投资项目选择的风险评价AHP模型及其应用

论述了投资项目选择问题的重要性 ,对常用的投资项目选择方法进行了综述分析 ,探讨了投资项目选择的风险评价指标体系和层次分析法的基本原理 ,提出了投资项目选择的风险评价层次分析模型 ,并以实例说明了如何将层次分析法应用于投资项目选择的风险评价问题 .     

基于实物期权方法的数字图书馆投资时机研究

数字图书馆的投资成本相对传统图书馆较高,且投入不可逆,对其投资成本的研究可以帮助投资者更好的规避风险,提高收益率.将实物期权方法应用到数字图书馆投资时机选择问题中,对投资成本如何影响投资机会价值和净现值进行讨论.运用微分方程数值方法,对项目投资的可行性以及投资时机选择问题进行研究,以决策投资项目是否应该被执行,应等待执行还是立即执行.     

比例保本约束下的最优投资组合选择

本文研究了幂效用函数下带有比例保本约束的最优投资组合选择问题.利用拉格朗日乘子和投资组合复制方法,得到最优财富过程和最优投资组合,推广了带有限制的投资组合的相关结果.     

投资项目的评估与选择方法研究

本提出了一种投资项目评估与选择的方法。该方法由评估与选择两部分组成。前就投资项目的每个指标而言，比较两两项目之间的模糊优劣关系。然后转化为整个项目之间对该指标的优劣关系。后利用以上关系，对所有指标进行综合考虑并作出选择。     

鲁棒投资组合选择优化问题的研究进展

对近年来投资组合研究优化研究的热点问题——鲁棒投资组合优化研究的现状和发展趋势作了综述性研究．在投资组合选择优化的均值-方差模型的基础上,回顾了鲁棒投资组合选择优化问题的发展历史;详细地介绍了鲁棒投资组合选择优化的研究热点及国内外研究现状,就鲁棒投资组合选择优化问题的未来发展方向和主要研究内容,提出了新的观点,以期为相关领域的研究工作提供参考依据．     

石油勘探项目分阶段投资的最优时机选择

针对一次性投资决策理论与方法在石油勘探项目分阶段投资决策中应用的局限性,运用实物期权中的序列投资决策理论与方法,假设勘探储量转让价格服从跳跃扩散过程,构建了石油勘探项目分阶段投资的最优时机选择模型,逆序求解得出各阶段最优投资时机临界值的解析表达式,在此基础上通过案例演算对比分析了一次性投资和分阶段投资的最优时机决策规则.研究结果表明:一次性投资下的最优时机临界值高于分阶段投资下的最优时机临界值,且各阶段的最优投资时机临界值随勘探进程的不断深入呈现逐渐下降的趋势.     

考虑相对业绩的最优投资选择博弈问题研究

研究了具有相互作用的两个竞争机构投资者之间的离散时间最优投资选择博弈问题,每个机构投资者都考虑其竞争对手的相对业绩.机构投资者可以投资于相同的无风险资产和不同的具有相关关系的风险股票,以反映投资的资产专门化.机构投资者选择投资组合策略使得期望终端绝对财富和相对财富的效用最大.首先,定义了Nash均衡投资组合选择策略.然后,在机构投资者具有指数效用函数的假设下,得到了Nash均衡投资组合选择策略和值函数的显示表达式,分析了机构投资者之间的竞争对Nash均衡投资组合选择策略的影响.最后,通过数值计算给出了各种情况下Nash均衡投资组合选择策略和值函数与模型主要参数之间的关系.结果表明:机构投资者之间的竞争会影响其对风险的承担,投资机会集对机构投资者的Nash均衡投资组合选择策略和值函数与模型主要参数之间的关系会产生很大的影响.     

基于Clayton Copula-GARCH模型投资组合VaR的度量

运用Copula方法研究了含股指期货的投资组合的风险度量问题.首先采用不同的GARCH模型对单个资产收益率建模,然后选择Clayton Copula函数来描述投资组合各资产之间的相关结构,建立联合分布模型,进而采用Monte Carlo方法模拟产生各资产的收益率序列,计算出投资组合的VaR.Kupiec检验表明,ClaytonCopula-GARCH模型在投资组合风险度量上具有较高的准确性.     

