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See detailModelling Financial Data and Portfolio Optimization Problems
Schyns, Michael ULg

Doctoral thesis (2001)

This doctoral dissertation in management science, entitled “Modelling Financial Data and Portfolio Optimization Problems”, consists of two independent parts, whose unifying theme is the construction and ... [more ▼]

This doctoral dissertation in management science, entitled “Modelling Financial Data and Portfolio Optimization Problems”, consists of two independent parts, whose unifying theme is the construction and solution of mathematical programming models motivated by portfolio selection problems. As such, this work is located at the interface of operations research and of finance. It draws heavily on techniques and theoretical results originating in both disciplines. The first part of the dissertation (Chapter 2) deals with an extension of Markowitz model and takes into account some of the side-constraints faced by a decision-maker when composing an investment portfolio, viz. lower and upper bounds on the quantities traded, and upper bounds on the number of assets included in the portfolio. We focus on the algorithmic difficulties raised by this model and we describe an original simulated annealing heuristic for its solution. The second (and largest) part of the thesis deals with a new multiperiod model for the optimization of a portfolio of options linked to a single index (Chapters 4-10). The objective of the model is to maximize the expected return of the portfolio under constraints limiting its value-at-risk. The model contains several interesting features, like the possibility to rebalance the portfolio with options introduced at the start of each period, explicit consideration of transaction costs, realistic pricing of options, consideration of advanced probability models to represent the future, etc. Some deep theoretical results from the financial literature are exploited in order to enrich the model and to extend its applicability. In particular, several available schemes for the generation of scenarios and for option pricing have been critically examined, and the most appropriate ones have been implemented. Furthermore, several optimization approaches (heuristic or exact procedures) have also been developed, implemented and tested. The models investigated in the dissertation bear on very different portfolio problems, draw on separate streams of scientific literature, and are handled by distinct algorithmic techniques. Therefore, the corresponding parts of the dissertation are fully independent, and each part contains its own specific introduction and literature review. [less ▲]

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See detailModelling fire resistance of concrete beams
Franssen, Jean-Marc ULg

Scientific conference (1997, March 11)

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See detailModelling flood events using high resolution digital elevation models and considering the sediment interaction with constructions in floodplains
Archambeau, Pierre ULg; Erpicum, Sébastien ULg; Dewals, Benjamin ULg et al

in Proceedings of the 7th International Conference on Hydroinformatics (2006)

The main objective of the present paper is a description of two effective numerical 2D models to be used as strategic tools in the process of flood risks assessment and mitigation. The first one is a ... [more ▼]

The main objective of the present paper is a description of two effective numerical 2D models to be used as strategic tools in the process of flood risks assessment and mitigation. The first one is a model for hydrodynamics simplified according to the diffusive assumption while the second one is a complete model based on the shallow water equations. Each of them is solved with an efficient numerical technique (including implicit time integration schemes and GMRES linear solvers) maximizing the convergence rate towards a steady state. A practical case study, for which a high resolution Digital Elevation Model exists, will be presented. The study shows the consequences on structures of a new construction in the floodplain in terms of inundation and erosion. [less ▲]

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See detailModelling geographical distributions in urban areas
Donnay, Jean-Paul ULg; Unwin, David

in Donnay, Jean-Paul; Barnsley, M.; Longley, P. (Eds.) Remote Sensing and Urban Analysis (2001)

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See detailModelling Glacial-Interglacial Atmospheric CO2 Variations: The Role of Continental Weathering.
Munhoven, Guy ULg

Doctoral thesis (1997)

An eleven-box model of the ocean-atmosphere subsystem of the global carbon cycle is developed to study the potential contribution of continental rock weathering and of oceanic sedimentation to variations ... [more ▼]

