Investigation of Portfolio Strategies

This thesis creates a model for simulating stocks and interest rates to compare portfolio strategies. The two portfolio strategies used in the thesis are CPPI and OBPI. CPPI (constant proportion portfolio insurance) is a dynamic strategy that changes the amount in the risky asset and the safe asset at every timestep. OBPI (option based portfolio insurance) is a static strategy that invest an amount in the stock and the put option. It is found out that OBPI performs better in a decreasing market and that CPPI performs better in an increasing market. The model used in this thesis can be seen as an extended Black-Scholes model. The stock will be modelled as a NIG (normal inverse Gaussian) with GARCH as stochastic volatility. The interest rate is modelled by a CIR (Cox, Ingersoll and Ross) model. There are some problems with this model, but it is better than the Black-Scholes model. Keywords

A modified weighted log-rank test for confirmatory trials with a high proportion of treatment switching

In confirmatory cancer clinical trials, overall survival (OS) is normally a primary endpoint in the intention-to-treat (ITT) analysis under regulatory standards. After the tumor progresses, it is common that patients allocated to the control group switch to the experimental treatment, or another drug in the same class. Such treatment switching may dilute the relative efficacy of the new drug compared to the control group, leading to lower statistical power. It would be possible to decrease the estimation bias by shortening the follow-up period but this may lead to a loss of information and power. Instead we propose a modified weighted log-rank test (mWLR) that aims at balancing these factors by down-weighting events occurring when many patients have switched treatment. As the weighting should be pre-specified and the impact of treatment switching is unknown, we predict the hazard ratio function and use it to compute the weights of the mWLR. The method may incorporate information from previous trials regarding the potential hazard ratio function over time. We are motivated by the RECORD-1 trial of everolimus against placebo in patients with metastatic renal-cell carcinoma where almost 80\% of the patients in the placebo group received everolimus after disease progression. Extensive simulations show that the new test gives considerably higher efficiency than the standard log-rank test in realistic scenarios

Spatial and Temporal Evolution of Particle Migration in Gap-Graded Granular Soils: Insights from Experimental Observations

This study presents physical observations and insights into particle migration characteristics throughout the suffusion process. Using a purpose-built coaxial permeameter cell, suffusion experiments were conducted on idealised internally unstable gap-graded granular soils at varying fines content and hydraulic loading conditions. The specimens were prepared with a mixture layer comprising finer and coarser fractions underlying a coarse layer composed of the coarser fraction alone. This enabled the finer fraction within the mixture layer to migrate through the coarse layer with upward seepage flow. The local porosity profile along the specimen was determined using spatial time domain reflectometry and an inversion algorithm, which enabled the development of a novel field map of the difference in porosity from the initial condition. This field map provided a visual guide of the spatial and temporal variation in porosity and enabled particle migration internally within the specimen to be quantitatively characterised from onset to progression to washout. The limiting onset condition identified from the field map was shown to be comparable to that obtained using conventional approaches, thereby providing strong validation for the application of porosity-based field maps. As suffusion progressed, the height of infiltrating finer particles into the coarse layer increased linearly with time, while the overall rate of particle migration from the mixture layer to the coarse layer evolved in a non-linear manner with the rate of migration increasing as the specimen reached a complete mixture condition, where the finer fraction infiltrated the entire coarse layer. The attainment of a complete mixture condition was dependent on the fabric of the gap-graded soil ... (see PDF for full abstract).Comment: 28 pages, 20 figures. Article published in Journal of Geotechnical and Geoenvironmental Engineering 2023 (see https://ascelibrary.org/doi/10.1061/JGGEFK.GTENG-11094

Dielectric spectroscopy measurements on kaolin suspensions for sediment concentration monitoring

Sedimentation along with consolidation processes dictate the in situ engineering and hydraulic behavior of a particulate system such as soil. With this in view, the present investigation discusses about the application of dielectric measurements in relation to sediment concentration measurements for fine grained soils. An in-house set up comprising of open ended coaxial probes and vector network analyzer has been used to measure the dielectric behavior of kaolin suspensions in tap and deionized water. These have been further analyzed to furnish suspended sediment concentration, pore water conductivity and shape factors utilizing Complex Refractive Index Model (CRIM) and Bruggeman–Hanai–Sen (BHS) model, through the implementation of an optimization scheme. Furthermore, measured and estimated suspended sediment concentrations showed good agreement with each other in terms of statistical parameters, and a ranking of models approach reliant on three statistical criteria revealed that, CRIM outperforms BHS model for estimating sediment concentrations

