A two-stage approach to multi-period allocation of savings among investment plans

This paper presents a two-stage multi-period decision model for allocation of the individual's savings into several investment plans. Although the U.S. economy is used as the background, the modelling methods are general enough to accommodate any tax law. The first stage of the model uses an asset-allocation method based on the single-index model. Because this method is static and does not provide for tax considerations and other constraints, it alone is not enough. The output of this optimal selection is used as exogenous parameters and controls for the second stage of the model which is an integer program. The IP includes fixed charges, statutory and budgetary constraints, a discount rate, and the risk level. We provide an example of this approach to illustrate how an individual can achieve his goals of terminal accumulations while maintaining the risk level, measured by the aggregate beta, he prefers. A linear programming relaxation of the IP model is utilized for sensitivity analysis to examine whether future adjustments in investment strategies are required. The model remains tractable enough for implementation by individuals who may not be experts in mathematical programming and financial planning.     

Electrorheological properties of hydrolyzed poly(glycidyl methacrylate) suspensions

 Electrorheological behavior of silicone oil suspensions of macroporous poly[(glycidyl methacrylate)-co-(ethylene dimethacrylate)]) (0.60 : 0.40 w) hydrolyzed to various degrees was investigated. Polarizability of particles expressed by the particle dipole coefficient and, consequently, pseudoplasticity of the system at low shear rates after application of an external electric field steeply increased with the hydrolysis degree of the copolymer. As the size and shape of particles remain unchanged during hydrolysis, a series of model suspensions with the same hydrodynamic properties (Newtonian or slightly pseudoplastic when no electric field was applied) but with different intensity of the electrorheological effect could be prepared. Under these conditions, the use of Mason number failed to correlate the apparent viscosity of suspensions of particles with different polarizability in the electric field. On the other hand, when polarizability of particles of a suspension system changes due to a higher temperature, a single curve in the plot of apparent viscosity vs. the Mason number could be obtained. Received: 17 February 1998 Accepted: 8 May 1998     

Hierarchical models and chaotic spin glasses

Renormalization-group studies in position space have led to the discovery of hierarchical models which are exactly solvable, exhibiting nonclassical critical behavior at finite temperature. Position-space renormalization-group approximations that had been widely and successfully used are in fact alternatively applicable as exact solutions of hierarchical models, this realizability guaranteeing important physical requirements. For example, a hierarchized version of the Sierpiriski gasket is presented, corresponding to a renormalization-group approximation which has quantitatively yielded the multicritical phase diagrams of submonolayers on graphite. Hierarchical models are now being studied directly as a testing ground for new concepts. For example, with the introduction of frustration, chaotic renormalization-group trajectories were obtained for the first time. Thus, strong and weak correlations are randomly intermingled at successive length scales, and a new microscopic picture and mechanism for a spin glass emerges. An upper critical dimension occurs via a boundary crisis mechanism in cluster-hierarchical variants developed to have well-behaved susceptibilities.     

Multi-scale correlations in different futures markets

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 min) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of local Hurst exponent, we point out how the behaviour of this parameter, usually considered as a benchmark for persistency/antipersistency recognition in time series, is largely time-scale dependent in the market context. These findings are a direct consequence of the intrinsic complexity of a system where trading strategies are scale-adaptive. Moreover, our analysis points out different regimes in the dynamical behaviour of the market indices under consideration.     

Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach

We use quantum mechanical methods to model the price dynamics in the financial market mathematically. We propose describing behavioral financial factors using the pilot-wave (Bohmian) model of quantum mechanics. The real price trajectories are determined (via the financial analogue of the second Newton law) by two financial potentials: the classical-like potential V (q) (“hard” market conditions) and the quantumlike potential U(q) (behavioral market conditions). Translated from Teoreticheskaya i Matematicheskaya Fizika, Vol. 152, No. 2, pp. 405–415, August, 2007.     

Generalized financial ratios

Ratios of random variables are prevalent in finance. Examples include: current ratio, sales margin, changes in capital employed, interest cover, liabilities ratio and financial leverage ratio. In this note, we derive the exact distribution of the ratio X/(X + Y) when X and Y are independent generalized Pareto random variables, Pareto distribution being the first and the most popular distribution used in finance. Copyright © 2007 John Wiley & Sons, Ltd.     

On the existence of solutions to the quadratic mixed-integer mean–variance portfolio selection problem

In the standard mean–variance portfolio selection approach, several operative features are not taken into account. Among these neglected aspects, one of particular interest is the finite divisibility of the (stock) assets, i.e. the obligation to buy/sell only integer quantities of asset lots whose number is pre-established. In order to consider such a feature, we deal with a suitably defined quadratic mixed-integer programming problem. In particular, we formulate this problem in terms of quantities of asset lots (instead of, as usual, in terms of capital per cent quotas). Secondly, we provide necessary and sufficient conditions for the existence of a non-empty mixed-integer feasible set of the considered programming problem. Thirdly, we present some rounding procedures for finding, in a finite number of steps, a feasible mixed-integer solution which is better than the one detected by the necessary and sufficient conditions in terms of the value assumed by the portfolio variance. Finally, we perform an extensive computational experiment by means of which we verify the goodness of our approach.     

电网项目融资租赁信用评价混合模型的新研究

电网建设工程通过项目融资租赁进行快速融资的同时,给租赁公司带来巨大的信用风险.通过事前对承租人进行信用评价,能够有效降低信用风险损失.针对电网企业信用评价的多属性非线性特征,提出了基于独立分量分析技术-支持向量机的信用评价混合模型.首先,采用独立分量分析技术对信用属性数据进行属性重构,实现属性数据的去噪.然后,将重构后的新信用属性数据用于支持向量机的训练建模.最后,通过实例模拟对比分析了独立分量分析技术对支持向量机分类的有效性.结果表明,独立分量分析技术能够改善信用属性数据特征,并且在多属性分类问题中,独立分量分析技术有助于提高支持向量机分类的准确率.     

上市公司退市风险预警模型研究

运用统计方法,选取有效建模变量,建立了L og istic预测模型对我国上市公司退市风险进行了预测,研究结果表明该模型具有良好的预测精度,该模型预测精度可达98.10%,可以作为证券投资者和分析人员使用的一种有效预测上市公司退市风险的工具.