An eleven-box model of the ocean-atmosphere subsystem of the global carbon cycle is developed to study the potential contribution of continental rock weathering and of oceanic sedimentation to variations of atmospheric CO2 pressure over glacial-interglacial time scales. The model is capable of reproducing the present-day distributions of total dissolved inorganic carbon, total alkalinity, phosphate, δ13C, and Δ14C between the various ocean basins, as well as the partial pressure of atmospheric CO2. A simple sedimentation scheme drives carbonate deposition and dissolution at the sea-floor as a function of the depths of carbonate and aragonite lysoclines in each ocean basin considered (Atlantic, Antarctic and Indo-Pacific). Carbonate accumulation on the shelf is also taken into account. Three different methods are used to calculate histories for the evolution of CO2 consumption by continental rock weathering processes, with special emphasis on silicate weathering. The first method relies on the marine 87Sr/86Sr isotopic record. We find that this record does not represent a very strong constraint, due to the large spread of the 87Sr/86Sr ratios of waters draining silicate terrains. It is possible to construct a silicate weathering history that reproduces both the strontium isotopic record and the glacial-interglacial CO2 signal. This weathering history implies that CO2 consumption by silicate rock weathering was about 120% higher during glacial than during interglacial time. The second approach is based upon the marine Ge/Si record. Taking the major uncertainties in the knowledge of the Ge and Si cycles into account, several histories for the evolution of the riverine dissolved silica fluxes are calculated from this record. The investigation of the systematics between riverine dissolved silica and bicarbonate fluxes under different weathering regimes leads us to the tentative conclusion that, although there is no correlation between dissolved silica and total bicarbonate concentrations in the major rivers, there may exist a negative correlation between weathering intensity and the ratio of bicarbonate derived from silicate weathering alone to dissolved silica. With this correlation as a working hypothesis, it is possible to interpret the dissolved silica fluxes in terms of equivalent CO2 consumption rates. The calculated histories indicate that glacial rates of CO2 consumption by chemical silicate rock weathering could have been twice, and possibly up to three times and a half, as high as they are today. When used to force the carbon cycle model, they are responsible for glacial-interglacial pCO2 variations in the atmosphere of typically 50-60 ppm and up to 95-110 ppm. These variations are superimposed to a basic oscillation of 60 ppm generated by the model, mainly in response to coral reef buildup and erosion processes. The total pCO2 signal has an amplitude of about 80-90 ppm and up to 125-135 ppm. Although these large amplitudes indicate that silicate weathering processes should be taken into account when studying glacial-interglacial changes of CO2 in the atmosphere, it also raises new problems, such as too high CO2 levels during the period from 110-70 kyr B.P. In the third approach, the glacial-interglacial histories for the consumption of CO2 and the resulting transfer of bicarbonate to the ocean are calculated from the erosion model GEM-CO2}. The required variations of the continental runoff are derived from four different GCM climatologies. We find that the CO2 consumption and river bicarbonate fluxes were about 20% higher at the last glacial maximum than at present. The exposed shelf accounts for a large fraction of the calculated LGM flux, overcompensating the 20% decrease of the two fluxes over the continent. The constructed weathering scenarios still produce pCO2 variations of about 60 ppm between glacial and interglacial times, but the contribution from variable silicate weathering to this signal is now reduced to only 12+/-5 ppm. [less ▲]

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See detailModelling groundwater flow and solute transport in karstic systems: from dreams to the reality – how can models help for groundwater vulnerability assessment ?
Dassargues, Alain ULg

in Proceedings of Trans-Karst 2004, International Transdisciplinary Conference on Development and Conservation of Karst Regions (2004, September)

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See detailModelling groundwater pumping and coupled heat transport in a alluvial aquifer: tests using different codes an optimisation
Fossoul, Frédérique ULg; Orban, Philippe ULg; Dassargues, Alain ULg

in Carrera, Jesus (Ed.) XVIII International Conference on Computational Methods in Water Resources, CMWR 2010 (2010, June 24)

Various aquifers are studied in terms of low temperature geothermal potential. The feasibility and impact studies of these systems imply very often a numerical simulation of groundwater flow and heat ... [more ▼]

