企业诚信度的贝叶斯估计研究

本文利用贝叶斯分析方法建立了评估企业诚信度的概率估计模型，并选取了一些有代表性的企业进行实证分析。与现有的同类问题研究相比，本模型的特点是将决策者个人经验和主观判断作为先验信息与样本信息相结合、将财务数据与诚信表现相结合，从而提高了估计的可靠性和准确性。     

The Intensity of Heat Exchange between Rock and Flowing Gas in Terms of Gas-Geodynamic Phenomena

Gas-induced geodynamic phenomena can occur during underground mining operations if the porous structure of the rock is filled with gas at high pressure. In such cases, the original compact rock structure disintegrates into grains of small dimensions, which are then transported along the mine working space. Such geodynamic events, particularly outbursts of gas and rock, pose a danger both to the life of miners and to the functioning of the mine infrastructure. These incidents are rare in copper ore mining, but they have recently begun to occur, and have not yet been fully investigated. To ensure the safety of mining operations, it is necessary to determine parameters of the rock–gas system for which the energy of the gas will be smaller than the work required to disintegrate and transport the rock. Such a comparison is referred to as an energy balance and serves as a starting point for all engineering analyses. During mining operations, the equilibrium of the rock–gas system is disturbed, and the rapid destruction of the rock is initiated together with sudden decompression of the gas contained in its porous structure. The disintegrated rock is then transported along the mine working space in a stream of released gas. Estimation of the energy of the gas requires investigation of the type of thermodynamic transformation involved in the process. In this case, adiabatic transformation would mean that the gas, cooled in the course of decompression, remains at a temperature significantly lower than that of the surrounding rocks throughout the process. However, if we assume that the transformation is isothermal, then the cooled gas will heat up to the original temperature of the rock in a very short time (<1 s). Because the quantity of energy in the case of isothermal transformation is almost three times as high as in the adiabatic case, obtaining the correct energy balance for gas-induced geodynamic phenomena requires detailed analysis of this question. For this purpose, a unique experimental study was carried out to determine the time required for heat exchange in conditions of very rapid flows of gas around rock grains of different sizes. Numerical simulations reproducing the experiments were also designed. The results of the experiment and the simulation were in good agreement, indicating a very fast rate of heat exchange. Taking account of the parameters of the experiment, the thermodynamic transformation may be considered to be close to isothermal.     

Performance of Portfolios Based on the Expected Utility-Entropy Fund Rating Approach

Yang and Qiu proposed and reframed an expected utility–entropy (EU-E) based decision model. Later on, a similar numerical representation for a risky choice was axiomatically developed by Luce et al. under the condition of segregation. Recently, we established a fund rating approach based on the EU-E decision model and Morningstar ratings. In this paper, we apply the approach to US mutual funds and construct portfolios using the best rating funds. Furthermore, we evaluate the performance of the fund ratings based on the EU-E decision model against Morningstar ratings by examining the performance of the three models in portfolio selection. The conclusions show that portfolios constructed using the ratings based on the EU-E models with moderate tradeoff coefficients perform better than those constructed using Morningstar. The conclusion is robust to different rebalancing intervals.     

Residue behaviour and safety evaluation of fenaminstrobin in peanut field ecosystems

A rapid, sensitive, and selective method using a quick, easy, cheap, effective, rugged, and safe procedure in combination with high-performance liquid chromatography and tandem mass spectrometry was developed for the analysis of fenaminstrobin in peanut and soil. The average recoveries in all samples fall within 88.1%–10%, having relative standard deviations of 2.5%–14%. The limits of quantitation of fenaminstrobin in peanut shell, peanut kernels, peanut plant, and soil were 0.005, 0.004, 0.01, and 0.002 mg kg^?1, respectively. The field trial results show that the half-lives of fenaminstrobin in peanut plant and soil are 1.3–10 and 5.5–20 days, respectively. Residues in peanut kernels were found to be present at <0.004 mg kg^?1 levels, based on good agricultural practices recommended by the manufacturer. The risk posed by fenaminstrobin exposure at the recommended dosage is negligible to humans, depending on the risk quotient.     

