101 |
Armazenamento a baixas temperaturas de diferentes cultivares de bananas: efeito nos atributos de qualidade / Storage at low temperatures of different banana cultivars: effect on quality attributes.Heliofabia Virginia de Vasconcelos Facundo 06 May 2013 (has links)
A banana é altamente susceptível a injúrias causadas pelo frio, mas o efeito da refrigeração nos atributos que caracterizam a qualidade do fruto maduro é ainda pouco explorado. Neste trabalho, alguns desses atributos foram analisados em duas cultivares de banana escolhidas por sua diferença em relação à susceptibilidade ao frio: Nanicão e Prata. As duas cultivares foram armazenadas a baixas temperaturas (cv. Nanicão a 13 ºC e cv. Prata a 13 ºC e 10 ºC) por 15 dias e o efeito do frio sobre os compostos voláteis responsáveis pelo aroma e sabor, índices de cor da casca, níveis de carotenoides, açúcares e amido foram analisados comparativamente durante a maturação dos frutos e o perfil de proteínas diferentemente abundantes foi analisado na cultivar Nanicão. Com o auxílio das ferramentas da estatística multivariada, verificou-se que a produção dos compostos voláteis é altamente sensível as baixas temperaturas. A cv. Prata apresentou uma maior resistência ao efeito negativo do armazenamento, mesmo armazenada a 10 ºC. Na cv. Nanicão, as amostras maduras do grupo frio (13 ºC) foram caracterizadas pela presença dos carotenoides majoritários devido ao fato de que as vias metabólicas que utilizam carotenoides terem sido afetadas pelo armazenamento em baixas temperaturas. Para a cv. Prata teve um efeito negativo com o armazenamento, com redução dos níveis de carotenoides tanto a 13 ºC quanto a 10 ºC. Em relação à cor da casca dos frutos não foi observado um efeito evidente nas amostras submetidas a baixas temperaturas. Pela análise proteômica, foi possível entender como o frio causou um impacto negativo na síntese de sacarose, uma vez que as proteínas mais afetadas foram associadas ao metabolismo de energia e de carboidratos. / Bananas are fruits highly susceptible to injuries caused by cold temperatures, but the effect of refrigeration on the attributes that characterize the quality of ripe fruit is still underexplored. In this work, some of these attributes were analyzed in two banana cultivars chosen for their difference in susceptibility to cold temperatures: Nanicão and Prata. Both cultivars were stored at low temperatures (cv. Nanicão at 13 ºC and cv. Prata at 13 °C and 10 °C) for 15 days and the effect of the cold on the volatile compounds responsible for aroma, skin color index, levels of carotenoids, sugars, and starch were comparatively analyzed during fruit maturation and different abundant protein profiles of the Nanicão cultivar were analyzed. By using multivariate statistic tools, it was found that the production of volatile compounds is highly susceptible to low temperatures. However, cv. Prata showed greater resistance to the negative effects of storage even when stored at 10 °C. For cv. Nanicão, ripe samples from the cold group kept at 13 ºC were characterized by the presence of majority carotenoids due to the fact that the metabolic pathways that use carotenoids were affected by the storage at such a low temperature. Conversely, cv. Prata experienced a negative effect with the storage, with reduced levels of carotenoids in both cold groups kept at 13 ºC and 10 ºC. In relation the skin color of the fruit, no effect on the samples held at low temperatures was observed. For proteomics analysis, it was possible to understand how the cold storage caused a negative impact on the synthesis of sucrose, since most of the affected proteins were associated with energy and carbohydrate metabolism. Read more
|
102 |
Plasticité du programme spatio-temporel de réplication au cours du développement et de la différenciation cellulaire / Plasticity of human replication program during differentiation in relation with change in gene expression and chromatin reorganizationJulienne, Hanna 11 December 2013 (has links)
