有效因子综合偏好强度与CVaR整合优化模型

本文从股票多维特征因子中选择有效因子,融合形成最大化有效因子综合偏好强度(IPS)的附加理性,构建并验证IPS-均值-CVaR投资组合优化模型。基于沪深300股2006~2015年数据分析显示:(1)有效因子IPS投资组合优越于单因子投资组合;(2)IPS方法相较于因子打分法,具有更优的多维数据整合功效;(3)IPS-均值-CVaR投资组合优化模型相对于均值-CVaR模型具有更优越的资产选择能力,也拓展了投资组合模型的多维数据处理能力和适用性。     

企业自主研发与合作创新的风险测度及组合优化

企业在整合内部创新要素进行自主研发的同时,也会寻求外部创新资源进行合作创新,当前同时从事多个R&D项目已成为常见的企业经营活动,如何在不确定条件下分析多个R&D项目投资的策略选择及风险优化,对于企业的长期发展具有重要意义。根据企业是否采取合作创新策略,可将其R&D项目分为自主研发与合作创新两类,以项目的研发成功率和投资收益率代表技术风险和市场风险,分别测度自主研发与合作创新项目的风险特性,并在此基础上构建企业R&D项目投资组合优化模型,以在自主研发与合作创新项目之间进行权衡取舍。结果表明,企业对于自主研发与合作创新项目投资组合的最优投资权重,主要取决于这两类组合的期望收益率、收益率方差、期望成功率以及两组合之间的协方差。企业可基于关键参数制定出最优的R&D项目投资组合选择策略,合理分配资金以达到风险最小化的投资目标。     

Instructions for Authors

Chinese Physics B （Chin. Phys. B）, formerly titled Chinese Physics, is an international comprehensive academic journal, aiming to publish original papers and rapid communications reflecting creative and innovative achievements in physics, as well as review papers about important accomplishments in frontier of physics. The journal is published monthly in English by the Chinese Physical Society （CPS） and the IOP Publishing. Chin. Phys. B has already been included in six world famous international index systems including SCI and INSPEC.     

Instructions for Authors

<正>Chinese Physics B(Chin.Phys.B),formerly titled Chinese Physics,is an international comprehensive academic journal,aiming to publish original papers and rapid communications reflecting creative and innovative achievements in physics,as well as review papers about important accomplishments in frontier of physics.The journal is published monthly in English by the Chinese Physical Society(CPS)and the IOP Publishing.Chin.     

Instructions for Authors

Chinese Physics B(Chin.Plivs.B).formerly titled Chinese Physics,is an international compreliensive academic journal,aiming to publish original papers and rapid communications reflecting creative and innovative achievements in physics,as well review papers about important accomplishments in frontier of physics.The journal is published monthly in English by the Chinese Physical Society(CPS)and the IOP Publishing.Chin.     

A comparison of the effect of nanotube chirality and electronic properties on the π–π interaction of single‐wall carbon nanotubes with pyrazinamide antitubercular drug

Theoretical investigation on local electronic structure and stability of the π–π stacking interaction of pyrazinamide (PZA) with armchair (5,5) and zigzag (9,0) single‐walled carbon nanotubes (SWCNTs) is performed using density functional theory (DFT). PZA is physisorbed onto nanotube sidewall through interaction of π orbitals of PZA and SWCNT and the enhanced structural stability of PZA/SWCNT systems is due to weak side‐on rather than the head‐on π‐interactions. The physisorption of PZA onto SWCNT sidewall is thermodynamically favored; as a consequence, it modulates the electronic properties of pristine nanotube in the vicinity of Fermi region and π–π stacked interactions is stronger in (9,0) SWCNT compared to (5,5) SWCNT. The density of states (DOS) analysis show that PZA contributes toward the enhancement of electronic states. Projected DOS and frontier orbital analysis in the vicinity of Fermi level region suggest the electronic states to be contributed from SWCNT rather than PZA. In addition, hybrid DFT calculation which includes the dispersion correction is employed to explain the non‐covalent π–π stacking interaction between PZA and SWCNT. The local density approximation and GGA results are compared with DFT‐D to explain near about accurately the weak nonbonded van der Waals interactions between PZA and SWCNTs. © 2012 Wiley Periodicals, Inc.     

