Dissertations / Theses on the topic 'Linear Assets'

Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model equilibrium methodology, whereby stock returns are forecasted using macroeconomic variables, in particular the dividend yield and price-earnings ratio. The forecasting exercise revealed the presence of non-linear predictability for all data periods considered, and confirmed an improvement of predictability for long-horizon data. Finally, the present value model approach is applied to the housing market, whereby the house price returns are forecasted using a price-earnings ratio as a measure of fundamental levels of prices. Findings revealed that the UK housing market appears to be characterised with asymmetric non-linear dynamics, and a clear preference for the asymmetric ESTAR model in terms of forecasting accuracy.

This Master Thesis in General Management aims on defining the relationship between a country's degree of development and household asset management in the European Union. Both of the variables are defined by relevant sub-variables where the relationships are being observed. There were used datasets gathered by respected European Statistical Agency Eurostat for 2019. Master Thesis focuses on the European Union area and it aims at defining the crucial relationships between the variables in order to draw the conclusions that would help in pursuing the degree of development in different countries. In the Master Thesis, we were using quantitative research reflecting on the statistically expressed relationships using the correlation pattern. There were used 29 numbers for each of the variables representing the total number of European Union members in 2019 (28) plus the European Union average. There were found statistically significant relationships based on which we were able to define a proper generalization together with the causation pattern for the European Union countries and households.

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Segundo Jensen (1968), a indÃstria de fundos mÃtuos de investimento, cuja expansÃo està prevista teoricamente pelo Teorema da SeparaÃÃo enunciado em Sharpe (1964), teria limitaÃÃes no sentido de bater o mercado em termos de performance risco-retorno mensurada pelo alfa de Jensen. Nesta ampla discussÃo, esta dissertaÃÃo se posiciona em sugerir um exercÃcio empÃrico aplicado a um cross-section contendo 243 fundos de investimentos em aÃÃes, categoria Ibovespa Ativo, o qual visa identificar que variÃveis financeiras, contÃbeis e administrativas se mostram capazes de prever no ano seguinte o sinal e a significÃncia do alfa de Jensen. Foram extraÃdos retornos diÃrios para todos os fundos nos anos de 2011 e 2012, e calculadas mÃtricas clÃssicas de retorno, risco e performance, bem como os 24 balancetes mensais e informaÃÃes administrativas do perÃodo em questÃo. Metodologicamente, as variÃveis explicativas consistem em estatÃsticas descritivas obtidas a partir de dados financeiros diÃrios e contÃbeis mensais, enquanto as performances a serem modeladas sÃo estimadas por meio do Capital Asset Pricing Model (CAPM). Dessa maneira, foi possÃvel ordenar os fundos em trÃs grupos, composto por Loosers, Draw e Winners, de acordo com suas performances em relaÃÃo ao Ãndice Ibovespa. Sendo assim, foi identificado que apenas 71 dos fundos foram capazes de performar melhor que o Ãndice Ibovespa durante o ano de 2012. Os resultados obtidos com a estimaÃÃo do arcabouÃo de Probit ordenado sugerem que fundos com maiores performances mensuradas pelos alfa de Jensen e Ãndices de Calmar e Sortino, associados a menores taxas de administraÃÃo, tendem a bater o mercado no ano seguinte. Entretanto, mÃtricas clÃssicas como desvio-padrÃo, taxa de performance e Ãndice de Sharpe (1964) nÃo se mostraram significantes. O modelo sugere, tambÃm, que a variÃvel Drawdown seja apresentada como mÃtrica eficiente de mensuraÃÃo de risco.
According to Jensen (1968), the mutual funds industry expansion is theoretically predicted by the Separation Theorem stated by Sharpe (1964), however with limitations in order to exceed the market in terms of risk-return performance measured by Jensen's alpha. In this broad discussion, this dissertation suggest an empirical exercise applied to a cross-section containing 243 stock funds, within the Ibovespa Active category, which aims to identify which financial, accounting and administrative variables are capable to predict the next year's value and the significance of the Jensen's alpha. Daily returns were extracted for all funds in 2011 and 2012, and were calculated classic metrics such as return, risk and performance. There were also extracted 24 monthly accounting balances and administrative informations for the period in question. Methodologically, the explanatory variables consist of descriptive statistics obtained from daily financial data and monthly accounting data, while the performances to be modeled are estimated using the Capital Asset Pricing Model (CAPM). Using this technic it was possible divide the funds into three groups, consisting of Loosers, Draw and Winners, according to their performances in relation to the Ibovespa index. Thus, it was discovered that only 71 funds were able to perform better than the Ibovespa Index during the year 2012. The estimation results of the ordered probit framework suggests that funds with higher performances measured by the Jensen's Alpha and with higher Sortino and Calmar ratios, associated with lower management fees tend to surpass the market in the next year. However, classical metrics like standard deviation, performance fees and Sharpe ratio (1964) were not significant. The model also suggests that the drawdown variable should be used as an efficient risk metric.

We consider the problem of calculating tail probabilities of the returns of linear asset portfolios. As flexible and accurate model for the logarithmic returns we use the $t$-copula dependence structure and marginals following the generalized hyperbolic distribution. Exact calculation of the tail-loss probabilities is not possible and even simulation leads to challenging numerical problems. Applying a new numerical inversion method for the generation of the marginals and importance sampling with carefully selected mean shift we develop an efficient simulation algorithm. Numerical results for a variety of realistic portfolio examples show an impressive performance gain. (author´s abstract)
Series: Research Report Series / Department of Statistics and Mathematics

One of the principal observations derived from GNSS (Global Navigation Satellite Systems) signals is ionospheric total electron content (TEC), which is a measure of the density of free electrons (i.e. ionosphere plasma density) integrated along the signal path. TEC is typically computed using the difference of dual-frequency signals from a GNSS satellite, thereby taking advantage of the frequency dispersive effects of ionosphere plasma on microwave-band propagation. However, it is difficult to distinguish between the ionosphere and other frequency-dependent effects, such as multipath and satellite antenna phase effects. Newly available triple-frequency GNSS signals allow computation of geometry-ionosphere-free combinations (GIFC) that specifically highlight the impact of residual errors from these effects. This work aims to: 1) introduce a framework for choosing linear estimator coefficients for GNSS parameters, 2) use this system to derive triple-frequency TEC estimator and GIFC coefficients, 3) introduce and summarize typical GIFC signals from real triple-frequency GPS data, 4) highlight the various frequency-dispersive effects that pervade these signals, and 5) use statistics from GIFC signals to assess the impact of error residuals on TEC estimates made using GPS signals.

Perturbation experiments for example using RNA interference (RNAi) offer an attractive way to elucidate gene function in a high throughput fashion. The placement of hit genes in their functional context and the inference of underlying networks from such data, however, are challenging tasks. One of the problems in network inference is the exponential number of possible network topologies for a given number of genes. Here, we introduce a novel mathematical approach to address this question. We formulate network inference as a linear optimization problem, which can be solved efficiently even for large-scale systems. We use simulated data to evaluate our approach, and show improved performance in particular on larger networks over state-of-the art methods. We achieve increased sensitivity and specificity, as well as a significant reduction in computing time. Furthermore, we show superior performance on noisy data. We then apply our approach to study the intracellular signaling of human primary nave CD4+ T-cells, as well as ErbB signaling in trastuzumab resistant breast cancer cells. In both cases, our approach recovers known interactions and points to additional relevant processes. In ErbB signaling, our results predict an important role of negative and positive feedback in controlling the cell cycle progression.

Perturbation experiments for example using RNA interference (RNAi) offer an attractive way to elucidate gene function in a high throughput fashion. The placement of hit genes in their functional context and the inference of underlying networks from such data, however, are challenging tasks. One of the problems in network inference is the exponential number of possible network topologies for a given number of genes. Here, we introduce a novel mathematical approach to address this question. We formulate network inference as a linear optimization problem, which can be solved efficiently even for large-scale systems. We use simulated data to evaluate our approach, and show improved performance in particular on larger networks over state-of-the art methods. We achieve increased sensitivity and specificity, as well as a significant reduction in computing time. Furthermore, we show superior performance on noisy data. We then apply our approach to study the intracellular signaling of human primary nave CD4+ T-cells, as well as ErbB signaling in trastuzumab resistant breast cancer cells. In both cases, our approach recovers known interactions and points to additional relevant processes. In ErbB signaling, our results predict an important role of negative and positive feedback in controlling the cell cycle progression.

Small and medium-sized enterprises (SMEs) have long been considered the backbone in any country’s economy for their contribution to growth and prosperity. It is therefore of great importance that the government and legislators adopt policies that optimise the success of SMEs. Recent concerns of an impending recession has made this topic even more relevant since small companies will have greater difficulty withstanding such an event. This thesis will focus on the effects of macroeconomic factors on SMEs in Sweden, with the usage of multiple linear regression. Data was collected for a 10 year period, from 2009 to 2019 at a monthly interval. The end result was a five variable model with an coefficient of determination of 98%.
Små- och medelstora företag (SMEs) har länge varit ansedda som en av de viktigaste komponenterna i ett lands ekonomi, främst för deras bidrag till tillväxt och framgång. Det är därför mycket viktigt att regeringar och lagstiftare för en politik som främjar SMEs optimala tillväxt. Flera år av högkonjunktur och oro över kommande lågkonjunktur har gjort detta ämne ytterst relevant då små företag är de som kommer att drabbas värst av en svårare ekonomisk tillvaro. Denna rapport använder multipel linjär regression för att utvärdera effekterna av olika makroekonomiska faktorer på SMEs i Sverige. Data har insamlats månadsvis för en 10 årsperiod mellan 2009 till 2010. Resultatet blev en modell med fem variabler och en förklaringsgrad på 98%.

