury car brand – develop, in order to increase its awareness in Europe

This work project explores how a male luxury (fashion) brand (subsidiary) that is associated with a luxury car brand (parent company) should develop its communication strategy in order to increase awareness in Europe. For this purpose a quantitative research was conducted. The aim was to find out whether the company in question had low brand awareness among European luxury consumers. Hereafter, a qualitative research revealed important insights in regard to luxury communication among male luxury consumers. Both the results of the research and the recommendations of luxury experts laid the foundation for the development of a solution-oriented communication strategy. The result of the analysis crystallizes the importance of the shared heritage and the synergistic effects, of which the subsidiary should make vast use when communicating.

Natural hydraulic lime (nhl3.5) mortars with scrap tire rubber

The use of wastes and industrial by-products as building materials is an important issue in order to decrease costs with waste management and the embodied energy of building products. In this study scrap tire rubber was used as additional aggregate of mortars based on natural hydraulic lime NHL 3.5 and natural sand. Different particle size fractions and proportions of scrap tire rubber were used: a mix obtained directly from industry and separated fine, medium and coarse fractions; 0 %, 18 %, 36 % and 54 % of the weight of binder, corresponding to 2.5 %, 5 % and 7.5 % of the weight of sand. As mortars based on NHL specifications became stricter with the current version of EN 459–1:2015, the influence of the rubber’s additions on the mortars’ fresh state, mechanical and physical performance is presented in this work: flow table consistency, water retention, dynamic elasticity modulus, flexural and compressive strength, open porosity and bulk density, capillary absorption, drying and thermal conductivity are studied. The use of the rubber mix coming from the waste tire industry seems advantageous and may open possibilities for use as raw material by the mortars industry.

A type system for value-dependent information flow analysis

Information systems are widespread and used by anyone with computing devices as well as corporations and governments. It is often the case that security leaks are introduced during the development of an application. Reasons for these security bugs are multiple but among them one can easily identify that it is very hard to define and enforce relevant security policies in modern software. This is because modern applications often rely on container sharing and multi-tenancy where, for instance, data can be stored in the same physical space but is logically mapped into different security compartments or data structures. In turn, these security compartments, to which data is classified into in security policies, can also be dynamic and depend on runtime data. In this thesis we introduce and develop the novel notion of dependent information flow types, and focus on the problem of ensuring data confidentiality in data-centric software. Dependent information flow types fit within the standard framework of dependent type theory, but, unlike usual dependent types, crucially allow the security level of a type, rather than just the structural data type itself, to depend on runtime values. Our dependent function and dependent sum information flow types provide a direct, natural and elegant way to express and enforce fine grained security policies on programs. Namely programs that manipulate structured data types in which the security level of a structure field may depend on values dynamically stored in other fields The main contribution of this work is an efficient analysis that allows programmers to verify, during the development phase, whether programs have information leaks, that is, it verifies whether programs protect the confidentiality of the information they manipulate. As such, we also implemented a prototype typechecker that can be found at http://ctp.di.fct.unl.pt/DIFTprototype/.

Reporting cash flow evidence from campanies listed in the Euronext Lisbon

Based on the 2013 and 2014 consolidated statements of cash flows of companies listed in Euronext Lisbon, this Work Project analyses the cash flow disclosures, namely if they are in accordance with International Accounting Standards 7, specifically the format, the choice of classification interests, dividends paid and received and the composition of cash and cash equivalents. Additionally, quality of income ratio is analyzed due to its importance for users of financial statements. The results show evidence of uniformity and consistency in the use of the direct method for reporting operational activities in both years, but there are some differences regarding the disclosure of interests and dividends, paid and received, respectively.

Aplicação da teoria das opções reais em análise de projetos estratégicos: um estudo de caso sobre o valor da opção de prosseguir com os investimentos no programa de desenvolvimento de submarinos da Marinha do Brasil

Dissertação de mestrado em Estudos de Gestão

Time-dependent flexural behaviour of cracked steel fibre reinforced self-compacting concrete panels

In the present work are described and discussed the results of an extensive experimental program that aims to study the long-term behaviour of cracked steel fibre reinforced self-compacting concrete, SFRSCC, applied in laminar structures. In a first stage, the influence of the initial crack opening level (wcr = 0.3 and 0.5 mm), applied stress level, fibre orientation/dispersion and distance from the casting point, on the flexural creep behaviour of SFRSCC was investigated. Moreover, in order to evaluate the effects of the creep phenomenon on the residual flexural strength, a series of monotonic tests were also executed. It was found that wcr = 0.5 mm series showed a higher creep coefficient comparing to the series with a lower initial crack opening. Furthermore, the creep performance of the SFRSCC was influenced by the orientation of the extracted prismatic specimens regarding the direction of the concrete flow within the cast panel.

