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。     

考虑溯源系统应用的优质农产品双渠道供应链决策研究

优质农产品溯源系统的引入,既能提升有效供给、缩短流通时间,又能降低流通中的数量损耗和价值损失,由此带来了双渠道供应链系统在投资、销售、定价等方面的系列决策问题。考虑制造商开辟电子渠道、从溯源系统降低流通损耗和提高质量出发,分别构建制造商主导型的双渠道供应链决策模型。通过对比分析应用前后各成员在投资、定价及销售方面的最优策略,得到相关的核心边界值。数值仿真结果表明:核心边界值主要与双重损耗的改善程度及其他参数相关,各成员及系统接受溯源系统的应用成本不同,应用成本对各渠道销量的影响程度亦不相同,但各成员调整定价的应用成本边界值是一致的。     

Reliability evaluation based on a dependent two-stage failure process with competing failures

This paper evaluates system reliability performance based on a dependent two-stage failure process with competing failures. The failure process of the system can be divided into two stages, i.e., the defect initialization stage, and the defect development stage. Dependence between these two stages is reflected in the fact that they share the same shock process modeled by a nonhomogeneous Poisson process. The impact of shock damage on system failure behavior is characterized by random hazard rate increments of the two stages. Based on practical failure behavior of industrial systems, we consider two typical and competing failure modes, defect-based failure and duration-based failure. Defect-based failure occurs when a defect reaches the damage threshold and duration-based failure is triggered when the duration in defective state is larger than a time threshold. We derive some results on system reliability and show that, with different parameter settings, our model reduces to several classic competing risk models. Finally, a detailed illustrative example of an oil pipeline system is given to demonstrate the applicability of the proposed model.     

A dynamic Stackelberg duopoly model with different strategies

In this paper, a duopoly Stackelberg model of competition on output is formulated. The firms announce plan products sequentially in planning phase and act simultaneously in production phase. For the duopoly Stackelberg model, a nonlinear dynamical system which describes the time evolution with different strategies is analyzed. We present results on existence, stability and local bifurcations of the equilibrium points. Numerical simulations demonstrate that the system with varying model parameters may drive to chaos and the loss of stability may be caused by period doubling bifurcations. It is also shown that the state variables feedback and parameter variation method can be used to keep the system from instability and chaos.     

Defending and improving the ‘slotting fee’: how it can benefit all the stakeholders dealing with a newsvendor product with price and effort-dependent demand

‘Slotting fee’ (hereafter ‘SF’) is an upfront fee a ‘supplier’ is required to pay a retailer in order to have his product sold on the retailer's shelves. It is becoming increasingly common, but also widely reviled. This paper considers a newsvendor product whose expected demand is dependent on retail price and sales effort. The question we pose is: given that the Stackelberg-dominant retailer has to choose a pricing contract with which she transacts with the supplier, how would the supply-chain stakeholders fare when the retailer implements SF instead of another practical pricing contract? We show that, contradicting its negative public image, SF empowers the dominant retailer to specify contract terms that will benefit all the stakeholder-groups. That is, the supplier's and the retailer's profits are higher, the production workers are asked to produce more, and the consumers pay a lower retail price. We also propose a new ‘composite’ contract format that incorporates both the SF and ‘buyback’ features. This composite format empowers the retailer to provide even greater benefits to the supply-chain's stakeholders.

     

Calculation of Bayes premium for conditional elliptical risks

In this paper we discuss the calculation of the Bayes premium for conditionally elliptical multivariate risks. In our framework the prior distribution is allowed to be very general requiring only that its probability density function satisfies some smoothness conditions. Based on the previous results of Landsman and Nešlehová (2008) and Hamada and Valdez (2008) we show in this paper that for conditionally multivariate elliptical risks the calculation of the Bayes premium is closely related to the Brown identity and the celebrated Stein’s lemma.     

Qualified voting systems

Voting systems are defined by three components: the set of votes that individuals are allowed to cast (that is, the instructions voters receive on how to fill in the ballot), a support function (that transforms ballots into support or votes), and an outcome function (which states how to aggregate those votes). In this paper, we investigate how these components interact. To that end, we impose two requirements on the outcome functions, called support monotonicity and limited symmetry. We identify the family of outcome functions that satisfy both properties.     

A key design to prolong lifetime of wireless sensor network

In order to solve the contradiction between the connectivity of the wireless sensor network and the key storage consumption, under the premise of reducing network storage consumption, the key pre-distribution management scheme with higher connectivity rate is proposed using the hexagonal network deployment information, which adopts the idea of the matrix space for the square deployment information strategy to reduce the burden of the network storage. Ability against the capture attack is improved obviously. The results show that contradiction between the network connectivity rate and the energy consumption has a better solution, and the proposed algorithm is suitable for the wireless sensor networks of energy limited.