A note on the serial dictatorship with project closures

In this paper, we consider the problem of assigning agents having preferences to projects with capacities and lower quotas. For this problem, Monte and Tumennasan proposed a strategy-proof and Pareto efficient mechanism, called the serial dictatorship with project closures. In this paper, we show that the serial dictatorship with project closures can be extended to a more general setting.     

Arrangement Increasing Resource Allocation

Consider a system composed of several units. The performance of each unit can be affected by providing a portion of a limited amount of costly resources available. An allocation of resources to a unit results in a unit’s response that depends on the level of resources allocated to it and some of its random parameters. In this paper we consider cases where each unit has one or two random parameters. The overall performance of the system is mapped by a function on the vector of responses generated by all the units in the system. Our interest is in identifying the conditions on the response function of the units, the system performance function and the random parameters under which the random system performance as a function of the resource allocation has stochastic arrangement increasing property. This allows one to substantially reduce the number of allocation that needs to be searched to identify an optimal allocation that maximizes the expected utility derived from the system response as a result of the resource allocation.     

On the ordinal equivalence of the Johnston, Banzhaf and Shapley power indices

In this paper, we characterize the games in which Johnston, Shapley-Shubik and Penrose-Banzhaf-Coleman indices are ordinally equivalent, meaning that they rank players in the same way. We prove that these three indices are ordinally equivalent in semicomplete simple games, which is a newly defined class that contains complete games and includes most of the real-world examples of binary voting systems. This result constitutes a twofold extension of Diffo Lambo and Moulen’s result (Diffo Lambo and Moulen, 2002) in the sense that ordinal equivalence emerges for three power indices (not just for the Shapley-Shubik and Penrose-Banzhaf-Coleman indices), and it holds for a class of games strictly larger than the class of complete games.     

Stochastic orders of scalar products with applications

In this paper, we study stochastic orders of scalar products of random vectors. Based on the study of Ma [Ma, C., 2000. Convex orders for linear combinations of random variables. J. Statist. Plann. Inference 84, 11-25], we first obtain more general conditions under which linear combinations of random variables can be ordered in the increasing convex order. As an application of this result, we consider the scalar product of two random vectors which separates the severity effect and the frequency effect in the study of the optimal allocation of policy limits and deductibles. Finally, we obtain the ordering of the optimal allocation of policy limits and deductibles when the dependence structure of the losses is unknown. This application is a further study of Cheung [Cheung, K.C., 2007. Optimal allocation of policy limits and deductibles. Insurance: Math. Econom. 41, 382-391].     

On the serial cost sharing rule

In this paper we study a solution for discrete cost allocation problems, namely, the serial cost sharing method. We show that this solution can be computed by applying the Shapley value to an appropriate TU game and we present a probabilistic formula. We also define for cost allocation problems a multilinear function in order to obtain the serial cost sharing method as Owen (1972) did for the Shapley value in the cooperative TU context. Moreover we show that the pseudo average cost method is equivalent to an extended Shapley value. Received April 2000/Revised January 2003 RID="*" ID="*"  Authors are indebted to two anonymous referees for especially careful and useful comments. This research has been partially supported by the University of the Basque Country (projects UPV 036.321-HA197/98, UPV 036.321-HA042/99) and DGES Ministerio de Educación y Ciencia (project PB96-0247).     

Modelling redundancy allocation for a fuzzy random parallel-series system

Due to subjective judgment, imprecise human knowledge and perception in capturing statistical data, the real data of lifetimes in many systems are both random and fuzzy in nature. Based on the fuzzy random variables that are used to characterize the lifetimes, this paper studies the redundancy allocation problems to a fuzzy random parallel-series system.Two fuzzy random redundancy allocation models (FR-RAM) are developed through reliability maximization and cost minimization, respectively. Some properties of the FR-RAM are obtained, in which an analytical formula of reliability with convex lifetimes is derived and the sensitivity of the reliability is discussed. To solve the FR-RAMs, we first address the computation of reliability. A random simulation method based on the derived analytical formula is proposed to compute the reliability with convex lifetimes. As for the reliability with nonconvex lifetimes, the technique of fuzzy random simulation together with the discretization method of fuzzy random variable is employed to compute the reliability, and a convergence theorem of the fuzzy random simulation is proved. Subsequently, we integrate the computation approaches of the reliability and genetic algorithm (GA) to search for the approximately optimal redundancy allocation of the models. Finally, some numerical examples are provided to illustrate the feasibility of the solution algorithm and quantify its effectiveness.     

