组合投资β调整与效用最大化的套期比的选择

为了针对市场风险对风险资产的组合投资进行套期保值，一般认为要选择将组合投资多头和期货合同空头结合起来的头寸方差最小化的套期保值比率，也就是要选择使某一特定函数的期望效用最大化的套期保值比率。但是本认为，由于种种原因，人们更倾向于选择对简单风险最小头寸的套期保值比率。     

A profit-maximizing supply chain network design model with demand choice flexibility

We present a profit-maximizing supply chain design model in which a company has flexibility in determining which customers to serve. The company may lose a customer to competition if the price it charges is too high. We show the problem formulation and solution algorithm, and discuss computational results.     

A Variant of Multi-task n-vehicle Exploration Problem: Maximizing Every Processor’s Average Profit

We discuss a variant of the multi-task n-vehicle exploration problem. Instead of requiring an optimal permutation of vehicles in every group, the new problem requires all vehicles in a group to arrive at the same destination. Given n tasks with assigned consume-time and profit, it may also be viewed as a maximization of every processor’s average profit. Further, we propose a new kind of partition problem in fractional form and analyze its computational complexity. By regarding fractional partition as a special case, we prove that the average profit maximization problem is NP-hard when the number of processors is fixed and it is strongly NP- hard in general. At last, a pseudo-polynomial time algorithm for the average profit maximization problem and the fractional partition problem is presented, using the idea of the pseudo-polynomial time algorithm for the classical partition problem.     

EXISTENCE OF POSITIVE SOLUTION TO A p-LAPLACIAN SYSTEM

A p-Laplacian system with Dirichlet boundary conditions is investigated. By the fibering method introduced by Pohozaev,we discuss the existence of positive weak solutions to the system under some proper conditions.     

需求受库存影响下具有固定保质期物品的最优订货策略

带有固定保质期物品的订货是供应链终端销售系统的一个重要决策问题,假设需求依赖库存展示水平并考虑"后进先出"的销售策略而建立了相应的库存决策模型,其中物品在固定保质期内仍具有常数的变质速率.然后以系统平均利润最大化为目标讨论了模型最优解的存在性及唯一性,并提供了寻求模型整体最优解的简单方法.最后给出应用实例,并分析了模型参数变化对最优订货策略的影响.     

客观赋权法指导下的部分权重信息多属性决策方法研究

提出了一种客观赋权法指导下的部分权重信息的多属性决策方法 ,该方法将决策者主观给出的部分权重信息和客观实际相结合 ,既充分利用了客观信息 ,又以最小偏差的形式尽可能满足决策者的主观愿望 ,达到两者的统一 .最后通过具体的应用实例验证了该模型的可行性 .     

Maximization of the Ratio of Two Convex Quadratic Functions over a Polytope

In this paper, we will develop an algorithm for solving a quadratic fractional programming problem which was recently introduced by Lo and MacKinlay to construct a maximal predictability portfolio, a new approach in portfolio analysis. The objective function of this problem is defined by the ratio of two convex quadratic functions, which is a typical global optimization problem with multiple local optima. We will show that a well-designed branch-and-bound algorithm using (i) Dinkelbach's parametric strategy, (ii) linear overestimating function and (iii) -subdivision strategy can solve problems of practical size in an efficient way. This algorithm is particularly efficient for Lo-MacKinlay's problem where the associated nonconvex quadratic programming problem has low rank nonconcave property.     

基于离差最大化-灰色关联分析的商业银行竞争力评价研究

从安全性、盈利性、流动性、成长性四个方面构建了商业银行竞争力评价指标体系;用离差最大化方法确定指标权重,反映了指标数据本身的离散程度和动态变化,避免了人为赋权的主观随意性;用灰色关联分析确定评价得分,避免了对样本数量和数据分布的限制.通过离差最大化灰色关联分析模型并结合Ward聚类对中国14个上市商业银行的竞争力评价进行了实证研究,实证结果揭示了不同商业银行竞争力的显著差异和各银行的竞争优势与制约因素.     

On stability in Fuzzy Linear Programming problems

This study focuses on the problem of stability (with respect to changes of centres of fuzzy parameters) of the solution in Fuzzy Linear Programming (FLP) problems with symmetrical triangular fuzzy numbers and extended operations and inequalities.