Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado. / This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.

Problem When choosing topic for this study the economy was on the brink of a recession. Many experts made varying statements regarding this fact, and further readings in this area led us to question: can an in- clusion of gold enhance the performance in an index portfolio dur- ing recessions? And if so, how much should be allocated to gold? Purpose The purpose of this thesis is to look back at the historical price de- velopment of gold and DJIA during recessions in order to find out whether an inclusion of gold can improve a DJIA index portfolio held in today’s recession. In addition, by analyzing the risks and pos- sibilities with gold, the optimal allocation of gold in a DJIA portfolio will be investigated in.   Method The methodological approach will be of a quantitative data analysis approach. By using historical data, new empirical findings will be found by using the deductive approach. This method has been cho- sen due to the nature of the purpose and in order to best give a gen- eral answer to our research questions. Conclusion The gold price is strongly influenced by uncertainty, and even though an optimal allocation of gold in each recession could be found, no general optimal allocation applicable in today’s recession could be found. Gold has higher risk (higher variance) than DJIA, but is compensated with higher return as well.

<p><strong>Problem</strong></p><p>When choosing topic for this study the economy was on the brink of a recession. Many experts made varying statements regarding this fact, and further readings in this area led us to question: can an in- clusion of gold enhance the performance in an index portfolio dur- ing recessions? And if so, how much should be allocated to gold?</p><p><strong>Purpose</strong></p><p>The purpose of this thesis is to look back at the historical price de- velopment of gold and DJIA during recessions in order to find out whether an inclusion of gold can improve a DJIA index portfolio held in today’s recession. In addition, by analyzing the risks and pos- sibilities with gold, the optimal allocation of gold in a DJIA portfolio will be investigated in.</p><p> </p><p><strong>Method</strong></p><p>The methodological approach will be of a quantitative data analysis approach. By using historical data, new empirical findings will be found by using the deductive approach. This method has been cho- sen due to the nature of the purpose and in order to best give a gen- eral answer to our research questions.</p><p><strong>Conclusion</strong></p><p>The gold price is strongly influenced by uncertainty, and even though an optimal allocation of gold in each recession could be found, no general optimal allocation applicable in today’s recession could be found. Gold has higher risk (higher variance) than DJIA, but is compensated with higher return as well.</p>

Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado. / This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.

Made available in DSpace on 2015-05-08T14:59:41Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1407103 bytes, checksum: 027945d54e4116245c2d9c32a5cb0ca6 (MD5) Previous issue date: 2009-07-31 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This work presents the simulation of a hydraulic system with two degrees of freedom used to position a load on a horizontal plane, using a Generalized Minimum Variance controller (GMV) defined by ISERMANN et al (1992). For this, the Physics laws used to determinate the mathematical linear model that represents the real hydraulic system in study are presented. After, the identification of a new model is simulated, that is used to design the GMV controller. Basically, the system is composed by: power circuit, two spool valves, two performance cylinders and a load to be positioned. The cylinder 1 moves the load in the X axis direction and the cylinder 2 moves the load in the Z axis direction. The load is coupled on the rod end of the cylinder 2, and the kit coupled on the rod end of the cylinder 1. The results obtained by GMV controlling the hydraulic system with two degrees of freedom to follow three reference ways in XZ horizontal plane, are shown and commented based on performance specifications that the system must obey. / Este trabalho apresenta a simulação de um sistema hidráulico de dois graus de liberdade para posicionamento de uma carga num plano horizontal, utilizando um controlador de Mínima Variância Generalizada (GMV) definido por ISERMANN et al (1992). Para tal, apresentam-se as leis da física que foram utilizadas para a determinação de um modelo matemático linear que representa, na simulação, o sistema hidráulico real em estudo. Em seguida simula-se a identificação de um novo modelo utilizado para projetar o controlador GMV. O sistema é composto, basicamente, por: circuito de potência, duas válvulas do tipo carretel, dois cilindros de atuação e uma carga a ser posicionada. O cilindro 1 movimenta a carga na direção do eixo X e o cilindro 2 movimenta a carga na direção do eixo Z . A carga é acoplada à extremidade da haste do cilindro 2 e este conjunto é acoplado à haste do cilindro 1. Os resultados do GMV, controlando o sistema hidráulico de dois graus de liberdade para seguir três trajetórias de referência no plano horizontal XZ , são mostrados e comentados com base nas especificações de desempenho que o sistema deve obedecer.