Portfolio optimization with serially correlated, skewed and fat tailed index returns

This paper finds that mean-variance portfolio optimization of stocks, bonds, hedge funds, real estate investment trusts and commodities is sufficiently exact to optimize the investor’s utility. We approximate the expected utility using a Taylor series expansion including terms involving third and fourth order moments. The empirical findings for monthly data from August 1994–August 2009 suggest that the incorporation of skewness and kurtosis cause no noticeable change in the optimal portfolio allocation. However, the serial correlations of smoothed returns of hedge funds and real estate investment trusts indeed cause major changes in optimal portfolio allocation. Consequently, attention needs to be drawn to significant serial correlation and not to potential deviations from normality due to skewed and fat-tailed return distributions. The out-of-sample analysis using a moving window gives evidence that the optimal portfolio weight differ significantly considering serial correlation. The optimization using smoothed returns leads to the highest terminal wealth after 10 years. The highest utility is reached with smoothed as well as shrinked returns, while using unsmoothed as well as shrinked returns leads to an out-of-sample disaster. These findings have practical implications for investors who are willing to diversify their portfolios with hedge funds and real estate investment trusts.     

Nested Conditional Value-at-Risk portfolio selection: A model with temporal dependence driven by market-index volatility

In a multistage stochastic programming framework, we develop a new method for finding an approximated portfolio allocation solution to the nested Conditional Value-at-Risk model when asset log returns are stagewise dependent. We describe asset log returns through a single-factor model where the driving factor is the market-index log return modeled by a Generalized Autoregressive Conditional Heteroskedasticity process to take into account the serial dependence usually observed. To solve the nested Conditional Value-at-Risk model, we implement a backward induction scheme coupled with cubic spline interpolation that reduces the computational complexity of the optimal portfolio allocation and allows to treat problems otherwise unmanageable.     

A model to enhance the reliability of the serial parallel systems with component mixing

System reliability, especially for serial parallel systems, has attracted much attention in recent years. Redundancy allocation is a technique to increase the reliability of the serial parallel systems. Supplying redundant components depends on some restrictions such as available budget, weight, space, etc. This paper proposes a new model for redundancy allocation problems (RAPs) by considering discount policy. The proposed model attempts to maximize the reliability of a system by gathering various components where there are some limitations on budgeting. We present two models with different assumptions including all unit discount and incremental discount strategies. The resulted formulations are nonlinear integer models and categorized as NP-hard. Therefore, some heuristics and meta-heuristics are designed to solve the resulted models, efficiently.     

Discrete allocation of a linear resource according to a sum-of-products objective

The allocation of a linear resource according to the sum of the returns from independent activities is considered. The return from each activity is given by a product of concave and nondecreasing functions of a single allocation variable. The model can be used, for instance, to describe probabilities of success of several serial tasks, into which an activity is subdivided. An incremental algorithm is defined and conditions are given for the algorithm to generate an optimal solution; otherwise, the problem is solved by a two-step procedure involving the incremental maximization of the return corresponding to a single activity and the combination of the activities by dynamic programming. Examples are given of problems solvable and not solvable by the incremental algorithm.     

Stochastic optimal design in multivariate stratified sampling

This work considers the allocation problem for multivariate stratified random sampling as a problem of integer non-linear stochastic multiobjective mathematical programming. With this goal in mind the asymptotic distribution of the vector of sample variances is studied. Two alternative approaches are suggested for solving the allocation problem for multivariate stratified random sampling. An example is presented by applying the different proposed techniques.     

Estimation of some functional of the population distribution based on a stratified random sample

Summary In the preceding papers ([7], [8] and [9]), one of the authors discussed about the estimation of variances, covariances and correlation coefficients of the population based on a stratified random sample. In this paper we consider more general problem; estimating some functional θ(F) of the population distributionF based on a stratified random sample, which include our previous papers as special cases. We propose an unbiased estimator of θ(F) based on a stratified random sample and give an asymptotic expression of the gain in precision due to stratification in the case of proportional allocation. Furthermore, we present the general form of the optimum stratification in the proportional allocation for the estimation of θ(F).     