Various aquifers are studied in terms of low temperature geothermal potential. The feasibility and impact studies of these systems imply very often a numerical simulation of groundwater flow and heat transport. Nowadays, some finite element or finite difference codes are able to deal with such non linear simulations. On a synthetic case study and then on a real case study, a detailed comparative sensitivity analysis is performed using three different codes (MT3DMS, SHEMAT and HYDROGEOSHERE). For low temperatures and relatively small temperature changes, it appears rapidly that the uncertainty affecting values of the main hydrodynamic parameters (i.e. hydraulic conductivity) influences more the results than taking into account any coupling or non linearity. For a case study, the pumping and associated groundwater flow and heat transport are modeled in an alluvial aquifer interacting with a main river in order to assess feasibility of a low energy air cooling /heating system for a large office building. The worst case scenario corresponds to hot summer conditions simultaneously with river maximum temperature and the model leads to an optimization with intermittent pumping in minimum 6 wells. Numerical codes are ready to simulate complex groundwater flow, solute transport and heat transport situations in aquifers, however efforts must be realized to obtain reliable experimental in-situ measured values for the hydro-thermal properties. [less ▲]

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See detailmodelling heat and mass transfer during convective drying of a building material
Kahlerras, Loubna ULg

Conference (2014, August 24)

The purpose of this study is to characterize experimentally the behaviour of a cement mortar during its convective drying. The work presented here focuses on mortars with water-to cement ratios (w/C) of 0 ... [more ▼]

The purpose of this study is to characterize experimentally the behaviour of a cement mortar during its convective drying. The work presented here focuses on mortars with water-to cement ratios (w/C) of 0, 5. The drying tests are realized in a convective dryer designed for the drying of small samples (0 - 8g). Experiences are realized with different conditions of drying air temperature (60, 90 and 130 °C) and velocity (2, 3 and 5 m/s) the results show the influence of temperature and velocity on drying curve. Mathematical models have been used for the description of drying curves. The exponential mathematical model seems the most adequate to describe the drying curves of cement mortars, with correlation coefficients changing with the air temperature and velocity and close to unity. The convective mass and heat transfer coefficients are determined from the experimental data. The results showed that both mass and heat transfer coefficients were affected by the air temperature and velocity. The convective mass transfer coefficient changed from 0.0232m/s at V=2m/s to 0.045m/s at V=5m/s, and from 0.055 m/s at 60°c to 0.023 at 130°c. Heat transfer coefficient changed from 14.767 w/m2°c at V=2m/s to 28.64 w/m2°c at V=5m/s and from 7.71 at 60° c to 14.77 at 130°c The temperature dependency of the two coefficients was expressed using an Arrhenius-type equation and related parameters were deduced [less ▲]

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See detailModelling hte dynamics of oxygen in the Black Sea northwestern shelf
Capet, Arthur ULg; Beckers, Jean-Marie ULg; Joassin, Pascal et al

Conference (2011, May)

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See detailModelling hydro-mechanical coupling using a FE² doublescale approach
van den Eijnden, Abraham Pieter ULg; Collin, Frédéric ULg; Bésuelle, Pierre et al

Scientific conference (2013, September 11)

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See detailModelling Hydrodynamically Dominated Marine Ecosystems
Delhez, Eric ULg

in Journal of Marine Systems (1998), 1-2

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See detailModelling intermediate mass red giants
Moreira, O.; Noels-Grötsch, Arlette ULg; Dupret, Marc-Antoine ULg

in Proceedings of SOHO 18/GONG 2006/HELAS I, Beyond the spherical Sun (2006, October 01)

Not Available

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See detailModelling irregularly sampled profiles of nonnegative dog triglyceride responses under different distributional assumptions
Lambert, Philippe ULg

in Statistics in Medicine (1996), 15

General methodology for modelling series of non-negative data observed at unequally spaced times is developed. The parameterization enables both the importance of the serial association, as well the order ... [more ▼]

