Portfolio Selection in Incomplete Markets with Utility Maximisation

The problem of maximizing the expected utility is well understood in the context of a complete financial market. This dissertation studies the same problem in an arbitrage-free yet incomplete market. Jin and Zhou have characterized the set of the terminal wealths that can be replicated by admissible portfolios. The problem is then transformed into a static optimization problem. It is proved that the terminal wealth is attainable for all utility functions when the market parameters are deterministic. The optimal portfolio is obtained explicitly when the utility function is logarithmic even if the market parameters follow stochastic processes. However we do not succeed in extending this result to the power utility function

Transmission of Exchange Rate Movement to Domestic Prices in Oil Producing Economy: Evidence from Nigeria

Using monthly dataset ranging from January 1980 to December 2016, we explore the case of oil-producing economies namely, Nigeria to evaluate the potential vulnerability of domestic prices to exchange rate movements. Mainly, we utilise the ARDL Bound cointegration testing approach as well the Toda-Yamamoto VAR to determine: (i) the short-run and long-run dynamic of the pass-through and (ii) the magnitude and the direction of the pass-through. Empirically, we find evidence of long-run relationship among exchange rate movement, import price and chain of other prices under consideration. Supporting this evidence is the theoretical appropriateness and significance of the error correction coefficient. Specifically, we find that on average, import prices have the potential of reverting to equilibrium state by 31% of any disequilibrium caused by previous months’ shock.  However, our finding of no significant EPRT nonetheless the short or long run situations seems puzzled, particularly for a volatile economy such as Nigeria. This may be because exchange rate regimes in the country since independence hovered around the pegged regime and manage float regime. The study further explores TYDL VAR Granger causality test and shows that exchange rate pass-through to import prices is as high as 7%, but mainly when the causality runs from export prices to import and from exchange rate to export prices.         JEL Codes: E3; E4; E6; F3; F

Tapaustutkimus: Semanttinen hakukäyttöliittymä älykkääseen verkonhallintajärjestelmään

The thesis is part of a project which aims to enhance the automation in mobile network management with a statistical reasoner. The statistical reasoner analyses given network data and creates configuration proposals to the network. This thesis is a case study for building a semantic search interface which demonstrates how the statistical reasoner behaves in the mobile network. The demonstrator is implemented as a faceted search interface which uses Semantic Web technologies for data management and HTML 5 for the graphical user interface. The objective of the case study is to discover the information need of the user and to find methods to provide the needed information. The final implementation presents three separate faceted search views in order to answer the information need: one for describing the relation between the input and output of the reasoner, one for the relation between the output and its impact on the network, and one for the rule base of the reasoner. The evaluation of the implementation shows that the chosen techniques and methods support user in exploring the relevant network- and reasoner-related information. The evaluation also discovered some deficiencies which is valuable information for the case study. Finally, this case study produced new thoughts with respect to the initial objectives and to future directions for the project.Tämä diplomityö on osa projektia, jossa tutkitaan, miten tilastollisella päättelijällä voidaan parantaa mobiiliverkon automaattista hallintaa. Tilastollinen päättelijä analysoi mobiiliverkosta saatavaa dataa ja tuottaa muutosehdotuksia mobiiliverkon parametreihin. Diplomityö toteutetaan tapaustutkimuksena, jossa suunnitellaan ja toteutetaan semanttinen hakukäyttöliittymä havainnollistamaan tilastollisen päättelijän toimintaa. Käyttöliittymä toteutetaan moninäkymähaulla, joka hyödyntää Semanttisen Webin tekniikoita tiedonhallinnassa ja HTML 5 -tekniikoita graafisessa käyttöliittymässä. Tapaustutkimuksen tavoitteena on löytää käyttäjän tiedontarve sekä menetelmät olennaisen tiedon tarjoamiselle. Toteutettu hakukäyttöliittymä esittelee kolme erillistä moninäkymähakua, joilla vastataan käyttäjän tiedontarpeeseen: ensimmäinen näkymä kuvaa päättelijän syötteen ja vasteen välistä suhdetta, toinen kuvaa vasteen ja sen vaikutusten suhdetta ja kolmas kuvaa päättelijän sääntökantaa. Sovelluksen arviointi osoittaa, että valitut tekniikat ja menetelmät tukevat hyvin käyttäjän tiedontarvetta ja tiedonhakuprosessia. Arvioinnissa käytiin läpi myös joitakin toteutuksen puutteita, jotka antoivat uutta arvokasta tietoa tapaustutkimukselle. Lopussa esitellään uusia ajatuksia liittyen tutkimuksen tavoitteisiin sekä mahdollisiin jatkotutkimusaiheisiin