Il gas naturale è per eccellenza il combustibile di transizione verso una nuova visione dell’energia, che ci traghetterà verso una diminuzione dei consumi di combustibili fossili e di emissioni in aria di anidride carbonica. Affinché si possa trasportare il gas per lunghe distanze, è necessario comprimerlo ad elevate pressioni e l’energia spesa, che non interessa l’utente finale ma che viene pagata, tutt’oggi è dissipata attraverso dei semplici processi di laminazione che richiedono il preriscaldamento del gas per evitare la formazione di idrati, pericolosi per le utenze a valle delle centrali di riduzione. Il salto di pressione può essere sfruttato utilizzando un sistema di turbo-espansione affinché si possa recuperare l’energia meccanica e quindi elettrica attraverso dei generatori collegati all’albero. In questo caso è previsto un sistema di riscaldamento più articolato delle attuali configurazioni. Questa tesi presenta una simulazione di un modello in grado di analizzare il processo appena descritto, valutando gli aspetti energetici ed economici, garantendo la possibilità di ottenere i benefici della normativa CAR. In particolare, sono state confrontate tre differenti configurazioni per il riscaldamento del gas all’ingresso degli stadi di espansione, una caldaia a gas naturale adibita al riscaldamento del metano per la sola espansione, una caldaia in assetto cogenerativo con produzione di calore utile ed un gruppo di cogenerazione applicate ad un caso reale. Si sono ottenuti risparmi annui di energia primaria notevoli per gli ultimi due scenari e una considerevole diminuzione di emissione di anidride carbonica. In fine si è valutato il potenziale recupero energetico che si otterrebbe se ogni impianto industriale e di produzione elettrica del Paese fosse fornito di un sistema simile a quello analizzato nello studio, arrivando a calcolare l’eventuale energia primaria risparmiata e il contributo all’efficientamento energetico.

This research compares methods for measuring pilot mental workload (MWL) from the electrocardiogram (ECG) signal. ECG-based metrics have been used extensively in MWL research. Heart rate (HR) and heart-rate variability (HRV) exhibit changes in response to varying levels of task demand. Classical methods for HRV analysis examine the ECG signal in the linear time and frequency domains. More contemporary research has advanced the notion that nonlinear elements contribute to cardiac control and ECG signal generation, spawning development of analytical techniques borrowed from the domain of nonlinear dynamics (NLD). Applications of nonlinear HRV analysis are substantial in clinical diagnosis settings; however, such applications are less frequent in MWL research, especially in the aviation domain. Specifically, the relative utility of linear and non-linear HRV analysis methods has not been fully assessed in pilot MWL research. This thesis contributes to aforementioned research gap by comparing a non-linear HRV method, utilizing transition probability variances (TPV), to classical time and frequency domain methods, focusing the analysis on sensitivity and diagnosticity. ECG data is harvested from a recent study characterizing spatial disorientation (SDO) risk amongst three candidate off-boresight (OBS) helmet-mounted display (HMD) symbologies in a tactically relevant live-flight task. A comparative analysis of methods on this dataset and supplemental workload analysis for the HMD study are presented. Results indicate the TPV method may exhibit higher sensitivity and diagnosticity than classical methods. However, limitations of this analysis warrant further investigation into this question.

This thesis investigates if Environmental, Social and Governance (ESG) investments can be considered as an independent asset class. As ESG and responsible investing has increased substantially in recent years, responsible investments have entered the portfolios with other asset classes too. Therefore, there is a need in studying ESG investment properties with other financial asset classes. By collecting daily price data from October 2007 to December 2018, we research the directionalities between ESG, ethical, conventional, commodities and currency. Initially, we employed a MODWT, multiscale investment horizon wavelet analysis transformation of the data. The decomposed wavelet data is then applied in pairwise linear and non-linear Granger causality estimations to study the directionality relationships dependent on investment horizon. Additionally, econometric filtering processes have been employed to study the effects of volatility on directionality relationships. The results mainly suggest significant directionality relationships between ESG and the other asset classes. On the medium-term investment horizon, almost all estimations indicate strict bidirectionality. Thus, on the medium-term, ESG can be said to be integrated with the other asset classes. For the long-term horizon, most relationships are still predominantly bidirectional between ESG and all other asset classes. The biggest differences are found on the short-term horizon, with no directionality found between ESG and commodities that cannot be explained by volatility. Furthermore, most directionality relationships also disappear when controlling for the volatility transmission between ESG and currency on the short-term horizon. Thus, our findings suggest significantly more integration between ESG and ethical and conventional as bidirectionality overwhelmingly prevails regardless of investment horizon. As previous research has found similarities between ethical and conventional as well as ESG having similar characteristics to commodities as conventional and ethical, we suggest that ESG should be considered as being integrated and having strong similarities with other equities. Thus, it should be treated as being part of the conventional equity asset class. Deviations from bidirectionality could be caused by ESG variable specific heterogeneity. However, despite our rejection of ESG as an independent asset class, it still carries significant potential as it excludes firms with climate-harming practices, thereby helping in combating climate-related as well as social and governance issues the world is facing.

This thesis is concerned with the mathematical analysis of electricity and carbon emission markets. We introduce a novel, versatile and tractable stochastic framework for the joint price formation of electricity spot prices and allowance certificates. In the proposed framework electricity and allowance prices are explained as functions of specific fundamental factors, such as the demand for electricity and the prices of the fuels used for its production. As a result, the proposed model very clearly captures the complex dependency of the modelled prices on the aforementioned fundamental factors. The allowance price is obtained as the solution to a coupled forward-backward stochastic differential equation. We provide a rigorous proof of the existence and uniqueness of a solution to this equation and analyse its behaviour using asymptotic techniques. The essence of the model for the electricity price is a carefully chosen and explicitly constructed function representing the supply curve in the electricity market. The model we propose accommodates most regulatory features that are commonly found in implementations of emissions trading systems and we analyse in detail the impact these features have on the prices of allowance certificates. Thereby we reveal a weakness in existing regulatory frameworks, which, in rare cases, can lead to allowance prices that do not conform with the conditions imposed by the regulator. We illustrate the applicability of our model to the pricing of derivative contracts, in particular clean spread options and numerically illustrate its ability to "see" relationships between the fundamental variables and the option contract, which are usually unobserved by other commonly used models in the literature. The results we obtain constitute flexible tools that help to efficiently evaluate the financial impact current or future implementations of emissions trading systems have on participants in these markets.

Nos últimos anos, percebeu-se um avanço substancial das metodologias sistemáticas de seleção de ativos em portfólios financeiros, baseadas em técnicas de otimização. A maior pressão por desempenho sobre as gestoras de recursos e a evolução dos softwares e pacotes de otimização foram fatores que contribuíram para esse desenvolvimento. Dentre as técnicas mais reconhecidas utilizadas na gestão de portfólios está a de otimização robusta, cuja aplicação na solução de problemas com dados incertos iniciou-se na década de 1970 e, desde então, vem evoluindo em sofisticação. Partindo de uma extensão recente do método, propõe-se um novo modelo linear que resolve o problema de otimização de um portfólio para múltiplos estágios, com inovações no tratamento da incerteza das estimativas de dispersão dos retornos. Os resultados mostram que o método proposto desempenha muito bem em termos de rentabilidade e de métricas de risco-retorno em momentos de turbulência dos mercados. Por fim, demonstra-se empiricamente que o modelo alcança um desempenho ainda melhor em termos de rentabilidade com a adoção de um estimador eficiente para o valor esperado dos retornos e com a simultânea redução do nível de robustez do modelo.
It has been realized in the last years a remarkable development of the optimization techniques to solve the problem of financial portfolio selection. The pressure on asset management firms to maintain a more stable performance and the evolution of specialized software packages have enabled this positive trend. One of the most recognized approaches applied to the management of investments is the robust optimization, whose use on uncertain portfolio optimization problems has begun in the 1970s and has experienced a substantial growth since then. Building on a recent version of this framework, it is proposed a new linear model of the robust multistage portfolio optimization problem, thereby incorporating uncertainty about dispersion inputs in an innovative way. The results show that this method performs very well during high volatility periods in terms of the terminal wealth and the risk-return tradeoff. Finally, it can be demonstrated empirically that the proposed method outperforms when an efficient return estimator is incorporated to the optimization model and the robustness level is reduced simultaneously.

