Weather Risk in Offshore Projects

Risk analysis tools have been used to help manage various projects. This paper describes a case study in which an extension to the stochastic project network model was developed for a risk analysis of an oil platform installation, quantifying the possible impact of the weather on the project's schedule. Examination of the weather data suggested the use of a Markov weather model combined with a separate residence time distribution for key states. The weather model was incorporated into the stochastic project network allowing the interactions of the various project uncertainties to be examined. While the weather introduced a significant additional risk to the project, analysis of management's options indicated that much of the risk might be avoided. In particular, the analysis quantified the benefits of scheduling the project start to take advantage of the seasonal variations and hiring heavy duty equipment to operate in more arduous conditions.     

基于几种风险测度的多阶段组合优化研究

基于均值-方差(MV)、VaR(Value at Risk)、CVaR(Conditional VaR)、HMCR(p=1,2,3)(Higher Moment Coherent Risk)几种风险测度进行多阶段组合优化研究。首先从一致性公理和随机占优一致性角度分析几种风险测度的风险识别能力,认为HMCR(p=2,3)的风险识别能力最高,然后给出静态和动态下的风险规避型的规划函数及多阶段CVaR和HMCR模型,最后依据单阶段和多阶段优化模型,对上证50指数成份股进行实证分析。对比单阶段和多阶段下几种风险测度优化组合的累计收益率及几种风险测度之间的关系,结合上证50指数收益率发现,多阶段优化组合要整体优于单阶段优化组合,且HMCR(p=2,3)要优于指数收益率和其它几种风险测度。从投资者投资决策方面来分析,HMCR(p=2,3)型积极投资策略比较适用于股市平稳期、顶峰期和下降期,被动投资策略比较适用于股市上升期。     

Markov相依风险模型的等价定理及概率结构

严格定义了Markov相依风险模型.证明了该模型的一个等价定理,使得Markov相依风险模型中的诸过程之间的关系更清晰.获得了Markov相依风险模型的概率结构,构造性地证明了该模型的存在定理.     

Content and Organization of Teacher's Manuals: An Analysis of Japanese Elementary Mathematics Teacher's Manuals

In this paper, results from a study that analyzed the content and organization of teacher's manuals for elementary school mathematics from Japan and the United States are presented. Studies have shown that the nature of mathematics instruction in Japan is different from instruction commonly observed in the United States. Moreover, other scholars have noted that elementary school teachers, both in the United States and Japan, rely heavily on textbooks to teach mathematics. Thus, teacher's manuals accompanying textbook series may be a contributing factor to this difference. The results of the analysis showed that there are some significant differences in the way Japanese teachers' manuals are prepared from those of the US series. The findings suggest that curriculum developers should critically reflect on how to prepare teacher's manuals so that they become useful resources for teachers.     

Risk measures on the space of infinite sequences

Axiomatically based risk measures have been the object of numerous studies and generalizations in recent years. In the literature we find two main schools: coherent risk measures (Artzner, Coherent Measures of Risk. Risk Management: Value at Risk and Beyond, 1998) and insurance risk measures (Wang, Insur Math Econ 21:173–183, 1997). In this note, we set to study yet another extension motivated by a third axiomatically based risk measure that has been recently introduced. In Heyde et al. (Working Paper, Columbia University, 2007), the concept of natural risk statistic is discussed as a data-based risk measure, i.e. as an axiomatic risk measure defined in the space \mathbb Rⁿ{\mathbb R^n} . One drawback of these kind of risk measures is their dependence on the space dimension n. In order to circumvent this issue, we propose a way to define a family {ρ _n } _n=1,2,... of natural risk statistics whose members are defined on \mathbbRⁿ{\mathbb{R}^n} and related in an appropriate way. This construction requires the generalization of natural risk statistics to the space of infinite sequences l ^∞.     