Este trabalho analisa e modela a Estrutura a Termo das Taxas de Juros objetivando ao teste da Hipótese das Expectativas(HE) na ponta curta da curva de juros e a uma aplicação da teoria de Markowitz (1952) no mercado de renda fixa utilizando a estrutura proposta por Caldeira, Moura e Santos (2015). Para estes fins foram utilizados dados dos contratos futuros de 1 dia dos depósito interbancários (DI1) negociados na BMF interpolados em maturidades fixas, sendo utilizados em base semanal quando do teste da HE e em base diária para a construção dos portfólios de mínima variância. Os resultados encontrados para o teste da HE sugerem a invalidade da teoria, uma vez que o prêmio de risco é se mostra ajustável a um modelo GARCH-M e, portanto, variante no tempo. Os portfólios de mínima variância ajustados nas versões irrestrita e restrita (duration máxima de 1 ano) se mostraram consistentes, tendo superado quase a totalidade dos fundos analisados. O portfólio de mínima variância irrestrito obteve o maior Índice de Sharpe no período analisado. / This work analyzes and model the Term Structure of Interest Rates seeking testing Expectation Hypothesis in the short end of the Yield Curve and to apply the portfolio theory to the fixed income context using the framework proposed by Caldeira, Moura e Santos (2015). We used a database of constant maturities interbank deposits’s future contracts. The results suggest Expectation Hypothesis doesn’t hold and risk premium could be modeled by a GARCH-M framework, being time variant. The bond portfolio optimized were, in general, consistent with high sharpe ratio relative to other funds and beated the chosen benchmark during the period analyzed.

It is important to develop methods that are capable of successfully determining plant performance. The method used should be based on the ability to determine the performance of each of the various unit operations within the plant. This in turn will assist with the correct decision as to which unit in the plant should be improved first. The performance of the various units can be accumulated to give a representation of the performance of the entire plant. A plant-wide performance monitoring method has been developed to do just this. Originally it was developed for a specific unit operation. It has now been verified that this method is applicable to different unit operations. The method employed to determine this plant-wide performance is by evaluating how close the plant is to its inherent optimum. Where applicable, this inherent optimum can also be replaced with a user specified optimum. When an optimum is specified there is a possibility of oscillations around this “optimum” and the effects of this on the performance number are eliminated to give a more general plant-wide performance number for each unit operation. In addition to the “optimum” value selection the addition of performance weights to specific focus areas (utility usage or product quality) in the performance calculation will also improve the comparative nature of the plant-wide index for different unit operations. The scope of this investigation is limited to the experimental test rigs that were available in the Process Control Laboratory at the University of Pretoria. The methods that were used to determine the single loop performance of each of the different control loops are: <ul> <li>Minimum variance</li> <li>Generalised minimum variance</li> <li>Integral of the Absolute Error (IAE)</li> <li>Integral of the Square Error (ISE)</li> </ul> The single loop performance methods are required to determine how effectively the plant-wide performance index evaluates the plant, since these are existing means of determining how well a plant is operating, but these become impractical due to excessive amounts of information needing evaluation. / Dissertation (MEng)--University of Pretoria, 2008. / Chemical Engineering / unrestricted

