Portfolio selection under DEA-based relative financial strength indicators: case of US industries

Fundamental analysis is an approach for evaluating a firm for its investment-worthiness whereby the firm's financial statements are subject to detailed investigation to predict future stock price performance. In this paper, we propose an approach to combine financial statement data using Data Envelopment Analysis to determine a relative financial strength (RFS) indicator. Such an indicator captures a firm's fundamental strength or competitiveness in comparison to all other firms in the industry/market segment. By analysing the correlation of the RFS indicator with the historical stock price returns within the industry, a well-informed assessment can be made about considering the firm in an equity portfolio. We test the proposed indicator with firms from the technology sector, using various US industries and report correlation analyses. Our preliminary computations using RFS indicator-based stock selection within mean–variance portfolio optimization demonstrate the validity of the proposed approach.     

Novel forming of single and multiple ceramic micro-channels

This paper reports a cost-effective processing route for forming micrometre-size channels containing multiple exits/entries. An alumina suspension was electrosprayed in the stable cone-jet mode and the fine ceramic droplets generated were deposited on an organic fibre, which was pre-shaped to the architecture of the micro-channel(s) required. The coated structure was heated to 1400 °C to pyrolyse the fibre and create the ceramic micro-channel(s). PACS 81.20.Rg; 81.05.Je; 07.10.Cm     

Multiperiod Portfolio Optimization with Terminal Liability: Bounds for the Convex Case

This paper is concerned with an investor trading in multiple securities over many time periods in order to meet an outstanding liability at some future date. The investor is concerned with maximizing the expected profits from portfolio rebalancing under an initial wealth restriction to meet the future liabilities. We formulate the problem as a discrete-time stochastic optimization model and allow asset prices to have continuous probability distributions on compact domains. For the case of Markovian price uncertainty and convex terminal liability, we develop a simplicial approximation, under which bounds on the problem can be computed efficiently. Computations only require evaluating a dynamic programming recursion, which thus, allows its application to problems with a large number of trading periods. The bounds are tight in that they are exact in certain cases. Numerical results are given to demonstrate the computational efficiency of the procedure.     

An electrically driven jetting technique for diverse high-resolution surface structures of nanometre hydroxyapatite crystals

Nanometre hydroxyapatite (nHA) coated metallic materials have been successfully used for bone tissue implantation for several decades now due to its sound biological and mechanical properties. The microstructure and surface topography of the implant material are well-known to play a crucial role in influencing cellular responses to implants and bone tissue regeneration ultimately. Recently, a novel jet-based patterning technique, template-assisted electrohydrodynamic atomisation (TAEA) spraying, has been devised to prepare depositions with defined surface topography for guiding the cellular response. In this study, an improvement investigation of this patterning process was carried out to precisely control the nHA surface structure in terms of geographies and dimensions via an angular needle jetting during the patterning process. More importantly, the mechanism of such improvement of the TAEA patterning technique was also discussed and uncovered. A range of diverse nHA surface structures with high-resolution was therefore achieved, which paves the way for the research of the new generation implant materials with defined cellular response.     

Input/output selection in DEA under expert information,with application to financial markets

Data envelopment analysis (DEA), as generally used, assumes precise knowledge regarding which variables are inputs and outputs; however, in many applications, there exists only partial knowledge. This paper presents a new methodology for selecting input/output variables endogenously to the DEA model in the presence of partial (or expert’s) knowledge by employing a reward variable observed exogenous to the operation of the DMUs. The reward is an allocation of a limited resource by an external agency, e.g. capital allocation by a market, based on the perceived internal managerial efficiencies. We present an iterative two-stage optimization model which addresses the benefit of possibly violating the expert information to determine an optimal internal performance evaluation of the DMUs for maximizing its correlation with the reward metric. Theoretical properties of the model are analyzed and statistical significance tests are developed for the marginal value of expert violation. The methodology is applied in Fundamental Analysis of publicly-traded firms, using quarterly financial data, to determine an optimized DEA-based fundamental strength indicator. More than 800 firms covering all major sectors of the US stock market are used in the empirical evaluation of the model. The firms so-screened by the model are used within out-of-sample mean-variance long-portfolio allocation to demonstrate the superiority of the methodology as an investment decision tool.     

Preparation of lead zirconate titanate nano-powder by electrohydrodynamic atomization

A lead zirconate titanate (PZT) sol was subjected to electrohydrodynamic atomization in the stable cone-jet mode. The droplets generated were sized by laser diffraction before deposition and heating to 600 °C. The droplets were 20–35 m in size and transmission electron microscopy showed that their relics consisted of PZT powder particles, <10 nm in size. Thus, a novel method of preparing nano-powders of functional advanced materials, such as PZT, has been pioneered. PACS 81.20.Ev; 81.20.Rg; 77.84.-s; 81.07.Bc     

A Stabilized,Rationally Mode-Locked 10GHz Erbium Fiber Laser

A rationally mode-locked 10 GHz erbium fiber laser stabilized by a simple technique for extended time operation is described. The laser generates stable ~ 5 ps pulses that can be used in communications experiments. Back-to-back bit error rate (BER) measurements confirmed error-free operation for 6-8 hours, giving an error floor below 10 -14 . A receiver sensitivity of -19.7 dBm was achieved for BER of 10 -9 .     

Coupling Infusion and Gyration for the Nanoscale Assembly of Functional Polymer Nanofibers Integrated with Genetically Engineered Proteins

Nanofibers featuring functional nanoassemblies show great promise as enabling constituents for a diverse range of applications in areas such as tissue engineering, sensing, optoelectronics, and nanophotonics due to their controlled organization and architecture. An infusion gyration method is reported that enables the production of nanofibers with inherent biological functions by simply adjusting the flow rate of a polymer solution. Sufficient polymer chain entanglement is obtained at Berry number > 1.6 to make bead‐free fibers integrated with gold nanoparticles and proteins, in the diameter range of 117–216 nm. Integration of gold nanoparticles into the nanofiber assembly is followed using a gold‐binding peptide tag genetically conjugated to red fluorescence protein (DsRed). Fluorescence microscopy analysis corroborated with Fourier transform infrared spectroscopy (FTIR) data confirms the integration of the engineered red fluorescence protein with the nanofibers. The gold nanoparticle decorated nanofibers having red fluorescence protein as an integral part keep their biological functionality including copper‐induced fluorescence quenching of the DsRed protein due to its selective Cu⁺² binding. Thus, coupling the infusion gyration method in this way offers a simple nanoscale assembly approach to integrate a diverse repertoire of protein functionalities into nanofibers to generate biohybrid materials for imaging, sensing, and biomaterial applications.

     

Forming of Polymer Nanofibers by a Pressurised Gyration Process

A new route consisting of simultaneous centrifugal spinning and solution blowing to form polymer nanofibers is reported. The fiber diameter (60–1000 nm) is shown to be a function of polymer concentration, rotational speed, and working pressure of the processing system. The fiber length is dependent on the rotational speed. The process can deliver 6 kg of fiber per hour and therefore offers mass production capabilities compared with other established polymer nanofiber generation methods such as electrospinning, centrifugal spinning, and blowing.