Search results for: real excess portfolio returns
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 6238

Search results for: real excess portfolio returns

6088 Dimensionality and Superconducting Parameters of YBa2Cu3O7 Foams

Authors: Michael Koblischka, Anjela Koblischka-Veneva, XianLin Zeng, Essia Hannachi, Yassine Slimani

Abstract:

Superconducting foams of YBa2Cu3O7 (abbreviated Y-123) were produced using the infiltration growth (IG) technique from Y2BaCuO5 (Y-211) foams. The samples were investigated by SEM (scanning electron microscopy) and electrical resistivity measurements. SEM observations indicated the specific microstructure of the foam struts with numerous tiny Y-211 particles (50-100 nm diameter) embedded in channel-like structures between the Y-123 grains. The investigation of the excess conductivity of different prepared composites was analyzed using Aslamazov-Larkin (AL) model. The investigated samples comprised of five distinct fluctuation regimes, namely short-wave (SWF), one-dimensional (1D), two-dimensional (2D), three-dimensional (3D), and critical (CR) fluctuations regimes. The coherence length along the c-axis at zero-temperature (ξc(0)), lower and upper critical magnetic fields (Bc1 and Bc2), critical current density (Jc) and numerous other superconducting parameters were estimated from the data. The analysis reveals that the presence of the tiny Y-211 particles alters the excess conductivity and the fluctuation behavior observed in standard YBCO samples.

Keywords: Excess conductivity, Foam, Microstructure, Superconductor YBa2Cu3Oy

Procedia PDF Downloads 170
6087 Improved Technology Portfolio Management via Sustainability Analysis

Authors: Ali Al-Shehri, Abdulaziz Al-Qasim, Abdulkarim Sofi, Ali Yousef

Abstract:

The oil and gas industry has played a major role in improving the prosperity of mankind and driving the world economy. According to the International Energy Agency (IEA) and Integrated Environmental Assessment (EIA) estimates, the world will continue to rely heavily on hydrocarbons for decades to come. This growing energy demand mandates taking sustainability measures to prolong the availability of reliable and affordable energy sources, and ensure lowering its environmental impact. Unlike any other industry, the oil and gas upstream operations are energy-intensive and scattered over large zonal areas. These challenging conditions require unique sustainability solutions. In recent years there has been a concerted effort by the oil and gas industry to develop and deploy innovative technologies to: maximize efficiency, reduce carbon footprint, reduce CO2 emissions, and optimize resources and material consumption. In the past, the main driver for research and development (R&D) in the exploration and production sector was primarily driven by maximizing profit through higher hydrocarbon recovery and new discoveries. Environmental-friendly and sustainable technologies are increasingly being deployed to balance sustainability and profitability. Analyzing technology and its sustainability impact is increasingly being used in corporate decision-making for improved portfolio management and allocating valuable resources toward technology R&D.This paper articulates and discusses a novel workflow to identify strategic sustainable technologies for improved portfolio management by addressing existing and future upstream challenges. It uses a systematic approach that relies on sustainability key performance indicators (KPI’s) including energy efficiency quotient, carbon footprint, and CO2 emissions. The paper provides examples of various technologies including CCS, reducing water cuts, automation, using renewables, energy efficiency, etc. The use of 4IR technologies such as Artificial Intelligence, Machine Learning, and Data Analytics are also discussed. Overlapping technologies, areas of collaboration and synergistic relationships are identified. The unique sustainability analyses provide improved decision-making on technology portfolio management.

Keywords: sustainability, oil& gas, technology portfolio, key performance indicator

Procedia PDF Downloads 184
6086 Agriculture Water Quality Evaluation in Minig Basin

Authors: Ben Salah Nahla

Abstract:

The problem of water in Tunisia affects the quality and quantity. Tunisia is in a situation of water shortage. It was estimated that 4.6 Mm3/an. Moreover, the quality of water in Tunisia is also mediocre. In fact, 50% of the water has a high salinity (> 1.5g/l). There are several parameters which affect water quality such as sodium, fluoride. An excess of this parameter may induce some human health. Furthermore, the mining basin area has a problem of industrial waste. This problem may affect the water quality of the groundwater. Therefore, the purpose of this work is to assess the water quality in Basin Mining and the impact of fluorine. For this research, some water samples were done in the field and specific water analysis was implemented in the laboratory. Sampling is carried out on eight drilling in the area of the mining region. In the following, we will look at water view composition, physical and chemical quality. A physical-chemical analysis of water from a survey of the Mining area of Tunisia was performed and showed an excess for the following items: fluorine, sodium, sulfate. So many chemicals may be present in water. However, only a small number of them immediately concern in terms of health in all circumstances. Fluorine (F) is one particular chemical that is considered both necessary for the human body, but an excess of the rate of this chemical causes serious diseases. Sodium fluoride and sodium silicofluoride are more soluble and may spread in animals and plants where their toxicity largest organizations. The more complex particles such as cryolite and fluorite, almost insoluble, are more stable and less toxic. Thereafter, we will study the problem of excess fluorine in the water. The latter intended for human consumption must always comply with the limits for microbiological quality parameters and physical-chemical parameters defined by European standards (1.5 mg/l) and Tunisian (2 mg/l).