Le séquençage du génome humain, il y a maintenant 12 ans, a mis en lumière la complexité des mécanismes des processus nucléaires tels que la transcription, la réplication ou l'organisation de la chromatine. Depuis, afin de mieux comprendre ces processus, un ensemble sans cesse croissant de données sur le noyau cellulaire a été produit et mis en ligne par un nombre important de laboratoires de par le monde. Ces données sont à la fois d'une richesse extraordinaire et d'une complexité embarrassante. Dans cette thèse, nous mettons à profit l'ensemble de ces données afin de mieux comprendre les déterminants nucléaires du programme spatio-temporel de réplication. Pour cela nous utilisons pas moins d'une centaine de profils épigénétiques ChiP-seq le long des chromosomes humains et dans diverses lignées cellulaires pour caractériser la structure primaire de la chromatine. Nous démontrons, à l'aide d'outils issus des statistiques multivariées, que l'immense complexité potentielle de ces jeux de données peut être réduite à quatre états chromatiniens principaux et ce dans toutes les lignées cellulaires somatiques étudiées. Cette classification simple, robuste et néanmoins complète est un excellent point d'appui pour l'étude de la réplication. Les quatre états principaux de chromatine sont répliqués à des moments distinct de la phase S (leur « timing » de réplication est différent) et ont un contenu en gènes drastiquement différents. Leur répartition spatiale le long du génome est structurée et est particulièrement visible dans les domaines où le « timing » de réplication dessine un U comme signature de l'existence d'un gradient de polarité des fourches de réplication. Ces U-domaines de la taille du Mpb recouvrent 50% du génome humain et les quatre états chromatiniens principaux se succèdent du bord au centre de ces U-domaines. Les mêmes techniques statistiques appliquées au cas d'une lignée embryonnaire révèlent aussi l'existence de quatre états principaux de chromatine mais de nature différente. La classification en quatre états s'avèrent alors très utile pour comparer l'épigénétique d'une lignée somatique à celle d'une lignée embryonnaire. Aussi, les spécificités du programme de réplication embryonnaire sont mises en rapport avec les spécificités de l'organisation de la chromatine dans cette lignée cellulaire. En particulier, notre étude révèle le rôle majeur de l'histone variant H2AZ dans la pluripotence. / The sequencing of the human genome, twelve years ago, revealed the complexity of the mechanisms underlying nuclear process such as transcription, replication and chromatin organization. In the past few years, to delineate better these processes, datasets on the cell nucleus were gathered and made available online by numerous laboratories around the world. These datasets are, at once, extraordinarily rich and daunting to handle. In this thesis, we take advantage of these datasets to understand better the nuclear determinants of the replication program. We analyze not less than a hundred ChiP-seq profiles along human chromosomes in several cell lines to characterize the primary structure of chromatin. We demonstrate, when using tools from multivariate statistics, that the immense potential complexity of these datasets can be reduced to four prevalent chromatin states in all studied somatic cell lines. This simple and comprehensive classification is an excellent starting point for the study of replication. The four prevalent chromatin states are replicated at different moments of the S-phase (they have a different replication “timing”) and have drasticaly different gene contents. Their spatial repartition along the genome is structured, especially in domains where the timing replication is U-shaped. These megabase sized U-domains cover 50% of the human genome and the four prevalent chromatin states succeed each other from their borders to their center. The same statistical techniques applied on an embryonic stem cell (ESC) also reduced the epigenetic complexity to four prevalent chromatin states which are qualitatively different from the ones in somatic cells. We further show that the specificities of embryonic replication program are link to the specificities of embryonic chromatin. Importantly, our study reveals that the histone variant H2AZ plays a major role in pluripotency. Read more
|
103 |
Statistical and Machine Learning Approaches For Visualizing and Analyzing Large-Scale Simulation DataHazarika, Subhashis January 2019 (has links)
No description available.
|
104 |
A Study of non-central Skew t Distributions and their Applications in Data Analysis and Change Point Detection.Hasan, Abeer 26 July 2013 (has links)
No description available.
|
105 |
Polycyclic Aromatic Hydrocarbons In Urban Soils From West Yorkshire, UK. Investigation into Abundances, Sources and Determining FactorsHamed, Heiam A.M. January 2018 (has links)
This study aims to determine the concentration of 16 Polycyclic Aromatic
Hydrocarbons (PAHs) in urban soils from West Yorkshire in order to determine what
the factors are controlling their distribution and abundances. Although PAHs have
been reported before from soils and sediments, the majority of these studies have
come from China, sometimes with contrasting results, which emphasises the need to
obtain equivalent data from other areas. Therefore this work provides the first
measurements of their type from the area studied.