General methodology for modelling series of non-negative data observed at unequally spaced times is developed. The parameterization enables both the importance of the serial association, as well the order of this dependence to be expressed. An example is given where the effects of three fibre based diets on dog triglyceride profiles are analysed and compared. Many different types of models based on common distributions such as the normal, exponential, gamma, Weibull and log-normal observations are presented. Comparison of possibly non-nested models fitted on the same data set is made using the Akaike criterion. [less ▲]

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See detailModelling Late Miocene vegetation in Europe: Results of the CARAIB model and comparison with palaeovegetation data
François, Louis ULg; Utescher, T.; Favre, E. et al

in Palaeogeography Palaeoclimatology Palaeoecology (2011), 304(3-4), 359-378

The CARAIB (CARbon Assimilation In the Biosphere) model is used to study the vegetation distribution during the Late Miocene (Tortonian). In this version, the plant classification is specifically adapted ... [more ▼]

The CARAIB (CARbon Assimilation In the Biosphere) model is used to study the vegetation distribution during the Late Miocene (Tortonian). In this version, the plant classification is specifically adapted to best represent Miocene European vegetation. Compared to other plant classifications used in global models, this adapted classification is more refined, since it is specifically developed for European vegetation and it includes various thermophylous tree types, which were present in Europe during the Miocene. The corresponding climatic tolerance parameters are based on the study of Laurent et al. (Journal of Vegetation Science, 15, 739-746, 2004) for the tree types currently present in Europe and on the distribution of analogue species in southeastern Asia and North/Central America for the thermophylous (sub-tropical) trees. The same classification is used to characterize the palaeoflora at the available Late Miocene localities, allowing a model-data comparison at the plant functional type level, rather than at the biome level. The climatic inputs to CARAIB are obtained from the COSMOS atmosphere-ocean general circulation model. The climatic anomalies (Tortonian minus Present) derived from COSMOS are interpolated to a higher spatial resolution before being used in the vegetation model. These anomalies are combined with a modern climatology to produce climatic fields with high spatial resolution (10' x 10'). This procedure has the advantage of making apparent relief features smaller than the grid cells of the climate model and, hence, makes easier the comparison with local vegetation data, although it does not really improve the quality of the Tortonian climate reconstruction. The new version of CARAIB was run over Europe at this higher spatial resolution. It calculates the potential distribution of 13 different classes of trees (including cold/cool/warm-temperate, subtropical and tropical types), together with their cover fractions, net primary productivities and biomasses. The resulting model vegetation distribution reconstructed for the Tortonian is compared to available palaeovegetation and pollen data. Before performing this comparison, the tree taxa present at the various data sites are assigned to one or several model classes, depending on the identification level of the taxa. If several classes are possible for a taxon, only those that can co-exist with the other tree classes identified at the site are retained. This methodology is similar to the co-existence approach used in palaeoclimatic reconstructions based on vegetation data. It narrows the range of tree types present at the various sites, by suppressing in the data the extreme types, such as the cold boreal/temperate and tropical trees. The method allows a comparison with the model simulation on a presence/absence basis. This comparison provides an overall agreement of 53% between the model and the data, when all sites and tree types are considered. The agreement is high (>85%) for needle-leaved summergreen boreal/temperate cold trees (Larix sp.) and for tropical trees, intermediate (>40%) for other boreal/temperate cold trees and for needle-leaved evergreen temperate cool trees, broadleaved summergreen temperate cool trees and broadleaved evergreen warm-temperate trees, and poor (<40%) for most temperate perhumid warm trees. In many cases, the model is shown to be better at predicting the absence than the presence, as observed for tropical trees. The modelled distributions of cold boreal/temperate trees tend to extend too much towards the south compared to the data. B contrast, model sub-tropical trees (temperate perhumid warm and needle-leaf summergreen temperate warm trees) appear to be restricted to some limited areas in southern Europe, while they are present in the data from central Europe up to at least 50 degrees N. Consequently, modelled Late Miocene climate appears to remain too cold to produce assemblages of trees consistent with the data. The predicted modelled trends from the past to the present are in the right direction, but the amplitude remains too small. For the simulations to be in a better agreement with the data, higher CO2 levels may be necessary in the climate simulations, or possibly other oceanic boundary conditions may be required, such as different bathymetry in the Panama seaway. (C) 2011 Elsevier B.V. All rights reserved. [less ▲]