部分随机数测试标准的物理意义及其硬件改进措施

随机数在密码学、保密通信和国家安全等领域具有重要的作用,因此寻求一种提高随机数测试通过率的方法具有重要意义.对美国NIST SP800-22测试标准中的部分测试标准进行了分析,并针对其中的单比特频数测试、游程测试、块内最大游程测试以及子块测试分别给出了其物理意义和改进随机数发生器性能的硬件措施.     

House allocation when availability of houses may change unexpectedly

We study the problem of allocating a set of objects, e.g. houses, tasks, offices to a group of people having preferences over these objects. For various reasons, there may be more or fewer objects than initially planned and allocated. How should such unexpected changes be handled? One way is to declare the initial decision irrelevant and reallocate all available objects. Alternatively, one can use the initial decision as starting point in allocating the new objects. Since both perspectives seem equally reasonable, a natural robustness principle on the rule is that it should produce the same outcome no matter which one is taken. We define two robustness properties based on this idea, pertaining to more objects and fewer objects, respectively.We characterize the family of rules that satisfy mild efficiency, fairness and incentives requirements, together with either one of our robustness properties. They are the family of serial dictatorship rules.     

Optimal capital allocations to interdependent actuarial risks

This paper further studies the capital allocation concerning mutually interdependent random risks. In the context of exchangeable random risks, we establish that risk-averse insurers incline to evenly distribute the total capital among multiple risks. For risk-averse insurers with decreasing convex loss functions, we prove that more capital should be allocated to the risk with the larger reversed hazard rate when risks are coupled by an Archimedean copula. Also, sufficient conditions are developed to exclude the worst capital allocations for random risks with some specific Archimedean copulas.     

随机网络计划在审计中的应用

审计作为市场经济的自我约束机制,在经济发展中有着不可或缺的责任.本文利用随机网络技术进行分析,旨在设计出高效率的审计活动方案.首先,利用PERT技术建立了确定型的审计活动模型,在此基础上给出了时间—资源优化下的最优人员分配方案;其次,利用GERT技术建立了随机型的审计活动模型,引入矩母函数和梅森公式进行GERT解析求解求出所需的工期等指标,同时采用蒙特卡罗模拟求解验证解析求解的准确性,为审计活动的工期控制提供了理论依据.最后对于工作时间确定的GERT模型,结合PERT和GERT两种技术对其进行简化分析,从而得到了时间—资源优化下的最优人员分配方案.     

Ordinally equivalent data: A measurement-theoretic look at formal concept analysis of fuzzy attributes

We show that if two fuzzy relations, representing data tables with graded attributes, are ordinally equivalent then their concept lattices with respect to the Gödel operations on chains are (almost) isomorphic and that the assumption of Gödel operations is essential. We argue that measurement-theoretic results like this one are important for pragmatic reasons in relational data modeling and outline issues for future research.     

Variance Allocation and Shapley Value

Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of n possibly dependent random variables. This criterion, the Shapley value, requires to translate the problem into a cooperative game. The Shapley value has nice properties, but, in general, is computationally demanding. The main result of this paper shows that in our particular case the Shapley value has a very simple form that can be easily computed. The same criterion is used also to allocate the standard deviation of the sum of n random variables and a conjecture about the relation of the values in the two games is formulated.     

Optimum Allocation in Multivariate Stratified Random Sampling: A Modified Prékopa’s Approach

Considering the possible correlation between the characteristics (variables) in multivariate stratified random sampling, a modified Prékopa’s approach is suggested for the problem of optimum allocation in multivariate stratified random sampling. An example is solved by applying the proposed methodology.     

Asymptotic existence of fair divisions for groups

The problem of dividing resources fairly occurs in many practical situations and is therefore an important topic of study in economics. In this paper, we investigate envy-free divisions in the setting where there are multiple players in each interested party. While all players in a party share the same set of resources, each player has her own preferences. Under additive valuations drawn randomly from probability distributions, we show that when all groups contain an equal number of players, a welfare-maximizing allocation is likely to be envy-free if the number of items exceeds the total number of players by a logarithmic factor. On the other hand, an envy-free allocation is unlikely to exist if the number of items is less than the total number of players. In addition, we show that a simple truthful mechanism, namely the random assignment mechanism, yields an allocation that satisfies the weaker notion of approximate envy-freeness with high probability.