Soil samples were collected from one hundred sites across an area from Bradford to
Leeds on two occasions, one in autumn and one in the following summer. The soil
samples were analyzed by X-ray diffraction and all found to have similar mineralogical
composition, which was mainly silica and calcite. Trials using iodine as a marker for
PAHs showed there were notable interactions between the minerals and PAHs, with
calcium carbonate absorbing PAHs much more than silica. There is a negative
correlation between the soil organic content (determined by loss on ignition) and
PAHs, which confirms the PAH-mineral interaction. Gas chromatography with mass
spectrometry (GC-MS) using targeted selected ion monitoring was used to determine
and quantify PAHs in the one hundred soil samples with the aid of PAH external
standards.
The results showed highest concentrations of total PAHs in the same sample from
Leeds from the autumn (1,525 ng/g) and in the summer (1,768 ng/g). In Bradford there
was only moderate pollution of PAHs, the maximum being 122 ng/g. However the
majority of data from Bradford showed lower levels of pollution in both summer and
autumn. On the basis of prior published information, the ratio of these compounds has been used to help in identifying sources. In the samples collected from Bradford in
both seasons and Leeds in autumn the PAH pollution originated from pyrogenic,
biomass and petroleum combustion, however in the summer the source appeared
more to be from a petrogenic source. These ratios in the samples which were collected
from the area between Bradford and Leeds implied pyrogenic, biomass source of
pollution in the autumn, but in the summer another source of organic compounds was
indicated namely petroleum combustion. When the locations were resampled nine
months later, after taking into account within-site variability, there was a strong
indication that the PAH concentrations were higher. This might have been due to a
seasonal effect, but when a further (third) subsample was taken at a later date it
showed a further increase in PAH level which suggests the effect is accumulative
rather than seasonal.
The results were analysed using Principal Component Analysis (PCA) to determine
whether the type of road had an effect on the concentration of the 16 PAHs
compounds, but it was concluded that there was no such effect. However, the distance
from the soil sample to the nearest road did have an effect on the concentration of the
16 PAH compounds, especially in soil samples having the shortest distance to the
road. Traffic volume was also tested and found to influence the PAH concentrations.
It is notable that, comparing the groupings from autumn with those from summer by
cluster analyses, they largely had the same compounds grouping together in both cases; only two compounds differed at all in where they occurred in the clusters, with
consistent patterns of grouping found for the other compounds. These analyses
indicate that PAH compounds behave in a consistent way amongst groups of PAH
compounds. The grouping of PAHs appears linked to their sources rather than number
of rings or molecular weight. / Libyan Government and Embassy Read more
|
106 |
AN APPROACH TOWARDS HOLISTIC ASSESSMENT OF SOCIO-ECONOMIC IMPACTSSánchez Royo, Begoña 21 October 2011 (has links)
This thesis uses the case study of the Fallas festival in the city of Valencia (Spain), to
assess the value of intangible cultural heritage. Within this framework the thesis
explores a number of different issues: for example how social agents frame different
qualities and benefits of cultural heritage in order to describe the value and claims for
funding the arts. It finds that value assessment for claiming funds presents many
challenges such as: identifying the values of the heritage in question; describing them;
and ranking them according to their contribution to the public welfare. It examines the
methodological techniques for assessing heritage values and goes on to discuss a
number of tools that are, or could be, used for assessment.
