Essays on Multistage Stochastic Programming applied to Asset Liability Management

Uncertainty is a key element of reality. Thus, it becomes natural that the search for methods allows us to represent the unknown in mathematical terms. These problems originate a large class of probabilistic programs recognized as stochastic programming models. They are more realistic than deterministic ones, and their aim is to incorporate uncertainty into their definitions. This dissertation approaches the probabilistic problem class of multistage stochastic problems with chance constraints and joint-chance constraints. Initially, we propose a multistage stochastic asset liability management (ALM) model for a Brazilian pension fund industry. Our model is formalized in compliance with the Brazilian laws and policies. Next, given the relevance of the input parameters for these optimization models, we turn our attention to different sampling models, which compose the discretization process of these stochastic models. We check how these different sampling methodologies impact on the final solution and the portfolio allocation, outlining good options for ALM models. Finally, we propose a framework for the scenario-tree generation and optimization of multistage stochastic programming problems. Relying on the Knuth transform, we generate the scenario trees, taking advantage of the left-child, right-sibling representation, which makes the simulation more efficient in terms of time and the number of scenarios. We also formalize an ALM model reformulation based on implicit extensive form for the optimization model. This technique is designed by the definition of a filtration process with bundles, and coded with the support of an algebraic modeling language. The efficiency of this methodology is tested in a multistage stochastic ALM model with joint-chance constraints. Our framework makes it possible to reach the optimal solution for trees with a reasonable number of scenarios.A incerteza é um elemento fundamental da realidade. Então, torna-se natural a busca por métodos que nos permitam representar o desconhecido em termos matemáticos. Esses problemas originam uma grande classe de programas probabilísticos reconhecidos como modelos de programação estocástica. Eles são mais realísticos que os modelos determinísticos, e tem por objetivo incorporar a incerteza em suas definições. Essa tese aborda os problemas probabilísticos da classe de problemas de multi-estágio com incerteza e com restrições probabilísticas e com restrições probabilísticas conjuntas. Inicialmente, nós propomos um modelo de administração de ativos e passivos multi-estágio estocástico para a indústria de fundos de pensão brasileira. Nosso modelo é formalizado em conformidade com a leis e políticas brasileiras. A seguir, dada a relevância dos dados de entrada para esses modelos de otimização, tornamos nossa atenção às diferentes técnicas de amostragem. Elas compõem o processo de discretização desses modelos estocásticos Nós verificamos como as diferentes metodologias de amostragem impactam a solução final e a alocação do portfólio, destacando boas opções para modelos de administração de ativos e passivos. Finalmente, nós propomos um “framework” para a geração de árvores de cenário e otimização de modelos com incerteza multi-estágio. Baseados na tranformação de Knuth, nós geramos a árvore de cenários considerando a representação filho-esqueda, irmão-direita o que torna a simulação mais eficiente em termos de tempo e de número de cenários. Nós também formalizamos uma reformulação do modelo de administração de ativos e passivos baseada na abordagem extensiva implícita para o modelo de otimização. Essa técnica é projetada pela definição de um processo de filtragem com “bundles”; e codifciada com o auxílio de uma linguagem de modelagem algébrica. A eficiência dessa metodologia é testada em um modelo de administração de ativos e passivos com incerteza com restrições probabilísticas conjuntas. Nosso framework torna possível encontrar a solução ótima para árvores com um número razoável de cenários

Dificuldades financeiras, aspectos alimentares e de saúde em estudantes universitários, durante a pandemia de Covid-19