Keywords: water, minier basin, fluorine, silicofluoride

Procedia PDF Downloads 583
6085 Compromising Relevance for Elegance: A Danger of Dominant Growth Models for Backward Economies

Authors: Givi Kupatadze

Abstract:

Backward economies are facing a challenge of achieving sustainable high economic growth rate. Dominant growth models represent a roadmap in framing economic development strategy. This paper examines a relevance of the dominant growth models for backward economies. Cobb-Douglas production function, the Harrod-Domar model of economic growth, the Solow growth model and general formula of gross domestic product are examined to undertake a comprehensive study of the dominant growth models. Deductive research method allows to uncover major weaknesses of the dominant growth models and to come up with practical implications for economic development strategy. The key finding of the paper shows, contrary to what used to be taught by textbooks of economics, that constant returns to scale property of the dominant growth models are a mere coincidence and its generalization over space and time can be regarded as one of the most unfortunate mistakes in the whole field of political economy. The major suggestion of the paper for backward economies is that understanding and considering taxonomy of economic activities based on increasing and diminishing returns to scale represent a cornerstone of successful economic development strategy.

Keywords: backward economies, constant returns to scale, dominant growth models, taxonomy of economic activities

Procedia PDF Downloads 376
6084 Contrasted Mean and Median Models in Egyptian Stock Markets

Authors: Mai A. Ibrahim, Mohammed El-Beltagy, Motaz Khorshid

Abstract:

Emerging Markets return distributions have shown significance departure from normality were they are characterized by fatter tails relative to the normal distribution and exhibit levels of skewness and kurtosis that constitute a significant departure from normality. Therefore, the classical Markowitz Mean-Variance is not applicable for emerging markets since it assumes normally-distributed returns (with zero skewness and kurtosis) and a quadratic utility function. Moreover, the Markowitz mean-variance analysis can be used in cases of moderate non-normality and it still provides a good approximation of the expected utility, but it may be ineffective under large departure from normality. Higher moments models and median models have been suggested in the literature for asset allocation in this case. Higher moments models have been introduced to account for the insufficiency of the description of a portfolio by only its first two moments while the median model has been introduced as a robust statistic which is less affected by outliers than the mean. Tail risk measures such as Value-at Risk (VaR) and Conditional Value-at-Risk (CVaR) have been introduced instead of Variance to capture the effect of risk. In this research, higher moment models including the Mean-Variance-Skewness (MVS) and Mean-Variance-Skewness-Kurtosis (MVSK) are formulated as single-objective non-linear programming problems (NLP) and median models including the Median-Value at Risk (MedVaR) and Median-Mean Absolute Deviation (MedMAD) are formulated as a single-objective mixed-integer linear programming (MILP) problems. The higher moment models and median models are compared to some benchmark portfolios and tested on real financial data in the Egyptian main Index EGX30. The results show that all the median models outperform the higher moment models were they provide higher final wealth for the investor over the entire period of study. In addition, the results have confirmed the inapplicability of the classical Markowitz Mean-Variance to the Egyptian stock market as it resulted in very low realized profits.

Keywords: Egyptian stock exchange, emerging markets, higher moment models, median models, mixed-integer linear programming, non-linear programming

Procedia PDF Downloads 315
6083 Analysis on the Satisfaction of University-Industry Collaboration

Authors: Jeonghwan Jeon

Abstract:

Recently, the industry and academia have been planning development through industry/university cooperation (IUC), and the government has been promoting alternative methods to achieve successful IUC. Representatively, business cultivation involves the lead university (regarding IUC), research and development (R&D), company support, professional manpower cultivation, and marketing, etc., and the scale of support expands every year. Research is performed by many academic researchers to achieve IUC and although satisfaction of their results is high, expectations are not being met and study of the main factor is insufficient. Therefore, this research improves on theirs by analysing the main factors influencing their satisfaction. Each factor is analysed by AHP, and portfolio analysis is performed on the importance and current satisfaction level. This will help improve satisfaction of business participants and ensure effective IUC in the future.

Keywords: industry/university cooperation, satisfaction, portfolio analysis, business participant

Procedia PDF Downloads 498
6082 Comparison of Accumulated Stress Based Pore Pressure Model and Plasticity Model in 1D Site Response Analysis

Authors: Saeedullah J. Mandokhail, Shamsher Sadiq, Meer H. Khan

Abstract:

This paper presents the comparison of excess pore water pressure ratio (ru) predicted by using accumulated stress based pore pressure model and plasticity model. One dimensional effective stress site response analyses were performed on a 30 m deep sand column (consists of a liquefiable layer in between non-liquefiable layers) using accumulated stress based pore pressure model in Deepsoil and PDMY2 (PressureDependentMultiYield02) model in Opensees. Three Input motions with different peak ground acceleration (PGA) levels of 0.357 g, 0.124 g, and 0.11 g were used in this study. The developed excess pore pressure ratio predicted by the above two models were compared and analyzed along the depth. The time history of the ru at mid of the liquefiable layer and non-liquefiable layer were also compared. The comparisons show that the two models predict mostly similar ru values. The predicted ru is also consistent with the PGA level of the input motions.

