The optimal sample allocation problem for mapped outputs

Abstract not available

Optimal Budget-Constrained Sample Allocation for Selection Decisions with Multiple Uncertain Attributes

A decision-maker, when faced with a limited and fixed budget to collect data in support of a multiple attribute selection decision, must decide how many samples to observe from each alternative and attribute. This allocation decision is of particular importance when the information gained leads to uncertain estimates of the attribute values as with sample data collected from observations such as measurements, experimental evaluations, or simulation runs. For example, when the U.S. Department of Homeland Security must decide upon a radiation detection system to acquire, a number of performance attributes are of interest and must be measured in order to characterize each of the considered systems. We identified and evaluated several approaches to incorporate the uncertainty in the attribute value estimates into a normative model for a multiple attribute selection decision. Assuming an additive multiple attribute value model, we demonstrated the idea of propagating the attribute value uncertainty and describing the decision values for each alternative as probability distributions. These distributions were used to select an alternative. With the goal of maximizing the probability of correct selection we developed and evaluated, under several different sets of assumptions, procedures to allocate the fixed experimental budget across the multiple attributes and alternatives. Through a series of simulation studies, we compared the performance of these allocation procedures to the simple, but common, allocation procedure that distributed the sample budget equally across the alternatives and attributes. We found the allocation procedures that were developed based on the inclusion of decision-maker knowledge, such as knowledge of the decision model, outperformed those that neglected such information. Beginning with general knowledge of the attribute values provided by Bayesian prior distributions, and updating this knowledge with each observed sample, the sequential allocation procedure performed particularly well. These observations demonstrate that managing projects focused on a selection decision so that the decision modeling and the experimental planning are done jointly, rather than in isolation, can improve the overall selection results.

An iterated sample construction with path relinking method: Application to switch allocation in electrical distribution networks

We present a metaheuristic approach which combines constructive heuristics and local searches based on sampling with path relinking. Its effectiveness is demonstrated by an application to the problem of allocating switches in electrical distribution networks to improve their reliability. Our approach also treats the service restoration problem, which has to be solved as a subproblem, to evaluate the reliability benefit of a given switch allocation proposal. Comparisons with other metaheuristics and with a branch-and-bound procedure evaluate its performance. © 2012 Published by Elsevier Ltd.

The role of dispersion into assets allocation

Dispersion of returns has gained a lot of attention as a measure to distinguish good and bad investment opportunities time. In the following dissertation, the cross-sectional returns volatility is analyzed over a fifteen year period across the S&P100 Index composition. The main inference drawn from the data sample is that the canonical measure of dispersion is highly macro-risk driven and therefore more biased towards returns volatility rather than its correlation component.

Knowledge of Catalan, public/private sector choice and earnings: Evidence from a double sample selection model

This paper explores the earnings return to Catalan knowledge for public and private workers in Catalonia. In doing so, we allow for a double simultaneous selection process. We consider, on the one hand, the non-random allocation of workers into one sector or another, and on the other, the potential self-selection into Catalan proficiency. In addition, when correcting the earnings equations, we take into account the correlation between the two selectivity rules. Our findings suggest that the apparent higher language return for public sector workers is entirely accounted for by selection effects, whereas knowledge of Catalan has a significant positive return in the private sector, which is somewhat higher when the selection processes are taken into account.

Financial Repression in a Natural Experiment: Loan Allocation and the Change in the Usury Laws in 1714

If financial deepening aids economic growth, then financial repression should be harmful. We use a natural experiment – the change in the English usury laws in 1714 – to analyze the effects of interest rate restrictions. We use a sample of individual loan transactions to demonstrate how the reduction of the legal maximum rate of interest affected the supply and demand for credit. Average loan size and minimum loan size increased strongly, and access to credit worsened for those with little ‘social capital.’ While we have no direct evidence that loans were misallocated, the discontinuity in loan receipts makes this highly likely. We conclude that financial repression can undermine the positive effects of financial deepening.

Interest rate restrictions in a natural experiment: loan allocation and the change in the usury laws in 1714

This article studies the effects of interest rate restrictions on loan allocation. The British governmenttightened the usury laws in 1714, reducing the maximum permissible interest rate from 6% to5%. A sample of individual loan transactions reveals that average loan size and minimum loan sizeincreased strongly, while access to credit worsened for those with little social capital. Collateralisedcredits, which had accounted for a declining share of total lending, returned to their former role ofprominence. Our results suggest that the usury laws distorted credit markets significantly; we findno evidence that they offered a form of Pareto-improving social insurance.

