4 research outputs found
The Black-Litterman model in continuous time: analysis of the effect of biased expert forecasts on asset allocations
The objective of this thesis is to compare portfolios optimized using the Black-Litterman model in continuous time, with a focus on analyzing the impact of biased expert opinions on asset allocations. Behavioral biases play a crucial role in finance professionals' perception, information processing, and forecast formation. The thesis is structured as follows. The first chapter provides an introduction to the Black-Litterman model and its applications in continuous time, as well as an overview of the main behavioral biases and methods for reducing their influence. The second chapter focuses on presenting the mathematics behind the Black-Litterman model in continuous time. The third chapter presents the practical implementation of the model and compares the results obtained to assess the impact of biased expert forecasts on portfolio construction.The objective of this thesis is to compare portfolios optimized using the Black-Litterman model in continuous time, with a focus on analyzing the impact of biased expert opinions on asset allocations. Behavioral biases play a crucial role in finance professionals' perception, information processing, and forecast formation. The thesis is structured as follows. The first chapter provides an introduction to the Black-Litterman model and its applications in continuous time, as well as an overview of the main behavioral biases and methods for reducing their influence. The second chapter focuses on presenting the mathematics behind the Black-Litterman model in continuous time. The third chapter presents the practical implementation of the model and compares the results obtained to assess the impact of biased expert forecasts on portfolio construction
Modèles statistiques pour des rotations et des déplacements de corps solides
La thèse présentée ici contribue à l'étude des rotations et des déplacements d'un corps solide dans l'espace. Elle se compose de trois articles qui traitent de la modélisation statistique de données directionnelles, rotationnelles et de déplacements. Le premier article propose un nouveau modèle pour les données directionnelles qui sont des vecteurs unitaires dans R p [matrice de rotation R, p x p]. On modélise la dispersion et l'orientation de vecteurs unitaires aléatoires par une nouvelle distribution indexée par des paramètres d'échelle et de localisation et on suggère d'utiliser la méthode des moments pour estimer ses paramètres. Le deuxième article propose une nouvelle distribution pour les déplacements dans R p [matrice de rotation R, p x p]. On traite de modèles stochastiques pour les variations d'une séquence de déplacements autour d'une valeur moyenne. Sous quelques spécifications pour les erreurs expérimentales, on montre que l'estimateur de la rotation moyenne associée au déplacement moyen est meilleur comparé à celui obtenu par des modèles marginaux qui utilisent la rotation seule. Le troisième article étudie le mouvement relatif d'un corps solide par rapport à un autre qui s'obtient comme une rotation selon un axe fixe et une translation le long de cet axe. On suggère un modèle pour ce type de mouvement avec une valeur prédite qui dépend de la position et de l'orientation de l'axe de rotation. On suppose que le déplacement observé est égal à la valeur modale perturbée par des erreurs qui suivent une distribution suggérée dans le deuxième article. On montre, par une étude de Monte-Carlo, que le modèle proposé est plus performant que le modèle marginal de rotation ou de translation pour l'estimation de l'axe de rotation. Ainsi, le traitement combiné de données de rotation et de translation permet d'obtenir des estimation plus précises
Interparticle forces and superplasticizers in cement suspensions
Placing of concrete requires much more water than the cement needs for its hydration. This results in a certain porosity in the hardened concrete, which facilitates chemical degradation of this material. By adding small amounts of polymeric admixtures, called superplasticizers, one can greatly decrease the amount of water required to obtain the desired workability and consequently the porosity, which improves durability. Although these superplasticizers are widely used today, the mechanisms through which they act in concrete remain poorly understood. It nevertheless recognised that the origin of the effect, which superplasticizers have in concrete, comes from decreasing the attractive forces between cement particles. The effective volume of agglomerates and thereby the effective volume of solids in the suspension is decreased, which improves workability. Controling and modifying interparticle forces has been for many years, and remains today, a topic of intense research in the field of colloids. Also, is it not surprising that many authors have attempted to apply this knowledge to explain the effect that superplasticizers have in concrete. They have thereby been able to identify different types of behaviour depending on the chemical nature of superplasticizers. However, applying such concepts developed for colloids, to cement suspensions in which particle sizes are much larger presents many limitations. The main objective of this thesis has been to integrate these limitations, as rigorously as possible, while applying interparticle force concepts to cement suspensions. In order to reach this objective, further development of current theoretical approaches had to be carried out. In particular, it was necessary to integrate the non-ideality of the thermodynamics of the aqueous phase of the cement suspension. These effects were integrated into the calculation of electrostatic and dispersion forces. In addition, we have taken into account the very large particle size distribution of cement, by determining the frequency of contacts between particles of different sizes. This allowed us to develop a quantitative relation between calculated interparticle forces and measured yield stress of cement suspension. Although this approach still presents limitations, it is the first approach, at least for cement, which gives more than a qualitative link between rheology and interparticle forces. These calculations could only be developed after experimental data had allowed attribution of the dispersing effect of superplasticizers exclusively to the adsorbed polymers. For this, we had to use, in addition to cement, inert model systems (Mg(OH)2 and MgO) in order not to superimpose to desagglomeration, the effect of modifying the on-going chemical reactions. The interest of these model systems over others is that they have a high isoelectric point (around pH 12) like cement. It is therefore possible to have both surface charge and pH similar to cement. This is important for adsorption and polymer conformation to be representative of cement suspensions. We argue that the major effect of chemistry of cement suspensions is the coprecipitation or intercallation of the polymers during the formation of ettringite. This reaction reaches its maximum speed barely a few minutes after water is contacted with cement. It is why one observes much larger polymer consumption, when it is included in the mixing water. This has been often cited in literature, but was never developed in a satisfying way with respect to dispersion efficiency. The calculation of interparticle forces, in a framework adapted to cement, as well as the identification of the reactions consuming superplasticizers, open new paths for the development of superplasticizers, which will offer higher performances for lower dosage. This should make the immediate cost of durable concrete more affordable, which is probably the best incentive to reduce the energy cost of the life service maintenance of concrete infrastructures
Laboratory measurements of load-transfer in geosynthetic reinforced soils
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 1996.Includes bibliographical references (p. 331-339).by Samir Chauhan.Ph.D