Keywords: effective stress, excess pore pressure ratio, pore pressure model, site response analysis

Procedia PDF Downloads 228
6081 The Presence of Investor Overconfidence in the South African Exchange Traded Fund Market

Authors: Damien Kunjal, Faeezah Peerbhai

Abstract:

Despite the increasing popularity of exchange-traded funds (ETFs), ETF investment choices may not always be rational. Excess trading volume, misevaluations of securities, and excess return volatility present in financial markets can be attributed to the influence of the overconfidence bias. Whilst previous research has explored the overconfidence bias in stock markets; this study focuses on trading in ETF markets. Therefore, the objective of this study is to investigate the presence of investor overconfidence in the South African ETF market. Using vector autoregressive models, the lead-lag relationship between market turnover and the market return is examined for the market of South African ETFs tracking domestic benchmarks and for the market of South African ETFs tracking international benchmarks over the period November 2000 till August 2019. Consistent with the overconfidence hypothesis, a positive relationship between current market turnover and lagged market return is found for both markets, even after controlling for market volatility and cross-sectional dispersion. This relationship holds for both market and individual ETF turnover suggesting that investors are overconfident when trading in South African ETFs tracking domestic benchmarks and South African ETFs tracking international benchmarks since trading activity depends on past market returns. Additionally, using the global recession as a structural break, this study finds that investor overconfidence is more pronounced after the global recession suggesting that investors perceive ETFs as risk-reducing assets due to their diversification benefits. Overall, the results of this study indicate that the overconfidence bias has a significant influence on ETF investment choices, therefore, suggesting that the South African ETF market is inefficient since investors’ decisions are based on their biases. As a result, the effect of investor overconfidence can account for the difference between the fair value of ETFs and its current market price. This finding has implications for policymakers whose responsibility is to promote the efficiency of the South African ETF market as well as ETF investors and traders who trade in the South African ETF market.

Keywords: exchange-traded fund, market return, market turnover, overconfidence, trading activity

Procedia PDF Downloads 164
6080 Numerical Study Pile Installation Disturbance Zone Effects on Excess Pore Pressure Dissipation

Authors: Kang Liu, Meng Liu, Meng-Long Wu, Da-Chang Yue, Hong-Yi Pan

Abstract:

The soil setup is an important factor affecting pile bearing capacity; there are many factors that influence it, all of which are closely related to pile construction disturbances. During pile installation in soil, a significant amount of excess pore pressure is generated, creating disturbance zones around the pile. The dissipation rate of excess pore pressure is an important factor influencing the pile setup. The paper aims to examine how alterations in parameters within disturbance zones affect the dissipation of excess pore pressure. An axisymmetric FE model is used to simulate pile installation in clay, subsequently consolidation using Plaxis 3D. The influence of disturbed zone on setup is verified, by comparing the parametric studies in uniform field and non-uniform field. Three types of consolidation are employed: consolidation in three directions, vertical consolidation, horizontal consolidation. The results of the parametric study show that the permeability coefficient decreases, soil stiffness decreases, and reference pressure increases in the disturbance zone, resulting in an increase in the dissipation time of excess pore pressure and exhibiting a noticeable threshold phenomenon, which has been commonly overlooked in previous literature. The research in this paper suggests that significant thresholds occur when the coefficient of permeability decreases to half of the original site's value for three-directional and horizontal consolidation within the disturbed zone. Similarly, the threshold for vertical consolidation is observed when the coefficient of permeability decreases to one-fourth of the original site's value. Especially in pile setup research, consolidation is assumed to be horizontal; the study findings suggest that horizontal consolidation has experienced notable alterations as a result of the presence of disturbed zones. Furthermore, the selection of pile installation methods proves to be critical. A nonlinearity excess pore pressure formula is proposed based on cavity expansion theory, which includes the distribution of soil profile modulus with depth.

Keywords: pile setup, threshold value effect, installation effects, uniform field, non-uniform field

Procedia PDF Downloads 50
6079 Stresses Induced in Saturated Asphalt Pavement by Moving Loads

Authors: Yang Zhong, Meijie Xue

Abstract:

The purpose of this paper is to investigate the stresses and excess pore fluid pressure induced by the moving wheel pressure on saturated asphalt pavements, which is one of the reasons for a damage phenomenon in flexible pavement denoted stripping. The saturated asphalt pavement is modeled as multilayered poroelastic half space exerted by a wheel pressure, which is moving at a constant velocity along the surface of the pavement. The governing equations for the proposed analysis are based on the Biot’s theory of dynamics in saturated poroelastic medium. The governing partial differential equations are solved by using Laplace and Hankel integral transforms. The solutions for the stresses and excess pore pressure are expressed in the forms of numerical inversion Laplace and Hankel integral transforms. The numerical simulation results clearly demonstrate the induced deformation and water flow in the asphalt pavement.

Keywords: saturated asphalt pavements, moving loads, excess pore fluid pressure, stress of pavement, biot theory, stress and strain of pavement

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6078 A Fourier Method for Risk Quantification and Allocation of Credit Portfolios

Authors: Xiaoyu Shen, Fang Fang, Chujun Qiu

Abstract:

Herewith we present a Fourier method for credit risk quantification and allocation in the factor-copula model framework. The key insight is that, compared to directly computing the cumulative distribution function of the portfolio loss via Monte Carlo simulation, it is, in fact, more efficient to calculate the transformation of the distribution function in the Fourier domain instead and inverting back to the real domain can be done in just one step and semi-analytically, thanks to the popular COS method (with some adjustments). We also show that the Euler risk allocation problem can be solved in the same way since it can be transformed into the problem of evaluating a conditional cumulative distribution function. Once the conditional or unconditional cumulative distribution function is known, one can easily calculate various risk metrics. The proposed method not only fills the niche in literature, to the best of our knowledge, of accurate numerical methods for risk allocation but may also serve as a much faster alternative to the Monte Carlo simulation method for risk quantification in general. It can cope with various factor-copula model choices, which we demonstrate via examples of a two-factor Gaussian copula and a two-factor Gaussian-t hybrid copula. The fast error convergence is proved mathematically and then verified by numerical experiments, in which Value-at-Risk, Expected Shortfall, and conditional Expected Shortfall are taken as examples of commonly used risk metrics. The calculation speed and accuracy are tested to be significantly superior to the MC simulation for real-sized portfolios. The computational complexity is, by design, primarily driven by the number of factors instead of the number of obligors, as in the case of Monte Carlo simulation. The limitation of this method lies in the "curse of dimension" that is intrinsic to multi-dimensional numerical integration, which, however, can be relaxed with the help of dimension reduction techniques and/or parallel computing, as we will demonstrate in a separate paper. The potential application of this method has a wide range: from credit derivatives pricing to economic capital calculation of the banking book, default risk charge and incremental risk charge computation of the trading book, and even to other risk types than credit risk.