期权思想在多阶段项目投资中的应用

本文主要借助期权理论,讨论项目投资分多阶段进行时选择最佳投资的问题.首先通过在单阶段投资下建立项目投资的最佳选择框架,然后展开到项目投资分两个阶段进行的情形上进行讨论分析,得出此情形下的投资选择结论,最后把这一结论扩展到项目投资分多阶段进行的项目上.     

投资项目风险分析与方案选择

以投资项目的重要评价指标净现值来例,利用有关数理统计的方法和效用函数讨论了投资项目的风险分析与方案选择问题。     

Utilization and maintenance in a model with scrapping

We consider a productive asset, called equipment or capital good, and we examine the properties of, as well as the interactions between, the operating policies, which are determined by its optimal utilization and maintenance, and the capital policy of scrapping, which defines the optimal time when the productive asset is retired from its current use. Starting with an abstract model and using the approach of optimal control, initially we characterize the various types of equipment by assigning to them a single total profit index, which indicates how the above policies affect the flow of operating revenues plus capital gains or losses. This index is a function of market-determined prices. So using it we then investigate how the operating and capital policies are influenced by the rate of discount, the price of new equipment, and the rise or fall of the price of new equipment relative to the value of its output. Among other interesting results, we find that the effects of these prices on the nature and interactions of optimal policies depend crucially on whether the equipment is of the usual profit making type, where output is the main source of revenue, or of the antique type, where the main source of revenue is capital gains.     

On a class of Riemann surfaces

It is considered the class of Riemann surfaces with dimT1 = 0, where T1 is a subclass of exact harmonic forms which is one of the factors in the orthogonal decomposition of the spaceΩH of harmonic forms of the surface, namely The surfaces in the class OHD and the class of planar surfaces satisfy dimT1 = 0. A.Pfluger posed the question whether there might exist other surfaces outside those two classes. Here it is shown that in the case of finite genus g, we should look for a surface S with dimT1 = 0 among the surfaces of the form Sg\K , where Sg is a closed surface of genus g and K a compact set of positive harmonic measure with perfect components and very irregular boundary.     

Variation of the structure and permeability of tensioned fiber layers during impregnation with a thermoplastic polymer melt

The influence of displacements of tensioned fibers on the impregnation of fibrous layers with a polymer melt and on the final composite structure is studied. Using computer simulation, it is shown that, during impregnation, the structure of tensioned fibrous layers changes considerably depending on the initial arrangement and tensioning of fibers. The consolidated regions formed under the melt front move inside the impregnated layer with the advancing melt front. Displacement of the tensioned fibers as well as the formation of “washouts” favors the impregnation of internal layers, but cause significant inhomogeneity of the polymer structure. The surface (on the side of the melt flow) regions are more saturated with the polymer than the internal ones. A difference in the melt percolation mechanisms at various impregnation regimes is revealed. The effective permeability coefficients of a tensioned fiber layer are not constant but depend on the conditions and regimes of impregnation. Submitted to the 11th Conference on the Mechanics of Composite Materials (Riga, June 11–15, 2000). Translated from Mekhanika Kompozitnykh Materialov, Vol. 36, No. 2, pp. 259–270, March–April, 2000.     

On matrix analogs of Fermat’s little theorem

The theorem proved in this paper gives a congruence for the traces of powers of an algebraic integer for the case in which the exponent of the power is a prime power. The theorem implies a congruence in Gauss’ form for the traces of the sums of powers of algebraic integers, generalizing many familiar versions of Fermat’s little theorem. Applied to the traces of integer matrices, this gives a proof of Arnold’s conjecture about the congruence of the traces of powers of such matrices for the case in which the exponent of the power is a prime power.     

Optimal reconstruction of the solution of the wave equation from inaccurate initial data

In the present paper, we consider the problem of the optimal reconstruction of the solution of the wave equation from the approximate values of the Fourier coefficients of the function specifying the initial form of the string. For an operator defined on the weight space of vectors from l ₂, we present the solution of the more general problem of reconstruction from the approximate values of the coordinates of these vectors.     