Introduction of flat ribbon cable (FRC) sensor for density measurement of road materials using time domain reflectometry (TDR)

Moisture content and density of unbound granular pavement materials are important properties for compaction control providing a great influence on pavement performance. Time domain reflectometry (TDR) usually uses rod probe sensors, which can provide pointwise readings of density. However, pointwise readings might not be representative enough for a complete road section. This paper introduces the application of flat ribbon cable (FRC) sensor, which can be extended up to 6 meter to measure moisture and density of road materials. Soil specific calibration is done in the laboratory considering the variation of moisture and density of materials where sensors of three different lengths are considered to enable the development of length normalized calibration. The electric parameter used to derive soil density is the voltage drop, which occurs after the passage of an electromagnetic wave along the sensor embedded in the soil. Soil moisture is related to the permittivity of the soil sample, which is obtained from the travel time of the TDR signal. Laboratory results indicate that calibration functions are independent of moisture and density. These soil specific calibration functions are useful in measuring long term pavement performance and managing rutting of roads

Evidence for Extended Hydrogen-Poor CSM in the Three-Peaked Light Curve of Stripped Envelope Ib Supernova

We present multi-band ATLAS photometry for SN 2019tsf, a stripped-envelope Type Ib supernova (SESN). The SN shows a triple-peaked light curve and a late (re-)brightening, making it unique among stripped-envelope systems. The re-brightening observations represent the latest photometric measurements of a multi-peaked Type Ib SN to date. As late-time photometry and spectroscopy suggest no hydrogen, the potential circumstellar material (CSM) must be H-poor. Moreover, late (>150 days) spectra show no signs of narrow emission lines, further disfavouring CSM interaction. On the contrary, an extended CSM structure is seen through a follow-up radio campaign with Karl G. Jansky Very Large Array (VLA), indicating a source of bright optically thick radio emission at late times, which is highly unusual among H-poor SESNe. We attribute this phenomenology to an interaction of the supernova ejecta with spherically-asymmetric CSM, potentially disk-like, and we present several models that can potentially explain the origin of this rare Type Ib supernova. The warped disc model paints a novel picture, where the tertiary companion perturbs the progenitors CSM, that can explain the multi-peaked light curves of SNe, and here we apply it to SN 2019tsf. This SN 2019tsf is likely a member of a new sub-class of Type Ib SNe and among the recently discovered class of SNe that undergo mass transfer at the moment of explosionComment: 23 pages, Comments are welcome, Submitted to Ap

Comprehensive transcriptome of the maize stalk borer, Busseola fusca, from multiple tissue types, developmental stages, and parasitoid wasp exposures

International audienc

The STRANDS Project:long-term autonomy in everyday environments

Thanks to the efforts of the robotics and autonomous systems community, robots are becoming ever more capable. There is also an increasing demand from end-users for autonomous service robots that can operate in real environments for extended periods. In the STRANDS project we are tackling this demand head-on by integrating state-of-the-art artificial intelligence and robotics research into mobile service robots, and deploying these systems for long-term installations in security and care environments. Over four deployments, our robots have been operational for a combined duration of 104 days autonomously performing end-user defined tasks, covering 116km in the process. In this article we describe the approach we have used to enable long-term autonomous operation in everyday environments, and how our robots are able to use their long run times to improve their own performance

Thinking of selection and widening access as complex and wicked problems

This work was unfunded but the ideas stem from numerous funded projects from over the years, particularly from the General Medical Council (GMC) and Medical Schools Council (MSC) of the UK. Our thanks also to the anonymous reviewers of an earlier version of this paper for their helpful feedback.Peer reviewedPostprin

On Quantifying State Variables of Soils Using Electromagnetic Methods

It is the wishful thinking of every soil engineer and soil scientist to be able to measure the required state variables to entirely describe the prevalent condition of a soil from both, the mechanic and hydraulic point of view. The presented contribution discusses and highlights possibilities opened up with electromagnetic methods to quantify these parameters based on different approaches, which involve sophisticated analysis methods of the measured dielectric spectrum and the intelligent use of sensing transmission lines