The thesis also explores how public bodies legitimise cultural funding. It examines the
role of non-government arts organisations in supporting the arts. It proposes the
analysis of donor decisions through a multi-attribute technique where donors state their
importance to donor situations under specific conditions or attributes. Finally, it
describes how the stakeholder approach can be applied for searching new ways of
funding festivals. It also considers how intangible cultural heritage goods can be
assessed within the process of cost-benefit evaluation. It also analyses how public
bodies, as the principal supporters of culture, deal with the problem of valuing
intangibles on social investments.
The study uses the Fallas festival to test the research hypothesis. It uses a number of
economic and statistical techniques to evaluate the Fallas Festival, these include
Contingent Valuation, Choice Experiment and Descriptive and Multiatribute Statistics.
The statistical techniques reveal that historical benefits are intrinsically valuable in the
Fallas festival. The historical value that the members of the neighbourhood
associations place on the Fallas festival justify that local social agents should support
this festival. / Sánchez Royo, B. (2011). AN APPROACH TOWARDS HOLISTIC ASSESSMENT OF SOCIO-ECONOMIC IMPACTS [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/12269 Read more
|
107 |
Management of Complex Sociotechnical SystemsTopcu, Taylan Gunes 20 April 2020 (has links)
Sociotechnical systems (STSs) rely on the collaboration between humans and autonomous decision-making units to fulfill their objectives. Highly intertwined social and technical contextual factors influence the collaboration between these human and engineered elements, and consequently the performance characteristics of the STS. In the next two decades, the role allocated to STSs in our society will drastically increase. Thus, the effective design of STSs requires an improved understanding of the human-autonomy interdependency.
This dissertation brings together management science along with systems thinking and uses a mixed-methods approach to investigate the interdependencies between people and the autonomous systems they collaborate within complex socio-technical enterprises. The dissertation is organized in three mutually exclusive essays, each investigating a distinct facet of STSs: safe management, collaboration, and efficiency measurement.
The first essay investigates the amount of work allocated to safety-critical decision makers and quantifies Rasmussen's workload boundary that represents the limit of attainable workload. The major contribution of this study is to quantify the qualitative theoretical construct of the workload boundary through a Pareto-Koopmans frontier. This frontier allows one to capture the aggregate impact of the social and technical factors that originate from operational conditions on workload.
The second essay studies how teams of humans and their autonomous partners share work, given their subjective preferences and contextual operational conditions. This study presents a novel integration of machine learning algorithms in an efficiency measurement framework to understand the influence of contextual factors. The results demonstrate that autonomous units successfully handle relatively simple operational conditions, while complex operational conditions require both workers and their autonomous counterparts to collaborate towards common objectives.
The third essay explores the complementary and contrasting roles of efficiency measurement approaches that deal with the influence of contextual factors and their sensitivity to sample size. The results are organized in a structured taxonomy of their fundamental assumptions, limitations, mathematical structure, sensitivity to sample size, and their practical usefulness.
To summarize, this dissertation provides an interdisciplinary and pragmatic research approach that benefits from the strengths of both theoretical and data-driven empirical approaches. Broader impacts of this dissertation are disseminated among the literatures of systems engineering, operations research, management science, and mechanical design. / Doctor of Philosophy / A system is an integrated set of elements that achieve a purpose or goal. An autonomous system (ADS) is an engineered element that often substitutes for a human decision-maker, such as in the case of an autonomous vehicle. Sociotechnical systems (STSs) are systems that involve the collaboration of a human decision-maker with an ADS to fulfill their objectives. Historically, STSs have been used primarily for handling safety critical tasks, such as management of nuclear power plants. By design, STSs rely heavily on a collaboration between humans and ADS decision-makers. Therefore, the overall characteristics of a STS, such as system safety, performance, or reliability; is fully dependent on human decisions. The problem with that is that people are independent entities, who can be influenced by operational conditions. Unlike their engineered counterparts, people can be cognitively challenged, tired, or distracted, and consequently make mistakes.
