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Value at Risk is a commonly used risk measure which calculates the smallest losses you risk to lose from having an asset, given a certain risk level and time period. Even though Value at Risk is applicable to all different types of assets, some studies suggest that this risk measure is not suitable for developing countries/emerging markets. This is because these countries’ assets generate very obs
The thesis employs a number of tools originating from the field of Modern Portfolio Theory to assess the appropriate weight of Bitcoin in addition to several assets commonly found in the All-Weather Portfolio. Utilizing Sharpe Ratio optimization, the thesis compares two main portfolios to determine if the inclusion of Bitcoin can improve the performance and risk-return ratio of an optimized All We
In this paper, we examine the exchange of crops and livestock through the application of strontium (87Sr/86Sr) isotope analysis on cereal grains and faunal tooth enamel from the regional center of Uppåkra and three nearby settlements in Scania, southern Sweden, dating to the first millennium AD. Around a third of the fauna have non-local 87Sr/86Sr values, indicating the import of livestock from se
The fundamentals of analyte extractable fraction, solubility, partitioning and mass transfer resistance in supercritical fluid extraction were studied using inverse modeling. These phenomena are essential for understanding, predicting and optimizing the supercritical fluid extraction process. Carotenoids, chlorophyll A, ergosterol and total lipids were extracted from the microalgae Chlorella sp. T
The interactions of sodium dodecyl sulfate (SDS) with chemically cross-linked gels of ethyl(hydroxyethyl) cellulose (EHEC) were studied. Above the so-called critical association concentration (cac), binding of SDS gives rise to an increased swelling of the EHEC gels. The binding of SDS to the gels was measured with flame emission analysis of the sodium ion. The self-diffusion of the surfactant ion
The interaction of ink and newspaper has been investigated and the specific question of penetration of ink into the paper has been addressed with a nuclear microprobe using particle induced X-ray emission, The penetration depth of the newsprint is a critical factor in terms of increasing the quality of newsprint and minimising the amount of ink used. The objective of the experiment was to relate t
comparatively stringent mathematical frame has been developed, where the behaviour of physical dimensions (like ``length'', ``mass'', and ``time'') and physical units (like 1 m [1 metre], 1 kg [1 kilogramme], and 1 s [1 second]) is modelled. Easy-to-apply conditions for additivity and multiplicativity of physcial matrices are presented. Precise meanings of physically dimensional random variables,
Uncertainty in the mechanical properties and modal characteristics of Cross-Laminated Timber (CLT) significantly impacts its predictive design and analysis. While previous studies have focused on identifying sensitive mechanical properties of CLT using model updating, the uncertainty quantification of these properties and their influence on natural frequencies and modes remain underexplored. This
Gravitational tides are widely understood to strip and destroy galactic substructures. In the course of a galaxy merger, however, transient totally compressive tides may develop and prevent star-forming regions from dissolving after they condensed to form clusters of stars. We study the statistics of such compressive modes in an N-body model of the galaxy merger NGC 4038/39 (the Antennae) and show
This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH mo
Syftet med uppsatsen är att finna en modell som väl beskriver fördelningen för orderdata från Google Adwords och att finna ett lämpligt sätt att skatta det förväntade värdet för en order. Vi gör detta på uppdrag av marknadsföringsbyrån Precis Digital. Från dem erhåller vi data för en av deras kunder. Till att börja med anpassar vi ett antal olika sannolikhetsfördelningar med Maximum-Likelihood-metThe purpose of this paper is to find a model that describes the distribution of Google Adwords order data and to find an appropriate method to estimate the expected value for an order. We do this on behalf of the marketing agency Precis Digital. We receive data for one of their customers. To begin with we fit some widely used probability distributions using the Maximum-Likelihood method and invest
Available safe egress time is an important criterion to determine occupant safety in performance-based fire protection design of buildings. There are many factors affecting the calculation of available safe egress time, such as heat release rate, smoke toxicity and the geometry of the building. Heat release rate is the most critical factor. Due to the variation of fuel layout, initial ignition loc
Departure deviations from shunting yards impact the reliability of rail freight services and the punctuality of a railway network. Therefore, the statistical analysis of these deviations are necessary for improving the operation of trains in mixed-traffic networks. In our paper, we conduct a detailed statistical analysis of departure deviations considering individual shunting yards characteristics
We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the liabilities side. A number of findings emerge when simulating the model: we find that the empirically observa
Market indices based on market capitalization have been argued to be the most mean-variance efficient for a long time. In recent years, this argument has been questioned and other methods of weighting portfolios have been suggested. One of these is the weighting by fundamental indexation. This thesis investigates whether fundamentally-weighted portfolios outperform portfolios weighted by market ca
This study explores the potential of thermophoresis as a method of translating silicon nanowires in a liquid. Thermophoresis, the movement of particles against a temperature gradient, provides a scalable method of manipulating the particles. Simulations conducted in COMSOL examined both spherical and cylindrical approximations of nanowires, focusing on their translation under varying temperature g
Terrestrial ecosystem models (TEMs) contain the coupling of many biogeochemical processes with a large number of parameters involved. In many cases those parameters are highly uncertain. In order to reduce those uncertainties, parameter estimation methods can be applied, which allow the model to be constrained against observations. We compare the performance and results of two such parameter estim
Software inspections are an efficient method to detect faults in software artefacts. In order to estimate the fault content remaining after inspections, a method called capture-recapture has been introduced. Most research published in fault content estimations for software inspections has focused upon point estimations. However, confidence intervals provide more information of the estimation resul
Background/Objectives:Catha edulis, also known as Khat, is a stimulant with hepatotoxic properties. Studies reporting laboratory patterns are scarce. The aim was to assess the patterns associated with hepatic dysfunction due to Khat usage. Methods: Patients with liver injury and self-reported Khat consumption presenting to the gastroenterology department at the King Fahad Central Hospital in Jazan
Methods currently used for inventory control in industry are with few exceptions developed more than forty years ago. This is for instance the case with methods like reorder point sys-tems, cover-time planning and material requirements planning (MRP). Lead times at that time were typically several weeks and months and order quantities covered typically de-mand over several months. Since then both
