Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises

Abstract

Techniques of filtering and parameter reestimation of a general hidden Markov model are developed and applied to a discrete time multi-period asset allocation problem, where a commonly used mean-variance utility is considered and recursive calculation of an explicit optimal portfolio is provided. Our result is a generalization of that by Robert J. Elliott and John van der Hoek.     

具有交易费用和马氏调制的均值-方差组合选择

研究了均值-方差准则下,最优投资组合选择问题.投资者为了增加财富它可以在金融市场上投资.金融市场由一个无风险资产和n个带跳的风险资产组成,并假设金融市场具有马氏调制,买卖风险资产时,考虑交易费用.目标是,在终值财富的均值等于d的限制下,使终值财富的方差最小,即均值-方差组合选择问题.应用随机控制的理论解决该问题,获得了最优的投资策略和有效边界.     

Structure and magnetic properties of LaFe11.5−xCoxSi1.5C0.2 compounds for magnetic refrigeration near room temperature

The influence of cobalt on the microstructural, magnetic and magnetocaloric properties of LaFe_11.5−xCo_xSi_1.5C_0.2 (x=0.50–0.85) compounds was investigated. The ingots were prepared by using a vacuum induction melting furnace. Before annealing, a large amount of 1:13 phase was distinctly observed. Nearly single 1:13 phase was obtained after annealing at 1353 K for only 3 days. The easy formation of 1:13 phase in the annealing process could be attributed to carbon doping. The Curie temperature (T_C) increases linearly with increasing the cobalt content. Although the maximum magnetic entropy changes of the compounds decrease rapidly when T_C rises from 275 to 298 K, and it decreases mildly when T_C continues to rise. Two composite refrigerants based on the compounds are proposed. Their entropy changes remains approximately constant over the temperature range from 266 to 292 K and 289 to 309 K.     

基于直觉模糊规划的多目标投资组合选择模型

将直觉模糊集合的概念引入投资组合模型中,并将多目标投资组合模型中的收益、方差和偏度三个目标模糊化,用隶属函数与非隶属函数作为新的目标函数.针对该模糊多目标投资组合模型,提出了一个动态遗传算法,算例给出了该模型的一个实例的最优解.     

Insurability of catastrophic risks: the stochastic optimization model

Catastrophes produce losses highly correlated in space and time, which break the law of large numbers. We derive the insurability of dependent catastrophic risks by calculating conditions that would aid insurers in deliberate selection of their portfolios. This paper outlines the general structure of a basic stochastic optimization model. Connections between the probability of ruin and nonsmooth risk functions, as well as adaptive Monte Carlo optimization procedures and path dependent laws of large numbers, are discussed     

基于模糊DEA的ERP系统选型方法

提出了一种基于模糊数据包络分析的企业资源计划系统选型方法.以系统的实施复杂性、预计实施成本、功能匹配度和系统供应商的企业形象等作为主要评价指标,运用模糊集相关理论争方法对系统选型过程中的不确定性进行刻画和描述,对候选系统的相对有效性进行客观评价,解决了系统选型过程中的不确定性和模糊性问题.并通过实证研究说明了该方法的应用.     

石墨炉原子吸收光谱法测定健康人和糖尿病人血清中微量铬

本文应用石墨炉原子吸收光谱法对各种石墨管测铬进行了比较。热解石墨管可提供较好的灵敏度(4.86pg/0.0044A)和检出限(0.418μg/L),可用于血清铬的测定。血清样品经HClO_4-H_2O_2-HCl消化处理后,以工作曲线法测定。结果是健康人血清铬为8.16±4.30μg/L(13例),糖尿病人3.10±1.92μg/L(13例)。令人满意。     

A strong limit theorem on gambling systems

A strong limit theorem on gambling system for Bernoulli sequences is extended to the sequences of arbitrary discrete random variables by using the conditional probabilities. Furthermore, by allowing the selection function to take values in an interval, the conception of random selection is generalized. In the proof an approach of applying the differentiation of measure on a net to the investigation of the strong limit theorem is proposed.     

A bayes procedure for selecting the population with the largestpth quantile

Summary The Bayes method is seldom applied to nonparametric statistical problems, for the reason that it is hard to find mathematically tractable prior distributions on a set of probability measures. However, it is found that the Dirichlet process generates randomly a family of probability distributions which can be taken as a family of prior distributions for an application of the Bayes method to such problems. This paper presents a Bayesian analysis of a nonparametric problem of selecting a distribution with the largestpth quantile value, fromk≧2 given distributions. It is assumed a priori that the given distributions have been generated from a Dirichlet process. This work was supported by the U.S. Office of Naval Research under Contract No. 00014-75-C-0451.     

Selection of phage antibodies with GPX activity by combination of phage displayed antibody library with chemical modification and their characterization using a surface plasmon resonance biosensor

Glutathione peroxidase (GPX) is an important antioxidant enzyme, which plays an important role in scavenging reactive oxygen species. To obtain humanized GPX catalytic antibodies, the phage displayed human antibody library on the surface of the filamentous bacteriophage was used to select novel antibodies by repetitive screening. Phage antibodies B8, H6 and C1 with the GSH-binding site were obtained from the library by enzyme-linked immunosorbent assay (ELISA) analysis with four rounds of selection against three haptens, S-2,4-dinitrophenyl t-butyl ester [GSH-S-DNP-Bu (B)], S-2,4-dinitrophenyl t-hexyl ester [GSH-S-DNP-He (H)] and S-2,4-dinitrophenyl cycle-hexyl ester [GSH-S-DNP-cHe (C)], and characterized using surface plasmon resonance (SPR) biosensor. The gold layer was modified by dithiodiglycolic acid (DDA) and three haptens were easily attached to DDA by self-assembling to form a biosensor membrane. The membrane bounds specifically corresponding antibodies. The kinetic process of the reaction between phage antibodies and their haptens was studied by SPR biosensor. In order to improve selectivity, chemical modification was used to incorporate directly catalytic group selenocysteine (Sec) into selected phage clone B8, H6 and C1 to form Se-B8, Se-H6 and Se-C1, respectively. The GPX activities of Se-B8, Se-H6 and Se-C1 were found to be 3000, 2000 and 700 units/μmol, respectively. Compared with conventional ELISA analysis, the proposed method based on SPR biosensor is much more rapid and simpler.