Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. JEL: G23, G11 MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20     

A rule-based risk decision-making approach and its application in China's customs inspection decision

This paper addresses a kind of risk decision-making problem existing widely in public administration and business management, which is characterized by (1) occurrence probabilities of states of nature can be estimated by analysing historical observations, but historical observations of different objects are unhomogeneous, (2) the relation between observations and occurrence probabilities of states of nature are affected by some qualitative and quantitative indicators, (3) it is a real-time decision-making problem, that is, there are many decisions for different objects to be made in a limited time, (4) considering decision's execution, impact of resource constrains is an important issue in decision-making process. In this paper, we develop a rule-based approach to address the problem. In the proposed approach, a two-step clustering method is employed to classify objects into categories, and observations in each category can be approximately viewed as homogeneous. For objects in each category, occurrence probabilities of states of nature are estimated by logistic regression, and the decision rule is obtained through solving an optimization model, which is to minimize the total decision risks while satisfying resource constrains. Effect and efficacy of our approach are illustrated through its application to China's customs inspection decision.     

Computation of moisture and temperature profiles in soil—The coupled model

The coupled model has been developed in this study for moisture transport and beat exchange in soil. The model is driven by atmospheric conditions measured in a field. The concept that soil has a surface resistance to evaporation is introduced in order to relate the evaporation from surface with the vapour flux in air. With the use of this concept, the simulation results agree quite well with the measured data.     

An Enhancement of the Drezner—Wesolowsky Algorithm for Single-Facility Location with Maximin of Rectilinear Distance

In this note, we examine the algorithm of Drezner and Wesolowsky for locating a facility with maximin rectilinear distance to a given set of demand points. The concept of the closest-point constraint is introduced as a technique for increasing the efficiency of the algorithm. This potential increase in efficiency is demonstrated by an example.     

Modelling treatment effects in the HIV/AIDS epidemic

Advances in recent treatments for HIV/AIDS patients have shown dramatic outcomes in extending the incubation period and AIDS survival time, while also providing significant improvements in the quality of patients' lives. A compartmental model is proposed to analyse the effects of the various treatment regimens which have been introduced. The results produced are in good agreement with routinely collected data relating to levels of HIV/AIDS incidence and prevalence in the UK homosexual population. Some parameter values within the model are obtained from surveys, census results, etc, but others are derived using a maximum likelihood estimation procedure. Finally, the model is used to project levels of incidence and prevalence over the next few years, and to investigate several possible scenarios.     

A study of the polymerization of styrene initiated by K-THF-GIC system

In this paper, the polymerization of styrene initiated by potassium (K)-tetrahydrofuran (THF)-graphite intercalation compound (GIC) (K-THF-GIC) was studied. The mechanism of the polymerization was determined to be anionic polymerization according to its characteristics. The effect of the concentration of the initiator and monomer was studied. It was found that the polymerization mainly occurred on the surface and edge of the intercalated graphite. It was also shown that the polarity of solvent has little effect on the polymerization yield in this system.     

Model and empirical study on some collaboration networks

In this paper we present an empirical study of a few practical systems described by cooperation networks, and propose a model to understand the results obtained. We study four non-social systems, which are the Bus Route Networks of Beijing and Yangzhou, the Travel Route Network of China, Huai-Yang recipes of Chinese cooked food, and a social system, which is the Collaboration Network of Hollywood Actors. In order to explain the results related to the degree distribution, act-degree distribution and act-size distribution (especially about the degree distribution, which may be better fitted using a stretched exponential distribution (SED)), we suggest a simple model to show a possible evolutionary mechanism for the emergence of such networks. The analytic and numerical results obtained from the model are in good agreement with the empirical results.     

On local optima in multiobjective combinatorial optimization problems

In this article, local optimality in multiobjective combinatorial optimization is used as a baseline for the design and analysis of two iterative improvement algorithms. Both algorithms search in a neighborhood that is defined on a collection of sets of feasible solutions and their acceptance criterion is based on outperformance relations. Proofs of the soundness and completeness of these algorithms are given.     

A note on the acyclicity of the Koszul complex of a module

We prove the vanishing of the Koszul homology group H _μ(Kos(M)_μ), where μ is the minimal number of generators of M. We give a counterexample that the Koszul complex of a module is not always acyclic and show its relationship with the homology of commutative rings.