Data envelopment analysis models of investment funds

This paper develops theory missing in the sizable literature that uses data envelopment analysis to construct return-risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks, and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification, coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference using monthly returns of 30 hedge funds over the same time period. It discusses possible shortcomings of the procedure and offers directions for future research.     

Dynamic models of segregation†

Some segregation results from the practices of organizations, some from specialized communication systems, some from correlation with a variable that is non‐random; and some results from the interplay of individual choices. This is an abstract study of the interactive dynamics of discriminatory individual choices. One model is a simulation in which individual members of two recognizable groups distribute themselves in neighborhoods defined by reference to their own locations. A second model is analytic and deals with compartmented space. A final section applies the analytics to ‘neighborhood tipping.’ The systemic effects are found to be overwhelming: there is no simple correspondence of individual incentive to collective results. Exaggerated separation and patterning result from the dynamics of movement. Inferences about individual motives can usually not be drawn from aggregate patterns. Some unexpected phenomena, like density and vacancy, are generated. A general theory of ‘tipping’ begins to emerge.     

Intensity‐based estimation of extreme loss event probability and value at risk

We develop a methodology for the estimation of extreme loss event probability and the value at risk, which takes into account both the magnitudes and the intensity of the extreme losses. Specifically, the extreme loss magnitudes are modeled with a generalized Pareto distribution, whereas their intensity is captured by an autoregressive conditional duration model, a type of self‐exciting point process. This allows for an explicit interaction between the magnitude of the past losses and the intensity of future extreme losses. The intensity is further used in the estimation of extreme loss event probability. The method is illustrated and backtested on 10 assets and compared with the established and baseline methods. The results show that our method outperforms the baseline methods, competes with an established method, and provides additional insight and interpretation into the prediction of extreme loss event probability. Copyright © 2012 John Wiley & Sons, Ltd.     

Secondary mathematics teachers’ meanings for measure,slope, and rate of change

This article reports an investigation of 251 high school mathematics teachers’ meanings for slope, measurement, and rate of change. The data was collected with a validated written instrument designed to diagnose teachers' mathematical meanings. Most teachers conveyed primarily additive and formulaic meanings for slope and rate of change on written items. Few teachers conveyed that a rate of change compares the relative sizes of changes in two quantities. Teachers’ weak measurement schemes were associated with limited meanings for rate of change. Overall, the data suggests that rate of change should be a topic of targeted professional development.     

在线教学的实践与反思*——以有机化学课程为例

以有机化学课程在线教学开展情况为背景,通过与传统教学模式对比,分析了在线教学的优势与不足。在此基础上,将笔者所在课程组开展在线教学以来在教学内容重构、教学环节设计、考核方式改革等方面的探索与尝试进行了总结与分享。     

The Occurrence of Pesticides in Groundwater—Results of Case-studies

Abstract

A comparative review of pesticide survey endosing 16 waterworks in the FRG tries to increase the understanding about interferences of pesticide utilization and pesticide occurrence in ground- and drinkingwater, which includes characterization of sampling points, subsurface situation, land use and pesticide application. Between 1986 and 1991, 5772 samples were measured and led to 219094 data about the occurrence of various pesticides. 5% of these analyses showed pesticide or metabolite concentrations above the particular detection limits. This result does not vary in large extent considering groups of different characterized sampling points like groundwater dominated or surface water sampling points. As the herbicide atrazine and its metabolite desethylatrazine as well as the herbicide simazine were detected most often in all samples independent whether considering groundwater und surface water samples, this fact confirms the FRG-application ban for atrazine as well as the application restriction for simazine.     

Quantitative assessment of rhodamine spectra

With the development of single-molecule detection and super-resolution fluorescence imaging, rhodamine dyes gain new life. Through the modification of the N-substituents and the replacement of the oxygen atom in xanthene, the wavelength and brightness can be effectively changed. However, the spectra of rhodamine, especially due to the balance between ring-closed non-fluorescent lactone and ring-opened fluorescent zwitterion/cation, are sensitive to interference from various environmental factors. In this way, the spectral data of various rhodamines reported by different research groups under different test conditions lacked comparability, sometimes even lacked accuracy. In order to meet the requirements for the accuracy and uniformity of spectral data in the research of single molecule imaging and dye structure-fluorescence relationship study, we have tested the spectra of fifteen rhodamine dyes that cover the visible and near-infrared regions under exactly the same conditions. By studying the dependence of the spectra on dye concentrations, it was confirmed that 1 μmol/L was ideal for detection less from the interference of dye molecule aggregation. We provide comprehensive and reliable spectral data of these fifteen dyes, which are expected to be used as references for future research. And the direct comparison of different rhodamine spectra would help to understand the structure-fluorescence relationship of rhodamines.     

Differential equation dynamical system based assessment model in GNSS interoperability

With the development of Global Navigation Satellite System (GNSS),the idea of GNSS interoperability is born and has become the focus of study in the field of satellite navigation.The popularity for GNSS to augment the interoperability with the existing ones necessitates the study of the assessment algorithm of this idea.In this paper,an assessment algorithm for interoperability comprehensive benefits based on the differential equation dynamical system is discussed.There are two important aspects in GNSS tha...     

Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model

In the study of the Sparre Andersen risk model with phase‐type (n) inter‐claim times (PH (n) risk model), the distinct roots of the Lundberg fundamental equation in the right half of the complex plane and the linear independence of the eigenvectors related to the Lundberg matrix L_δ(s) play important roles. In this paper, we study the case where the Lundberg fundamental equation has multiple roots or the corresponding eigenvectors are linearly dependent in the PH (n) risk model. We show that the multiple roots of the Lundberg fundamental equation det[L_δ(s)] = 0 can be approximated by the distinct roots of the generalized Lundberg equation introduced in this paper and that the linearly dependent eigenvectors can be approximated by the corresponding linearly independent ones as well. Using this result we derive the expressions for the Gerber–Shiu penalty function. Two special cases of the generalized Erlang(n) risk model and a Coxian(3) risk model are discussed in detail, which illustrate the applicability of main results. Finally, we consider the PH(2) risk model and conclude that the roots of the Lundberg fundamental equation in the right half of the complex plane are distinct and that the corresponding eigenvectors are linearly independent. Copyright © 2011 John Wiley & Sons, Ltd.     

Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims

This paper continues to study the asymptotic behavior of Gerber-Shiu expected discounted penalty functions in the renewal risk model as the initial capital becomes large. Under the assumption that the claim-size distribution is exponential, we establish an explicit asymptotic formula. Some straightforward consequences of this formula match existing results in the field.