Traditional models of financial asset yields are based on a number of simplifying assumptions. Among these are the primary assumptions that changes in asset yields are independent, and that the distribution of these yields is approximately normal. The development of financial asset pricing models has also incorporated these assumptions. A general feature of the pricing models is that the relationship between the model variables is fundamentally linear. Recent empirical research has however identified the possibility for these relations to be non-linear. The empirical research focused primarily on methodological issues relating to the application of the classical rescaled adjusted range. Some of the major issues investigated were: the use of overlapping versus contiguous subseries lengths in the calculation of the statistic's Hurst exponent; the asymptotic distribution of the Hurst exponent for Gaussian time-series and long-term dependent fBm's; matters pertaining to the estimation of the expected rescaled adjusted range. Empirical research in this thesis also considered alternate applications of rescaled range analysis, other than modelling non-linear long-term dependence. Issues relating to the use of the technique for estimating long-term dependent ARFIMA processes, and some implications of long-term dependence for financial time-series have both been investigated. Overall, the general shape of the asymptotic distribution of the Hurst exponent has been shown to be invariant to the level of dependence in the underlying series. While the rescaled adjusted range is a biased indicator of the level of long-term dependence in simulated time-series, it was found that the bias could be efficiently modelled. For real time-series containing structured short-term dependence, the bias was shown to be inconsistent with the simulated results.
Doctor of Philosophy (PhD)

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O projeto de pesquisa visou o melhor entendimento sobre a dinâmica de dois sistemas de um grau de liberdade: o primeiro é composto por uma estrutura de rigidez negativa, identificado no texto como NSS, o segundo é composto por uma estrutura de rigidez negativa amortecida, identificado no texto como DNSS. Neste trabalho os sistemas foram aplicados para absorver a vibração de um assento veicular buscando melhorar o conforto do condutor. Apresentou-se as equações usadas nas análises teóricas. Gerou-se resultados de análises estáticas, gráficos de força por deslocamento e energia potencial elástica por deslocamento, e de análises dinâmicas, curvas de resposta em frequência, plano de fase e histórico do deslocamento, para entender como os parâmetros influenciam nas respostas dos sistemas. Para as análises dinâmicas aplicou-se uma excitação de base do tipo senoidal e utilizou-se o método de Runge-Kutta de quarta e quinta ordem para a integração numérica das equações de movimento dos sistemas. Comparou-se as respostas, em regime permanente, dos sistemas com NSS e com DNSS com o sistema massa mola amortecedor, muito conhecido na literatura. Nas frequências naturais de cada sistema, chegou-se a reduzir o valor RMS do deslocamento da massa em 60,7 % com NSS e 70,5 % com DNSS quando comparados com o sistema massa mola amortecedor.
The research project aimed at the understanding of the dynamics of two single-degree-of-freedom systems: the first is made of a negative stiffness structure, NSS, the second is made of a damped negative stiffness, DNSS. In this work the systems were applied to absorb the vehicle seat vibration seeking to improve the driver's comfort. It was presented the equations used in the theoretical analysis. Results of static analysis, force by displacement and elastic potential energy by displacement, and of dynamics analysis, frequency response curves, phase portrait and displacement history, were generated to understand how the parameters influence the systems responses. For the dynamics analysis, a sinusoidal base excitation was applied and the fourth and fifth order Runge-Kutta method was used for the system motion equations numerical integration. The responses were compared, in stationary state, of the NSS and DNSS systems with the mass damping spring system, well known in the literature. In the natural frequencies of each system, it was possible to reduce the RMS value of the mass displacement by 60.7% with NSS and 70.5% with DNSS when compared to the mass damping spring system.

The dissertation consists of four self-contained essays on consumption. Essays 1 and 2 consider different measures of aggregate consumption, and Essays 3 and 4 consider how the distributions of income and wealth affect consumption from a macro and micro perspective, respectively. Essay 1 considers the empirical practice of seemingly interchangeable use of two measures of consumption; total consumption expenditure and consumption expenditure on nondurable goods and services. Using data from Sweden and the US in an error correction model, it is shown that consumption functions based on the two measures exhibit significant differences in several aspects of econometric modelling. Essay 2, coauthored with Thomas Holgersson, considers derivation of a univariate and a multivariate version of a test for asymmetry, based on the third central moment. The logic behind the test is that the dependent variable should correspond to the specification of the econometric model; symmetric with linear models and asymmetric with non-linear models. The main result in the empirical application of the test is that orthodox theory seems to be supported for consumption of both nondurable and durable consumption. The consumption of durables shows little deviation from symmetry in the four-country sample, while the consumption of nondurables is shown to be asymmetric in two out of four cases, the UK and the US. Essay 3 departs from the observation that introducing income uncertainty makes the consumption function concave, implying that the distributions of wealth and income are omitted variables in aggregate Euler equations. This implication is tested through estimation of the distributions over time and augmentation of consumption functions, using Swedish data for 1963-2000. The results show that only the dispersion of wealth is significant, the explanation of which is found in the marked changes of the group of households with negative wealth; a group that according to a concave consumption function has the highest marginal propensity to consume. Essay 4 attempts to empirically specify the nature of the alleged concavity of the consumption function. Using grouped household level Swedish data for 1999-2001, it is shown that the marginal propensity to consume out of current resources, i.e. current income and net wealth, is strictly decreasing in current resources and net wealth, but approximately constant in income. Also, an empirical reciprocal to the stylized theoretical consumption function is estimated, and shown to bear a close resemblance to the theoretical version.

In dieser Arbeit untersuchen wir Superlösungen stochastischer Rückwärtsdifferentialgleichungen (BSDEs) und ein Gleichgewichtsmodell angewandt auf zwei spezifische verallgemeinerte Capital Asset Pricing Models (CAPMs). Unter der Annahme, dass Generatoren der BSDEs unterhalbstetig und von unten durch eine affine Funktion der Kontrollvariablen beschränkt sind sowie eine spezifische Normalisierungseigenschaft erfüllen, beweisen wir Existenz und Eindeutigkeit der minimalen Superlösung, wobei wir Semimartingalkonvergenz und eine geeignet definierte Präorder in Verbindung mit dem Zornschen Lemma nutzen. Anschließend betrachten wir konvexe Generatoren und restringieren admissible Kontrollen auf stetige Semimartingale, wobei wir eine Abhängigkeit des Generators von den Zerlegungsteilen zulassen. Wir beweisen Existenz von Superlösungen, die an endlich vielen Zeitpunkten minimal sind. Neben Stabilitätsresultaten für den nichtlinearen Operator, der einer Endbedingung den Wert der minimalen Superlösung zum Zeitpunk null zuordnet, leiten wir dessen duale Darstellung her und geben eine explizite Form dieser im Falle eines quadratischen Generators an. Ferner geben wir mittels der Dualität Bedingungen für die Existenz von Lösungen unter Nebenbedingungen. Im zweiten Teil der Arbeit behandeln wir ein Gleichgewichtsmodell in stetiger Zeit für verallgemeinerte CAPMs, das endlich viele Agenten und Finanzprodukte umfasst. Die Agenten maximieren exponentielle Nutzenfunktionen und ihre Anfangsausstattung wird von den gehandelten Produkten aufgespannt. Wir zeigen Existenz eines Gleichgewichts, in welchem die optimalen Handelsstrategien konstant sind und von jeweiliger Risikoaversion und Anfangsausstattung abhängen. Hiernach werden affine Prozesse sowie die Theorie des sogenannten Information-based Asset Pricing zur Modellierung herangezogen. Wir leiten semi-explizite Preisformeln her, die sich für effiziente numerische Berechnungen eignen, da keine Monte-Carlo-Methoden gebraucht werden.
In this thesis we study supersolutions of backward stochastic differential equations (BSDEs) and equilibrium pricing within two specific generalized capital asset pricing models (CAPMs). In the first part of the thesis we begin by assuming that the generators of the BSDEs under consideration are jointly lower semicontinuous, bounded from below by an affine function of the control variable, and satisfy a specific normalization property. We prove the existence and uniqueness of the minimal supersolution making use of a particular kind of semimartingale convergence and a suitably defined preorder in combination with Zorn''s lemma. Next, we assume generators to be convex and introduce constraints by restricting admissible controls to continuous semimartingales, where we allow for a dependence of the generator on the respective decomposition parts. We prove existence of supersolutions that are minimal at finitely many fixed times. Besides providing stability results for the non-linear operator that maps a terminal condition to the value of the minimal supersolution at time zero, we give a dual representation of it, including an explicit computation of the conjugate in the case of a quadratic generator, and derive conditions for the existence of solutions under constraints by means of the duality results. In the second part of the thesis we study equilibrium pricing in continuous time within generalized CAPMs. Our model comprises finitely many economic agents and tradable securities. The agents seek to maximize exponential utilities and their endowments are spanned by the securities. We show that an equilibrium exists and the agents'' optimal trading strategies are constant and dependent on their risk aversion and endowment. Affine processes, and the theory of information-based asset pricing are then used for modeling purposes. We derive semi-explicit pricing formulae which lend themselves to efficient numerical computations, as no Monte Carlo methods are needed.

Este trabalho apresenta uma abordagem via programação estocástica linear para a tomada de decisão de investimento em um fundo de pensão com plano de benefícios do tipo benefício definido. Propõe-se uma nova metodologia para a definição da alocação da carteira do fundo no instante inicial baseada na média de vários cenários econômicos gerados aleatoriamente. Como exemplo de aplicação, essa metodologia é utilizada para resolver o problema da alocação inicial da carteira de um grande fundo de pensão brasileiro e a alocação inicial obtida é avaliada em termos da probabilidade de insolvência e VaR, valor em risco, do fundo no instante final do horizonte de planejamento de investimento.
This paper presents an approach via linear stochastic programming for investment decision making in a defined benefit pension fund plan. It proposes a new methodology for defining the allocation of the portfolio at the initial time based on the average of several randomly generated economic scenarios. As an illustrative example, this methodology is used to solve the problem of portfolio initial allocation of a large Brazilian pension fund and the obtained initial allocation is evaluated in terms of funds probability of default and VaR, Value-at-Risk, at the final time of the investment planning horizon.