Active Learning of Discriminative Subgraph Patterns for API Misuse Detection

A common cause of bugs and vulnerabilities are the violations of usage constraints associated with Application Programming Interfaces (APIs). API misuses are common in software projects, and while there have been techniques proposed to detect such misuses, studies have shown that they fail to reliably detect misuses while reporting many false positives. One limitation of prior work is the inability to reliably identify correct patterns of usage. Many approaches confuse a usage pattern's frequency for correctness. Due to the variety of alternative usage patterns that may be uncommon but correct, anomaly detection-based techniques have limited success in identifying misuses. We address these challenges and propose ALP (Actively Learned Patterns), reformulating API misuse detection as a classification problem. After representing programs as graphs, ALP mines discriminative subgraphs. While still incorporating frequency information, through limited human supervision, we reduce the reliance on the assumption relating frequency and correctness. The principles of active learning are incorporated to shift human attention away from the most frequent patterns. Instead, ALP samples informative and representative examples while minimizing labeling effort. In our empirical evaluation, ALP substantially outperforms prior approaches on both MUBench, an API Misuse benchmark, and a new dataset that we constructed from real-world software projects

A Finite Element Method Model for Large Strains Analysis of Timber

In this report a Finite Element Method (FEM) model, within the continuum mechanics of solids, for mechanical long term response of timber structures is presented. The proposed model can analyze three-dimensional solids, within the theory for non-linear material orthotropic elastic-viscous-plastic. It can account ductile behaviour in compression and brittle behaviour in tension, under the kinematics hypothesis of large displacements and large strains. The work has been carried out with a general purpose FEM software code in which a specific stress-strain law for wood, by a proper subroutine, has been built in. The constitutive equations have been formulated by a multi-surface yield approach of viscoplasticity, each yield surface acts separately each other. This approach is specifically almost necessary for some problems, such as glued composite parts or steel bolt connections. Specialized solution algorithms, which adopt time-stepping and automating relaxation techniques, have been used to handle the behaviour of the loading path response for elastic-viscous-plastic or elastic-brittle behaviours. The model has been applied to examples to test the effectiveness of the suggested approach. The results obtained have shown the potentiality of the proposed model to effectively simulate the overall mechanical behaviour of timber

Shifting Gears: - The Expected Post-Transplant Survival (EPTS) Usefulness in the Era of Continuous Distribution- Examination of the United Network of Organ Sharing (UNOS) Database 2000-2020

The allocation of organs is a constantly evolving area of transplantation. The latest iteration of this process is a move toward continuous distribution of organs. This process considers dynamic factors instead of static constraints that box patients into certain categories. The expected post-transplant survival of patients is one of these dynamic factors that will be included in the assessment of patients\u27 place in a continuous distribution allocation process. However, the predictive value of this construct is questionable, given that it uses only four factors (age, diabetes diagnosis, years on dialysis, and previous transplant) to represent complex patients who are on our transplant lists. The predictive value based on the C statistic is only 67%. To improve the predictive value of this construct, we sought to determine the factors that are important in determining patient post-transplant survival and then incorporate these into a new predictive model that can be used in determining patients\u27 post-transplant survival. This model was obtained using the Cox proportional-hazards model. United Network Organ Sharing (UNOS) database 2000-2020 was used to test the predictive value of the original model. Cox proportional-hazard testing was carried out using variables that were found to be predictors of mortality in renal transplant patients. The additional variables in the model included functional status, peripheral vascular disease, hepatitis C, and body mass index (BMI). These new variables were included in new models and compared with the original model. The Eta squared, C- statistic and Cox-proportional hazard regression were used to evaluate the model and goodness of fit compared. We noted that the new model had enhanced Eta squared for the variables, enhanced C-statistic or area under the curve, and adjusted R squared, indicating the newer model had an improved predictive value. The conclusion is that the new model with the additional variables has enhanced predictive value. We propose that in the development of the continuous distribution paradigm, the expected post-transplant survival be re-evaluated to create a superior predictor of survival