Nature plays with dice – terrorists do not: Allocating resources to counter strategic versus probabilistic risks

Probabilistic uncertainty is caused by “chance”, whereas strategic uncertainty is caused by an adverse interested party. Using linear impact functions, the problems of allocating a limited resource to defend sites that face either probabilistic risk or strategic risk are formulated as optimization problems that are solved explicitly. The resulting optimal policies differ – under probabilistic risk, the optimal policy is to focus the investment of resources on priority sites where they yield the highest impact, while under strategic risk, the best policy is to spread the resources so as to decrease the potential damage level of the most vulnerable site(s). Neither solution coincides with the commonly practiced proportionality allocation scheme.     

桥本甲状腺炎合并甲状腺癌的危险因素回归分析

目的 探讨桥本甲状腺炎（HT）合并甲状腺癌的危险因素。方法 采用回顾性病例对照研究,选取59 例HT 合并甲状腺癌患者为病例组,按照1∶2比例选取118 例HT 合并甲状腺良性结节或单纯HT 患者为对照组,对相关因素进行单因素和多因素logistic 回归分析。结果 单因素分析显示甲状腺疾病家族史、碘摄入情况、辐射接触史、甲状腺自身抗体和合并单发结节为HT 合并甲状腺癌的影响因素。经多因素分析家族史、高碘摄入、辐射接触史为HT 合并甲状腺癌的危险因素,其OR 值（95%CI）分别为2.141（1.664~2.755）、2.479（1.895~2.936）和4.596（3.693~4.997）。结论 HT 合并甲状腺癌发病机制有待于进一步研究,应针对危险因素(家族史、碘摄入情况、辐射接触史)采取措施进行早防早治。     

基于物元可拓法的轨道交通PPP项目风险评价研究

风险评价是风险控制的前提,风险控制对项目成功实施至关重要.文章通过文献查阅和专家访谈梳理了PPP(Public-Private-Partnership)项目风险,建立涵盖37条指标的轨道交通PPP项目风险指标体系,构建基于物元可拓法的风险评价模型,以呼和浩特轨道交通PPP项目为例,对其项目风险进行了评价,提供一种PPP项目风险事前事中评价的方法,给项目相关方的项目风险评价和管理提供参考.     

One-step and multi-step linear equations: a content analysis of five textbook series

Being able to solve one-step and multi-step linear equations is a hallmark of algebraic proficiency in the United States and abroad. The purpose of this paper is to report on a textbook comparison study regarding the treatment of linear equations in five textbook series that are popular in the United States: Center for Mathematics Education Project Algebra 1 and Algebra 2 (CME), Core-Plus Mathematics Program Courses 1–3 (CPMP), Glencoe Algebra 1 and Algebra 2, Interactive Mathematics Program Years 1–3 (IMP), and University of Chicago School Mathematics Project Algebra and Advanced Algebra (UCSMP). Data are reported for the following curriculum variables: content, cognitive behavior, real-world context, and tools (technology and manipulatives). Sequencing of the content, and links between symbolic and functions-based approaches are discussed. Based on the data presented, what students experience relative to setting up and solving one-step and multi-step linear equations is likely to be markedly different, depending on which textbook is used in their classrooms. Implications for practice and ideas for further research are discussed.     

Preservice Teachers’ Conceptual and Procedural Knowledge of Fraction Operations: A Comparative Study of the United States and Taiwan

This study examined (a) the differences in preservice teachers’ procedural knowledge in four areas of fraction operations in Taiwan and the United States, (b) the differences in preservice teachers’ conceptual knowledge in four areas of fraction operations in Taiwan and the United States, and (c) correlation in preservice teachers’ conceptual knowledge and procedural knowledge of fractions in Taiwan and the United States. Participants were preservice teachers (N = 49) in a teacher education program in the United States and comparable Chinese preservice teachers (N = 47). Results indicated that Chinese preservice teachers performed better in procedural knowledge on fraction operations than American preservice teachers. No significant differences were found for conceptual knowledge on fraction division. Further, the correlation in this study showed that for Chinese and American preservice teachers, the relationship between conceptual and procedural knowledge of fraction operations was weak.     