This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conservatism of the insurance companies is compared to that of a sample of commercial banks to check whether they have similar levels of accounting conservatism. The results of the first chapter suggest that the changes in accounting performance, as measured by return over assets, can be partly explained by accounting conservatism, since it is measured by the accumulation of non-operating accruals, skewness of operating cash flow and accruals, book to market ratio, adjusted book to market ratio and Basu's asymmetric measure. All of these four measures give robust evidence that insurance companies' accounts tended to be conservative for the whole sample period, and that the level of conservatism has risen over the years. More interestingly, a t test for the differences in means suggests that accruals conservatism show on average a higher level of accounting conservatism than book value conservatism does. Finally, our results, based on a constant sample consist of 92 banks and 46 insurance companies whose data are available for all the sample years; they suggest that both insurance companies and banks have similar levels of accounting conservatism due to their similar reporting characteristics. The second empirical chapter contributes to the existing literature on equity valuation in two ways. First, it confirms the importance of imposing linear information dynamics when predicting the equity values of insurance companies, because the restricted models result in fewer error metrics. Second, it highlights the role of the accruals components in the equity valuation of US insurance companies by demonstrating that the incorporation of accrual components in the residuals income valuation model suggested by Ohlson (1995) has smaller error metrics than those of aggregate net income. Our results are based on a sample of US insurance companies, which consists of 718 firm-year observations over the period from 2001 to 2012. For instance, our results suggest that total accruals, changes in insurance reserve, changes in account receivables, and deferred acquisition costs have an incremental ability to predict equity market value over abnormal earnings and book values. Furthermore, the predictive ability of changes in insurance reserves is higher than the predictive ability of changes in account receivables and the change in deferred acquisition costs without imposing the LIM structures. However, when the LIM structure is imposed the predictive ability of changes in deferred acquisition costs is higher than the predictive ability of both changes in accounts receivable and changes in insurance reserves. Our final empirical chapter contributes to the literature on accounting anomalies by investigating the value to price anomaly (V/P), where the fundamental value (V) is estimated using the residual income valuation model. Motivated by the findings of Hwang and Lee (2013), Fama and French (2015), and Fama and French (2016), Chapter Four asks whether V/P strategies reflect the risks factor or whether this is better explained by market inefficiency, and whether Fama and French's five-factor model can explain the excess return of V/P. To answer the previous questions we use data from the merger of COMPUSTAT, CRSP, I/B/E/S for all the non-financial firms listed in AMEX, NYSE, and NASDAQ during the period from 1987 to 2015. Our findings suggest that the V/P ratio is positively correlated to future stock returns after controlling for several firm characteristics, which are known to be proxies of common risks. Our results indicate that the omission of risk factors is not likely to be an explanation of the V/P effect. To answer the second question, we compare the performances of different asset pricing models by calculating the GRS F-statistics. Our findings clearly indicate that the five-factor model of Fama and French performs better than either the CAPM or the traditional Fama and French three factor model. These results confirm that the excess returns of V/P strategy vary due to the differences in size, the B/M ratio, operating profit and betas across quintile portfolios. However, these factors cannot explain all the variation in excess returns; moreover, the stocks in the high V/P may be riskier than the stocks in the low V/P portfolios in certain other dimensions.

Mestrado em Economia Monetária e Financeira
Nosso estudo é com base na recolha de dados relevantes das economias do G20 com a inclusão da Grécia, Portugal, Espanha e Nigéria. Os dados coletados são variados em um período de 35 anos (1980 - 2015) e a metodologia empregada é a Técnica de Regressão Linear na qual três modelos foram estimado, nomeadamente: modelos OLS agrupados, efeitos aleatórios (RE) e efeito fixo (FE). O FE modelo que é nosso modelo preferido e ótimo mostra que a coorte da população em idade de trabalhar - que se diz serem produtivas, têm uma associação depreciadora ao RER doméstico. No entanto, a relação da antiga coorte dependente parece ser ambígua, pois mostra que temos um efeito depreciador sobre o RER doméstico no modelo de referência, tendo uma apreciação efeito sobre o RER doméstico após executar um modelo de forma reduzida - um modelo baseado em dados demográficos variável e termos de troca. Isso só foi interpretado como sendo que nosso modelo não é muito robusto para mostram consistentemente a associação entre a coorte do envelhecimento e o RER de uma economia.
Our study is based on the collection of relevant data from the G20 economies with the inclusion of Greece, Portugal, Spain and Nigeria. The data collected is ranged over a period of 35 years (1980 - 2015) and the methodology employed is the Linear Regression Technique in which three models were estimated, namely: Pooled OLS, Random Effect (RE), and Fixed Effect (FE) models. The FE model which is our preferred and optimal model shows that the working age population cohort - which are said to be productive have a depreciating association to the domestic country RER. However, the relation of the old dependant cohort seems to be ambiguous as it shows us to have a depreciating effect on the domestic RER in the benchmark model while having an appreciating effect on the domestic RER after running a reduced form model - a model based on demographic variable and terms of trade. This was only interpreted to be that our model is not very robust to consistently show the association between the ageing cohort and the RER of an economy.
info:eu-repo/semantics/publishedVersion

Orientador: Bento Rodrigues de Pontes Junior
Banca: Marcio Antonio Bazani
Banca: João Eduardo Guarnetti dos Santos
Resumo: O projeto de pesquisa visou o melhor entendimento sobre a dinâmica de dois sistemas de um grau de liberdade: o primeiro é composto por uma estrutura de rigidez negativa, identificado no texto como NSS, o segundo é composto por uma estrutura de rigidez negativa amortecida, identificado no texto como DNSS. Neste trabalho os sistemas foram aplicados para absorver a vibração de um assento veicular buscando melhorar o conforto do condutor. Apresentou-se as equações usadas nas análises teóricas. Gerou-se resultados de análises estáticas, gráficos de força por deslocamento e energia potencial elástica por deslocamento, e de análises dinâmicas, curvas de resposta em frequência, plano de fase e histórico do deslocamento, para entender como os parâmetros influenciam nas respostas dos sistemas. Para as análises dinâmicas aplicou-se uma excitação de base do tipo senoidal e utilizou-se o método de Runge-Kutta de quarta e quinta ordem para a integração numérica das equações de movimento dos sistemas. Comparou-se as respostas, em regime permanente, dos sistemas com NSS e com DNSS com o sistema massa mola amortecedor, muito conhecido na literatura. Nas frequências naturais de cada sistema, chegou-se a reduzir o valor RMS do deslocamento da massa em 60,7 % com NSS e 70,5 % com DNSS quando comparados com o sistema massa mola amortecedor.
Abstract: The research project aimed at the understanding of the dynamics of two single-degree-of-freedom systems: the first is made of a negative stiffness structure, NSS, the second is made of a damped negative stiffness, DNSS. In this work the systems were applied to absorb the vehicle seat vibration seeking to improve the driver's comfort. It was presented the equations used in the theoretical analysis. Results of static analysis, force by displacement and elastic potential energy by displacement, and of dynamics analysis, frequency response curves, phase portrait and displacement history, were generated to understand how the parameters influence the systems responses. For the dynamics analysis, a sinusoidal base excitation was applied and the fourth and fifth order Runge-Kutta method was used for the system motion equations numerical integration. The responses were compared, in stationary state, of the NSS and DNSS systems with the mass damping spring system, well known in the literature. In the natural frequencies of each system, it was possible to reduce the RMS value of the mass displacement by 60.7% with NSS and 70.5% with DNSS when compared to the mass damping spring system.
Mestre

The objective of this work was to use LEFM in order to assess the detrimental influence of surrounding chloride-containing environments for stainless steels, hardened steel as well as for a cast aluminium alloy. An additional aim was also to use LEFM to assess the influence of porosity on the fatigue properties for different commercial cast aluminium alloys and manufacturing methods. The environmental influence on fatigue performance was mainly evaluated from fatigue crack growth measurements using compact tension (CT) specimens. In addition, fatigue performance in the high cycle regime was studied using spot welded specimens and smooth specimens. Corrosion fatigue tests for stainless steels were performed in different chloride-containing aqueous solutions and compared to the behaviour in air. Variables, which have been investigated, included temperature, redox potential and fatigue test frequency. The environmental influence on fatigue performance has also been compared to localised corrosion properties. Fatigue crack propagation rates were found to be higher in 3% NaCl than in air for all stainless steels investigated. The highest alloyed austenitic steel, 654SMO, showed the least influence of the environment. For duplex stainless steels the environment enhanced fatigue crack propagation rate to a higher degree than for austenitic stainless steels. This is explained by a material-dependent corrosion fatigue mechanism. In the high cycle regime, fatigue properties for spot welded stainless steels specimens were found to be decreased between 30%-40% due to the presence of 3% NaCl. For the hardened steel 100CrMnMo8 a fracture mechanics approach was employed for prediction of corrosion fatigue properties. In this model corrosion pit growth rate and the threshold stress intensity factor for fatigue crack propagation are needed as input parameters. For the high pressure die cast aluminium alloy the environmental influence of fatigue initiation through pre-exposure of smooth specimens was studied. Depending on environment used for pre-exposure, fatigue strength was found to be reduced by up to 50 % compared to the fatigue strength in air. Fatigue strength reduction was clearly associated to corrosion pits in the aluminium material. A fracture mechanics model was further successfully used to predict the environmental influence. The influence of porosity on the fatigue strength for the cast aluminium alloys tested has been described by a Kitagawa diagram. In design, the Kitagawa diagram can be used to predict the largest allowable pore size if the load situation in the component is known. The size of the porosity could either be evaluated directly from x-ray images or from metallographic prepared cross-sections using a method of extreme value analysis
QC 20100907

Il progetto propone la costruzione di un asse verde sovrapposto alla ferrovia di Bologna, come strategia di crescita urbana che cerca di dare una risposta al crescente problema del consumo di suolo. Costruendo negli spazi residuali che si generano ai margini del fascio di binari e in sovrapposizione ad essi, stratificando la città, si cerca di immaginare un possibile scenario in cui l'infrastruttura e l'elemento naturale convivono e generano dalla loro unione delle nuove configurazioni inaspettate.