The current dependency on human decisions, incentivize business owners and engineers alike to increase the level of automation in engineered systems. This allows them to reduce operational costs, increase performance, and minimize human errors. However, the recent commercial aircraft accidents (e.g., Boeing 737-MAX) have indicated that increasing the level of automation is not always the best strategy. Given that increasing technological capabilities will spread the adoption of STSs, vast majority of existing jobs will either be fully replaced by an ADS or will change from a manual set-up into a STS. Therefore, we need a better understanding of the relationships between social (human) and engineered elements.
This dissertation, brings together management science with systems thinking to investigate the dependencies between people and the autonomous systems they collaborate within complex socio-technical enterprises. The dissertation is organized in three mutually exclusive essays, each investigating a distinct facet of STSs: safe management, collaboration, and efficiency measurement.
The first essay investigates the amount of work handled by safety-critical decision makers in STSs. Primary contribution of this study is to use an analytic method to quantify the amount of work a person could safely handle within a STSs. This method also allows to capture the aggregate impact of the social and technical factors that originate from operational conditions on workload.
The second essay studies how teams of humans and their autonomous partners share work, given their preferences and operational conditions. This study presents a novel integration of machine learning algorithms to understand operational influences that propel a human-decision maker to handle the work manually or delegate it to ADSs. The results demonstrate that autonomous units successfully handle simple operational conditions. More complex conditions require both workers and their autonomous counterparts to collaborate towards common objectives.
The third essay explores the complementary and contrasting roles of data-driven analytical management approaches that deal with the operational factors and investigates their sensitivity to sample size. The results are organized based on their fundamental assumptions, limitations, mathematical structure, sensitivity to sample size, and their practical usefulness.
To summarize, this dissertation provides an interdisciplinary and pragmatic research approach that benefits from the strengths of both theoretical and data-driven empirical approaches. Broader impacts of this dissertation are disseminated among the literatures of systems engineering, operations research, management science, and mechanical design. Read more
|
108 |
Klassifizierung von Pollenproben mit spektroskopischen und spektrometrischen Methoden und multivariater StatistikSeifert, Stephan 28 April 2016 (has links)
In dieser Arbeit werden spektroskopische und spektrometrische Methoden diskutiert, um Verfahren auf Grundlage von umfassenden, molekularen Informationen für die Charakterisierung, Klassifizierung und Identifizierung von Pollen zu entwickeln. Es ist bereits bekannt, dass Raman- und Infrarot-Spektroskopie spezifische Fingerabdrücke der chemischen Zusammensetzung von Pollen liefern können. Im Rahmen dieser Arbeit werden nun die oberflächenverstärkte Raman-Streuung (surface-enhanced Raman scattering, SERS), die matrix-assisted laser desorption/ionisation time-of-flight-Massenspektrometrie (MALDI-TOF MS) und die Fourier-Transform-Infrarot-Spektroskopie (FTIR-Spektroskopie) einzelner Pollenkörner für die taxonomische Klassifizierung eingesetzt. Neben der Anwendung zur taxonomischen Klassifizierung können spektroskopische und spektrometrische Methoden auch zur Erkennung von Unterschieden, die durch Umwelteinflüsse verursacht werden, eingesetzt werden. Als ein erstes Beispiel dieser Anwendung werden cherry leaf roll virus (CLRV) infizierte Birkenpollen untersucht und mit Pollen von Kontrollpflanzen verglichen. Die Ergebnisse dieser Arbeit zeigen, dass spektroskopische und spektrometrische Methoden vielversprechend für die Pollenanalytik in vielen verschiedenen Forschungsgebieten sind. / The investigation of pollen grain samples for characterization, classification and identification is still an analytical task that is both challenging and time-consuming, since it is mainly based on the morphological characteristics of the pollen grains. In order to