Essays on dynamic portfolio management

Over the last three decades, there has been an increasing interest in the problem of the investor's optimal consumption and portfolio rules. Despite the substantial amount of related literature, there remain many areas for further investigation. The thesis, therefore, addresses a number of important issues relating to the theory and practice of dynamic portfolio strategies. The thesis consists of five essays. The first two essays, Chapters 3 and 4, are concerned with efficient dynamic asset allocation programs under alternative market assumptions. Chapter 3 studies a situation where the simple time-invariant portfolio strategies are efficient and provides a complete characterisation of the strategies using the efficiency arguments. The popularised constant proportion portfolio insurance (CPPI) is embedded as a special case. Chapter 4 relaxes the assumption of a constant interest rate to allow the interest rate to follow a one factor stochastic process. The factor risk premium is then determined in a way that is consistent with the underlying equilibrium. These results are then applied to solve explicitly for an investor's optimal portfolio choice problem under the special case of a Vacisek short rate model and alternative utility functions. The third essay, Chapter 5, relaxes the assumption of a constant equity risk premium to allow the risk premium to vary through time. The evolution of the market risk premium in a representative agent equilibrium (consistent with the Black-Scholes option pricing) is investigated using a unified approach. The presence of dividends and intermediate consumption proves to be the key element that enables us to obtain a stationary economy with decreasing relative risk aversion, a theoretical result that has not be established in the existing literature. The last two essays. Chapters 6 and 7. are concerned with issues of portfolio efficiency and performance measurement. Chapter 6 uses the result from Chapter 5 that, without dividends and intermediate consumption, the market risk premium must satisfy the Burgers' equation, and applies Dybvig's payoff distribution pricing model to measure the inefficiency costs incurred when this condition is violated. The numerical results show that the degree of inefficiency is not very significant, at least for the cases which we postulate, but the findings also reassure negative result predicted from the model. Finally, Chapter 7 proposes a new utility based performance measure that can be applied in the ex-post evaluation of dynamic portfolio strategies. We construct a contingent claim estimation approach to estimate the nearest efficient strategy from a single realisation and then quantify the opportunity cost resulting from the departure of the observed strategy from the nearest efficient one. The numerical examples show that the technique is remarkably robust

Essays on dynamic portfolio management

Over the last three decades, there has been an increasing interest in the problem of the investor's optimal consumption and portfolio rules. Despite the substantial amount of related literature, there remain many areas for further investigation. The thesis, therefore, addresses a number of important issues relating to the theory and practice of dynamic portfolio strategies. The thesis consists of five essays. The first two essays, Chapters 3 and 4, are concerned with efficient dynamic asset allocation programs under alternative market assumptions. Chapter 3 studies a situation where the simple time-invariant portfolio strategies are efficient and provides a complete characterisation of the strategies using the efficiency arguments. The popularised constant proportion portfolio insurance (CPPI) is embedded as a special case. Chapter 4 relaxes the assumption of a constant interest rate to allow the interest rate to follow a one factor stochastic process. The factor risk premium is then determined in a way that is consistent with the underlying equilibrium. These results are then applied to solve explicitly for an investor's optimal portfolio choice problem under the special case of a Vacisek short rate model and alternative utility functions. The third essay, Chapter 5, relaxes the assumption of a constant equity risk premium to allow the risk premium to vary through time. The evolution of the market risk premium in a representative agent equilibrium (consistent with the Black-Scholes option pricing) is investigated using a unified approach. The presence of dividends and intermediate consumption proves to be the key element that enables us to obtain a stationary economy with decreasing relative risk aversion, a theoretical result that has not be established in the existing literature. The last two essays. Chapters 6 and 7. are concerned with issues of portfolio efficiency and performance measurement. Chapter 6 uses the result from Chapter 5 that, without dividends and intermediate consumption, the market risk premium must satisfy the Burgers' equation, and applies Dybvig's payoff distribution pricing model to measure the inefficiency costs incurred when this condition is violated. The numerical results show that the degree of inefficiency is not very significant, at least for the cases which we postulate, but the findings also reassure negative result predicted from the model. Finally, Chapter 7 proposes a new utility based performance measure that can be applied in the ex-post evaluation of dynamic portfolio strategies. We construct a contingent claim estimation approach to estimate the nearest efficient strategy from a single realisation and then quantify the opportunity cost resulting from the departure of the observed strategy from the nearest efficient one. The numerical examples show that the technique is remarkably robust.EThOS - Electronic Theses Online ServiceOverseas Research Students Awards Scheme (ORSAS)University of Warwick (UoW)GBUnited Kingdo

Optimal receiver antenna location in indoor environment using dynamic differential evolution and genetic algorithm

Using the impulse responses of these multipath channels, the bit error rate (BER) performance for binary pulse amplitude modulation impulse radio ultra-wideband communication system is calculated. The optimization location of receiving antenna is investigated by dynamic differential evolution (DDE) and genetic algorithm (GA) to minimize the outage probability. Numerical results show that the performance for reducing BER and outage probability by DDE algorithm is better than that by GA

Novel Technology for Bio-diesel Production from Cooking and Waste Cooking Oil by Microwave Irradiation

AbstractIn the transitional process, acid or base catalysts are common technology to produce bio-diesel from waste cooking oil; however, the catalysts only can be use one time. Highly reaction time is requirement for the transitional technology. For improvement these concern issues, this study applied a novel technology to create bio-diesel product from cooking oil and waste cooking oil by microwave irritation. The microwave irradiation can provide strong power and reach reaction temperature in a short time. The SrO catalyst is a heterogeneous catalyst which is not dissolution into any liquid solution therefore, it can be recycling and reusing again.In this research, the optimum conditions were using commercial SrO, 40 to 180seconds reaction time, around 80oC reaction temperature, 6 methanol to oil ratio, and 1000W microwave power output. 99% and 93% biodiesel conversion efficiency for cooking oil and waste cooking oil were reached within in these conditions. The determined specifications of obtained biodiesel according to ASTM D6751 and EN14214 standards were in accordance with the required limits. As a conclusion, the present study indicates that derived fuel promises being an alternative for diesel, and could be used in engines without a major modification due to its qualifications