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See detailModelling Lymphatic and blood capillary patterning
Bruyere, Françoise; Maillard, Catherine ULg; Erpicum, Charlotte ULg et al

in Davies, Jamie (Ed.) Replacing Animal Models, a practical guide to creating and using culture-based biomimetic alternatives (2012)

Angiogenesis and lymphangiogenesis, the formation of new blood or lymphatic vessels from preexisting ones, are important biological processes associated with diverse physiological processes, tissue repair ... [more ▼]

Angiogenesis and lymphangiogenesis, the formation of new blood or lymphatic vessels from preexisting ones, are important biological processes associated with diverse physiological processes, tissue repair and pathologies, such as cancer. Much progress has been made in recent years in identifying molecules specifically expressed on blood and lymphatic vessels and in the setting up of models of angiogenesis and lymphangiogenesis. In this review, we describe the most common in vitro models of (lymph)angiogenesis that have proven suitable for investigating angiogenic and lymphatic biology, and offer alternatives to animal experimentation. Their rationales, limitations and applications in biomedical research are discussed. A special emphasis will be given on ring assays that provide excellent recapitulation of various steps of (lymph)angiogenesis. The aortic ring assay has become the most widely used methods to study in vitro angiogenesis, and the recently set up lymphatic ring assay provides the opportunity to extend the in vitro studies to lymphangiogenesis. [less ▲]

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See detailModelling macroalgae productivity in an estuary. a biorremediation to nutrient discharges in the ecosystems
Alvera Azcarate, Aïda ULg; Ferreira, J. G.; Nunes, J. P.

Conference (2002, April)

Enhanced nutrient load to estuaries and coastal waters due to anthropogenic activities is damaging aquatic ecosystems, resulting in water pollution and eutrophication prob- lems. It is important to ... [more ▼]

Enhanced nutrient load to estuaries and coastal waters due to anthropogenic activities is damaging aquatic ecosystems, resulting in water pollution and eutrophication prob- lems. It is important to quantify the production of photosynthetic organisms, as they play an important role in controlling nitrogen removal and nitrogen fluxes between the sediments and the water column. In turbid estuaries, such as those on the NE Atlantic coast of Europe, benthic primary producers such as macroalgae may play an important part in carbon fixation and nutrient removal, since pelagic production is often strongly light-limited. Estuarine seaweeds are primarily located in intertidal areas, which are characterised by shallow waters and strong tidal currents. Due to high concentrations of suspended particulate matter in the water column, light is rapidly attenuated, limiting macroal- gae production during part of the tidal cycle. An accurate representation of sediment dynamics is essential for the determination of the light energy available for the algae, which is a key factor in reliable primary production estimates. In tidal flats, the sedi- ment dynamics is made more complex by the formation of tidal pools during low tide, where water quickly becomes clear, allowing more light to penetrate through the water column. In the present work a model is developed to calculate macroalgae production in the intertidal areas of estuaries, considering the factors mentioned above. The model is tested for the Tagus estuary (Portugal), and a Gross Primary Production of 3300 g m-2 y-1 was obtained. That results in a total nitrogen removal of 440 gN m-2 y-1. The results show that the macroalgae community plays an impor- tant role in the nitrogen cycle in estuaries and nutrient export to the open sea, acting as a biorremediation for the increased nutrient loading problem. [less ▲]

Detailed reference viewed: 35 (1 ULg)