Introdução: As dificuldades financeiras advindas da pandemia, em virtude de mudanças econômicas do país, além de refletirem no estado de segurança alimentar e nutricional e no estado de saúde dos indivíduos, acarretaram o aumento da evasão dos cursos superiores. Objetivo: Verificar a associação entre as dificuldades financeiras, durante a pandemia de Covid-19, com os aspectos alimentares e de saúde dos graduandos da Universidade Federal de Juiz de Fora (UFJF). Método: Estudo transversal com graduandos da UFJF. Os dados foram coletados entre setembro de 2020 e março de 2021, através de questionário on-line. Utilizou-se Teste Qui-quadrado (p<0,05) para avaliar os fatores associados às dificuldades financeiras durante a pandemia. Verificou-se a razão de chances (Odds Ratio - OR) das associações encontradas. Resultados: Avaliaram-se 584 graduandos, dentre os quais se constatou que 31,7% passaram por dificuldades financeiras durante a pandemia. Notou-se que a presença de dificuldades financeiras no período pandêmico se associou positivamente à presença de Insegurança Alimentar e Nutricional (INSAN), à autopercepção negativa de saúde, à má qualidade do sono e às alterações de depressão, ansiedade e estresse. Além disso, os indivíduos caracterizados com dificuldades financeiras tinham maiores chances de apresentarem INSAN, percepção negativa de saúde, má qualidade do sono, bem como alterações nos níveis de depressão, ansiedade e estresse, quando comparados à sua contraparte. Conclusão: Conclui-se que as dificuldades financeiras durante o período pandêmico são associadas à presença de INSAN e aspectos de saúde alterados. Assim, ressalta-se a necessidade de criação de estratégias que visem à assistência financeira e psicológica dos graduandos

Alvarado’s Criteria for Diagnosis of Children’s Acute Apendicitis

Acute abdomen in children is a condition that causes great distress to parents, and appendicitis is its most common cause, being more frequent at school age. This pathology is the cause of numerous visits to public and private hospitals around the world, and brings several complications. It is important that the health team is aware of the possibility of appendicitis in children, due to its high incidence and difficulty in establishing its diagnosis, because the symptoms are nonspecific and there are different clinical presentations. Objective: to explain the importance of the Alvarado criterion for the diagnosis of acute childhood appendicitis. Methodology: This is an integrative bibliographic review, in articles published in the PubMed, Virtual Health Library and Google Scholar databases. For the search for data, the descriptors “Acute abdomen”, “Appendicitis”, “Children” and the keyword “Alvarado score” were used. Data were collected in December 2020. Results: 16 articles were selected as the final sample for analysis of the review, six in English, nine in Portuguese and one in Spanish. Conclusion: Through this review it can be concluded that the use of the Alvarado Score for the diagnosis of acute appendicitis in children is useful and effective, avoiding the use of imaging tests in patients with a score above 7 on this scale

Main Electroclinic Syndromes of The Infant: A Literature Review

An electroclinic syndrome (also known as epileptic syndrome) consists of a set of characteristics that associate with seizures, characteristics of electroencephalography and imaging that tend to occur together. Among them is a group that affects infants, usually having a genetic etiology. Objective: to carry out a literature review on the most common types of infant electroclinical syndromes, describing their main characteristics. Methodology: This is a narrative review of the literature of articles published between 2005 and 2020, in Portuguese and English. The research was carried out in December 2020. The following descriptors were used to search for the articles: Electroclinical syndromes. Epilepsy. Infant. Results: Through the research carried out, 12 scientific articles were selected, nine of them in English and three in Portuguese. Conclusion: The study identified 7 common electroclinical syndromes in infants and made it possible to conclude that knowledge of the clinical profile, types of crises and characteristics of the electroencephalography of the disease phenotype associated with the specific mutation can help improve the accuracy and management of the diagnosis of electroclinical syndromes