Keywords: credit portfolio, risk allocation, factor copula model, the COS method, Fourier method

Procedia PDF Downloads 168
6077 The Study on the Measuring of the Satisfaction of University/Industry Collaboration

Authors: Jeonghwan Jeon

Abstract:

Recently, the industry and academia have been planning development through industry/university cooperation (IUC), and the government has been promoting alternative methods to achieve successful IUC. Representatively, business cultivation involves the lead university (regarding IUC), research and development (R&D), company support, professional manpower cultivation, and marketing, etc., and the scale of support expands every year. Research is performed by many academic researchers to achieve IUC and although satisfaction of their results is high, expectations are not being met and study of the main factor is insufficient. Therefore, this research improves on theirs by analysing the main factors influencing their satisfaction. Each factor is analysed by AHP, and portfolio analysis is performed on the importance and current satisfaction level. This will help improve satisfaction of business participants and ensure effective IUC in the future.

Keywords: industry/university cooperation, satisfaction, portfolio analysis, research and development

Procedia PDF Downloads 510
6076 Brazilian Transmission System Efficient Contracting: Regulatory Impact Analysis of Economic Incentives

Authors: Thelma Maria Melo Pinheiro, Guilherme Raposo Diniz Vieira, Sidney Matos da Silva, Leonardo Mendonça de Oliveira Queiroz, Mateus Sousa Pinheiro, Danyllo Wenceslau de Oliveira Lopes

Abstract:

The present article has the objective to describe the regulatory impact analysis (RIA) of the contracting efficiency of the Brazilian transmission system usage. This contracting is made by users connected to the main transmission network and is used to guide necessary investments to supply the electrical energy demand. Therefore, an inefficient contracting of this energy amount distorts the real need for grid capacity, affecting the sector planning accuracy and resources optimization. In order to provide this efficiency, the Brazilian Electricity Regulatory Agency (ANEEL) homologated the Normative Resolution (NR) No. 666, from July 23th of 2015, which consolidated the procedures for the contracting of transmission system usage and the contracting efficiency verification. Aiming for a more efficient and rational transmission system contracting, the resolution established economic incentives denominated as Inefficiency installment for excess (IIE) and inefficiency installment for over-contracting (IIOC). The first one, IIE, is verified when the contracted demand exceeds the established regulatory limit; it is applied to consumer units, generators, and distribution companies. The second one, IIOC, is verified when the distributors over-contract their demand. Thus, the establishment of the inefficiency installments IIE and IIOC intends to avoid the agent contract less energy than necessary or more than it is needed. Knowing that RIA evaluates a regulatory intervention to verify if its goals were achieved, the results from the application of the above-mentioned normative resolution to the Brazilian transmission sector were analyzed through indicators that were created for this RIA to evaluate the contracting efficiency transmission system usage, using real data from before and after the homologation of the normative resolution in 2015. For this, indicators were used as the efficiency contracting indicator (ECI), excess of demand indicator (EDI), and over-contracting of demand indicator (ODI). The results demonstrated, through the ECI analysis, a decrease of the contracting efficiency, a behaviour that was happening even before the normative resolution of 2015. On the other side, the EDI showed a considerable decrease in the amount of excess for the distributors and a small reduction for the generators; moreover, the ODI notable decreased, which optimizes the usage of the transmission installations. Hence, with the complete evaluation from the data and indicators, it was possible to conclude that IIE is a relevant incentive for a more efficient contracting, indicating to the agents that their contracting values are not adequate to keep their service provisions for their users. The IIOC also has its relevance, to the point that it shows to the distributors that their contracting values are overestimated.

Keywords: contracting, electricity regulation, evaluation, regulatory impact analysis, transmission power system

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6075 A Sustainable Energy Portfolio for Greater Kampala Metropolitan Area by the Mid-Century

Authors: Ismail Kimuli

Abstract:

With a steadfast economic development, the Greater Kampala metropolitan area (GKMA) faces increasing pressures to increasetheshare of low-carbon electricity in the energy balance, abate CO2 emissions and also restructure the transportation sector for a sustainable 2050. GKMA, is Uganda’s commercial, political, social, and industrial hub with a population of 4.1 million, contributing 60% tothe nation’s GDP and accounts for 80% of Uganda’s industrial sector.However, with the rampant anthropogenic interference that causes climate change, CO2 emissions in the metropolitan are contributing to global warming. Many economies across the globe are addressing this challengethrough development and analysis of sustainable energy portfolios.A sustainable energy portfolio is a low-carbon scenario. The study reviews the literature to establish the current energy management situation of GKMA and finds it wanting in addressing the immediate challenges associated with energy management of the metropolitan. Then, the study develops and examines a sustainable energy portfolio for GKMA using TIMES-VEDA and then presents it as an investigative low-carbon energy scenario that could propel the metropolitan sustainably towards 2050.Sustainability is plausible by optimizing the total primary energy supply, generating low-carbon electricity from hydropower and PV-solar renewables, improving heating technologies for residential & commercial sectors, and switching 90% of land passengers from road to a Kampala metro for a sustainable mid-century.