A Reappraisal of the Allocation Puzzle through the Portfolio Approach

Paradoxically, high-growth, high-investment developing countries tend to experience capital outflows. This paper shows that this allocation puzzle can be explained simply by introducing uninsurable idiosyncratic investment risk in the neoclassical growth model with international trade in bonds, and by taking into account not only TFP catch-up, but also the capital wedge, that is, the distortions on the return to capital. The model fits the two following facts, documented on a sample of 67 countries between 1980 and 2003: (i) TFP growth is positively correlated with capital outflows in a sample including creditor countries; (ii) the long-run level of capital per efficient unit of labor is positively correlated with capital outflows. Consistently, we show that the capital flows predicted by the model are positively correlated with the actual ones in this sample once the capital wedge is accounted for. The fact that Asia dominates global imbalances can be explained by its relatively low capital wedge.

PERFORMANCE ANALYSIS OF A TACTICAL ASSET ALLOCATION – Evidence from the Black–Litterman model based fixed income portfolio

Over time the demand for quantitative portfolio management has increased among financial institutions but there is still a lack of practical tools. In 2008 EDHEC Risk and Asset Management Research Centre conducted a survey of European investment practices. It revealed that the majority of asset or fund management companies, pension funds and institutional investors do not use more sophisticated models to compensate the flaws of the Markowitz mean-variance portfolio optimization. Furthermore, tactical asset allocation managers employ a variety of methods to estimate return and risk of assets, but also need sophisticated portfolio management models to outperform their benchmarks. Recent development in portfolio management suggests that new innovations are slowly gaining ground, but still need to be studied carefully. This thesis tries to provide a practical tactical asset allocation (TAA) application to the Black–Litterman (B–L) approach and unbiased evaluation of B–L models’ qualities. Mean-variance framework, issues related to asset allocation decisions and return forecasting are examined carefully to uncover issues effecting active portfolio management. European fixed income data is employed in an empirical study that tries to reveal whether a B–L model based TAA portfolio is able outperform its strategic benchmark. The tactical asset allocation utilizes Vector Autoregressive (VAR) model to create return forecasts from lagged values of asset classes as well as economic variables. Sample data (31.12.1999–31.12.2012) is divided into two. In-sample data is used for calibrating a strategic portfolio and the out-of-sample period is for testing the tactical portfolio against the strategic benchmark. Results show that B–L model based tactical asset allocation outperforms the benchmark portfolio in terms of risk-adjusted return and mean excess return. The VAR-model is able to pick up the change in investor sentiment and the B–L model adjusts portfolio weights in a controlled manner. TAA portfolio shows promise especially in moderately shifting allocation to more risky assets while market is turning bullish, but without overweighting investments with high beta. Based on findings in thesis, Black–Litterman model offers a good platform for active asset managers to quantify their views on investments and implement their strategies. B–L model shows potential and offers interesting research avenues. However, success of tactical asset allocation is still highly dependent on the quality of input estimates.

Gender differences in time allocation of poor children in Colombia

This paper studies the effect of credit constraints and constraints on transfers between parents and children, on differences in labor and schooling across children within the same household, with an application to gender. When families are unconstrained in these respects, differences in labor supply or education are driven by differences in wages or returns to education. If the family faces an imperfect capital market, the labor supply of each child is inefficient, but differences across children are still driven by comparative advantage. However, if interfamily transfers are constrained so that parents cannot offset inequality between their children, they will favor the human capital accumulation of the more disadvantaged child -generally the one who works more as a child. We use our theory to examine the gender gap in child labor. Using a sample of poor families in Colombia, we conform our predictions among rural households, although this is less clear for urban households. The gender gap is largely explained by the wage gap between girls and boys. Moreover, families with the potential to make capital transfers to adult children (e.g. those with large animals), can compensate adult sons for their greater child labor and reduced educational attainment. In such families, as predicted, the male/female labor gap is greater.

Sex allocation in the polydomous leaf-cutting ant Acromyrmex balzani

Logistic regression analysis was used to analyse sex allocation in a population of the leaf-cutting ant Acromyrmex balzani occurring in a pasture in southern Brazil. The field sample consisted of 151 fungus-garden chambers (18 queenright and 133 queenless), belonging to 50 nests with three vertically stacked chambers per nest on average. Taking nest chamber as the unit of analysis, seven predictor variables were considered: sampling date, chamber depth, chamber volume, weight of fungus garden, presence of a queen, number of large workers, and number of small to medium workers. The population-level numerical proportion of females was 0.548 and the inferred proportional energetic investment in females 0.672. The former was not significantly different from 0.5 (P=0.168), but the latter was (P=0.0003). The proportional investment in females per fungus garden increased with the number of large workers present (P=0.0002) and decreased with the dry weight of the fungus garden (P=0.012). This implies that resource acquisition through foraging is likely to be a major proximate determinant of sex allocation. The negative correlation between female bias and fungus garden weight might be due to developing adult females requiring more food than males, but this hypothesis could not be confirmed by direct statistical evidence.