Trypanosoma cruzi and the Leishmania donovani complex are parasitic protozoa that, respectively, cause Chagas disease in the Americas, and visceral leishmaniasis, predominantly in South Asia, East Africa, and Brazil. T. cruzi is divided into the lineages TcI-TcVI. The relationship between infecting lineage(s) and spectrum of clinical presentations remains poorly understood. This project developed lineage-specific serology to identify an individual’s history of lineage infection. A high level of polymorphism in the surface mucin TSSA was identified, and lineage-specific synthetic peptides based on this diversity were applied here in ELISA with chagasic sera from endemic countries. Peptide TSSApep-II/V/VI, based on a sequence common to those lineages, was widely recognised by sera from Southern Cone countries, and also unexpectedly by four samples from Ecuador; TSSApep-V/VI, which differs by a single amino acid from TSSApep-II/V/VI, was also recognised in these regions. A single TSSApep-IV reaction was seen in both Colombia and Venezuela. However, TSSApep-I was rarely and weakly recognised among the serum panel. Among the Brazilian patients, a much higher proportion of TSSApep-II/V/VI responders had ECG abnormailities than non-responders (38% vs. 17%, p<0.0001). Rapid diagnostic tests for L. donovani complex infection based on rK39 antigen have lower sensitivity in East Africa compared to South Asia. The homologous sequences of rK39, and of another proposed diagnostic antigen HASPB, were amplified from a panel of East African L. donovani strains, and compared to published sequences, revealing significant diversity from rK39 and South Asian sequences, and non-canonical combinations of HASPB repeats. Cohorts of Indian and Sudanese VL patients were assayed by ELISA for anti- Leishmania IgG levels. There was an overall 46.8 – 61.7 fold lower response in the Sudanese cohort, as calculated by mean reciprocal log10t50 titres, regardless of antigen source, patient gender or age. An investigation into the association of IgG subclass reactivity with VL clinical status revealed significantly elevated IgG1 levels in patients with active (pre-treatment) VL and those with post-therapy relapse compared to those deemed to be cured. A novel prototype rapid immunochromatographic test to detect IgG1 gave > 80% of relapsed VL patients as IgG1 positive, and 80% of cured patients as IgG1 negative.

Questa tesi è stata svolta presso HERAtech s.r.l. e riguarda la rete di distribuzione dell’energia elettrica in media tensione, focalizzandosi in particolare su due linee della rete del territorio modenese. A differenza della maggior parte delle linee per le quali, in caso di necessità, sono previsti più punti in cui è possibile attuare controalimentazioni tramite la chiusura di sezionatori normalmente aperti, queste hanno un solo possibile punto di connessione e in particolare una linea è la controalimentazione dell’altra. Questo assicura la continuità del servizio in caso di primo guasto, ma non la garantisce in caso di secondo guasto. Scopo di questa tesi è quindi individuare altri possibili punti di connessione con la rete delle linee suddette. Attraverso una metodologia di lavoro applicabile a casi di studio analoghi, tramite il software di modellazione Power Factory sono state eseguite simulazioni della situazione attuale in condizioni di assetto standard e in caso di guasto e simulazioni delle situazioni progettuali ipotizzate. Infine, a seguito di sopralluoghi e valutazioni tecnico – economiche, sono stati formulati due progetti. Questi prevedono la rialimentazione delle due linee da altre due linee della rete ed è stata riscontrata una riduzione del numero di utenti che rimarrebbero fuori servizio in caso di secondo guasto, a differenza dello stato attuale per cui risulterebbero disalimentate quasi tutte le utenze.

SEISMIC STRENGTHENING OF A MID-RISE REINFORCED CONCRETE FRAME USING CFRPs: AN APPLICATION FROM REAL LIFE Tan, Mustafa Tü
mer M.S., Department Of Civil Engineering Supervisor: Prof. Dr. Gü
ney Ö
zcebe Co-Supervisor: Assoc. Prof. Dr. BariS Binici May 2009, 162 pages FRP retrofitting allows the utilization of brick infill walls as lateral load resisting elements. This practical retrofit scheme is a strong alternative to strengthen low to mid-rise deficient reinforced concrete (RC) structures in Turkey. The advantages of the FRP applications, to name a few, are the speed of construction and elimination of the need for building evacuation during construction. In this retrofit scheme, infill walls are adopted to the existing frame system by using FRP tension ties anchored the boundary frame using FRP dowels. Results of experiments have previously shown that FRP strengthened infill walls can enhance lateral load carrying capacity and reduce damage by limiting interstory drift deformations. In previous, analytical studies, a detailed mathematical model and a simplified version of the model for compression struts and tension ties was proposed and verified by comparing model estimations with test results. In this study, an existing 9-storey deficient RC building located in Antakya was chosen to design and apply a hybrid strengthening scheme with FRPs and reduced number of shear walls. Linear elastic analysis procedure was utilized (force based assessment technique) along with the rules of Mode Superposition Method for the reftrofit design. FRP retrofit scheme was employed using the simplified model and design was conducted such that life safety performance criterion is satisfied employing elastic spectrum with 10% probability of exceedance in 50 years according to the Turkish Earthquake Code 2007. Further analytical studies are performed by using Modal Pushover and Nonlinear Time-History Analyses. At the end of these nonlinear analyses, performance check is performed according to Turkish Earthquake Code 2007, using the strains resulting from the sum of yield and plastic rotations at demand in the critical sections. CFRP retrofitting works started at October 2008 and finished at December 2008 for the building mentioned in this study. Eccentric reinforced concrete shearwall installation is still being undertaken. All construction business is carried out without evacuation of the building occupants. This project is one of the first examples of its kind in Turkey. Keywords: CFRP, Carbon Fiber Reinforced Polymers, Masonry Infill Walls, Reinforced Concrete Infill Walls, Mid-Rise Deficient Structures, Turkish Earthquake Code 2007, Modal Pushover Analysis, Nonlinear Time History Analysis, Linear Elastic Building Assessment

Le Heavy ou Falling Weight Deflectometer (F/HWD), est un appareil d’auscultation non destructive des chaussées basé sur la mesure de la déflexion engendrée par un chargement impulsionnel. Les essais F/HWD sont généralement exploités par des méthodes d’analyse inverse, dont le but est de déterminer les propriétés mécaniques des couches de chaussée. Ces méthodes consistent en la recherche du jeu de propriétés mécaniques pour lequel les déflexions calculées à l’aide de modèles numériques sont comparables aux déflexions mesurées in situ. Malgré son utilisation très répandue sur chaussées routières et aéroportuaires, il s’avère que les données de cet essai sont souvent interprétées dans un cadre d’hypothèses discutable car la méthode élastostatique couramment utilisée ne prend pas en compte les effets dynamiques et limite le comportement des matériaux bitumineux à l’élasticité linéaire. Ce travail, dans le cadre d’une coopération entre le Service Technique de l’Aviation Civile (STAC) et le Laboratoire de Tribologie et de Dynamique des Systèmes (LTDS) a pour objectif principal d’étudier les méthodes d’analyse de l’essai F/HWD en incluant les effets dynamiques et les propriétés viscoélastiques linéaires des matériaux bitumineux. Au cours des travaux entrepris, le fonctionnement de l’appareil F/HWD a été analysé grâce à des systèmes d’instrumentation externes. Puis deux méthodes de simulation de l’essai F/HWD ont été développées : la Méthode des Eléments Finis dans le domaine temporel et la Méthode des Eléments Spectraux dans le domaine fréquentiel. Ces deux outils permettent le calcul de la réponse d’une chaussée sous un chargement impulsionnel de type F/HWD selon plusieurs hypothèses d’équilibre (quasi-statique et dynamique) et de comportement des matériaux bitumineux (élastique linéaire et viscoélastique linéaire). Enfin, une méthode d’analyse inverse viscoélastique dynamique est proposée. Après avoir été vérifiée et évaluée, elle est appliquée à des essais HWD réalisés sur la planche expérimentale du STAC à différentes températures entre 0°C et 30°C. Les propriétés viscoélastiques linéaires déduites des essais HWD sont également comparées aux résultats d’essais de module complexe sur les matériaux de la même planche réalisés au laboratoire de l’ENTPE
The Heavy or Falling Weight Deflectometer (F/HWD) is a non-destructive pavement assessment device. The F/HWD test is based on the measurement of the deflection generated by an impulse loading. F/HWD tests are generally analysed by inverse analysis methods, the purpose of which is to determine the mechanical properties of the pavement layers. These methods are based on the search of mechanical properties for which the deflections calculated using numerical models are comparable to the deflections measured in situ. Despite its widespread use on road and airport pavements, it turns out that the data from this test are often interpreted within a questionable background because the elastostatic method commonly used does not consider dynamic effects and limits the behaviour of bituminous materials to linear elasticity. This work, in the framework of a cooperation between the Civil Aviation Technical Centre (STAC) and the Laboratory of Tribology and Systems Dynamics (LTDS) has the main objective to study the analysis methods of the F/HWD test data by including the dynamic effects and the linear viscoelastic properties of bituminous materials. During this work, the F/HWD devices has been studied with external sensors. Then, two numerical methods for simulating the F/HWD test were set up: the Finite Element Method in time domain and the Spectral Element Method in frequency domain. These two tools allow the calculation of the pavement response under F/HWD impulse loading according to several hypotheses of equilibrium (quasi-static and dynamic) and behaviour of bituminous materials (linear elastic and linear viscoelastic). Finally, a dynamic viscoelastic inverse analysis method is proposed. After having been verified and evaluated, it is applied to HWD tests carried out on the STAC test facility at several pavement temperatures between 0°C and 30°C. The results are compared with those obtained by the classical elastostatic and elastodynamic methods. The linear viscoelastic properties deduced from the HWD tests are also compared to the results of complex modulus tests on the materials of the test facility carried out in the ENTPE laboratory

Linear assets are among the largest and most important engineered systems; their reliability is of the utmost importance. This thesis presents an overview of the reliability estimation methods used for the various types of linear assets, both observation- and statistically-based. While observation-based reliability monitoring and estimation methods are necessarily particular to a certain type of asset, statistically-based methods developed for one type can potentially inform those used for another. Therefore, this thesis looks to point out commonalities in the methods for the statistical evaluation of the reliability of various types of linear assets, develop and extend reliability models and methods with this knowledge, and suggest how maintenance strategies may be improved. To help illustrate and test the models described in this paper a case study was conducted with a utility operator; this thesis shows the modelling results from the study, and demonstrates the model’s use in a maintenance decision model.