This project aims to investigate the orientation of plasma jet fronts in Earth's magnetotail using multi-spacecraft measurement data. The orientations are estimated by applying minimum variance analysis (MVA) and multi-spacecraft timing analysis for finding normal vectors to the jet fronts as they pass over the spacecraft. An agreement between the two analysis methods is found when applied to a data set of fronts. The obtained results are compared to measurements of the ion bulk velocities of the fronts, where a discrepancy is found. Limitations of the analysis are addressed and alternative approaches are presented. / I detta projekt undersöks riktningen hos fronter till plasma-jetstrålar i jordens magnetsvans genom analysering av mätdata från en samling rymdfarkoster. Riktningarna uppskattas genom att applicera minimum variance analysis (MVA) samt multi-spacecraft timing för att hitta normalvektorer till fronterna som passerar rymdfarkosterna. De två metoderna uppnår liknande resultat när de tillämpas på en uppsättning fronter. De erhållna normalvektorerna jämförs även med riktningen av uppmätta jonhastigheter från rymdfarkosterna där en tydlig skillnad förekommer. Begränsningar av analysmetoden påpekas och förslag på alternativa tillvägagångssätt läggs fram.

This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external regressor of an implied volatility index (VIX). We then simulate returns using a rolling window of 500 daily observations and construct portfolios based on the allocation methods. The results suggest that the model can sufficiently estimate expected returns and covariance matrices and we can outperform benchmarks in form of equally weighted and historical portfolios in terms of higher returns and lower risk. Over the whole out-of-sample period the CET portfolio yields the highest mean returns and GMV and MinCVaR can significantly lower the variance. The inclusion of VIX has marginal effects on the forecasting accuracy and it seems to impair the estimation of risk.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-05-25T14:00:15Z No. of bitstreams: 1 Jorge Augusto Dias Samsonescu.pdf: 443638 bytes, checksum: 0ac887f981377608fa611c1016a91b22 (MD5) / Made available in DSpace on 2015-05-25T14:00:15Z (GMT). No. of bitstreams: 1 Jorge Augusto Dias Samsonescu.pdf: 443638 bytes, checksum: 0ac887f981377608fa611c1016a91b22 (MD5) Previous issue date: 2015-02-20 / Banco do Brasil S.A. / Este trabalho analisa o desempenho fora da amostra de carteiras de mínima variância e baixa volatilidade no mercado de ações brasileiro entre 2003 e 2013, comparativamente ao índice IBOVESPA e a uma carteira igualmente ponderada. As carteiras de mínima variância foram otimizadas com restrição de posições vendidas e limite de peso para os ativos. A matriz de covariância foi estimada pelo método amostral e método shrinkage proposto por Ledoit e Wolf (2003). A carteira de baixa volatilidade foi estruturada de forma similar ao método do índice S&P 500 Low Volatility. O período utilizado para o rebalanceamento das carteiras foi quadrimestral e os ativos elegíveis para as carteiras foram os componentes do IBOVESPA em cada quadrimestre analisado. A comparação das carteiras foi feita através dos indicadores de retorno, desvio padrão e índice de Sharpe anualizados, MVaR e maximum drawdown. Os resultados apontam para a importância na escolha do limite de pesos para os ativos das carteiras de mínima variância. As carteiras de menor risco obtiveram os melhores resultados em todos os indicadores testados. / This study analyzes the out-of-sample performance of minimum-variance and low volatility portfolios in the Brazilian stock market from 2003 to 2013, when compared to IBOVESPA index and an equally weighted portfolio. The minimum variance portfolios have been optimized with short selling restriction and weight limits for the assets. The covariance matrix was estimated by sample method and shrinkage method proposed by Ledoit & Wolf (2003). The low volatility portfolio was structured in a similar way to the S&P 500 Low Volatility index method. The portfolios rebalancing period were quarterly and the eligible assets for the portfolios were IBOVESPA components in each analyzed period. The portfolios performance was evaluated through indicators such return, standard deviation, Sharpe ratio, maximum drawdown and MVAR indicators. The results point to the importance in choosing the weight limits for the assets of minimum-variance portfolios. Lower risk portfolios delivered the best results in all tested indicators.