Allocation of the costs of transmission losses

An analysis of the performance of six major methods of loss allocation for generators and demands was conducted, based on pro-rata (two), on incremental factors (two), on proportional sharing (PS) (one), and on electric circuit theory (one). Using relatively simple examples which can easily be checked, the advantages and disadvantages of each were ascertained and the results confirmed using a larger sample system (IEEE-118). The discussion considers the location and size of generators and demands, as well as the merits of the location of these agents for each configuration based on an analysis of the effect of various network modifications. Furthermore, an application in the South-Southeastern Brazilian Systems is performed. Conclusions and recommendations are presented. (C) 2004 Elsevier B.V. All rights reserved.

What is the influence of randomisation sequence generation and allocation concealment on treatment effects of physical therapy trials? A meta-epidemiological study.

OBJECTIVE To determine if adequacy of randomisation and allocation concealment is associated with changes in effect sizes (ES) when comparing physical therapy (PT) trials with and without these methodological characteristics. DESIGN Meta-epidemiological study. PARTICIPANTS A random sample of randomised controlled trials (RCTs) included in meta-analyses in the PT discipline were identified. INTERVENTION Data extraction including assessments of random sequence generation and allocation concealment was conducted independently by two reviewers. To determine the association between sequence generation, and allocation concealment and ES, a two-level analysis was conducted using a meta-meta-analytic approach. PRIMARY AND SECONDARY OUTCOME MEASURES association between random sequence generation and allocation concealment and ES in PT trials. RESULTS 393 trials included in 43 meta-analyses, analysing 44 622 patients contributed to this study. Adequate random sequence generation and appropriate allocation concealment were accomplished in only 39.7% and 11.5% of PT trials, respectively. Although trials with inappropriate allocation concealment tended to have an overestimate treatment effect when compared with trials with adequate concealment of allocation, the difference was non-statistically significant (ES=0.12; 95% CI -0.06 to 0.30). When pooling our results with those of Nuesch et al, we obtained a pooled statistically significant value (ES=0.14; 95% CI 0.02 to 0.26). There was no difference in ES in trials with appropriate or inappropriate random sequence generation (ES=0.02; 95% CI -0.12 to 0.15). CONCLUSIONS Our results suggest that when evaluating risk of bias of primary RCTs in PT area, systematic reviewers and clinicians implementing research into practice should pay attention to these biases since they could exaggerate treatment effects. Systematic reviewers should perform sensitivity analysis including trials with low risk of bias in these domains as primary analysis and/or in combination with less restrictive analyses. Authors and editors should make sure that allocation concealment and random sequence generation are properly reported in trial reports.

Ocean acidification induces multi-generational decline in copepod naupliar production with possible conflict for reproductive resource allocation

Climate change, including ocean acidification (OA), presents fundamental challenges to marine biodiversity and sustained ecosystem health. We determined reproductive response (measured as naupliar production), cuticle composition and stage specific growth of the copepod Tisbe battagliai over three generations at four pH conditions (pH 7.67, 7.82, 7.95, and 8.06). Naupliar production increased significantly at pH 7.95 compared with pH 8.06 followed by a decline at pH 7.82. Naupliar production at pH 7.67 was higher than pH 7.82. We attribute the increase at pH 7.95 to an initial stress response which was succeeded by a hormesis-like response at pH 7.67. A multi-generational modelling approach predicted a gradual decline in naupliar production over the next 100 years (equivalent to approximately 2430 generations). There was a significant growth reduction (mean length integrated across developmental stage) relative to controls. There was a significant increase in the proportion of carbon relative to oxygen within the cuticle as seawater pH decreased. Changes in growth, cuticle composition and naupliar production strongly suggest that copepods subjected to OA-induced stress preferentially reallocate resources towards maintaining reproductive output at the expense of somatic growth and cuticle composition. These responses may drive shifts in life history strategies that favour smaller brood sizes, females and perhaps later maturing females, with the potential to profoundly destabilise marine trophodynamics.

Reference Values For High-density Lipoprotein Particle Size And Volume By Dynamic Light Scattering In A Brazilian Population Sample And Their Relationships With Metabolic Parameters.

Current data indicate that the size of high-density lipoprotein (HDL) may be considered an important marker for cardiovascular disease risk. We established reference values of mean HDL size and volume in an asymptomatic representative Brazilian population sample (n=590) and their associations with metabolic parameters by gender. Size and volume were determined in HDL isolated from plasma by polyethyleneglycol precipitation of apoB-containing lipoproteins and measured using the dynamic light scattering (DLS) technique. Although the gender and age distributions agreed with other studies, the mean HDL size reference value was slightly lower than in some other populations. Both HDL size and volume were influenced by gender and varied according to age. HDL size was associated with age and HDL-C (total population); non- white ethnicity and CETP inversely (females); HDL-C and PLTP mass (males). On the other hand, HDL volume was determined only by HDL-C (total population and in both genders) and by PLTP mass (males). The reference values for mean HDL size and volume using the DLS technique were established in an asymptomatic and representative Brazilian population sample, as well as their related metabolic factors. HDL-C was a major determinant of HDL size and volume, which were differently modulated in females and in males.