This dissertation deals with the securities portfolio optimization. After introducing the definitions, I try to explain the particular investment instruments with regard to returns and risks. The following part provides a theory which tells more about different market risks and returns on the final securities portfolio. Concerning these models the effective portfolio has been set up.

Portfolio diversification has been a subject frequently addressed since the publications of Markowitz in 1952 and 1959. However, the Modern Portfolio Theory and its mean variance framework have been criticized. The critiques refer to the assumptions that return distributions are normally distributed and the symmetric definition of risk. This paper elaborates on these short comings and applies a heuristic downside risk approach to avoid the pitfalls inherent in the mean variance framework. The result of the downside risk approach is compared and contrasted with the result of the mean variance framework. The return data refers to the real estate sector in Sweden and diversification is reached through property type and geographical location. The result reveals that diversification is reached differently between the two approaches. The downside risk measure applied here frequently diversifies successfully with use of fewer proxies. The efficient portfolios derived also reveals that the downside risk approach would have contributed to a historically higher average total return. This paper outlines a framework for portfolio diversification, the result is empirical and further research is needed in order to grasp the potential of the downside risk measures.

This report deals with detecting object position using sensor datausing three different types of sensors held at four corners of a givendimensional plate; two sensors of URM09 Analog, 1 of URM09 Ultrasonic and 1 of VL6180X ToF sensor. The accuracy of the sensors performance is investigated using relative standard deviation. The results show that the proposed solution allows to estimate the objectposition and size without significant error.

This research study examines the risk-adjusted performance and portfolio risk of 60 large cap equity funds - mutual funds - under Swedish management. These funds apply environmental, social and governance criteria in their investment strategies. The empirical context concerns the COVID-19 situation and the context is divided into three periods, before, during and after the COVID-19 crisis. The ESG concept, modern portfolio and stakeholder theories are used to develop a theoretical base for the study on which the hypotheses are based which are summarized in a conceptual model. Secondary data regarding ESG and risk-adjusted returns are collected for each fund based on which the sharpe ratios and standard deviations (total or portfolio risk) for each fund are calculated. While there are associations between ESG and portfolio risk, no associations are found between ESG and sharpe ratios. As a result, this confirms the fact that ESG could be characterized as a mechanism to protect against downside risk in poor economic times but no association was established that ESG could also be used as a mechanism to determine efficiency in terms of risk-adjusted performance

The presented thesis describes the historical evolution of growth and laboratory reference values and the methods for their creation – leading finally to a family of methods applied in the WHO Multicentre Growth Reference Study (MGRS). The following part describes these methods, their assumptions, and model diagnostics. The original article at the beginning of part III combines these methods with resampling to be able to use LMS -type methods on data containing different dependencies like follow-up measures and family relationships. This method has been applied in the estimation of reference values of several laboratory values in the context of the LIFE child study. Three papers are already published and are also presented. In part III. The next section concentrates on the accompanying R package childsds. A short summary and outlook conclude the work.:I Introduction 1 Introduction 1.1 Standardization and Reference Values 1.2 The Scope of this Thesis 2 Historical Aspects 2.1 Development of Basic Concepts 2.2 Growth References and Growth Charts 2.3 Laboratory Reference Values II Methods 3 Method Selection 3.1 Nomenclature 3.2 The Choice of Statistical Method 3.3 GAMLSS 3.4 LMS-type Methods 4 Model Diagnostics 4.1 Normalized Quantile Residuals 4.2 Diagnostic Plots 4.3 Numerical Statistics III Original Articles & R Pakackage 5 Original Article 6 Articles Using the Proposed Method 7 R Package childsds 7.1 The Example Data 7.2 The Fitting Functions 7.3 The Classes 7.4 The Back-transformation Function 7.5 Convenience Functions 7.6 Collection of Reference Values 8 Summary and Outlook 8.1 Summary 8.2 SDS Values and Quality Control 8.3 The R Package / Die vorliegende Arbeit soll die Entwicklung und Bedeutung von Referenzwerten im pädiatrischen Kontext beschreiben. Der zugehörige Artikel beschreibt die Kombination der von der WHO empfohlene Methode und Resampling, um die Herleitung von Referenzwerten auch im Fall von Messwiederholungen und anderen Abhängigkeiten zu ermöglichen. Drei weitere Artikel, in denen die Methode angewendet wurde und eine kurze Vorstellung des zugehörigen, begleitend entwickelten R Pakets (statistische Software) bilden Teil III der Arbeit.:I Introduction 1 Introduction 1.1 Standardization and Reference Values 1.2 The Scope of this Thesis 2 Historical Aspects 2.1 Development of Basic Concepts 2.2 Growth References and Growth Charts 2.3 Laboratory Reference Values II Methods 3 Method Selection 3.1 Nomenclature 3.2 The Choice of Statistical Method 3.3 GAMLSS 3.4 LMS-type Methods 4 Model Diagnostics 4.1 Normalized Quantile Residuals 4.2 Diagnostic Plots 4.3 Numerical Statistics III Original Articles & R Pakackage 5 Original Article 6 Articles Using the Proposed Method 7 R Package childsds 7.1 The Example Data 7.2 The Fitting Functions 7.3 The Classes 7.4 The Back-transformation Function 7.5 Convenience Functions 7.6 Collection of Reference Values 8 Summary and Outlook 8.1 Summary 8.2 SDS Values and Quality Control 8.3 The R Package