Estimation of asset demands by heterogeneous agents

We develop optimization models to analyze the demand for financial assets by heterogeneous agents. The models extend Frankel's [J. Portfolio Manage. 11 (4) (1985) 18] earlier approach, and relax the assumption of normality of asset returns. Instead, we assume that investors maximize an expected utility of terminal wealth based on heterogeneous attitudes toward risk. Solving a bi-level optimization program, we endogenously estimate the risk aversion parameters and derive the optimal asset holdings for each agent. The models are tested on United States market data, explaining the market structure better than previously postulated models.     

A parsimonious stochastic model for forecasting gamers' revenues in casinos

The gaming industry is the largest entertainment industry in the United States, with more than $80 billion in revenue annually. Because of the stochasticity of gambling outcomes and the complexity of the casino context, forecasting individual‐level revenues in a casino setting is extremely challenging, and yet crucial for customer relationship management. Current approaches for customer base analysis are usually too general to handle the unique context of the casino setting. To fill this gap between research and practice, this paper develops a stochastic model that incorporates visitation, wagering, and gambling outcomes to forecast gamers' revenues for a major casino operator. The proposed model is parsimonious and can be scaled to handle massive casino customer databases. Despite its parsimony, a holdout prediction test shows that the proposed model provides more accurate individual‐level revenue predictions than other forecasting methods that are based only on the observed data. Copyright © 2012 John Wiley & Sons, Ltd.     

Equal Risk Bounding is better than Risk Parity for portfolio selection

Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diversification for portfolio selection. RP is based on the principle that the fractions of the capital invested in each asset should be chosen so as to make the total risk contributions of all assets equal among them. We show here that the Risk Parity approach is theoretically dominated by an alternative similar approach that does not actually require equally weighted risk contribution of all assets but only an equal upper bound on all such risks. This alternative approach, called Equal Risk Bounding (ERB), requires the solution of a nonconvex quadratically constrained optimization problem. The ERB approach, while starting from different requirements, turns out to be strictly linked to the RP approach. Indeed, when short selling is allowed, we prove that an ERB portfolio is actually an RP portfolio with minimum variance. When short selling is not allowed, there is a unique RP portfolio and it contains all assets in the market. In this case, the ERB approach might lead to the RP portfolio or it might lead to portfolios with smaller variance that do not contain all assets, and where the risk contributions of each asset included in the portfolio is strictly smaller than in the RP portfolio. We define a new riskiness index for assets that allows to identify those assets that are more likely to be excluded from the ERB portfolio. With these tools we then provide an exact method for small size nonconvex ERB models and a very efficient and accurate heuristic for larger problems of this type. In the case of a common constant pairwise correlation among all assets, a closed form solution to the ERB model is obtained and used to perform a parametric analysis when varying the level of correlation. The practical advantages of the ERB approach over the RP strategy are illustrated with some numerical examples. Computational experience on real-world and on simulated data confirms accuracy and efficiency of our heuristic approach to the ERB model also in comparison with some state-of-the-art local and global optimization codes.     

风险规避和最优套期保值比率

在一般的期望效用框架下,研究投资者的风险厌恶态度对于其套期保值策略的影响.首先,给出了投资者采用不同套期保值策略时,效用函数应该满足的条件;其次,讨论了期望效用框架下,Rubinstein整体风险厌恶度量与经典的Arrow Pratt局部风险厌恶度量和更强的Ross的风险度量之间的关系,提出了一组条件,使得在该组条件下,风险厌恶的人际间比较可以用Rubinstein整体风险厌恶度量来刻画;最后,在现货和期货服从正态分布的假设下,使用之前提出的条件,研究投资者风险厌恶程度对于其持有的最优套期保值比率的影响.     