Eco-efficient self-compacting concrete with reduced Portland cement content and high volume of fly ash and metakaolin

The eco-efficient, self-compacting concrete (SCC) production, containing low levels of cement in its formulation, shall contribute for the constructions' sustainability due to the decrease in Portland cement use, to the use of industrial residue, for beyond the minimization of the energy needed for its placement and compaction. In this context, the present paper intends to assess the viability of SCC production with low cement levels by determining the fresh and hardened properties of concrete containing high levels of fly ash (FA) and also metakaolin (MK). Hence, 6 different concrete formulations were produced and tested: two reference concretes made with 300 and 500 kg/m3 of cement; the others were produced in order to evaluate the effects of high replacement levels of cement. Cement replacement by FA of 60% and by 50% of FA plus 20% of MK were tested and the addition of hydrated lime in these two types of concrete were also studied. To evaluate the self-compacting ability slump flow test, T500, J-ring, V-funnel and L-box were performed. In the hardened state the compressive strength at 3, 7, 14, 21, 28 and 90 days of age was determined. The results showed that it is possible to produce low cement content SCC by replacing high levels of cement by mineral additions, meeting the rheological requirements for self-compacting, with moderate resistances from 25 to 30 MPa after 28 days.

Dispersion and re-agglomeration of graphite nanoplates in polypropylene melts under controlled flow conditions

The kinetics of GnP dispersion in polypropylene melt was studied using a prototype small scale modular extensional mixer. Its modular nature enabled the sequential application of a mixing step, melt relaxation, and a second mixing step. The latter could reproduce the flow conditions on the first mixing step, or generate milder flow conditions. The effect of these sequences of flow constraints upon GnP dispersion along the mixer length was studied for composites with 2 and 10 wt.% GnP. The samples collected along the first mixing zone showed a gradual decrease of number and size of GnP agglomerates, at a rate that was independent of the flow conditions imposed to the melt, but dependent on composition. The relaxation zone induced GnP re-agglomeration, and the application of a second mixing step caused variable dispersion results that were largely dependent on the hydrodynamic stresses generated.

Analytical and numerical study of the electro-osmotic annular flow of viscoelastic fluids

In this work we present semi-analytical solutions for the electro-osmotic annular flow of viscoelastic fluids modeled by the Linear and Exponential PTT models. The viscoelastic fluid flows in the axial direction between two concentric cylinders under the combined influences of electrokinetic and pressure forcings. The analysis invokes the Debye-Hückel approximation and includes the limit case of pure electro-osmotic flow. The solution is valid for both no slip and slip velocity at the walls and the chosen slip boundary condition is the linear Navier slip velocity model. The combined effects of fluid rheology, electro-osmotic and pressure gradient forcings on the fluid velocity distribution are also discussed.

Annular flow of viscoelastic fluids: Analytical and numerical solutions

This work provides analytical and numerical solutions for the linear, quadratic and exponential Phan–Thien–Tanner (PTT) viscoelastic models, for axial and helical annular fully-developed flows under no slip and slip boundary conditions, the latter given by the linear and nonlinear Navier slip laws. The rheology of the three PTT model functions is discussed together with the influence of the slip velocity upon the flow velocity and stress fields. For the linear PTT model, full analytical solutions for the inverse problem (unknown velocity) are devised for the linear Navier slip law and two different slip exponents. For the linear PTT model with other values of the slip exponent and for the quadratic PTT model, the polynomial equation for the radial location (β) of the null shear stress must be solved numerically. For both models, the solution of the direct problem is given by an iterative procedure involving three nonlinear equations, one for β, other for the pressure gradient and another for the torque per unit length. For the exponential PTT model we devise a numerical procedure that can easily compute the numerical solution of the pure axial flow problem

Weld lines in extrusion: Understanding the role of the flow conditions

This work reports the implemen tation and verification of a new so lver in OpenFOAM® open source computational library, able to cope w ith integral viscoelastic models based on the integral upper-convected Maxwell model. The code is verified through the comparison of its predictions with anal ytical solutions and numerical results obtained with the differential upper-convected Maxwell model

A sixth-order finite volume method for the 1D biharmonic operator: application to intramedullary nail simulation

A new very high-order finite volume method to solve problems with harmonic and biharmonic operators for one- dimensional geometries is proposed. The main ingredient is polynomial reconstruction based on local interpolations of mean values providing accurate approximations of the solution up to the sixth-order accuracy. First developed with the harmonic operator, an extension for the biharmonic operator is obtained, which allows designing a very high-order finite volume scheme where the solution is obtained by solving a matrix-free problem. An application in elasticity coupling the two operators is presented. We consider a beam subject to a combination of tensile and bending loads, where the main goal is the stress critical point determination for an intramedullary nail.