Optimal Receiver Antenna Location in Indoor Environment Using Dynamic Differential Evolution and Genetic Algorithm

[[abstract]]Using the impulse responses of these multipath channels, the bit error rate (BER) performance for binary pulse amplitude modulation impulse radio ultra-wideband communication system is calculated. The optimization location of receiving antenna is investigated by dynamic differential evolution (DDE) and genetic algorithm (GA) to minimize the outage probability. Numerical results show that the performance for reducing BER and outage probability by DDE algorithm is better than that by GA.[[notice]]補正完畢[[incitationindex]]SCI[[booktype]]紙本[[booktype]]電子

Predicting the Severity and Prognosis of Trismus after Intensity-Modulated Radiation Therapy for Oral Cancer Patients by Magnetic Resonance Imaging

To develop magnetic resonance imaging (MRI) indicators to predict trismus outcome for post-operative oral cavity cancer patients who received adjuvant intensity-modulated radiation therapy (IMRT), 22 patients with oral cancer treated with IMRT were studied over a two-year period. Signal abnormality scores (SA scores) were computed from Likert-type ratings of the abnormalities of nine masticator structures and compared with the Mann-Whitney U-test and Kruskal–Wallis one-way ANOVA test between groups. Seventeen patients (77.3%) experienced different degrees of trismus during the two-year follow-up period. The SA score correlated with the trismus grade (r = 0.52, p<0.005). Patients having progressive trismus had higher mean doses of radiation to multiple structures, including the masticator and lateral pterygoid muscles, and the parotid gland (p<0.05). In addition, this group also had higher SA-masticator muscle dose product at 6 months and SA scores at 12 months (p<0.05). At the optimum cut-off points of 0.38 for the propensity score, the sensitivity was 100% and the specificity was 93% for predicting the prognosis of the trismus patients. The SA score, as determined using MRI, can reflect the radiation injury and correlate to trismus severity. Together with the radiation dose, it could serve as a useful biomarker to predict the outcome and guide the management of trismus following radiation therapy

Twist Controls Skeletal Development and Dorsoventral Patterning by Regulating Runx2 in Zebrafish

[[abstract]]Background: Twist1a and twist1b are the principal components of twists that negatively regulate a number of cellular signaling events. Expression of runx2 and downstream targets is essential for skeletal development and ventral organizer formation and specification in early vertebrate embryos, but what controls ventral activity of maternal runx2 and how twists function in zebrafish embryogenesis still remain unclear. Methodology/Principal Findings: By studying the loss of twist induced by injection of morpholino-oligonucleotide in zebrafish, we found that twist1a and twist1b, but not twist2 or twist3, were required for proper skeletal development and dorsoventral patterning in early embryos. Overexpression of twist1a or twist1b following mRNA injection resulted in deteriorated skeletal development and formation of typical dorsalized embryos, whereas knockdown of twist1a and twist1b led to the formation of abnormal embryos with enhanced skeletal formation and typical ventralized patterning. Overexpression of twist1a or twist1b decreased the expression of runx2b, whereas twist1a and twist1b knockdown increased runx2b expression. We have further demonstrated that phenotypes induced by twist1a and twist1b knockdown were rescued by runx2b knockdown. Conclusions/Significance: Together, these results suggest that twist1a and twist1b control skeletal development and dorsoventral patterning by regulating runx2b in zebrafish and provide potential targets for the treatment of diseases or syndromes associated with decreased skeletal development.[[journaltype]]國外[[incitationindex]]SCI[[booktype]]紙本[[countrycodes]]US

Biological Properties of Acidic Cosmetic Water from Seawater

This current work was to investigate the biological effects of acidic cosmetic water (ACW) on various biological assays. ACW was isolated from seawater and demonstrated several bio-functions at various concentration ranges. ACW showed a satisfactory effect against Staphylococcus aureus, which reduced 90% of bacterial growth after a 5-second exposure. We used cultured human peripheral blood mononuclear cells (PBMCs) to test the properties of ACW in inflammatory cytokine release, and it did not induce inflammatory cytokine release from un-stimulated, normal PBMCs. However, ACW was able to inhibit bacterial lipopolysaccharide (LPS)-induced inflammatory cytokine TNF-α released from PBMCs, showing an anti-inflammation potential. Furthermore, ACW did not stimulate the rat basophilic leukemia cell (RBL-2H3) related allergy response on de-granulation. Our data presented ACW with a strong anti-oxidative ability in a superoxide anion radical scavenging assay. In mass spectrometry information, magnesium and zinc ions demonstrated bio-functional detections for anti-inflammation as well as other metal ions such as potassium and calcium were observed. ACW also had minor tyrosinase and melanin decreasing activities in human epidermal melanocytes (HEMn-MP) without apparent cytotoxicity. In addition, the cell proliferation assay illustrated anti-growth and anti-migration effects of ACW on human skin melanoma cells (A375.S2) indicating that it exerted the anti-cancer potential against skin cancer. The results obtained from biological assays showed that ACW possessed multiple bioactivities, including anti-microorganism, anti-inflammation, allergy-free, antioxidant, anti-melanin and anticancer properties. To our knowledge, this was the first report presenting these bioactivities on ACW