Keywords: GKMA, sustainability, TIMES-VEDA, low-carbon scenario

Procedia PDF Downloads 109
6074 The Excess Loop Delay Calibration in a Bandpass Continuous-Time Delta Sigma Modulators Based on Q-Enhanced LC Filter

Authors: Sorore Benabid

Abstract:

The Q-enhanced LC filters are the most used architecture in the Bandpass (BP) Continuous-Time (CT) Delta-Sigma (ΣΔ) modulators, due to their: high frequencies operation, high linearity than the active filters and a high quality factor obtained by Q-enhanced technique. This technique consists of the use of a negative resistance that compensate the ohmic losses in the on-chip inductor. However, this technique introduces a zero in the filter transfer function which will affect the modulator performances in term of Dynamic Range (DR), stability and in-band noise (Signal-to-Noise Ratio (SNR)). In this paper, we study the effect of this zero and we demonstrate that a calibration of the excess loop delay (ELD) is required to ensure the best performances of the modulator. System level simulations are done for a 2ndorder BP CT (ΣΔ) modulator at a center frequency of 300MHz. Simulation results indicate that the optimal ELD should be reduced by 13% to achieve the maximum SNR and DR compared to the ideal LC-based ΣΔ modulator.

Keywords: continuous-time bandpass delta-sigma modulators, excess loop delay, on-chip inductor, Q-enhanced LC filter

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6073 On the Influence of the Covid-19 Pandemic on Tunisian Stock Market: By Sector Analysis

Authors: Nadia Sghaier

Abstract:

In this paper, we examine the influence of the COVID-19 pandemic on the performance of the Tunisian stock market and 12 sectors over a recent period from 23 March 2020 to 18 August 2021, including several waves and the introduction of vaccination. The empirical study is conducted using cointegration techniques which allows for long and short-run relationships. The obtained results indicate that both daily growth in confirmed cases and deaths have a negative and significant effect on the stock market returns. In particular, this effect differs across sectors. It seems more pronounced in financial, consumer goods and industrials sectors. These findings have important implications for investors to predict the behavior of the stock market or sectors returns and to implement hedging strategies during the COVID-19 pandemic.

Keywords: Tunisian stock market, sectors, COVID-19 pandemic, cointegration techniques

Procedia PDF Downloads 201
6072 The Improvement of Turbulent Heat Flux Parameterizations in Tropical GCMs Simulations Using Low Wind Speed Excess Resistance Parameter

Authors: M. O. Adeniyi, R. T. Akinnubi

Abstract:

The parameterization of turbulent heat fluxes is needed for modeling land-atmosphere interactions in Global Climate Models (GCMs). However, current GCMs still have difficulties with producing reliable turbulent heat fluxes for humid tropical regions, which may be due to inadequate parameterization of the roughness lengths for momentum (z0m) and heat (z0h) transfer. These roughness lengths are usually expressed in term of excess resistance factor (κB^(-1)), and this factor is used to account for different resistances for momentum and heat transfers. In this paper, a more appropriate excess resistance factor (〖 κB〗^(-1)) suitable for low wind speed condition was developed and incorporated into the aerodynamic resistance approach (ARA) in the GCMs. Also, the performance of various standard GCMs κB^(-1) schemes developed for high wind speed conditions were assessed. Based on the in-situ surface heat fluxes and profile measurements of wind speed and temperature from Nigeria Micrometeorological Experimental site (NIMEX), new κB^(-1) was derived through application of the Monin–Obukhov similarity theory and Brutsaert theoretical model for heat transfer. Turbulent flux parameterizations with this new formula provides better estimates of heat fluxes when compared with others estimated using existing GCMs κB^(-1) schemes. The derived κB^(-1) MBE and RMSE in the parameterized QH ranged from -1.15 to – 5.10 Wm-2 and 10.01 to 23.47 Wm-2, while that of QE ranged from - 8.02 to 6.11 Wm-2 and 14.01 to 18.11 Wm-2 respectively. The derived 〖 κB〗^(-1) gave better estimates of QH than QE during daytime. The derived 〖 κB〗^(-1)=6.66〖 Re〗_*^0.02-5.47, where Re_* is the Reynolds number. The derived κB^(-1) scheme which corrects a well documented large overestimation of turbulent heat fluxes is therefore, recommended for most regional models within the tropic where low wind speed is prevalent.

Keywords: humid, tropic, excess resistance factor, overestimation, turbulent heat fluxes

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6071 Empirical and Indian Automotive Equity Portfolio Decision Support

Authors: P. Sankar, P. James Daniel Paul, Siddhant Sahu

Abstract:

A brief review of the empirical studies on the methodology of the stock market decision support would indicate that they are at a threshold of validating the accuracy of the traditional and the fuzzy, artificial neural network and the decision trees. Many researchers have been attempting to compare these models using various data sets worldwide. However, the research community is on the way to the conclusive confidence in the emerged models. This paper attempts to use the automotive sector stock prices from National Stock Exchange (NSE), India and analyze them for the intra-sectorial support for stock market decisions. The study identifies the significant variables and their lags which affect the price of the stocks using OLS analysis and decision tree classifiers.