Calibration of a stochastic health evolution model using NHIS data

This paper presents and calibrates an individual’s stochastic health evolution model. In this health evolution model, the uncertainty of health incidents is described by a stochastic process with a finite number of possible outcomes. We construct a comprehensive health status index (HSI) to describe an individual’s health status, as well as a health risk factor system (RFS) to classify individuals into different risk groups. Based on the maximum likelihood estimation (MLE) method and the method of nonlinear least squares fitting, model calibration is formulated in terms of two mixed-integer nonlinear optimization problems. Using the National Health Interview Survey (NHIS) data, the model is calibrated for specific risk groups. Longitudinal data from the Health and Retirement Study (HRS) is used to validate the calibrated model, which displays good validation properties. The end goal of this paper is to provide a model and methodology, whose output can serve as a crucial component of decision support for strategic planning of health related financing and risk management.     

The opportunity cost of mean–variance choice under estimation risk

Mean–variance portfolio choice is often criticized as sub-optimal in the more general expected utility framework. It is argued that the expected utility framework takes into consideration higher moments ignored by mean variance analysis. A body of research suggests that mean–variance choice, though arguably sub-optimal, provides very close-to-expected utility maximizing portfolios and their expected utilities, basing its evaluation on in-sample analysis where mean–variance choice is sub-optimal by definition. In order to clarify this existing research, this study provides a framework that allows comparing in-sample and out-of-sample performance of the mean variance portfolios against expected utility maximizing portfolios. Our in-sample results confirm the results of earlier studies. On the other hand, our out-of-sample results show that the expected utility model performs worse. The out-of-sample inferiority of the expected utility model is more pronounced for preferences and constraints under which in-sample mean variance approximations are weakest. We argue that, in addition to its elegance and simplicity, the mean–variance model extracts more information from sample data because it uses the covariance matrix of returns. The expected utility model may reach its optimal solution without using information from the covariance matrix.     

Seasonality and idiosyncratic risk in mutual fund performance

This paper examines the relationship between seasonality, idiosyncratic risk and mutual fund returns using multifactor models. We use a large sample containing the return histories of 728 UK mutual funds over a 23-year period to measure fund performance. We present evidence that idiosyncratic risk cannot be eliminated, we also find evidence of seasonality in all fund categories. Specifically, we find a close relation between the seasonality and the end of the tax-year. We document that the idiosyncratic risk puzzle cannot explain seasonality in fund performance in the UK. Although, we do find that idiosyncratic risk can account for the seasonality in the month of April. Thus, the results show a link between the tax-loss selling hypothesis in April and idiosyncratic risk in that month. Finally, we report evidence that idiosyncratic risk is negatively related to expected returns for most fund classes.     

Impulse control of pension fund contributions,in a regime switching economy

In defined benefit pension plans, allowances are independent from the financial performance of the fund. And the sponsoring firm pays regularly contributions to limit deviations of fund assets from the mathematical reserve, necessary for covering the promised liabilities. This research paper proposes a method to optimize the timing and size of contributions, in a regime switching economy. The model takes into consideration important market frictions, like transactions costs, late payments and illiquidity. The problem is solved numerically using dynamic programming and impulse control techniques. Our approach is based on parallel grids, with trinomial links, discretizing the asset return in each economic regime.     

Maximum Lebesgue extension of monotone convex functions

Given a monotone convex function on the space of essentially bounded random variables with the Lebesgue property (order continuity), we consider its extension preserving the Lebesgue property to as big solid vector space of random variables as possible. We show that there exists a maximum such extension, with explicit construction, where the maximum domain of extension is obtained as a (possibly proper) subspace of a natural Orlicz-type space, characterized by a certain uniform integrability property. As an application, we provide a characterization of the Lebesgue property of monotone convex function on arbitrary solid spaces of random variables in terms of uniform integrability and a “nice” dual representation of the function.     

Borch’s Theorem from the perspective of comonotonicity

This short note revisits the classical Theorem of Borch on the characterization of Pareto optimal risk exchange treaties under the expected utility paradigm. Our objective is to approach the optimal risk exchange problem by a new method, which is based on a Breeden–Litzenberger type integral representation formula for increasing convex functions and the theory of comonotonicity. Our method allows us to derive Borch’s characterization without using Kuhn–Tucker theory, and also without the need of assuming that all utility functions are continuously differentiable everywhere. We demonstrate that our approach can be used effectively to solve the Pareto optimal risk-sharing problem with a positivity constraint being imposed on the admissible allocations when the aggregate risk is positive.