Signed graphs for portfolio analysis in risk management

We introduce the notion of structural balance for signed graphsin the context of portfolio analysis. A portfolio of securitiescan be represented as a signed graph with the nodes denotingthe securities and the edges representing the correlation betweenthe securities. With signed graphs, the characteristics of aportfolio from a risk management perspective can be uncoveredfor analysis purposes. It is shown that a portfolio characterizedby a signed graph of positive and negative edges that is structurallybalanced is characteristically more predictable. Investors whoundertake a portfolio position with all positively correlatedsecurities do so with the intention to speculate on the upside(or downside). If the portfolio consists of negative edges andis balanced, then it is likely that the position has a hedgingdisposition within it. On the other hand, an unbalanced signedgraph is representative of an investment portfolio which ischaracteristically unpredictable.     

A MODEL OF TROPICAL MARINE RESERVE‐FISHERY LINKAGES

ABSTRACT. The excessive and unsustainable exploitation of our marine resources has led to the promotion of marine reserves as a fisheries management tool. Marine reserves, areas in which fishing is restricted or prohibited, can offer opportunities for the recovery of exploited stock and fishery enhancement. In this paper we examine the contribution of fully protected tropical marine reserves to fishery enhancement by modeling marine reserve‐fishery linkages. The consequences of reserve establishment on the long‐run equilibrium fish biomass and fishery catch levels are evaluated. In contrast to earlier models this study highlights the roles of both adult (and juvenile) fish migration and larval dispersal between the reserve and fishing grounds by employing a spawner‐recruit model. Uniform larval dispersal, uniform larval retention and complete larval retention combined with zero, moderate and high fish migration scenarios are analyzed in turn. The numerical simulations are based on Mombasa Marine National Park, Kenya, a fully protected coral reef marine reserve comprising approximately 30% of former fishing grounds. Simulation results suggest that the establishment of a fully protected marine reserve will always lead to an increase in total fish biomass. If the fishery is moderately to heavily exploited, total fishery catch will be greater with the reserve in all scenarios of fish and larval movement. If the fishery faces low levels of exploitation, catches can be optimized without a reserve but with controlled fishing effort. With high fish migration from the reserve, catches are optimized with the reserve. The optimal area of the marine reserve depends on the exploitation rate in the neighboring fishing grounds. For example, if exploitation is maintained at 40%, the ‘optimal’ reserve size would be 10%. If the rate increases to 50%, then the reserve needs to be 30% of the management area in order to maximize catches. However, even in lower exploitation fisheries (below 40%), a small reserve (up to 20%) provides significantly higher gains in fish biomass than losses in catch. Marine reserves are a valuable fisheries management tool. To achieve maximum fishery benefits they should be complemented by fishing effort controls.     

Some new results on superimposed codes

A (w,r) cover‐free family is a family of subsets of a finite set such that no intersection of w members of the family is covered by a union of r others. A (w,r) superimposed code is the incidence matrix of such a family. Such a family also arises in cryptography as the concept of key distribution pattern. In the present paper, we give some new results on superimposed codes. First we construct superimposed codes from super‐simple designs which give us results better than superimposed codes constructed by other known methods. Next we prove the uniqueness of the (1,2) superimposed code of size 9 × 12, the (2,2) superimposed code of size 14 × 8, and the (2,3) superimposed code of size 30 × 10. Finally, we improve numerical values of upper bounds for the asymptotic rate of some (w,r) superimposed codes. © 2004 Wiley Periodicals, Inc.     

两个安全第一思想模型的比较分析

针对投资者可能的投资需求确立了基于安全第一思想下两个相近的投资目标:1、极大化投资末期总收益率超过给定水平α的概率;2、极小化投资末期总收益率与给定水平α的距离.并分别就这两个目标建立了优化决策模型,得到了模型解析解,最后对两个模型结果进行了比较分析和经济解释.     

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.     

矩阵方程AXB=D的最小二乘Hermite解及其加权最佳逼近

本中,我们讨论了矩阵方程AXB=D的最小二乘Hermite解,通过运用广义奇异值分解(GSVD)，获得了解的通式。此外,对于给定矩阵F，也得到了它的加权最佳逼近表达式。     

具有算子与有界约束的无穷维规划问题的最优性条件

本文给出了当all-at-once方法用于求解最优控制问题而产生的一类同时具有算子和对部分变量具有简单界约束的无穷维最优化问题的一个一阶必要条件,构造了相应的信赖域子问题,据此,信赖域法可以用于求解无穷空间中的最优化问题。     

带有回报计划的动态客户关系管理模型及实验应用分析

在客户最大化效用及公司最大化CLV的动态环境下。对所提的带有回报计划的动态客户关系管理模型用于某超市的客户数据库中，发现模型的结果对这类客户是适用的。并给出了不同的客户状态空间对应的有效营销组合策略。结果表明：合适的回报计划可以促进客户的购买、提高公司的利润及缓解价格竞争。回报极限应该比客户的平均购买水平偏高，回报率应该与回报极限的改变方向一致。计划的时间范围应定在一年左右比较合适。对于累积购买水平较高的客户一般不邮寄商品信息。在回报计划的初期与末期不用打折。中期对那些购买次数很少的客户可以实行相应的降价策略。     

资源有限的加权总完工时间单机排序问题

本讨论资源有限的加权总工时间单机排序问题，对现在仍为OPEN问题1｜pj=bj-ajuj，∑uj≤U｜∑wjCj给出了一个有关最优解中最优资源分配的重要性质，并利用该性质分别给出了三种情况bj=b,wj=w,aj=a；bj=b,wj=w,uj=u；aj=a,wj=w,uj=u的最优算法。     

多心理账户下机构投资者的风险优化研究

从决策有限理性角度，引入行为金融理论于机构投资风险优化系统，对多心理账户条件下机构投资的风险优化设计进行了研究。以Friedman和Savage之谜为释例，对机构投资风险优化中的诸多非标准金融异像进行了解释。以Shefrin和Statman行为证券组合理论为核心，建立了多心理账户条件下机构投资的风险优化模型，为机构投资的风险优化实践提供了一种量化分析工具。