No / This paper investigates the effect of channel bandwidth on the accuracy of AOA estimation algorithms based on the detection of the direct path. The accurate detection of the Line of Sight (LOS) signal in a multipath environment is crucial for reliable direction finding. In this work, the estimation algorithms are applied to the LOS component in the time domain channel impulse response which is acquired by applying the inverse Fourier transform to the simulated channel transfer function in the desired bandwidth. Different channel bandwidths as well as two AOA estimation methods have been considered in the modelling to investigate the performance of the standard deviation of angle estimation error. It has been shown that increasing the bandwidth in all simulated channel scenarios improves the estimation accuracy. / Seven Technologies Group, KTP project grant No. 008734.

Vehicle activated signs (VAS) display a warning message when drivers exceed a particular threshold. VAS are often installed on local roads to display a warning message depending on the speed of the approaching vehicles. VAS are usually powered by electricity; however, battery and solar powered VAS are also commonplace. This thesis investigated devel-opment of an automatic trigger speed of vehicle activated signs in order to influence driver behaviour, the effect of which has been measured in terms of reduced mean speed and low standard deviation. A comprehen-sive understanding of the effectiveness of the trigger speed of the VAS on driver behaviour was established by systematically collecting data. Specif-ically, data on time of day, speed, length and direction of the vehicle have been collected for the purpose, using Doppler radar installed at the road. A data driven calibration method for the radar used in the experiment has also been developed and evaluated. Results indicate that trigger speed of the VAS had variable effect on driv-ers’ speed at different sites and at different times of the day. It is evident that the optimal trigger speed should be set near the 85th percentile speed, to be able to lower the standard deviation. In the case of battery and solar powered VAS, trigger speeds between the 50th and 85th per-centile offered the best compromise between safety and power consump-tion. Results also indicate that different classes of vehicles report differ-ences in mean speed and standard deviation; on a highway, the mean speed of cars differs slightly from the mean speed of trucks, whereas a significant difference was observed between the classes of vehicles on lo-cal roads. A differential trigger speed was therefore investigated for the sake of completion. A data driven approach using Random forest was found to be appropriate in predicting trigger speeds respective to types of vehicles and traffic conditions. The fact that the predicted trigger speed was found to be consistently around the 85th percentile speed justifies the choice of the automatic model.

This study uses a quantitative method that aims to investigate the relationship between corporate social responsibility (CSR) and firm risk within Swedish public companies. Despite previous research at Anglo-Saxon companies with similar results, authors found cause for further investigation. Authors identified differences in the Swedish context that could affect the earlier found negative relation between CSR and firm risk, thereby legitimizing further examination. The research is built on secondary data collected from Nasdaq, Morningstar, Orbis and the CSRhub database. Through theory of relevance and current research, it develops a hypothesis which states that as CSR increases, firm risk is reduced in accordance with previous research. Testing was done with Pearsons bivariate correlation table and a multivariate regression analysis, controlling for various firm characteristics. The study found no connection between market risk and CSR, but could not determine whether a relationship between CSR and total risk exists within the population, only partly rejecting the hypothesis. The study raises attention as to how the relation between CSR and risk could be different in a context outside the typical Anglo-Saxon population. It could also be used as a base to further research on the cause to the lack of relation between CSR and market risk, in this study’s particular population.