Apesar da sua indiscutível relevância na estratégia e valor económico das organizações, apenas num período mais recente se intensificou o estudo dos activos intangíveis enquanto recursos estratégicos, a que não é alheia a crescente consciencialização por parte dos mercados da importância deste tipo de activos na sustentabilidade de um modelo de negócio e como pilar de uma estratégia baseada na diferenciação. Este facto, aliado à instabilidade notória sentida pelas marcas, despertou o interesse para o tema da reputação corporativa como elemento distinto do goodwill e dos demais activos intangíveis. Neste contexto, o objectivo do presente estudo é avaliar a percepção de reputação corporativa, detida pelos clientes1, no sector de telecomunicações móveis em Portugal, assim como analisar potenciais relações entre a RC e alguns indicadores de performance. Tendo por base uma amostra global de 307 utilizadores de telemóvel, recorreu-se à análise descritiva, bivariada e construção de modelos de regressão linear múltipla, de acordo com as dimensões2 em estudo. Os resultados obtidos evidenciam que a reputação é um resultado relevante da ética e da confiança, assim como é um bom precedente da percepção da performance financeira, não financeira, lealdade e passa-a- -palavra. Apurou-se ainda que a Vodafone é a operadora mais afável e competente do sector e que a reputação corporativa varia segundo características sociodemográficas e de utilização do serviço telefónico móvel.
Despite the undisputed relevance of intangible assets in the strategy and economic value of organizations, it was just recently that has intensified the study of intangible assets as strategic resources. Furthermore, this is attached to the growing awareness by the markets of the importance of such assets in the sustainability of a business model and as a solid support for a strategy based on differentiation. This fact associated with the notorious instability experienced by brands, triggered the interest on the topic of corporate reputation as a distinct element from goodwill and other intangible assets. In this context, the aim of this report is, consequently, to evaluate the perception of corporate reputation held by clients in the Portuguese mobile industry. Furthermore, potential relations between corporate reputation and some performance indicators will be statistically analyzed. Based on a total sample of 307 individuals several statistical techniques were used: descriptive and bivariate analysis and multiple regression models. The results show that corporate reputation is a relevant outcome of ethics and confidence and a reasonable predictor of the perception of financial performance, non-financial performance, loyalty and word-of-mouth. Furthermore, Vodafone is concluded to be the most agreeable and competent mobile service operator. Finally, relevant means’ differences were found in corporate reputation according to socio-demographic and the use of mobile service characteristics.

abstract: One necessary condition for the two-pass risk premium estimator to be consistent and asymptotically normal is that the rank of the beta matrix in a proposed linear asset pricing model is full column. I first investigate the asymptotic properties of the risk premium estimators and the related t-test and Wald test statistics when the full rank condition fails. I show that the beta risk of useless factors or multiple proxy factors for a true factor are priced more often than they should be at the nominal size in the asset pricing models omitting some true factors. While under the null hypothesis that the risk premiums of the true factors are equal to zero, the beta risk of the true factors are priced less often than the nominal size. The simulation results are consistent with the theoretical findings. Hence, the factor selection in a proposed factor model should not be made solely based on their estimated risk premiums. In response to this problem, I propose an alternative estimation of the underlying factor structure. Specifically, I propose to use the linear combination of factors weighted by the eigenvectors of the inner product of estimated beta matrix. I further propose a new method to estimate the rank of the beta matrix in a factor model. For this method, the idiosyncratic components of asset returns are allowed to be correlated both over different cross-sectional units and over different time periods. The estimator I propose is easy to use because it is computed with the eigenvalues of the inner product of an estimated beta matrix. Simulation results show that the proposed method works well even in small samples. The analysis of US individual stock returns suggests that there are six common risk factors in US individual stock returns among the thirteen factor candidates used. The analysis of portfolio returns reveals that the estimated number of common factors changes depending on how the portfolios are constructed. The number of risk sources found from the analysis of portfolio returns is generally smaller than the number found in individual stock returns.
Dissertation/Thesis
Ph.D. Economics 2011

This disertation includes three essays on linear asset pricing models. The first chapter is concerned with the effects of including a low-variance factor which leads to a small signal-to-noise ratio in an asset pricing model. We rely on local asymptotics and define the low-variance as local-to-zero by being inversely related to the sample size. When a low-variance factor is present, the commonly applied Fama-Macbeth two-pass regression procedure yields misleading results. Local asymptotic analysis and simulation evidence indicate that the beta of the low-variance factor, risk premiums corresponding to all factors and the magnitude of associated variances are all unreliably estimated. Moreover, t- and F- statistics are unable to detect whether risk premiums are significantly different from zero. Additional simulation results also reveal that Kleibergen's statistic has some ability to detect the usefulness of different factors. In the second chapter, I investigate the finite sample properties of the two-pass regression, the t-statistic, statistics proposed by Kleibergen (2009) and the specification tests when the first-pass regression slope coefficients --- betas --- are large, small and zero. In particular, I explore the effect of the number of assets on the properties of the statistics. The results reveal that most of the statistics tend to reach a conclusion that the factor should be included in the model or the model is correct more often that it should, especially when betas are small and the number of assets is large. The diagnosis of the results shows that the source of the problem lies in the large bias of the estimated risk premiums and the poor estimation of the variance-covariance matrix of the error terms in the first-pass regression. The third chapter explores an economic explanation of commodity prices by considering the macro-economic exposure of commodity returns. Through estimating the stochastic discount factor representation of the linear asset pricing model, I find that investors are compensated for exchange-rate risk. The result is robust to different estimation methods, to different data sets and over longer periods of time.

The impact of political and economic events on the asset pricing model described by the arbitrage pricing theory (APTM) was examined in order to establish if they had caused any changes in its specification. It was concluded that the APTM is not stationary and that it must be continuously tested before it can be used as political and economic events can change its specification. It was also found that political events had a more direct effect on the specification of the APTM, in that their effect is more immediate, than did economic events, which influenced the APTM by first influencing the economic environment in which it operated. The conventional approach that would have evaluated important political and economic events, case by case, to determine whether they affected the linear factor model (LFM), and subsequently the APTM, could not be used since no correlation was found between the pricing of a risk factor in the LFM and its subsequent pricing in the APTM. A new approach was then followed in which a correlation with a political or economic event was sought whenever a change was detected in the specification of the APTM. This was achieved by first finding the best subset LFM, chosen for producing the highest adjusted R2 , month by month, over 87 periods from 20 October1991 to 21 June 1998, using a combination of nine prespecified risk factors (five of which were proxies for economic events and one for political events). Multivariate analysis techniques were then used to establish which risk factors were priced most often during the three equal subperiods into which the 87 periods were broken up. Using the above methodology, the researcher was able to conclude that political events changed the specification of the APTM in late 1991. After the national elections in April 1994 it was found that the acceptance of South Africa into the world economic community had again changed the specification of the APTM and the two most important factors were proxies for economic events.
Business Leadership
DBL

碩士
國立中山大學
財務管理學系研究所
101
Many serious financial crises have hit the global financial market over the past decades. In those crises, liquidity could suddenly dries up and liquidity commonality between stocks and market becomes more significant. Liquidity risk is not an easily diversifiable systematic risk, and investor’s wealth and capital also depend on assets’ liquidity when market crashes. This research focuses on the issues of whether liquidity risk is a significant factor in Taiwan capital market. Do investors get liquidity risk premium if they hold the stock which is highly sensitive to market crash? The liquidity risk of a stock represents three different forms:(1) individual stock liquidity sensitivity to market liquidity; (2) individual stock liquidity sensitivity to market return; (3) individual stock return sensitivity to market liquidity .We use Clayton Copula and liquidity-adjusted capital asset model to measure these different liquidity risks, which are extreme downside liquidity risks (EDL) and linear liquidity risks (LLR) respectively. Extreme downside liquidity risk, which is the conditional liquidity risk, emphasizes clustering in the lower left tail 10% dependence of bivariate distribution between individual stock liquidity (return) and market liquidity (return). Linear liquidity risk, which is the unconditional liquidity risk, uses covariance to capture sensitivity between individual liquidity (return) and market liquidity (return). After we control for market risk, size, book to market, and momentum risk factors, we find that liquidity risk is an important determinant of cross-section of expected return. Besides, liquidity risk is also more important than market risk and the level of liquidity. In addition to the liquidity commonality risk, we also find the co-movement risk between individual stock liquidity and market return, and co-movement risk between individual stock return and market liquidity are cared by investors. When market declines, the relationship between liquidity risk and expected return reverses from positive to negative. We use behavior of investors to explain this phenomenon.