On the concept of point value in the infinite-dimensional realization theory

In this article, we study the effect of the chosen representation of a point value (and point evaluation) on the class of periodic signals realizable using a certain type of infinite-dimensional linear system. By suitably representing the point evaluation at the origin in a Hilbert space, we are able to give a complete characterization of its extensions. These extensions involve a new concept called δ-sequence, the use of which as an observation operator of an infinite-dimensional linear system is studied in this article. In particular, we consider their use in the realization of periodic signals. We also investigate how the use of δ-sequences affects the convergence properties of such realizations; we consider the rate and character of convergence and the removal of the Gibbs phenomenon. As still a further demonstration of the significance of the chosen concept of a point value, we discuss the use of distributional point values in the realization of periodic distributions. The possible applications of this work lie in regulator problems of infinite-dimensional control theory, as is indicated by the well-known internal model principle.     

Least Squares Convex-Concave Data Smoothing

We consider n noisy measurements of a smooth (unknown) function, which suggest that the graph of the function consists of one convex and one concave section. Due to the noise the sequence of the second divided differences of the data exhibits more sign changes than those expected in the second derivative of the underlying function. We address the problem of smoothing the data so as to minimize the sum of squares of residuals subject to the condition that the sequence of successive second divided differences of the smoothed values changes sign at most once. It is a nonlinear problem, since the position of the sign change is also an unknown of the optimization process. We state a characterization theorem, which shows that the smoothed values can be derived by at most 2n – 2 quadratic programming calculations to subranges of data. Then, we develop an algorithm that solves the problem in about O(n ²) computer operations by employing several techniques, including B-splines, the use of active sets, quadratic programming and updating methods. A Fortran program has been written and some of its numerical results are presented. Applications of the smoothing technique may be found in scientific, economic and engineering calculations, when a potential shape for the underlying function is an S-curve. Generally, the smoothing calculation may arise from processes that show initially increasing and then decreasing rates of change.     

考虑闲置产能分享参与者利益的平台定价研究

信息技术的快速发展,使得闲置产能的分享逐渐成为生产领域重要的产能利用模式。为研究闲置产能分享时平台的最优定价问题,在平台向供给者收取交易费而对需求者不收费的条件下,首先,建立商业平台和公益平台的基础模型,并对两类平台进行分析和对比;然后,在基础模型之上构建以一定权重考虑其他参与者利益的平台X的定价模型,探讨权重对最优交易费、供需双方的数量以及平台最优利润的影响;最后,用数值例子验证文中重要定理以及权重对供需双方效用产生的影响。研究结果表明:(1)商业平台收取的最优交易费和获得的最优利润均高于公益平台;(2)考虑其他参与者利益的平台X收取的最优交易费和获得的最优利润、需求者(免费方)的数量和效用均随着权重的增加而增加,而供给者(被收费方)的数量及其效用则随着权重的增加而减少。研究结果为平台运营商和企业的行为决策提供理论参考依据。     

The mixed problem for degenerate elliptic equations of second order

The present paper deals with the mixed boundary value problem for elliptic equations with degenerate rank 0. We first give the formulation of the problem and estimates of solutions of the problem, and then prove the existence of solutions of the above problem for elliptic equations by the above estimates and the method of parameter extension. We use the complex method, namely first discuss the corresponding problem for degenerate elliptic complex equations of first order, afterwards discuss the above problem for degenerate elliptic equations of second order.     

Boundary-Value Problems of the Theory of Thin and Nonthin Orthotropic Shells with Account of Nonlinearly Elastic Properties and Low Shear Rigidity of Composite Materials

The basic geometric and physical relations and resolving equations of the theory of thin and nonthin orthotropic composite shells with account of nonlinear properties and low shear rigidity of their materials are presented. They are derived based on two theories, namely the theory of anisotropic shells employing the Timoshenko or Kirchhoff-Love hypothesis and the nonlinear theory of elasticity and plasticity of anisotropic media in combination with the Lagrange variational principle. The procedure and algorithm for the numerical solution of nonlinear (linear) problems are based on the method of successive approximations, the difference-variational method, and the Lagrange multiplier method. Calculations of the stress-strain state for a spherical shell with a circular opening loaded with internal pressure are presented. The effect of transverse shear strains and physical nonlinearity of the material on the distribution of maximum deflections and circumferential stresses in the shell, obtained according to two variants of the shell theories, is studied. A comparison of the results of the problem solution in linear and nonlinear statements with and without account of the shell shear strains is given. The numerical data obtained for thin and nonthin (medium thick) composite shells are analyzed.