This paper defines the concept of simple strategy and introduces three kinds of simple strategies: wealth-invariant, scale-invariant and "wealthier-accept more". For three commonly used utility function families: CARA, CRRA and DARA equivalent characterizations are obtained in terms of the corresponding simple strategy, in terms of the buying and selling price properties, and in terms of the utility function properties as expressed by Cauchy functional equations. Moreover, an extension of famous Pratt (1964) theorem is proved which involves buying price for a lottery as an alternative measure of comparative risk aversion. Additionally a number of propositions on both selling and buying price for a lottery and CRRA utility class are proved.

We develop a fully Bayesian framework for analysis and comparison of two competing approaches to modelling daily prices on different markets. The first approach, prevailing in financial econometrics, amounts to assuming that logarithms of prices behave like a multivariate random walk; this approach describes logarithmic returns most often by the VAR(1) model with MGARCH (or sometimes MSV) disturbances. In the second approach, considered here, it is assumed that daily price levels are linked together and, thus, the error correction term is added to the usual VAR(1)–MGARCH or VAR(1)–MSV model for logarithmic returns, leading to a reduced rank VAR(2) specification for logarithms of prices. The model proposed in the paper uses a hybrid MSV-MGARCH structure for VAR(2) disturbances. In order to keep cointegration modelling as simple as possible, we restrict to the case of two prices representing two different markets.

The aim of the paper is to show how to check if a long-run relationship between daily prices exists and whether taking it into account influences our inference on volatility and short-run relations between returns on different markets. In the empirical example the daily values of the S&P500 index and the WTI oil price in the period 19.12.2005 – 30.09.2011 are jointly modelled. It is shown that, although the logarithms of the values of S&P500 and WTI oil price seem to be cointegrated, neglecting the error correction term leads to practically the same conclusions on volatility and conditional correlation as keeping it in the model.

In the paper we present robust estimation methods based on bounded innovation propagation filters and quantile regression, applied to measure Value at Risk. To illustrate advantage connected with the robust methods, we compare VaR forecasts of several group of instruments in the period of high uncertainty on the financial markets with the ones modelled using traditional quasi-likelihood estimation. For comparative purpose we use three groups of tests i.e. based on Bernoulli trial models, on decision making aspect, and on the expected shortfall.

The practice capacity of a railway junction depends, in addition to the effective operation’s conditions, by the potential risk factors related to the design plan of the railway station. With the aim of an approach based on the “fuzzy sets” it is possible to determine the numeric value of the practice capacity by the logic – qualitative relations between the features of the railway junction and the potential risk factors. This methodology permits to try out the absolute value of a suitable vector β, (less then the unit) for the utilization of the theoretic capacity in conditions of maximum reliability of the system related to the aspect of safety (technique “fail safe”).

Reliable estimation of geotechnical parameters is often based on reconstruction of a complete loading process of subsoil on a specimen in laboratory tests. Unfortunately laboratory equipment available in many laboratories is sometimes limited to just a triaxial apparatus
– the use of which generates diffi culties whenever a non-axisymmetric problem is analysed.

The author suggests two simple operations that may be done to improve the quality of simulation in triaxial tests. The fi rst one is based on the use of triaxial extension along the segments of the stress path p’-q-θ for which the Lode’s angle values are positive. The second one consists in a mod-ifi cation of the equivalent stress value in such a way that the current stress level in the specimen complies with results of FEM analysis.

The paper provides a solution to the problem of dimensioning decisive bars on the basis of the conditions of meeting the recommended reliability classes [9] of statically determinate structures composed of n members. A theorem was formulated:if a statically determinate structure composed of n decisive members is to attain the reliability greater than, or equal to, the recommended relia-bility p = 1 – q, it is necessary and suffi cient that the damage frequency sum qᵢ of decisive members is smaller than the admissible damage frequency q of thestructure: ∑qᵢ < q. On the basis of this theorem, s coeffi cients that recommend increase of the load bearing capacity of the decisive bars in a statically determinate structure constructed in order to meet the recommended class [9] of the structure reliability, are estimated and presented in a tabular form.

The Dez dam was commissioned in 1963 and since sediments accumulated in the reservoir up to an elevation of approximately 15m below the intake of the power tunnel. One of the possible measures to improve operation of the reservoir is by heightening of the existing dam. This paper describes the conducted procedure for static and thermal calibration of this 203m dam in Iran based on micro geodesies measurements. Also the nonlinear response of existing dam is investigated under maximum credible earthquake ground motions considering joint behavior and mass concrete cracking and safety of dam is evaluated for possible heightening. For thermal calibration of provided numerical model, transient thermal analysis was conducted and results were compared with thermometers records installed in central block. In addition, for static calibration; thermal distribution within dam body, dam self weight, hydrostatic pressure and silt load applied on the 3D fi nite element model of dam-reservoir-foundation were considered. Results show that the distribution of stresses will be critical within dam for heightening case under seismic loads in MCL.

Wind constitutes one of the major environmental factors affecting the design and performance of built environment. Each country has its unique climatic wind conditions, and the way in which these are considered and implemented in the structural design, is important. An implementation or adoption of any new engineering design stipulations introduces a formidable challenge to the developers of the standards and the design profession. This has been experienced in some of the countries (e.g. the UK, Australia and the USA), where processes of modernising the outdated codifi cation took place in the past. Although both Poland and South Africa are currently at the early implementation stage of the new wind loading design stipulations, there is a major difference between the circumstances of the two countries. Poland, as an EU member state, has a compulsory obligation to adopt the new uniform standarisation requirements, within a stipulated time-frame. The South African code developers, after a thorough investigation process which will be highlighted in the paper, decided voluntarily to adopt the Eurocode as the primary model document.

The volume changes caused by coupled temperature and moisture variations in early-age concrete elements lead to formation of stresses. If a restraint exists along the contact surface of mature concrete against which a new concrete element has been cast, generated stresses are mostly of a restraint origin. In engineering practice a wide range of externally restrained concrete elements can be distinguished such as tank walls or bridge abutments cast against an old set foundation, in which early-age cracking may endanger their durability or functionality. Therefore, for years methods were being developed to predict early-age stresses and cracking risk of externally restrained concrete elements subjected to early-age thermal-moisture effects. The paper presents the comparative study of the most recognised analytical approaches: the method proposed in EC2, the method proposed by ACI Committee 207 and the method developed at the Luleå University of Technology.

Each bitumen has a slightly different group composition, thus bitumen modifi cation with the SBS copolymer gives slightly different results in each case. Both in the industry and construction prac-tice there is still no simple method available which would allow the evaluation of the impact of SBS content and the group composition of bitumen on the structural and rheological properties of the polymer bitumen mix. The article presents the results of the dynamic viscosity tests of three bitumen types. Based on the analysis of the results obtained, it was found that changes in the rheological properties caused by SBS additive are characteristic for each of the bitumens tested and their chemical and group composition. They are also proportionate to the amount of the modifi er added. In order to have a possibility to measure this impact, three coeffi cients rheologically charac-terizing polymer and bitumen mixes were applied.