Keywords: Indian automotive sector, stock market decisions, equity portfolio analysis, decision tree classifiers, statistical data analysis

Procedia PDF Downloads 486
6070 A Strategy for the Application of Second-Order Monte Carlo Algorithms to Petroleum Exploration and Production Projects

Authors: Obioma Uche

Abstract:

Due to the recent volatility in oil & gas prices as well as increased development of non-conventional resources, it has become even more essential to critically evaluate the profitability of petroleum prospects prior to making any investment decisions. Traditionally, simple Monte Carlo (MC) algorithms have been used to randomly sample probability distributions of economic and geological factors (e.g. price, OPEX, CAPEX, reserves, productive life, etc.) in order to obtain probability distributions for profitability metrics such as Net Present Value (NPV). In recent years, second-order MC algorithms have been shown to offer an advantage over simple MC techniques due to the added consideration of uncertainties associated with the probability distributions of the relevant variables. Here, a strategy for the application of the second-order MC technique to a case study is demonstrated to analyze its effectiveness as a tool for portfolio management.

Keywords: Monte Carlo algorithms, portfolio management, profitability, risk analysis

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6069 Inflation Tail Risks and Asset Pricing

Authors: Sebastian Luber

Abstract:

The study demonstrates that tail inflation risk is priced into stock returns and credit spreads. This holds true even when controlling for current and historical inflation moments. The analysis employs inflation caps and floors to obtain the distribution of future inflation under the risk-neutral measure. Credit spreads decrease as the mean and median of future inflation rise, but they respond positively to tail risks. Conversely, stocks serve as a robust hedge against future inflation. Stock returns increase with a higher mean and median of future inflation and rising inflationary tail risk, while they decrease with rising deflationary tail risk.

Keywords: asset pricing, inflation expectations, tail risk, stocks, inflation derivatives, credit

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6068 Modelling Agricultural Commodity Price Volatility with Markov-Switching Regression, Single Regime GARCH and Markov-Switching GARCH Models: Empirical Evidence from South Africa

Authors: Yegnanew A. Shiferaw

Abstract:

Background: commodity price volatility originating from excessive commodity price fluctuation has been a global problem especially after the recent financial crises. Volatility is a measure of risk or uncertainty in financial analysis. It plays a vital role in risk management, portfolio management, and pricing equity. Objectives: the core objective of this paper is to examine the relationship between the prices of agricultural commodities with oil price, gas price, coal price and exchange rate (USD/Rand). In addition, the paper tries to fit an appropriate model that best describes the log return price volatility and estimate Value-at-Risk and expected shortfall. Data and methods: the data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016. The data sets consists of the daily returns of agricultural commodity prices namely: white maize, yellow maize, wheat, sunflower, soya, corn, and sorghum. The paper applies the three-state Markov-switching (MS) regression, the standard single-regime GARCH and the two regime Markov-switching GARCH (MS-GARCH) models. Results: to choose the best fit model, the log-likelihood function, Akaike information criterion (AIC), Bayesian information criterion (BIC) and deviance information criterion (DIC) are employed under three distributions for innovations. The results indicate that: (i) the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate, (ii) for all agricultural commodities except sunflower, k=3 had higher log-likelihood values and lower AIC and BIC values. Thus, the three-state MS regression model outperformed the two-state MS regression model (iii) MS-GARCH(1,1) with generalized error distribution (ged) innovation performs best for white maize and yellow maize; MS-GARCH(1,1) with student-t distribution (std) innovation performs better for sorghum; MS-gjrGARCH(1,1) with ged innovation performs better for wheat, sunflower and soya and MS-GARCH(1,1) with std innovation performs better for corn. In conclusion, this paper provided a practical guide for modelling agricultural commodity prices by MS regression and MS-GARCH processes. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: commodity prices, MS-GARCH model, MS regression model, South Africa, volatility

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6067 Supplier Risk Management: A Multivariate Statistical Modelling and Portfolio Optimization Based Approach for Supplier Delivery Performance Development

Authors: Jiahui Yang, John Quigley, Lesley Walls

Abstract:

In this paper, the authors develop a stochastic model regarding the investment in supplier delivery performance development from a buyer’s perspective. The authors propose a multivariate model through a Multinomial-Dirichlet distribution within an Empirical Bayesian inference framework, representing both the epistemic and aleatory uncertainties in deliveries. A closed form solution is obtained and the lower and upper bound for both optimal investment level and expected profit under uncertainty are derived. The theoretical properties provide decision makers with useful insights regarding supplier delivery performance improvement problems where multiple delivery statuses are involved. The authors also extend the model from a single supplier investment into a supplier portfolio, using a Lagrangian method to obtain a theoretical expression for an optimal investment level and overall expected profit. The model enables a buyer to know how the marginal expected profit/investment level of each supplier changes with respect to the budget and which supplier should be invested in when additional budget is available. An application of this model is illustrated in a simulation study. Overall, the main contribution of this study is to provide an optimal investment decision making framework for supplier development, taking into account multiple delivery statuses as well as multiple projects.

Keywords: decision making, empirical bayesian, portfolio optimization, supplier development, supply chain management

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6066 Ownership Structure and Portfolio Performance: Pre- and Post-Crisis Evidence from the Amman Stock Exchange

Authors: Mohammad Q. M. Momani

Abstract:

The objective of this study is to examine whether the value relevance of ownership structure changed as the Amman Stock Exchange market conditions changed. Using data from 2005 to 2014, the study finds that the performance of portfolios that contain firms with concentrated ownership structure declines significantly during the post-crisis period. These portfolios exhibit poor performance relative to portfolios that contain firms with dispersed ownership structure during the post-crisis period. The results argue that uninspired performance of the Amman Stock Exchange during the post-crisis period, increased the incentives for controlling shareholders to expropriate. Investors recognized these incentives and discounted firms that were more likely to expropriate.

