Model-based measurement uncertainty evaluation,with applications in testing

Basic concepts and implementations of the model-based approach to uncertainty evaluation are discussed. One implementation is that of the law of propagation of uncertainty with the use of the central limit theorem as recommended in the Guide to the expression of uncertainty in measurement (GUM). Another is the propagation of distributions, the subject of a supplemental guide to the GUM, which is at an advanced stage of development. It falls in the category of other analytical and numerical methods indicated in the GUM. Two testing applications are used to illustrate the principles: tennis-ball rebound and tensile strength.

Asymmetric risk measures and tracking models for portfolio optimization under uncertainty

Traditional asset allocation of the Markowitz type defines risk to be the variance of the return, contradicting the common-sense intuition that higher returns should be preferred to lower. An argument of Levy and Markowitz justifies the mean/variance selection criteria by deriving it from a local quadratic approximation to utility functions. We extend the Levy-Markowitz argument to account for asymmetric risk by basing the local approximation onpiecewise linear-quadratic risk measures, which can be tuned to express a wide range of preferences and adjusted to reject outliers in the data. The implications of this argument lead us to reject the commonly proposed asymmetric alternatives, the mean/lower partial moment efficient frontiers, in favor of the risk tolerance frontier. An alternative model that allows for asymmetry is the tracking model, where a portfolio is sought to reproduce a (possibly) asymmetric distribution at lowest cost.     

Use of stochastic and mathematical programming in?portfolio theory and practice

Standard finance portfolio theory draws graphs and writes equations usually with no constraints and frequently in the univariate case. However, in reality, there are multivariate random variables and multivariate asset weights to determine with constraints. Also there are the effects of transaction costs on asset prices in the theory and calculation of optimal portfolios in the static and dynamic cases. There we use various stochastic programming, linear complementary, quadratic programming and nonlinear programming problems. This paper begins with the simplest problems and builds the theory to the more complex cases and then applies it to real financial asset allocation problems, hedge funds and professional racetrack betting. This paper is based on a keynote lecture at the APMOD conference in Madrid in June 2006. It was also presented at the London Business School. Many thanks are due to APMOD organizers Antonio Alonso-Ayuso, Laureano Escudero, and Andres Ramos for inviting me and for excellent hospitality in Madrid. Thanks are also due to my teachers at Berkeley who got me on the right track on stochastic and mathematical programming, especially Olvi Mangasarian, Roger Wets and Willard Zangwill, and my colleagues and co-authors on portfolio theory in finance and horseracing, especially Chanaka Edirishinge, Donald Hausch, Jarl Kallberg, Victor Lo, Leonard MacLean, Raymond Vickson and Yonggan Zhao.     

混合效应模型在儿童生长发育研究中的应用

本文将混合效应模型应用于儿童生长发育研究 ,实例表明 ,混合效应模型是研究儿童生长发育规律的一种有效、实用的方法     

Parallelization of the algorithm of asymptotic partial domain decomposition in thin tube structures

The method of asymptotic partial domain decomposition for thin tube structures (finite unions of thin cylinders) is revisited. Its application to the Newtonian and non-Newtonian flows in great systems of vessels is considered. The possibility of a parallelization of its algorithm is discussed for linear and non-linear models.     

The Reversed-Phase HPLC of Dispersing Agent NNO And Determination of Molecular Weight Distributions

The dispersing agent NNO(condensates of β - naphthalenesulphonic acid and formaldehyde) were analyzed by reversed-phase HPLC. The analytical conditions were: column ODS, 2 × 250mm; flow rate, 5ml/ min; sample size, 2μl(20% NNO aqueous solution); UV detector, λ = 254nm; column temperature 293k

It is shown that the new method is very efficient, the analysis time being only 11 minutes. We found eight component compound peaks of the condensates. The peaks of the highly condensed compounds could also be separated and identified by IR spectrum. The weight distribution curve of seven samples are given.     

On minimizing drawdown risks of lifetime investments

Drawdown measures the decline of portfolio value from its historic high-water mark. In this paper, we study a lifetime investment problem aiming at minimizing the risk of drawdown occurrences. Under the Black–Scholes framework, we examine two financial market models: a market with two risky assets, and a market with a risk-free asset and a risky asset. Closed-form optimal trading strategies are derived under both models by utilizing a decomposition technique on the associated Hamilton–Jacobi–Bellman (HJB) equation. We show that it is optimal to minimize the portfolio variance when the fund value is at its historic high-water mark. Moreover, when the fund value drops, the proportion of wealth invested in the asset with a higher instantaneous rate of return should be increased. We find that the instantaneous return rate of the minimum lifetime drawdown probability (MLDP) portfolio is never less than the return rate of the minimum variance (MV) portfolio. This supports the practical use of drawdown-based performance measures in which the role of volatility is replaced by drawdown.     

Designing and pricing guarantee options in defined contribution pension plans

The shift from defined benefit (DB) to defined contribution (DC) is pervasive among pension funds, due to demographic changes and macroeconomic pressures. In DB all risks are borne by the provider, while in plain vanilla DC all risks are borne by the beneficiary. However, for DC to provide income security some kind of guarantee is required. A minimum guarantee clause can be modeled as a put option written on some underlying reference portfolio and we develop a discrete model that selects the reference portfolio to minimize the cost of a guarantee. While the relation DB–DC is typically viewed as a binary one, the model shows how to price a wide range of guarantees creating a continuum between DB and DC. Integrating guarantee pricing with asset allocation decision is useful to both pension fund managers and regulators. The former are given a yardstick to assess if a given asset portfolio is fit-for-purpose; the latter can assess differences of specific reference funds with respect to the optimal one, signaling possible cases of moral hazard. We develop the model and report numerical results to illustrate its uses.     

Kinematic cusps: Determining the missing particle mass at colliders

In many extensions of the SM, neutral massive stable particles (dark matter candidates) are produced at colliders in pairs due to an exact symmetry called a “parity”. These particles escape detection, rendering their mass measurement difficult. In the pair production of such particles via a specific (“antler”) decay topology, kinematic cusp structures are present in the invariant mass and angular distributions of the observable particles. Together with the end-points, such cusps can be used to measure the missing particle mass and the intermediate particle mass in the decay chain. Our simulation of a benchmark scenario in a Z^′$Z^{\prime }$ supersymmetric model shows that the cusp feature survives under the consideration of detector simulation and the standard model backgrounds. This technique for determining missing particle masses should be invaluable in the search for new physics at the LHC and future lepton colliders.     

Stochastic portfolio specific mortality and the quantification of mortality basis risk

In the last decade a vast literature on stochastic mortality models has been developed. However, these models are often not directly applicable to insurance portfolios because:

(a) For insurers and pension funds it is more relevant to model mortality rates measured in insured amounts instead of measured in the number of policies.

(b) Often there is not enough insurance portfolio specific mortality data available to fit such stochastic mortality models reliably.

Therefore, in this paper a stochastic model is proposed for portfolio specific mortality experience. Combining this stochastic process with a stochastic country population mortality process leads to stochastic portfolio specific mortality rates, measured in insured amounts. The proposed stochastic process is applied to two insurance portfolios, and the impact on the Value at Risk for longevity risk is quantified. Furthermore, the model can be used to quantify the basis risk that remains when hedging portfolio specific mortality risk with instruments of which the payoff depends on population mortality rates.