Brazilian guidelines for the treatment of narcolepsy

Este artigo relata as conclusões da reunião de consenso com médicos especialistas sobre diagnóstico de narcolepsia baseada na revisão dos artigos sobre narcolepsia listados no Medline entre 1980 e 2010. A narcolepsia é uma doença crônica de início entre a primeira e segunda décadas de vida do indivíduo. Os sintomas essenciais são cataplexia e sonolência excessiva. A cataplexia é definida como episódios súbitos, recorrentes e reversíveis de fraqueza da musculatura esquelética desencadeados por situações de conteúdo emocional. Os sintomas acessórios são alucinações hipnagógicas, paralisia do sono e sono fragmentado. Critérios de diagnóstico clínico de acordo com a Classificação Internacional dos Transtornos do Sono são de sonolência excessiva e cataplexia. Recomenda-se a realização de polissonografia seguida do teste de latência múltipla do sono em um laboratório de sono para confirmação e diagnóstico de comorbidades. Quando não houver cataplexia, deve haver duas ou mais sonecas com sono REM no teste de latência múltipla do sono. Tipagem HLA-DQB1*0602 positiva com níveis de hipocretina-1 abaixo de 110pg/mL devem estar presentes para o diagnóstico de narcolepsia sem cataplexia e sem sonecas com sono REM.This manuscript contains the conclusion of the consensus meeting on the diagnosis of narcolepsy based on the review of Medline publications between 1980-2010. Narcolepsy is a chronic disorder with age at onset between the first and second decade of life. Essential narcolepsy symptoms are cataplexy and excessive sleepiness. Cataplexy is defined as sudden, recurrent and reversible attacks of muscle weakness triggered by emotions. Accessory narcolepsy symptoms are hypnagogic hallucinations, sleep paralysis and nocturnal fragmented sleep. The clinical diagnosis according to the International Classification of Sleep Disorders is the presence of excessive sleepiness and cataplexy. A full in-lab polysomnography followed by a multiple sleep latency test is recommended for the confirmation of the diagnosis and co-morbidities. The presence of two sleep-onset REM period naps in the multiple sleep latency test is diagnostic for cataplexy-free narcolepsy. A positive HLA-DQB1*0602 with lower than 110pg/mL level of hypocretin-1 in the cerebrospinal fluid is required for the final diagnosis of cataplexy- and sleep-onset REM period -free narcolepsy

Optimasi Portofolio Resiko Menggunakan Model Markowitz MVO Dikaitkan dengan Keterbatasan Manusia dalam Memprediksi Masa Depan dalam Perspektif Al-Qur`an

Risk portfolio on modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice. Since companies cannot insure themselves completely against risk, as human incompetence in predicting the future precisely that written in Al-Quran surah Luqman verse 34, they have to manage it to yield an optimal portfolio. The objective here is to minimize the variance among all portfolios, or alternatively, to maximize expected return among all portfolios that has at least a certain expected return. Furthermore, this study focuses on optimizing risk portfolio so called Markowitz MVO (Mean-Variance Optimization). Some theoretical frameworks for analysis are arithmetic mean, geometric mean, variance, covariance, linear programming, and quadratic programming. Moreover, finding a minimum variance portfolio produces a convex quadratic programming, that is minimizing the objective function ðð¥with constraintsð ð 𥠥 ðandð´ð¥ = ð. The outcome of this research is the solution of optimal risk portofolio in some investments that could be finished smoothly using MATLAB R2007b software together with its graphic analysis

Differential cross section measurements for the production of a W boson in association with jets in proton–proton collisions at √s = 7 TeV

Measurements are reported of differential cross sections for the production of a W boson, which decays into a muon and a neutrino, in association with jets, as a function of several variables, including the transverse momenta (pT) and pseudorapidities of the four leading jets, the scalar sum of jet transverse momenta (HT), and the difference in azimuthal angle between the directions of each jet and the muon. The data sample of pp collisions at a centre-of-mass energy of 7 TeV was collected with the CMS detector at the LHC and corresponds to an integrated luminosity of 5.0 fb[superscript −1]. The measured cross sections are compared to predictions from Monte Carlo generators, MadGraph + pythia and sherpa, and to next-to-leading-order calculations from BlackHat + sherpa. The differential cross sections are found to be in agreement with the predictions, apart from the pT distributions of the leading jets at high pT values, the distributions of the HT at high-HT and low jet multiplicity, and the distribution of the difference in azimuthal angle between the leading jet and the muon at low values.United States. Dept. of EnergyNational Science Foundation (U.S.)Alfred P. Sloan Foundatio

Penilaian Kinerja Keuangan Koperasi di Kabupaten Pelalawan

This paper describe development and financial performance of cooperative in District Pelalawan among 2007 - 2008. Studies on primary and secondary cooperative in 12 sub-districts. Method in this stady use performance measuring of productivity, efficiency, growth, liquidity, and solvability of cooperative. Productivity of cooperative in Pelalawan was highly but efficiency still low. Profit and income were highly, even liquidity of cooperative very high, and solvability was good