develop approaches that are based on extensive molecular information and that lead to an automated classification, in this thesis, a combination of spectroscopic and spectrometric tools is discussed. It is already known that a fingerprint analysis of the chemical composition of pollen samples can be accomplished by Raman and infrared spectroscopies. Here, surface-enhanced Raman scattering (SERS), matrix-assisted laser desorption/ionisation time-of-flight mass spectrometry (MALDI-TOF MS), and Fourier transform infrared (FTIR) spectroscopy of single pollen grains are successfully applied for the taxonomic classification of pollen samples. In addition to the application for taxonomic classification, it is conceivable that spectroscopic and spectrometric data could also be used to investigate chemical changes caused by environmental influences. As a first example for such an application, cherry leaf roll virus (CLRV) infected birch pollen are investigated and compared to samples from control plants. The results in this work indicate that spectroscopic and spectrometric methods are powerful analytical tools that may be useful for improved pollen investigation in different areas of research. Read more
|
109 |
Massenspektrometrische Untersuchungen einzelner PollenkörnerLauer, Franziska 15 April 2019 (has links)
Blütenstaub ist eine der Hauptursachen für allergische Erkrankungen des Menschen. Insbesondere die Matrix-unterstützte Laser-Desorption/Ionisation-Flugzeit Massenspektrometrie stellt eine geeignete Technik dar, um solch komplexe, biologische Proben zu charakterisieren.
Bei MALDI-TOF MS-Analysen werden die Bestandteile detektiert, die zuvor durch die Matrixauftragung und/oder während der Laser-Desorption von der Oberfläche des Pollenkorns abgelöst werden. Hier zeigte sich, dass die Verwendung eines leitfähigen Klebebandes zur Probenpräparation sowohl die Fixierung der Pollenkörner als auch die Extraktion der Analyten aus diesen verbessert.
Die gezeigten Ergebnisse belegen, dass sich Pollen verschiedener Pflanzenarten über den Vergleich von massenspektrometrischen Peakmustern differenzieren lassen. Zur Beurteilung der spektralen Muster wurden in dieser Arbeit multivariate, statistische Verfahren, speziell die Hauptkomponentenanalyse verwendet. Diese hebt Unterschiede in den Datensätzen hervor und ermöglicht eine varianzgewichtete Darstellung und verbesserte Klassifizierung. Zur effizienten multivarianten Analyse wurde dieses Verfahren in eine graphische Benutzeroberfläche eingebunden.
Neben der individuellen Charakterisierung einzelner Pollenproben liegt eine weitere Herausforderung in der massenspektrometrischen Analyse von Pollenkornmischungen, da es durch Vermischungs- und Suppressionseffekte zur Diskriminierung einzelner, möglicherweise charakteristischer MS-Peaks kommen kann. Deshalb wurde in dieser Arbeit die bildgebende MALDI Massenspektrometrie angewendet. So konnten in einem Modellsystem einzelne Pollenkörner unterschiedlicher Arten nachgewiesen und ihren ursprünglichen Positionen in der Probe zugeordnet werden.
Der im Rahmen der Arbeit vorgestellte Ansatz stellt eine neue, zuverlässige Methode zur Pollenbestimmung dar, die nicht auf der individuellen, visuellen Beurteilung, sondern auf einer spektrometrisch-analytischen Basis beruht. / Pollen represent one of the major causes for allergies in humans. Matrix-assisted laser desorption/ ionization time-of-flight is a suitable technique to characterize such complex biological samples.
In pollen analyses, MALDI-TOF MS detects components that are extracted from the grain surface by the matrix solution and during laser desorption. Like any biological structure, pollen grains contain specific proteins, peptides, lipids and carbohydrates that produce characteristic signal patterns in the mass spectrum. The sample preparation applied in this work showed that the use of a conductive adhesive tape improves both the fixation of the pollen grains and the extraction of the analytes from them.
The shown results prove that pollen of different plant species can be differentiated by comparing their respective mass spectral patterns. For the evaluation of such spectral patterns multivariate statistical methods, and in this work especially principal component analysis, are needed. PCA highlights differences in data sets and enables variance-weighting and improved classification. For efficient multivariate analysis, this method was integrated into a graphical user interface.
