Search results for "Computer Science::Computational Engineering"
showing 10 items of 41 documents
Definition of diagonal Poisson's ratio and elastic modulus for infill masonry walls
2014
The prediction of the response of infilled frames through the simplified approach of substituting the infill with an equivalent pin-jointed strut is treated. In this framework the results of an experimental study for the mechanical characterization of different types of masonry infills having the aim of estimating strength, Young modulus and Poisson's ratio are presented. Four types of masonry were investigated and subjected to ordinary compressive tests orthogonally to the mortar beds and along the directions of the mortar beds. The experimental campaign confirmed the possibility of using an orthotropic plate model for prediction of the Poisson's ratio and Young modulus along the diagonal …
Background-Free Second-Harmonic Generation Microscopy of Individual Carbon Nanotubes
2015
We use polarized second-harmonic generation (SHG) microscopy to investigate pristine air-suspended carbon nanotubes (CNT). We show that SHG originates from CNT chirality, allowing also different response for the two circular polarizations of fundamental light.
Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming
2008
AbstractThis paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.
A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
2012
This paper presents a new procedure that extends genetic algorithms from their traditional domain of optimization to fuzzy ranking strategy for selecting efficient portfolios of restricted cardinality. The uncertainty of the returns on a given portfolio is modeled using fuzzy quantities and a downside risk function is used to describe the investor's aversion to risk. The fitness functions are based both on the value and the ambiguity of the trapezoidal fuzzy number which represents the uncertainty on the return. The soft-computing approach allows us to consider uncertainty and vagueness in databases and also to incorporate subjective characteristics into the portfolio selection problem. We …
Optimal control of option portfolios and applications
1999
We present an expected utility maximisation framework for optimally controlling a portfolio of options. By combining the replication approach to option pricing with ideas of the martingale approach to (stock) portfolio optimisation we arrive at an explicit solution of the option portfolio problem. Its characteristics are illustrated by some specific examples. As an application, we calculate an optimal option and consumption strategy for an investor who is obliged to hold a stock position until the time horizon.
On the interplay between multiscaling and stocks dependence
2019
We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a robust stylized fact holding for different financial markets. We investigate this result conditional on the stocks' capitalization and on the kurtosis of stocks' log-returns in order to search for possible confounding effects. We show that a linear dependence with the logarithm of the capitalization and the logarithm of kurtosis does not explain the observed stylized fact, which we interpret as being originated from a deeper relationship.
Existence and uniqueness of nontrivial collocation solutions of implicitly linear homogeneous Volterra integral equations
2011
We analyze collocation methods for nonlinear homogeneous Volterra-Hammerstein integral equations with non-Lipschitz nonlinearity. We present different kinds of existence and uniqueness of nontrivial collocation solutions and we give conditions for such existence and uniqueness in some cases. Finally we illustrate these methods with an example of a collocation problem, and we give some examples of collocation problems that do not fit in the cases studied previously.
On superconvergence techniques
1987
A brief survey with a bibliography of superconvergence phenomena in finding a numerical solution of differential and integral equations is presented. A particular emphasis is laid on superconvergent schemes for elliptic problems in the plane employing the finite element method.
Cluster analysis for portfolio optimization
2005
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.
A single stage adiabatic demagnetization refrigerator for testing x-ray microcalorimeters
2004
A single stage Adiabatic Demagnetization Refrigerator (ADR), has been set-up at the X-ray Astronomy Calibration and Testing (XACT) facility of INAF - Osservatorio Astronomico di Palermo G.S. Vaiana, for the development and testing of cryogenic X-ray detectors for laboratory and astrophysical applications. The ADR allows to cool detectors at temperatures below 40 mK and to maintain them at constant operating temperature for many hours. We describe the design and construction of the ADR and present test results and performances.