Keywords: value relevance, ownership structure, portfolio performance, Jordan, ASE

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6065 Comparative Study and Parallel Implementation of Stochastic Models for Pricing of European Options Portfolios using Monte Carlo Methods

Authors: Vinayak Bassi, Rajpreet Singh

Abstract:

Over the years, with the emergence of sophisticated computers and algorithms, finance has been quantified using computational prowess. Asset valuation has been one of the key components of quantitative finance. In fact, it has become one of the embryonic steps in determining risk related to a portfolio, the main goal of quantitative finance. This study comprises a drawing comparison between valuation output generated by two stochastic dynamic models, namely Black-Scholes and Dupire’s bi-dimensionality model. Both of these models are formulated for computing the valuation function for a portfolio of European options using Monte Carlo simulation methods. Although Monte Carlo algorithms have a slower convergence rate than calculus-based simulation techniques (like FDM), they work quite effectively over high-dimensional dynamic models. A fidelity gap is analyzed between the static (historical) and stochastic inputs for a sample portfolio of underlying assets. In order to enhance the performance efficiency of the model, the study emphasized the use of variable reduction methods and customizing random number generators to implement parallelization. An attempt has been made to further implement the Dupire’s model on a GPU to achieve higher computational performance. Furthermore, ideas have been discussed around the performance enhancement and bottleneck identification related to the implementation of options-pricing models on GPUs.

Keywords: monte carlo, stochastic models, computational finance, parallel programming, scientific computing

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6064 Modeling Environmental, Social, and Governance Financial Assets with Lévy Subordinated Processes and Option Pricing

Authors: Abootaleb Shirvani, Svetlozar Rachev

Abstract:

ESG stands for Environmental, Social, and Governance and is a non-financial factor that investors use to specify material risks and growth opportunities in their analysis process. ESG ratings provide a quantitative measure of socially responsible investment, and it is essential to incorporate ESG ratings when modeling the dynamics of asset returns. In this article, we propose a triple subordinated Lévy process for incorporating numeric ESG ratings into dynamic asset pricing theory to model the time series properties of the stock returns. The motivation for introducing three layers of subordinator is twofold. The first two layers of subordinator capture the skew and fat-tailed properties of the stock return distribution that cannot be explained well by the existing Lévy subordinated model. The third layer of the subordinator introduces ESG valuation and incorporates numeric ESG ratings into dynamic asset pricing theory and option pricing. We employ the triple subordinator Lévy model for developing the ESG-valued stock return model, derive the implied ESG score surfaces for Microsoft, Apple, and Amazon stock returns, and compare the shape of the ESG implied surface scores for these stocks.

Keywords: ESG scores, dynamic asset pricing theory, multiple subordinated modeling, Lévy processes, option pricing

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6063 Kebbi State University of Science and Technology, Aliero, Kebbi State

Authors: Ugbajah Maryjane

Abstract:

The study examined the production of grass cutter and the constraints in Anambra state, Nigeria. Specifically, it described socio-economic characteristics of the respondents, determinants of net farm income and constraints to grass cutter production. Multistage and random sampling methods were used to select 50 respondents for this study. Primary data were collected by means of structured questionnaire. Non-parametric and parametric statistical tools including frequency percentage mean ranking counts, cost and returns and returns and multiple regression were deployed for data analysis. Majority 84% produce on small scale, 64 % had formal education 68% had 3-4 years of farming experience hence small scaled production were common. The income (returns) on investment was used as index of profitability, gross margin (#5,972,280), net farm income (#5,327,055.2) net return on investment (2.5) and return on investment 3.1. Net farm income was significantly influence by stock size and years of farming experience. Grass cutter farmers production problem would be ameliorated by the expression of extension education awareness campaigns to discourage unhealthy practices such as indiscriminant bush burning, use of toxic chemicals as baits, and provision of credits to the farmers.

Keywords: socio-economic factors, profitability, awareness, toxic chemicals, credits

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6062 Dividend Initiations and IPO Long-Run Performance

Authors: Nithi Sermsiriviboon, Somchai Supattarakul

Abstract:

Dividend initiations are an economically significant event that has important implications for a firm’s future financial capacity. Given that the market’s expectation of a consistent payout, managers of IPO firms must approach the initial dividend decision cautiously. We compare the long run performance of IPO firms that initiated dividends with those of similarly matched non-payers. We found that firms which initiated dividends perform significantly better up to three years after the initiation date. Moreover, we measure investor reactions by 2-day around dividend announcement date cumulative abnormal return. We evidence no statistically significant differences between cumulative abnormal returns (CAR) of IPO firms and cumulative abnormal returns of Non-IPO firms, indicating that investors do not respond to dividend announcement of IPO firms more than they do to the dividend announcement of Non-IPO firms.

