OPTIMAL INVESTMENT IN THE PROTECTION OF A VULNERABLE BIOLOGICAL RESOURCE

It is assumed that the probability of destruction of a biological asset by natural hazards can be reduced through investment in protection. Specifically a model, in which the hazard rate depends on both the age of the asset and the accumulated invested protection capital, is assumed. The protection capital depreciates through time and its effectiveness in reducing the hazard rate is subject to diminishing returns. It is shown how the investment schedule to maximize the expected net present value of the asset can be determined using the methods of deterministic optimal control, with the survival probability regarded as a state variable. The optimal investment pattern involves “bang-bang-singular” control. A numerical scheme for determining jointly the optimal investment policy and the optimal harvest (or replacement) age is outlined and a numerical example involving forest fire protection is given.     

首次穿过边界概率及其在金融中的应用

本文把数学和管理科学有机结合,为数学应用提出问题,得出新结果,推广了J.Michel Harrison(1985)[1]第43页的命题27,并给出了在金融中的应用.     

Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

技术创新与增长期权定价

本采用了净现值(NPV)和实物期权定价方法对一个实际的MMDS的发射放大器项目进行了定价，并对两种方法定价的结果进行了分析和对比。由于实物期权方法定价的结果包含项目中的增长期权和放弃期权的价值，因而实物期权方法定价的结果比NPV方法定价的结果更合理和更高。     

证券投资组合的风险与收益

本文利用概率统计原理对证券的投资组合能减轻所遇的风险作了讨论 ,并介绍了如何选择投资组合可使所遇风险达到最小     

创业投资与金融体系关系的实证研究

本文实证研究了创业投资产业与金融体系的内在关系,并对目前我国以银行为中心的金融体系下发展创业投资产业提出了一些建议.     

技术不确定环境下新产品策略的设计应用

技术的动态发展和企业间的竞争对企业新产品策略有很大影响,直接决定新产品的引进周期。本文在产业技术动态变化的随机环境下构建随机动态规划模型,关注产业技术进步、投资成本和产品市场竞争等影响因素,探讨企业进行新产品引进的周期选择,对新产品引进的周期和质量决策进行方法设计和应用举例。利用随机动态规划模型得出新产品引进的最优时间周期,用算例分析技术进步和产品研发成本对企业引进周期策略的影响,采取策略迭代的方法进行求解,发现技术进步较快时企业的新产品引进步伐也较快,研发成本的提高使企业的新产品引入步伐降低。     

Optimal Investment Strategies for an Insurer with SAHARA Utility

In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.     

股份制公司的综合投资方案决策模型

对股份制公司的综合投资方案的决策问题进行了研究.首先依据多个投资方案的风险与收益并存的实际情况,建立了最佳投资组合方案的多目标决策模型.然后,由董事会综合各股东所持股份和相互评价权值,利用群决策的方法得到一个最终投资方案,此方案在理论上能使公司获得最大收益.