O conhecimento do risco de ativos financeiros é de fundamental importância para gestão ativa de carteiras, determinação de preços de opções e análise de sensibilidade de retornos. O risco é medido através da variância estatística e há na literatura diversos modelos econométricos que servem a esta finalidade. Esta pesquisa contempla o estudo de modelos determinísticos de volatilidade, mais especificamente os modelos GARCH simétricos e assimétricos. O período de análise foi dividido em dois: de janeiro de 2000 à fevereiro de 2008 e à outubro de 2008. Tal procedimento foi adotado procurando identificar a influência da crise econômica originada nos EUA nos modelos de volatilidade. O setor escolhido para o estudo foi o mercado de petróleo e foram escolhidas as nove maiores empresas do setor de acordo com a capacidade produtiva e reservas de petróleo. Além destas, foram modeladas também as commodities negociadas na Bolsa de Valores de Nova York: o barril de petróleo do tipo Brent e WTI. A escolha deste setor deve-se a sua grande importância econômica e estratégica para todas as nações. Os resultados encontrados mostraram que não houve um padrão de modelo de volatilidade para todos os ativos estudados e para a grande maioria dos ativos, há presença de assimetria nos retornos, sendo o modelo GJR (1,1) o que mais prevaleceu, segundo a modelagem pelo método da máxima verossimilhança. Houve aderência, em 81% dos casos, dos ativos a um determinado modelo de volatilidade, alterando apenas, como eram esperados, os coeficientes de reatividade e persistência. Com relação a estes, percebe-se que a crise aumentou os coeficientes de reatividade para alguns ativos. Ao se compararem as volatilidades estimadas de curto prazo, percebe-se que o agravamento da crise introduziu uma elevação média de 265,4% em relação ao período anterior, indicando um aumento substancial de risco. Para a volatilidade de longo prazo, o aumento médio foi de 7,9%, sugerindo que os choques reativos introduzidos com a crise, tendem a ser dissipados ao longo do tempo. / The knowledge of the risk of financial assets is of basic importance for active management of portfolios, determination of prices of options and analysis of sensitivity of returns. The risk is measured through the variance statistics and has in literature several econometrical models that serve to this purpose. This research contemplates the study of deterministic models of volatility, more specifically symmetrical and asymmetrical models GARCH. The period of analysis was divided in two: January of 2000 to the February of 2008 and the October of 2008. Such a proceeding was adopted trying to identify the influence of the economic crisis given rise in U.S.A. in the volatility models. The sector chosen for the study was the oil market and had been chosen the nine bigger companies of the sector in accordance with the productive capacity and reserves of oil. Beyond these, there were modeled also the commodities negotiated in the Stock Exchange of New York: the barrel of oil of the types Brent and WTI. The choice of this sector is due to his great economical and strategic importance for all the nations. The results showed that there was no a standard of model of volatility for all the studied assets and for the majority of them, there is presence of asymmetry in the returns, being the model GJR (1,1) that more prevailed, according to the method of likelihood. There was adherence, in 81 % of the cases, of the assets to a determined model of volatility, altering only the coefficients of reactivity and persistence. Regarding these, it is realized that the crisis increased the coefficients of reactivity for some assets. In relation to the volatilities of short term, it is realized that the aggravation of the crisis introduced an elevation of 265,4% regarding the previous period, indicating a substantial increase of risk. In relation to the volatility of long term, the increase was 7,9 %, suggesting that the reactive shocks introduced with the crisis have a tendency to be dispersed along the time.

Background Mathematical modeling combined with prior knowledge of the pharmacokinetics of the liver specific contrast agent Gd-EOB-DTPA has the potential to extract more information from Dynamic Contrast Enhanced Magnetic Resonance Imaging (DCE-MRI) data than previously possible. The ultimate goal of that work is to create a liver model that can describe DCE-MRI data well enough to be used as a diagnostic tool in liver function evaluation. Thus far this goal has not been fully reached and there is still some work to be done in this area. In this thesis, an already existing liver model will be implemented in the software Wolfram SystemModeler (WSM), the corresponding modeling framework will be further developed to better handle the temporally irregular sampling of DCE-MRI data and finally an attempt will be made to determine an optimal sampling design in terms of when and how often to collect images. In addition to these original goals, the work done during this project revealed two more issues that needed to be dealt with. Firstly, new standard deviation (SD) estimation methods regarding non-averaged DCE-MRI data were required in order to statistically evaluate the models. Secondly, the original model’s poor capability of describing the early dynamics of the system led to the creation of an additional liver model in attempt to model the bolus effect. Results The model was successfully implemented in WSM whereafter regional optimization was implemented as an attempt to handle clustered data. Tests on the available data did not result in any substantial difference in optimization outcome, but since the analyses were performed on only three patient data sets this is not enough to disregard the method. As a means of determining optimal sampling times, the determinant of the inverse Fisher Information Matrix was minimized, which revealed that frequent sampling is most important during the initial phase (~50-300 s post injection) and at the very end (~1500-1800 s). Three new means of estimating the SD were proposed. Of these three, a spatio-temporal SD was deemed most reasonable under the current circumstances. If a better initial fit is achieved, yet another method of estimating the variance as an optimization parameter might be implemented.    As a result of the new standard deviation the model failed to be statistically accepted during optimizations. The additional model that was created to include the bolus effect, and therefore be better able to fit the initial phase data, was also rejected. Conclusions The value of regional optimization is uncertain at this time and additional tests must be made on a large number of patient data sets in order to determine its value. The Fisher Information Matrix will be of great use in determining when and how often to sample once the model has achieved a more acceptable model fit in both the early and the late phase of the system. Even though the indications that it is important to sample densely in the early phase is rather intuitive due to a poor model fit in that region, the analyses also revealed that the final observations have a relatively high impact on the model prediction error. This was not previously known. Hence, an important measurement of how suitable the sampling design is in terms of the resulting model accuracy has been suggested. The original model was rejected due to its inability to fit the data during the early phase. This poor initial fit could not be improved enough by modelling the bolus effect and so the new implementation of the model was also rejected. Recommendations have been made in this thesis that might assist in the further development the liver model so that it can describe the true physiology and behaviour of the system in all phases. Such recommendations include, but are not limited to, the addition of an extra blood plasma compartment, a more thorough modelling of the spleen’s uptake of the contrast agent and a separation of certain differing signals that are now averaged.