Optimal Discrete Approximations for Continuous Outcomes with Applications in Decision and Risk Analysis

In decision and risk analysis, it is common to use discrete probability distributions to approximate uncertain events with continuous outcomes. This paper discusses how these approximations may be selected. A class of approximations based on a modification to Taguchi's work on tolerance analysis is shown to be optimal under assumptions of independent uncertainties with normally distributed outcomes. The approximation procedure is shown to be robust in many other situations and is extremely easy to use in practice. We also show how the approximation may be integrated into the process of subjective probability estimation by a ‘subject-matter expert’.     

基于风险网络的大型工程项目风险度量方法研究

风险度量是风险管理的基础,提出适合大型工程项目风险的风险度量方法.针对大型工程项目风险因素、风险信息、风险损失之间的复杂联系,构建大型工程项目风险网络,分别采用贝叶斯网络推理和网络层次分析法获得风险发生概率和风险量的估计,从而提出基于风险网络的大型工程项目风险度量方法.方法将风险损失量和风险损失发生概率进行了明确合理的结合,既可用于度量客观风险,也可用于度量主观风险.最后以槽菁头隧道施工风险管理为例说明该方法的具体应用步骤和效果.     

A DST-based approach for construction project risk analysis

Despite its huge potential in risk analysis, the Dempster–Shafer Theory of Evidence (DST) has not received enough attention in construction management. This paper presents a DST-based approach for structuring personal experience and professional judgment when assessing construction project risk. DST was innovatively used to tackle the problem of lacking sufficient information through enabling analysts to provide incomplete assessments. Risk cost is used as a common scale for measuring risk impact on the various project objectives, and the Evidential Reasoning algorithm is suggested as a novel alternative for aggregating individual assessments. A spreadsheet-based decision support system (DSS) was devised to facilitate the proposed approach. Four case studies were conducted to examine the approach's viability. Senior managers in four British construction companies tried the DSS and gave very promising feedback. The paper concludes that the proposed methodology may contribute to bridging the gap between theory and practice of construction risk assessment.     

Student Perceptions of a Summer Ventures in Science and Mathematics Camp Experience

“As the world becomes increasingly technological, the value of (the ideas and skills of its population) will be determined in no small measure by the effectiveness of science, technology, engineering, and mathematics (STEM) education in the United States” and “STEM education will determine whether the United States will remain a leader among nations and whether we will be able to solve immense challenges in such areas as energy, health, environmental protection, and national security” (President's Council of Advisors on Science and Technology, 2010, p. vii). Research on the effectiveness of STEM‐focused school and other learning experiences (e.g., short‐term camps) on student attitudes and performance outcomes is sparse. In this study, we documented the influence of an intensive STEM summer program on high school students’ attitudes toward STEM concepts and interests in STEM careers. Attending the summer program was associated with gains on students’ attitudes toward some aspects of STEM as well as specific career interests. Notably, students reported statistically significant views of important aspects of STEM and their attitudes toward science and mathematics were more positive than their attitudes about engineering and technology.     

Project Risk Analysis Based on Prototype Activities

This paper describes an approach to project risk analysis based on the assessment of risk associated with a prototype activity, which may typify a set of actual project activities in a variety of ways. Risk associated with the actual activities is assessed by treating these activities as variations on the prototype activity. In appropriate circumstances, this approach offers savings in the time and effort spent on risk analysis, possibly at the expense of some detail. The approach was conceived to deal with a commercially sensitive industrial project; in this paper it is illustrated by means of three hypothetical examples, which demonstrate a wide range of potential applications.     

Risk concentration based on Expectiles for extreme risks under FGM copula

Risk concentration is used as a measurement of diversification benefits in the context of risk aggregation. Expectiles, which are known to possess many good properties, have attracted increasing interest in recent years. In this paper, we aim to study the asymptotic properties of risk concentration based on Expectiles. Firstly, we extend the results on the second-order asymptotics of Expectiles in Mao et al. (2015). Secondly, we investigate the second-order asymptotics of tail probabilities and then apply them to risk concentrations based on Expectiles as well as on VaR.