Keywords: dividend, initial public offerings, long-run performance, finance

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6061 Assessing the Influence of Chinese Stock Market on Indian Stock Market

Authors: Somnath Mukhuti, Prem Kumar Ghosh

Abstract:

Background and significance of the study Indian stock market has undergone sudden changes after the current China crisis in terms of turnover, market capitalization, share prices, etc. The average returns on equity investment in both markets have more than three and half times after global financial crisis owing to the development of industrial activity, corporate sectors development, enhancement in global consumption, change of global financial association and fewer imports from developed countries. But the economic policies of both the economies are far different, that is to say, where Indian economy maintaining a conservative policy, Chinese economy maintaining an aggressive policy. Besides this, Chinese economy recently lowering its currency for increasing mysterious growth but Indian does not. But on August 24, 2015 Indian stock market and world stock markets were fall down due to the reason of Chinese stock market. Keeping in view of the above, this study seeks to examine the influence of Chinese stock on Indian stock market. Methodology This research work is based on daily time series data obtained from yahoo finance database between 2009 (April 1) to 2015 (September 28). This study is based on two important stock markets, that is, Indian stock market (Bombay Stock Exchange) and Chinese stock market (Shanghai Stock Exchange). In the course of analysis, the daily raw data were converted into natural logarithm for minimizing the problem of heteroskedasticity. While tackling the issue, correlation statistics, ADF and PP unit root test, bivariate cointegration test and causality test were used. Major findings Correlation statistics show that both stock markets are associated positively. Both ADF and PP unit root test results demonstrate that the time series data were not normal and were not stationary at level however stationary at 1st difference. The bivariate cointegration test results indicate that the Indian stock market was associated with Chinese stock market in the long-run. The Granger causality test illustrates there was a unidirectional causality between Indian stock market and Chinese stock market. Concluding statement The empirical results recommend that India’s stock market was not very much dependent on Chinese stock market because of Indian economic conservative policies. Nevertheless, Indian stock market might be sturdy if Indian economic policies are changed slightly and if increases the portfolio investment with Chinese economy. Indian economy might be a third largest economy in 2030 if India increases its portfolio investment and trade relations with both Chinese economy and US economy.

Keywords: Indian stock market, China stock market, bivariate cointegration, causality test

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6060 An Agent-Based Approach to Examine Interactions of Firms for Investment Revival

Authors: Ichiro Takahashi

Abstract:

One conundrum that macroeconomic theory faces is to explain how an economy can revive from depression, in which the aggregate demand has fallen substantially below its productive capacity. This paper examines an autonomous stabilizing mechanism using an agent-based Wicksell-Keynes macroeconomic model. This paper focuses on the effects of the number of firms and the length of the gestation period for investment that are often assumed to be one in a mainstream macroeconomic model. The simulations found the virtual economy was highly unstable, or more precisely, collapsing when these parameters are fixed at one. This finding may even suggest us to question the legitimacy of these common assumptions. A perpetual decline in capital stock will eventually encourage investment if the capital stock is short-lived because an inactive investment will result in insufficient productive capacity. However, for an economy characterized by a roundabout production method, a gradual decline in productive capacity may not be able to fall below the aggregate demand that is also shrinking. Naturally, one would then ask if our economy cannot rely on an external stimulus such as population growth and technological progress to revive investment, what factors would provide such a buoyancy for stimulating investments? The current paper attempts to answer this question by employing the artificial macroeconomic model mentioned above. The baseline model has the following three features: (1) the multi-period gestation for investment, (2) a large number of heterogeneous firms, (3) demand-constrained firms. The instability is a consequence of the following dynamic interactions. (a) A multiple-period gestation period means that once a firm starts a new investment, it continues to invest over some subsequent periods. During these gestation periods, the excess demand created by the investing firm will spill over to ignite new investment of other firms that are supplying investment goods: the presence of multi-period gestation for investment provides a field for investment interactions. Conversely, the excess demand for investment goods tends to fade away before it develops into a full-fledged boom if the gestation period of investment is short. (b) A strong demand in the goods market tends to raise the price level, thereby lowering real wages. This reduction of real wages creates two opposing effects on the aggregate demand through the following two channels: (1) a reduction in the real labor income, and (2) an increase in the labor demand due to the principle of equality between the marginal labor productivity and real wage (referred as the Walrasian labor demand). If there is only a single firm, a lower real wage will increase its Walrasian labor demand, thereby an actual labor demand tends to be determined by the derived labor demand. Thus, the second positive effect would not work effectively. In contrast, for an economy with a large number of firms, Walrasian firms will increase employment. This interaction among heterogeneous firms is a key for stability. A single firm cannot expect the benefit of such an increased aggregate demand from other firms.

Keywords: agent-based macroeconomic model, business cycle, demand constraint, gestation period, representative agent model, stability

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6059 Fluidized-Bed Combustion of Biomass with Elevated Alkali Content: A Comparative Study between Two Alternative Bed Materials

Authors: P. Ninduangdee, V. I. Kuprianov

Abstract:

Palm kernel shell is an important bioenergy resource in Thailand. However, due to elevated alkali content in biomass ash, this oil palm residue shows high tendency to bed agglomeration in a fluidized-bed combustion system using conventional bed material (silica sand). In this study, palm kernel shell was burned in the conical fluidized-bed combustor (FBC) using alumina and dolomite as alternative bed materials to prevent bed agglomeration. For each bed material, the combustion tests were performed at 45kg/h fuel feed rate with excess air within 20–80%. Experimental results revealed rather weak effects of the bed material type but substantial influence of excess air on the behaviour of temperature, O2, CO, CxHy, and NO inside the reactor, as well as on the combustion efficiency and major gaseous emissions of the conical FBC. The optimal level of excess air ensuring high combustion efficiency (about 98.5%) and acceptable level of the emissions was found to be about 40% when using alumina and 60% with dolomite. By using these alternative bed materials, bed agglomeration can be prevented when burning the shell in the proposed conical FBC. However, both bed materials exhibited significant changes in their morphological, physical and chemical properties in the course of the time.

Keywords: palm kernel shell, fluidized-bed combustion, alternative bed materials, combustion and emission performance, bed agglomeration prevention

Procedia PDF Downloads 250