In addition to the individual characterization of pollen samples, the mass spectrometric analysis of pollen grain mixtures posed a further challenge, since mixing and suppression effects can lead to discrimination of individual, possibly characteristic MS-peaks. For this purpose, the MALDI MS Imaging technique was applied. For the evaluation of such imaging data sets, further multivariate methods were applied,
investigated, and evaluated. Thereby, in a model system individual pollen grains of different species could be identified and assigned their original position in the sample.
The presented approach represents a new, reliable method for pollen determination, based on spectrometric-analytical basis rather than an individual visual assessment. Read more
|
110 |
Bayesian Inference for High-Dimensional Data with Applications to Portfolio TheoryBauder, David 06 December 2018 (has links)
Die Gewichte eines Portfolios liegen meist als als Kombination des Produkts der Präzisionsmatrix und des Erwartungswertvektors vor. In der Praxis müssen diese Parameter geschätzt werden, allerdings ist die Beschreibung der damit verbundenen Schätzunsicherheit über eine Verteilung dieses Produktes eine Herausforderung. In dieser Arbeit wird demonstriert, dass ein geeignetes bayesianisches Modell nicht nur zu einer leicht zugänglichen Posteriori-Verteilung führt, sondern auch zu leicht interpretierbaren Beschreibungen des Portfoliorisikos, wie beispielsweise einer Ausfallwahrscheinlichkeit des gesamten Portfolios zu jedem Zeitpunkt.
Dazu werden die Parameter mit ihren konjugierten Prioris ausgestatet. Mit Hilfe bekannter Ergebnisse aus der Theorie multivariater Verteilungen ist es möglich, eine stochastische Darstellung für relevante Ausdrücke wie den Portfoliogewichten oder des effizienten Randes zu geben. Diese Darstellungen ermöglichen nicht nur die Bestimmung von Bayes-Schätzern der Parameter, sondern sind auch noch rechentechnisch hoch effizient, da Zufallszahlen nur aus bekannten und leicht zugänglichen Verteilungen gezogen werden. Insbesondere aber werden Markov-Chain-Monte-Carlo Methoden nicht benötigt.
Angewendet wird diese Methodik an einem mehrperiodigen Portfoliomodell für eine exponentielle Nutzenfunktion, am Tangentialportfolio, zur Schätzung des effizienten Randes, des globalen Minimum-Varianz-Portfolios wie auch am gesamten Mittelwert-Varianz Ansatzes. Für alle behandelten Portfoliomodelle werden für wichtige Größen stochastische Darstellungen oder Bayes-Schätzer gefunden. Die Praktikabilität und Flexibilität wie auch bestimmte Eigenschaften werden in Anwendungen mit realen Datensätzen oder Simulationen illustriert. / Usually, the weights of portfolio assets are expressed as a comination of the product of the precision matrix and the mean vector. These parameters have to be estimated in practical applications. But it is a challenge to describe the associated estimation risk of this product. It is demonstrated in this thesis, that a suitable Bayesian approach does not only lead to an easily accessible posteriori distribution, but also leads to easily interpretable risk measures. This also includes for example the default probability of the portfolio at all relevant points in time.
To approach this task, the parameters are endowed with their conjugate priors. Using results from the theory of multivariate distributions, stochastic representations for the portfolio parameter are derived, for example for the portfolio weights or the efficient frontier. These representations not only allow to derive Bayes estimates of these parameters, but are computationally highly efficient since all th necessary random variables are drawn from well known and easily accessible distributions. Most importantly, Markov-Chain-Monte-Carlo methods are not necessary.
These methods are applied to a multi-period portfolio for an exponential utility function, to the tangent portfolio, to estimate the efficient frontier and also to a general mean-variance approach. Stochastic representations and Bayes estimates are derived for all relevant parameters. The practicability and flexibility as well as specific properties are demonstrated using either real data or simulations. Read more
|
Page generated in 0.0885 seconds