The performance of an ensemble prediction system is inherently flow dependent. This dissertation investigates the flow dependence of the ensemble performance with the help of linear diagnostics applied to the ensemble perturbations in a small local neighborhood of each model grid point location ℓ. A local error covariance matrix Pℓ is defined for each local region and the diagnostics are applied to the linear space Sℓ defined by the range of the ensemble based estimate of Pℓ. The particular diagnostics are chosen to help investigate the ability of Sℓ to efficiently capture the space of true forecast or analysis uncertainties, accurately predict the magnitude of forecast or analysis uncertainties, and to distinguish between the importance of different state space directions. Additionally, we aim to better understand the roots of the underestimation of the magnitude of uncertainty by the ensemble at longer forecast lead times. Numerical experiments are carried out with an implementation of the Local Ensemble Transform Kalman Filter (LETKF) data assimilation system on a reduced (T62L28) resolution version of the National Centers for Environmental Prediction (NCEP) Global Forecast System (GFS). Both simulated observations under the perfect model scenario and observations of the real atmosphere are used in these experiments. It is found that (i) paradoxically, the linear space Sℓ provides an increasingly better estimate of the space of forecast uncertainties as the time evolution of the ensemble perturbations becomes more nonlinear with increasing forecast time, (ii) Sℓ provides a more reliable linear representation of the space of forecast uncertainties for cases of more rapid error growth, (iii) the E-dimension is a reliable predictor of the performance of Sℓ in predicting the space of forecast uncertainties, (iv) the ensemble grossly underestimates the forecast error variance in Sℓ, (v) when realistic observation coverage is used, the ensemble typically overestimates the uncertainty in the leading eigen-directions of ˆP ℓ and underestimates the uncertainty in the trailing directions at analysis time and underestimates the uncertainty in all directions by the 120-hr forecast lead time, and (vi) at analysis time, with a constant covariance inflation factor, the ensemble typically underestimates uncertainty in densely observed regions and overestimates the uncertainty in sparsely observed regions.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word.
The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined.
Business Management
DCom (Sakebestuur)

Bei der Entwicklung von Herzunterstützungssystemen oder Systemen für den totalen Herzersatz muss untersucht werden, ob ein definierter Blutfluss gewährleistet werden kann und entsprechende Druckdifferenzen erzeugt werden können. Zudem ist eine möglichst geringe Blutschädigung von großer Bedeutung.  Zur Untersuchung der Förderleistung wird der erzeugte Volumenstrom bei verschiedenen Leistungsaufnahmen (Stromstärken) ermittelt. Es zeigt sich ein linearer Zusammenhang zwischen Leistungsaufnahme (A) und erzeugtem Fluss (l/min), da der erzeugte Druckgradient der Kraft des Kolbens proportional ist. Im Weiteren werden Druck- und Flussbeziehungen bei maximaler Leistungsaufnahme gemessen und dargestellt. Hier zeigt sich, dass bis zu einer Nachlast von 120 mmHg die maximale Flussrate von 11 l/min erzielt wird.  In weiteren Versuchsreihen wird das Ausmaß der Hämolyse bestimmt, indem die lineare Blutpumpe mit einem klinisch etablierten System (Medos-HIA-Ventrikel) verglichen wird. Dafür wird der normierte Hämolyse Index (NIH) bestimmt. Die vergleichende Untersuchung im Modellkreislauf ergibt, dass für die lineare Blutpumpe der Index 0,078 g/100l zwar höher liegt, als bei dem klinisch etablierten Medos-Ventrikel 0,0037 g/100l, die Erythrozyten-, Thrombozyten- und Leukozytenzahl sowie der Hkt bleiben aber unverändert über sechs Stunden. Die hier vorgestellte lineare Blutpumpe besitzt neben ausreichender Leistungsfähigkeit und neuartigen Regulationsmöglichkeiten eine dem Entwicklungsstand nach geringe blutschädigende Wirkung. Die lineare Blutpumpe stellt damit einen geeigneten neuen Lösungsansatz zur Konstruktion eines pulsatilen Geräts zu Herzunterstützung als auch totalem Herzersatz dar.

碩士
輔仁大學
數學系碩士班
106
In the past few years, different kinds of derivative have increased rapidly in the financial market. More and more new options showed up. Researchers worked together to find faster methods to calculate the prices of call option. This research focused on how the outer force influencing option market based on Black-Scholes partial differential equation. We gave some outer force to the general Black-Scholes equation, and solved the cases. Using these solutions, we observe the development of the option price after the impact of outer forces with asset prices. We have assumed three different outer forces, added to the Black-Scholes model. Finally, we obtained the call option price model.

碩士
淡江大學
財務金融學系碩士在職專班
100
This research employs the panel threshold smooth transition regression model elaborated by Gonzalez, Terasvirta and van Dijk (2004, 2005) to investigate the effect of advertising on firm value under the different levels of asset size from the view of non-linear heterogeneity. The empirical findings first indicate that there exists one structural change no matter for models of using ROA or ROE as the proxy for the firm value. The threshold values and the speeds of transition are 6.4661 billion NT dollars and 0.2042 for ROA model and 0.8690 billion NT dollars and 0.2075 for ROE model, respectively. As shown from the empirical results, there is a big difference between ROA and ROE models in the value of thresholds, however, the speeds of transition are quite similar for both models. Analyzing the ROA model, the result shows that the advertising does not has any effect on firm value for all ranges of firm assets. For other explanation variables, cash holding shows diminishing positive effect on ROA. Total asset and total debt show the effects turn from negative to positive and from positive to negative on ROA, respectively, when total asset is from upper region to lower region. Regarding the model of ROE, the result shows the effect of advertising on firm value turns from positive to negative for asset from upper region to lower region. Cash holding shows no effect on firm value. Moreover, same results as ROA model are found for the effect of total asset and total debt on ROE. The main purpose of this research is using firm assets as threshold to investigate the non-linear effect of advertising on firm values. For ROA proxy model, the result shows that the advertising does not has any effect on firm value for all ranges of firm assets. On the other hand, the ROE proxy model shows the effect of advertising on firm value turns from positive to negative for asset from upper region to lower region.

碩士
淡江大學
管理科學研究所
81
In order to improve the actual conditions as well as the competition between banks of the Republic of China, which currently is in an unstable financial environment, it is essential to increase the competence of management skills for assets and liabilities, which gives attention to growth, fluency, safety and revenue. The asset-liability portfolio must be well planned to be efficient. With this proposal, we are going to develop a target function that increases profit margin and builds up a linear programming model under hte current financial rules and regulations or limitations in the field of bank management. Without considering dynamic and uncertain factors, the model type for a certain month can be unfolded by means of financial reports at the beginning of the month with forecasts, and the expected balance sheet for the end of the month. This model enables bank managers to preview the best possible portfolio available and adjust the actual assets or liabilities to reach maximum profit. The linear programming model introduced here can not only provide bank decision-makers related information regarding asset-liability portfolios in order to direct capital management,but also appears as an analysis tool for interest rate setting and further policies. For this reason, this model would be the best reference for asset-liability management of domestic bank systems, which would help to determine the most suitable policy of decision- making.

In the field of the construction industry, the research work has been widely focused on identifying key performance indicators and critical success factors without assessing the impact of conflict environment factors. This study focusses on the impact of post-conflict environment factors on local construction organization performance. This research presents a performance prediction model comprising the effect of post-conflict environment factors on construction organization performance. The proposed framework of this study has four stages: identify key performance indicators (KPIs), identify post-conflict environment impacting factors, determine critical success factors (CSFs), and formulate success strategy to improve performance. Analytical hierarchy process (AHP) and multiple linear regression (MLR) techniques are applied to analyze the data.

The study finding indicates that there is a significant relationship between the post-conflict condition impacting factors and local construction organization performance, which is insufficiently studied in previous research work. Thus, the developed framework will benefit academic scholars and industry practitioners to analyze and evaluate challenges and opportunities caused by different external environment conditions in the post-conflict construction industry.

碩士
明新科技大學
管理研究所碩士班
104
Due to the booming development in the financial market of Taiwan, financial product has become more diversified, meanwhile, new innovative derivative financial product based on Taiwan weighted stock index and OTC (over-the-counter) stock index as target emerges to the market too. The importance of these two indexes to the stock market is obvious. TSMC (2330) is the largest company in Taiwan with stock listed in the stock market, meanwhile, it is also the favorite investment target for foreign investor and the general public. In recent years, with the backup of the trends such as financial technology, internet of things and e-commerce, PChome Online Inc. (8044) in the OTC market has become the star of the stock market. Therefore, in this study, support vector regression model will be used as basis to be associated with several technical indexes such as KD value, RSI and MACD to construct three prediction models to predict respectively stock average (Taiwan weighted stock index and OTC stock index) and the highest price, lowest price and closing price of individual stock (TSMC, PChome Online Inc.), meanwhile, the results will be compared with multiple regression model for the related prediction capability. In this study, daily data were used for empirical study, and the data taken period was from Jan. 01, 2010 to June 30, 2015, wherein the period from Jan. 01, 2010 to Dec. 31, 2012 was training period, period from Jan. 01, 2013 to June 30, 2015 was prediction period. Meanwhile, mean squared error (MSE) and mean absolute percentage error (MAPE) were used in this study to make comparison on the prediction capability of the empirical model. The empirical result shows that in predicting the closing price of Taiwan weighted stock index using multiple regression in association with model 3 (high opening and low closing in association with technical index), the prediction result will be the best, which were similarly true in predicting the closing price of TSMC and in predicting OTC index and the closing price of PChome Online Inc. This empirical result is helpful for the investor to seize the stock average and the daily stock price information and fluctuation of individual stock, consequently, the investor’s investment performance can be enhanced.

