Search results for " theory"
showing 10 items of 23462 documents
Superiority of Optimized Portfolios to Naive Diversification: Fact or Fiction?
2017
Abstract DeMiguel, Garlappi, and Uppal (2009) conducted a highly influential study where they demonstrated that none of the optimized portfolios consistently outperformed the naive diversification. This result triggered a heated debate within the academic community on whether portfolio optimization adds value. Nowadays several studies claim to defend the value of portfolio optimization. The commonality in all these studies is that various portfolio optimization methods are implemented using the datasets generously provided by Kenneth French and the performance is measured by means of the Sharpe ratio. This paper aims to provide a cautionary note regarding the use of Kenneth French datasets …
Optimal Dynamic Portfolio Risk Management
2016
Numerous econometric studies report that financial asset volatilities and correlations are time-varying and predictable. Over the past decade, this knowledge has stimulated increasing interest in various dynamic portfolio risk control techniques. The two basic types of risk control techniques are: risk control across assets and risk control over time. At present, the two types of risk control techniques are not implemented simultaneously. There has been surprisingly little theoretical study of optimal dynamic portfolio risk management. In this paper, the author fills this gap in the literature by formulating and solving the multi-period portfolio choice problem. In terms of dynamic portfoli…
Theoretical study on the decomposition mechanism of bisphenol A polycarbonate induced by the combined effect of humidity and UV irradiation.
2020
Polycarbonate (PC) is a good material for covering and protecting cultural heritage sites because of its durability, mechanical properties, and transparency. When bisphenol A polycarbonate is subjected to weathering conditions this polymer shows several degradation processes depending on the irradiation wavelength, humidity and temperature. In particular, the combined effects of humidity and UV irradiation speed up the PC molecular weight reduction. In this work, the decomposition mechanisms associated to the hydrolysis process are scrutinized and the effects of UV irradiation on the hydrolysis process are evaluated throughout the Density Functional Theory (DFT) approach. It was found that …
The MIRS computer package for modeling the rovibrational spectra of polyatomic molecules
2003
International audience; The MIRS spectroscopic software for the modeling of ro-vibrational spectra of polyatomic molecules is presented. It is designed for the global treatment of complex band systems of molecules to take full account of symmetry properties. It includes e cient algorithms based on the irreducible tensor formalism. Predictions and simultaneous data fi tting (positions and intensities) are implemented as well as advanced options related to group theory algebra. Illustrative examples on CH3D, CH4, CH3Cl and PH3 are reported and the present status of data available is given. It is written in C++ for standard PC computer operating under Windows. The full package including on-lin…
Joint interpretation of seismic refraction tomography and electrical resistivity tomography by cluster analysis to detect buried cavities
2020
Abstract In the last few years, the geophysical methods of seismic refraction tomography (SRT) and electrical resistivity tomography (ERT) are among the most used geophysical techniques for the reconstruction of subsoil geometries, for the investigation of underground cavities and also for the archaeological prospecting. However, the main disadvantage of each geophysical method is the difficulty of final interpretation of the data. In order to eliminate artifacts and generally improve the reliability and accuracy of geophysical interpretation, it is useful to perform a joint approach of different geophysical methods, also introducing the a priori information. In this work, it is shown the i…
Curve Numbers Seasonal Variation in Mid-Mediterranean Area
2018
AbstractThe curve number (CN) method is a popular technique for estimating a rainstorm event’s direct runoff (Q from its storm depth P). It relies on the parameter CN, a lumped expression of a wate...
Gravitational-wave Detection and Parameter Estimation for Accreting Black-hole Binaries and Their Electromagnetic Counterpart
2020
We study the impact of gas accretion on the orbital evolution of black-hole binaries initially at large separation in the band of the planned Laser Interferometer Space Antenna (LISA). We focus on two sources: (i)~stellar-origin black-hole binaries~(SOBHBs) that can migrate from the LISA band to the band of ground-based gravitational-wave observatories within weeks/months; and (ii) intermediate-mass black-hole binaries~(IMBHBs) in the LISA band only. Because of the large number of observable gravitational-wave cycles, the phase evolution of these systems needs to be modeled to great accuracy to avoid biasing the estimation of the source parameters. Accretion affects the gravitational-wave p…
Photometric variability of the Be star CoRoT-ID 102761769
2010
Classical Be stars are rapid rotators of spectral type late O to early A and luminosity class V-III, wich exhibit Balmer emission lines and often a near infrared excess originating in an equatorially concentrated circumstellar envelope, both produced by sporadic mass ejection episodes. The causes of the abnormal mass loss (the so-called Be phenomenon) are as yet unknown. For the first time, we can now study in detail Be stars outside the Earth's atmosphere with sufficient temporal resolution. We investigate the variability of the Be Star CoRoT-ID 102761769 observed with the CoRoT satellite in the exoplanet field during the initial run. One low-resolution spectrum of the star was obtained wi…
Application of entropic approach to estimate the mean flow velocity and Manning roughness coefficient in a high-curvature flume
2016
The entropy-based approach allows the estimation of the mean flow velocity in open channel flow by using the maximum flow velocity. The linear relationship between the mean velocity, umax, and the mean flow velocity, um, through the dimensionless parameter Φ(M), has been verified both in natural rivers and in laboratory channels. Recently, the authors of this study investigated the reliability of the entropy-based formula in a straight channel and under different bed and side-walls' roughness conditions. The present study aims to further validate the entropy-based approach and to explore the effectiveness of entropy-based formula in high curvature channels. Results show that as the effect o…
Automatic emulator and optimized look-up table generation for radiative transfer models
2017
This paper introduces an automatic methodology to construct emulators for costly radiative transfer models (RTMs). The proposed method is sequential and adaptive, and it is based on the notion of the acquisition function by which instead of optimizing the unknown RTM underlying function we propose to achieve accurate approximations. The Automatic Gaussian Process Emulator (AGAPE) methodology combines the interpolation capabilities of Gaussian processes (GPs) with the accurate design of an acquisition function that favors sampling in low density regions and flatness of the interpolation function. We illustrate the good capabilities of the method in toy examples and for the construction of an…