Abstract functional differential equations with state--dependent delays : results and applications

Tese (doutorado)—Universidade de Brasília, Instituto de Ciências Exatas, Departamento de Matemática, 2020.Nesta tese, provamos uma série de resultados relacionados às equações diferenciais funcionais com retardo dependendo do estado. Na primeira parte deste trabalho, apresentamos resultados de existência de soluções fracas para as equações diferenciais funcionais com retardo dependendo do estado usando pontos fixos do operador solução de uma equação diferencial funcional com retardo dependendo do tempo. Também exibimos algumas aplicações dos nossos resultados para as equações diferenciais parciais. Na segunda parte deste texto, investigamos a classe das equações diferenciais funcionais em medida com retardo dependendo do estado. Para elas, demonstramos resultados de existência e unicidade de soluções, dependência contínua com relação aos parâmetros, o método da média periódico e estabelecemos que as equações dinâmicas funcionais com retardo dependendo do estado em escalas temporais representam um caso particular dessas equações em medida. Além disso, mostramos a relação das suas soluções com as soluções de várias outras classes de equações diferenciais tais como as equações diferenciais funcionais em medida com impulsos e com retardo também dependendo do estado e as equações diferenciais ordinárias generalizadas.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) e Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq).In this thesis, we prove a series of results related to functional differential equations withs tate--dependent delay. In the first part of this work, we present results of existence of mild solutions for the delayed functional differential equations with state--dependent delay susing fixed points of the solution operator of a functional differential equation with time-- dependent delay. We al so exhibit some application so four results for partial differential equations. In these cond partof this text, investigate the class of mea sure functional differential equations with state--dependent delay. For them, we demons trate results of existence an duniquen es sof solutions, continuous dependence on the parameters, theperiodicaveragingmethodandestablishthatthefunctionaldynamicequationswithstate-- dependentdelay in time scales represent a particular case of the se mea sur eequations. In addition, we show therelationshipbetweentheirsolutionstothesolutionsofseveralother classes of differential equations suchas the impulsivem ea sure functional differential equation swiths tate--dependent delays and the generalized ordinary differential equations

Communication platform for inter-satellite links in distributed satellite systems

EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Formal verification of concurrent programs

Interactive theorem proving provides a general approach to modeling and verification of both finite-state and infinite-state systems but requires significant human efforts to deal with many tedious proofs. On the other hand, model-checking is limited to some application domain with small finite-state space. A natural thought for this problem is to integrate these two approaches. To keep the consistency of the integration and ensure the correctness of verification, we suggest to use type theory based theorem provers (e.g. Lego) as the platform for the integration and build a model-checker to do parts of the verification automatically. We formalise a verification system of both CCS and an imperative language in the proof development system Lego which can be used to verify both finite-state and infinite-state problems. Then a model-checker, LegoMC, is implemented to generate Lego proof terras for finite-state problems automatically. Therefore people can use Lego to verify a general problem with some of its finite sub-problems verified by LegoMC. On the other hand, this integration extends the power of model-checking to verify more complicated and infinite-state models as well. The development of automatic techniques and the integration of different reasoning methods would directly benefit the verification community. It is expected that further extension and development of this verification environment would be able to handle real life systems. On the other hand, the research gives us some experiences about how to automate proofs in interactive theorem provers and therefore will improve the usability and applicability of the theorem proving technology