Tese de doutoramento em Sistemas de Energia Sustentável, apresentada ao Departamento de Engenharia Mecânica da Faculdade de Ciências e Tecnologia da Universidade de Coimbra
As relações entre o consumo de energia, o crescimento econômico e os impactos ambientais são determinantes para o processo de formulação de políticas. A Análise Input-Output (AIO) tem sido usada para estudar inter/intra-relações entre os diferentes setores económicos, bem como estendida para a análise dos sistemas energético e ambiental. Modelos de Programação Linear Multi-objetivo (PLMO) utilizando a estrutura Input-Output (IO) também vêm sendo desenvolvidos para estudar os compromissos (trade-offs) entre os sistemas económico, energético e ambiental. Os modelos IO-PLMO são capazes de captar a complexidade e natureza conflituosa dos problemas do mundo real, permitindo a obtenção de um informação relevante que não seria possível conseguir com uma aplicação separada de ambas as metodologias. Esta combinação de modelos de PLMO e AIO desempenha um papel complementar na compreensão das interações entre os sistemas económicos e energéticos, e os correspondentes impactos ambientais, oferecendo um quadro consistente para avaliar os efeitos de políticas distintas sobre estes sistemas. Um modelo de PLMO baseado em uma estrutura IO híbrida com unidades monetárias e físicas é apresentado nesta tese. Este modelo tem como objetivo avaliar os trade-offs entre objectivos económicos, energéticos, ambientais e sociais no sistema económico brasileiro. Primeiramente, as tabelas IO para o Brasil são reorganizadas para incluir o Balanço Energético Nacional, criando uma estrutura IO híbrida com unidades físicas e monetárias. Este quadro é estendido para avaliar diferentes Gases de Efeito Estufa (GEE), que são então agregados em um único indicador (CO2eq), e o nível de emprego. Duas versões do modelo de PLMO são definidas: uma versão com valores determinísticos e outra em que a programação intervalar é usada para tratar a incerteza em alguns coeficientes do modelo. A versão determinística do modelo tem 443 variáveis (incluindo a produção dos setores e produtos energéticos e várias variáveis econômicas) e um conjunto de 490 restrições (definidoras e limitadoras). As funções objetivo consideradas são a maximização dos níveis do PIB e do emprego, bem como a minimização do consumo de energia e emissões de GEE. Os métodos interativos STEM e o TRIMAP são aplicados para tratar a versão determinística do modelo, permitindo a exploração de soluções de compromisso de acordo com as informações de preferência emitidas pelo decisor. O STEM permitiu um processo de busca de solução interativa através da redução da região admissível baseada na especificação de quantidades de relação para as função objetivo com valores já satisfatórios, fornecendo informações sobre os trade-offs entre os objetivos conflitantes em diferentes regiões da região admissível. O método interativo TRIMAP ofereceu uma pesquisa flexível de soluções através de um ambiente gráfico amigável baseada na visualização das regiões de indiferença associadas a soluções vértices eficientes no diagrama paramétrico, permitindo uma exploração progressiva e seletiva de soluções de compromisso. Ambos os métodos forneceram informações de apoio à decisão relevante para um decisor hipotético, ajudando-o na compreensão dos trade-offs em jogo e na identificação de soluções de compromisso para os modelos de PLMO. A versão intervalar do modelo IO-PLMO híbrido, que inclui 518 restrições e 473 variáveis, é analisada com uma abordagem interativa que envolve a formulação de modelos determinísticos substitutos para o modelo de PLMO intervalar (baseado na minimização do pior desvio possível das funções objetivo intervalar em relação as suas soluções ideais intervalares correspondentes) e de uma fase interativa em que a sinergia entre o algoritmo (prestando informações ao decisor) e o decisor (processando as informações e fornecendo orientações para o processo de cálculo) facilitando um processo de pesquisa com base na proximidade dos valores da solução intervalar em relação à solução intervalar ideal. Perspectivas otimistas e pessimistas foram consideradas a fim de procurar soluções com diferentes alternativas de decisão. Finalmente, os impactos de diferentes processos de cultivo de cana de açúcar e de produção de bioetanol de primeira (1G) e segunda geração (2G) sobre o sistema económico brasileiro e a oferta doméstica de bioetanol em cenários prospetivos foram analisados com a versão determinística do modelo de PLMO. Coeficientes técnicos para diferentes configurações de usinas de bioetanol de produção combinada de 1G + 2G e sistemas de cultivo da cana foram estimados e introduzidos na matriz de coeficientes técnicos. As funções objetivo foram a maximização do PIB e do emprego, e a minimização do consumo de energia e das emissões totais de GEE. A maximização da produção total de bioetanol no país em cada cenário também foi considerado. Soluções não-dominadas foram calculadas através da minimização da distância de Tchebycheff para a solução ideal em cada cenário. A extensão da análise envolvendo todo o sistema económico veio complementar o desenho e a análise baseada em processos potenciais de produção de bioetanol, contribuindo para identificar efeitos indiretos que podem contrabalançar os benefícios. Esta tese fornece modelos, metodologias e conhecimento baseado na avaliação das soluções obtidas com diferentes processos de cálculo, que é essencial para o desenvolvimento de abordagens integradas para a análise prospetiva dos trade-offs económico-energético-ambiental em um país e em um setor específico.
The study and assessment of the relationships between energy consumption, economic growth and environmental impacts is determinant for the policy making process. Input-Output Analysis (IOA) has been used to study inter/intra-relationships among different sectors in the economic system and extended to account for energy and environmental impacts. Multi-objective Linear Programming (MOLP) models using the Input-Output (IO) framework has also been developed to study economic-energy-environment trade-offs. The IO-MOLP models are able to capture the complexity and conflicting nature of real world problems allowing obtaining insightful information that would not be possible to achieve with a separated application of both methodologies. This combination of multi-objective models with IOA plays a supplementary role in understanding the interactions between the economic and energy systems, and the corresponding impacts on the environment, offering a consistent framework for assessing the effects of distinct policies. A MOLP model based on a hybrid IO framework with monetary and physical units is presented in this thesis. This model aims at assessing the trade-offs between economic, energy, environmental and social objectives in the Brazilian economic system. Firstly, the IO tables for Brazil are reorganized to include the National Energy Balance, creating a hybrid IO framework. This framework is extended to assess different Greenhouse Gas (GHG) emissions, which are then aggregated into a single indicator (CO2eq), and the employment level. Two versions of the MOLP model are defined: a version with deterministic values and another one in which interval programming techniques are used for tackling the uncertainty in some coefficients of the model. The deterministic version of the model has 443 variables (including the total output of sectors and energy commodities and several economic variables) and a set of 490 (defining and bound) constraints. The objective functions considered are the maximization of GDP and employment levels, and the minimization of energy consumption and GHG emissions. The STEM and TRIMAP interactive methods are applied to the deterministic version of the model, allowing the exploration of compromise solutions according to the preference information issued by the decision maker (DM). STEM allows an interactive solution search process through the reduction of the feasible region based on the specification of relaxation quantities for the already satisfactory objective functions, thus providing information about the trade-offs that are at stake between the competing objectives in different regions of the search space. The TRIMAP interactive method offers a flexible search for solutions in a user-friendly graphical environment based on the display of indifference regions associated with vertex efficient solutions on the parametric diagram, allowing a progressive and selective exploration of compromise solutions. Both methods have provided relevant decision support information to a hypothetical DM assisting him/her in understanding the trade-offs at stake and identifying compromise solutions to the MOLP models. The interval version of the hybrid IO-MOLP model, which includes 518 constraints and 473 variables, is analyzed with an interactive approach involving the formulation of surrogate deterministic models for the interval MOLP model (based on the minimization of the worst possible deviation of the interval objective functions to their corresponding interval ideal solutions) and an interactive phase in which a synergy between the algorithm (providing information to the DM) and the DM (processing the information and providing guidelines for the computation process). This approach has allowed a reference point searching process based on the closeness of the values of the interval solution in relation to the ideal interval solution. Optimistic and pessimistic perspectives have been considered in order to search for solutions using different decision alternatives. Finally, impacts of different sugarcane cultivation and first-generation (1G) and second-generation (2G) bioethanol production processes on the Brazilian economic system and domestic bioethanol supply in prospective scenarios are analyzed with the deterministic version of the MOLP model. Technical coefficients for different configurations of combined 1G+2G bioethanol plants and sugarcane cultivation are estimated and introduced into the Brazilian technical coefficient matrix. The objective functions are the maximization of GDP and employment level, and the minimization of total energy consumption and GHG emissions. The maximization of the total bioethanol production in the country in each scenario is also considered. Non-dominated solutions are computed by minimizing a Tchebycheff distance to the ideal solution in each scenario. Extending the analysis to the whole economic system has complemented the process design and process-based analysis of prospective bioethanol production, contributing to identify indirect effects that can counterbalance the benefits. This thesis provides models, methodologies and knowledge based on the assessment of the solutions obtained in the different computation processes that is essential for the development of integrated approaches for prospective analysis of economic-energy-environmental trade-offs in a country and a specific sector.
FCT - SFRH/BD/42960/2008

碩士
國立臺中教育大學
數位內容科技學系碩士班
99
This study aims to explore system framework design principles of using e-book to assist reading Tibetan Buddhism Kagyu Lineage dharma texts. In this research, an e-book of lineage text is created according to user-friendly interface design and usability principles while applying multimedia features and multifunction to it. The origin and history of Kagyu Lineage, the most significant dharma texts and practice ways along with researches of developing e-books, special features, functions and interface design are discussed in literature review. Conducting interviews with Kagyu monks helps discover user’s needs of various e-book functions and using FlashPageFlip software to create dynamic page flipping e-book model. Questionnaire survey is used to examine user’s experiences of using computer, the level of satisfaction, system usability scale, future benefits and level of acceptance of the proposed e-book. In conclusion, this study addresses the benefits of e-book in providing an interactive way to read dharma texts, preserving precious teachings and disseminating dharma around the world.