1000 resultados para Markowitz solution


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This work deals with the numerical simulation of air stripping process for the pre-treatment of groundwater used in human consumption. The model established in steady state presents an exponential solution that is used, together with the Tau Method, to get a spectral approach of the solution of the system of partial differential equations associated to the model in transient state.

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To date, glass fibre reinforced polymer (GFRP) waste recycling is very limited and restricted by thermoset nature of binder matrix and lack of economically viable enduse applications for the recyclates. In this study, efforts were made in order to recycle grinded GFRP waste proceeding from pultrusion production scrap, into new and sustainable composite materials. For this purpose, GFRP waste recyclates, a mix of powdered and fibrous materials, were incorporated into polyester based mortars as fine aggregate and filler replacements, at different load contents (between 4% up to 12% of total mass) and particle size distributions. Potential recycling solution was assessed by mechanical behaviour of resultant GFRP waste modified polymer mortars. Test results revealed that GFRP waste filled polymer mortars present improved flexural and compressive behaviour over unmodified polyester based mortars, thus indicating the feasibility of GFRP waste reuse in concrete-polymer composites.

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This work deals with the numerical simulation of air stripping process for the pre-treatment of groundwater used in human consumption. The model established in steady state presents an exponential solution that is used, together with the Tau Method, to get a spectral approach of the solution of the system of partial differential equations associated to the model in transient state.

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Trabalho final de Mestrado para obtenção do grau de Mestre em Engenharia de Electrónica e Telecomunicações

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An intensive use of dispersed energy resources is expected for future power systems, including distributed generation, especially based on renewable sources, and electric vehicles. The system operation methods and tool must be adapted to the increased complexity, especially the optimal resource scheduling problem. Therefore, the use of metaheuristics is required to obtain good solutions in a reasonable amount of time. This paper proposes two new heuristics, called naive electric vehicles charge and discharge allocation and generation tournament based on cost, developed to obtain an initial solution to be used in the energy resource scheduling methodology based on simulated annealing previously developed by the authors. The case study considers two scenarios with 1000 and 2000 electric vehicles connected in a distribution network. The proposed heuristics are compared with a deterministic approach and presenting a very small error concerning the objective function with a low execution time for the scenario with 2000 vehicles.

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Teaching robotics to students at the beginning of their studies has become a huge challenge. Simulation environments can be an effective solution to that challenge where students can interact with simulated robots and have the first contact with robotic constraints. From our previous experience with simulation environments it was possible to observe that students with lower background knowledge in robotics where able to deal with a limited number of constraints, implement a simulated robotic platform and study several sensors. The question is: after this first phase what should be the best approach? Should the student start developing their own hardware? Hardware development is a very important part of an engineer's education but it can also be a difficult phase that could lead to discouragement and loss of motivation in some students. Considering the previous constraints and first year engineering students’ high abandonment rate it is important to develop teaching strategies to deal with this problem in a feasible way. The solution that we propose is the integration of a low-cost standard robotic platform WowWee Rovio as an intermediate solution between the simulation phase and the stage where the students can develop their own robots. This approach will allow the students to keep working in robotic areas such as: cooperative behaviour, perception, navigation and data fusion. The propose approach proved to be a motivation step not only for the students but also for the teachers. Students and teachers were able to reach an agreement between the level of demand imposed by the teachers and satisfaction/motivation of the students.

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Com o presente relatório pretende-se descrever o estágio curricular realizado na entidade Smarteurope – Funding Solution Company, Lda. entre Fevereiro e Dezembro de 2015, entidade que se dedica à prestação de serviços de consultoria e gestão. Este relatório está estruturado em 4 partes fundamentais: enquadramento teórico, apresentação, caracterização e descrição do contexto da organização; descrição das atividades realizadas; e por último a conclusão e reflexão sobre as competências adquiridas.

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The evolution of mobile technologies that make its presence something ubiquitous and the idea of internet connectivity in every device, often called as the Internet of Things, are pushing a disruption in other industry: the in-vehicle infotainment (IVI). Many companies are trying to enter this new industry that comprises information (weather, news, location services) and entertainment solutions in just one. For that purpose, company X developed a new entertainment solution and intends to bring it to market. This Work Project focuses on creating a business model and an entry mode for the company.

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Companies seeking to continue growing and developing need to consider the possibility of international expansion and what that represents to their future. To tackle this challenge it becomes necessary to establish the company’s interests and priorities as well as defining and assessing the foreign market opportunities of a specific industry. This directed research internship proposes and conducts a simulation of the preliminary foreign market assessment and selection within the Juncker Plan: country filtering and ranking having as a frame of reference the second largest construction company in Brazil, Andrade Gutierrez.

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Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.