The long‐term extreme price risk measure of portfolio in inventory financing: An application to dynamic impawn rate interval

Different from the short‐term risk measure for traditional financial assets (stocks, bonds, etc.), the key to illiquid inventory portfolio traded in the over‐the‐counter markets is to estimate the long‐term extreme price risk with time varying volatility. In this article, a new long‐term extreme price risk (value at risk and conditional value at risk) measure method for inventory portfolio and an application to dynamic impawn rate interval are proposed. To realize this, we first establish AutoRegressive Moving Average‐Exponential Generalized Autoregressive Conditional Heteroskedasticity‐Extreme Value Theory model and multivariatet‐Copula to depict the autocorrelation, fat tails, and volatility clustering of returns of inventories and the nonlinear dependence structure of inventories. Furthermore, we obtain the long‐term extreme price risk with time varying volatility via Monte Carlo simulation instead of square‐root‐of time rule. The results show that, first, benefits from risk diversification is significant; second, long‐term extreme price risk measure of inventory portfolio via Monte Carlo method outperforms the square‐root‐of time rule; the last is that the dynamic rate interval based on the long‐term price risk is superior to the crude rules of thumb in terms of reducing efficiency loss and improving risk coverage. In summary, this article provides a new quantitative framework for managing the risk of portfolio in inventory financing practice for banks constrained by risk limitation. © 2014 Wiley Periodicals, Inc. Complexity 20: 17–34, 2015     

Revelation of ESIPT mechanism for the novel fluorescent system HNIBT in toluene and methanol solvents: A TDDFT study

In this work, we devote to explore excited‐state intramolecular proton transfer (ESIPT) behavior for a novel fluorescent molecule naphthalimide‐based 2‐(2‐hydroxyphenyl)‐benzothiazole (HNIBT) [New J. Chem. 2019, 43, 9152.] in toluene and methanol (MeOH) solvents. Exploring weak interactions, stable HNIBT‐enol, and HNIBT‐MeOH‐enol complex can be found in S₀ state via TDDFT/B3LYP/6‐311+G(d,p) level. Given photoexcitation, intramolecular hydrogen bond O1? H2···N3 of HNIBT‐enol and HNIBT‐MeOH‐enol is dramatically enhanced, which offers impetus for facilitates ESIPT reaction. After repeated comparisons, we verify the unavailability of intermolecular hydrogen bonding effects between HNIBT‐enol and MeOH molecules. In view of excitation, HOMO (π) → LUMO (π*) transition and the changes of electronical densities indeed impulse ESIPT tendency. Via constructing potential energy curves (PECs), for both HNIBT‐enol and HNIBT‐MeOH‐enol complex, the ESIPT could only occur along with intramolecular hydrogen bond O1? H2···N3. Through comparison, the potential barrier falls from 4.124 kcal/mol (HNIBT‐enol) to 2.132 kcal/mol (HNIBT‐MeOH‐enol). Therefore, we confirm that the ESIPT of the HNIBT system happens more easily in the MeOH solvent compared with the toluene solvent.     

A density functional theory-time-dependent density functional theory investigation of photo-induced hydrogen bond and proton transfer for 2-(3,5-dichloro-2,6-dihydroxy-phenyl)-benzoxazole-6-carboxylicacid

Given the paramount importance of excited-state relaxation in the photochemical process, excited-state hydrogen bonding interactions and excited-state intramolecular proton transfer (ESIPT) are always hot topics. In this work, we theoretically explore the excited-state dynamical behaviors for a novel 2-(3,5-dichloro-2,6-dihydroxy-phenyl)-benzoxazole-6-carboxylicacid (DDPBC) system. As two intramolecular hydrogen bonds (O1 H2⋯N3 and O4 H5⋯O6) exist in the DDPBC structure, we first check if the double proton transfer form cannot be formed in the S1 state. Then, we explore the changes of geometrical parameters involved in hydrogen bonds, based on which we confirm that the dual intramolecular hydrogen bonds are strengthened on photo-excitation. The O1 H2⋯N3 hydrogen bond particularly plays a more important role in excited state. When it comes to the photo-induced excitation, we find charge transfer and electronic density redistribution around O1 H2 and N3 atom moieties. We verify the ESIPT tendency arising from the O1 H2⋯N3 hydrogen bond. In the analysis of the potential energy curves, along with O1 H2⋯N3 and O4 H5⋯O6, we demonstrate that the ESIPT reaction should occur along with O1 H2⋯N3 rather than O4 H5⋯O6. This work not only clarifies the specific ESIPT mechanism for DDPBC system but also paves the way for further novel applications based on DDPBC structure in the future.