Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.     

A new type SVM-projected SVM

Support vector machine (SVM), developed by Vapnik et al., is a new and promising technique for classification and regression and has been proved to be competitive with the best available learning machines in many applications. However, the classification speed of SVM is substantially slower than that of other techniques with similar generalization ability. A new type SVM named projected SVM (PSVM), which is a combination of feature vector selection (FVS) method and linear SVM (LSVM), is proposed in present paper. In PSVM, the FVS method is first used to select a relevant subset (feature vectors, FVs) from the training data, and then both the training data and the test data are projected into the subspace constructed by FVs, and finally linear SVM(LSVM) is applied to classify the projected data. The time required by PSVM to calculate the class of new samples is proportional to the count of FVs. In most cases, the count of FVs is smaller than that of support vectors (SVs), and therefore PSVM is faster than SVM in running. Compared with other speeding-up techniques of SVM, PSVM is proved to possess not only speeding-up ability but also de-noising ability for high-noised data, and is found to be of potential use in mechanical fault pattern recognition.     

一种基于不同风险偏好投资多目标决策模型及解法

建立了风险投资的多目标决策模型，分别采用线性加权法、TOPSIS法和密切值法，对不同风险偏好下备选方案进行排序，再用平均值法对上述排序进行综合排序，从而避免单一方法的片面性，较为全面科学地得出最优方案。最后，用一个算例说明了方法的可行性和有效性。     

投资组合保险CPPI策略研究

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.     

Gradient- and Sensitivity-Enhanced TOCSY Experiments

A pulsed field gradient version of the sensitivity-enhanced 2D TOCSY experiment is proposed which yields high-quality spectra with improved sensitivity and a minimum of two scans pert₁increment. For rapid acquisition of 1D TOCSY spectra, the 1D DPFGSE–TOCSY experiment was modified to include phase-encoded multiple-selective excitation followed by a simple spectral editing. Combination of these two building blocks is used in a sensitivity-enhanced 2D analog of the 3D TOCSY–TOCSY experiment which provides an efficient tool for resolving severely overlapped signals of oligomers in short experimental time.     

Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints

   Abstract. This paper deals with an extension of Merton's optimal investment problem to a multidimensional model with stochastic volatility and portfolio constraints. The classical dynamic programming approach leads to a characterization of the value function as a viscosity solution of the highly nonlinear associated Bellman equation. A logarithmic transformation expresses the value function in terms of the solution to a semilinear parabolic equation with quadratic growth on the derivative term. Using a stochastic control representation and some approximations, we prove the existence of a smooth solution to this semilinear equation. An optimal portfolio is shown to exist, and is expressed in terms of the classical solution to this semilinear equation. This reduction is useful for studying numerical schemes for both the value function and the optimal portfolio. We illustrate our results with several examples of stochastic volatility models popular in the financial literature.     

Entropic criterion for model selection

Model or variable selection is usually achieved through ranking models according to the increasing order of preference. One of methods is applying Kullback–Leibler distance or relative entropy as a selection criterion. Yet that will raise two questions, why use this criterion and are there any other criteria. Besides, conventional approaches require a reference prior, which is usually difficult to get. Following the logic of inductive inference proposed by Caticha [Relative entropy and inductive inference, in: G. Erickson, Y. Zhai (Eds.), Bayesian Inference and Maximum Entropy Methods in Science and Engineering, AIP Conference Proceedings, vol. 707, 2004 (available from arXiv.org/abs/physics/0311093)], we show relative entropy to be a unique criterion, which requires no prior information and can be applied to different fields. We examine this criterion by considering a physical problem, simple fluids, and results are promising.     

几种改进的CoMFA方法比较研究血小板活化因子拮抗剂

由于传统的比较分子场分析(CoMFA)方法本身存在一些缺陷，使得分子的叠合 规则以及叠合分子的空间取向和空间位置等因素对q~2的影响很大，因此相继提出 了几种改进的CoMFA方法。为了优化CoMFA结果，应用传统的CoMFA方法和交叉验证 的R~2引导的区域选择法(q~2-GRS)、全取向搜索法（AOS）、全空间搜索法（APS） 以及比较分子相似性指数(CoMSIA)等四种改进的CoMFA方法，对18个pinusolide类 衍生物这类新发现的血小板活化因子（PAF）拮抗剂进行了比较研究。结果表明四 种改进的CoMFA方法得到的q~2值均比传统CoMFA的高。q~2-GRS方法得到的q~2值有 所提高，但综合结果并不理想，AOS与APS得到的q~2较为理想，而在CoMSIA中， q~2几乎不受空间取向或空间位置的影响。同时我们引人基于样本的偏最小二乘法 （SAMPLS）取代原AOS／APS程序中的传统PLS进行统计分析，明显提高了其运行速 度。最后，根据q~2最高的CoMFA模型和CoMSIA模型设计了几个预测活性更高的 pinusolide类似物。     

A combination of modified particle swarm optimization algorithm and support vector machine for gene selection and tumor classification

In the analysis of gene expression profiles, the number of tissue samples with genes expression levels available is usually small compared with the number of genes. This can lead either to possible overfitting or even to a complete failure in analysis of microarray data. The selection of genes that are really indicative of the tissue classification concerned is becoming one of the key steps in microarray studies. In the present paper, we have combined the modified discrete particle swarm optimization (PSO) and support vector machines (SVM) for tumor classification. The modified discrete PSO is applied to select genes, while SVM is used as the classifier or the evaluator. The proposed approach is used to the microarray data of 22 normal and 40 colon tumor tissues and showed good prediction performance. It has been demonstrated that the modified PSO is a useful tool for gene selection and mining high dimension data.     

Selecting parameters and limits for equipment operational qualification

While operational qualification (OQ) is a well-established term within equipment qualification, users of equipment often become unsure when it comes to implementation. The biggest problem is how to select procedures and acceptance criteria. Should these be the vendor's specifications or should the users define their own limits, and, if so, how? Should all instruments of the same type have the same values or should these be optimized for each individual instrument? This article will provide an overall strategy and specific examples for HPLC on how to select procedures and acceptance limits that are based on efficient use of resources, on practicality and on the intended use of the equipment.