Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. JEL: G23, G11 MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20     

A rule-based risk decision-making approach and its application in China's customs inspection decision

This paper addresses a kind of risk decision-making problem existing widely in public administration and business management, which is characterized by (1) occurrence probabilities of states of nature can be estimated by analysing historical observations, but historical observations of different objects are unhomogeneous, (2) the relation between observations and occurrence probabilities of states of nature are affected by some qualitative and quantitative indicators, (3) it is a real-time decision-making problem, that is, there are many decisions for different objects to be made in a limited time, (4) considering decision's execution, impact of resource constrains is an important issue in decision-making process. In this paper, we develop a rule-based approach to address the problem. In the proposed approach, a two-step clustering method is employed to classify objects into categories, and observations in each category can be approximately viewed as homogeneous. For objects in each category, occurrence probabilities of states of nature are estimated by logistic regression, and the decision rule is obtained through solving an optimization model, which is to minimize the total decision risks while satisfying resource constrains. Effect and efficacy of our approach are illustrated through its application to China's customs inspection decision.     

Copper diffusion in Ti-Si-N layers formed by inductively coupled plasma implantation

Ternary Ti-Si-N refractory barrier films of 15 nm thick was prepared by low frequency, high density, inductively coupled plasma implantation of N into Ti_xSi_y substrate. This leads to the formation of Ti-N and Si-N compounds in the ternary film. Diffusion of copper in the barrier layer after annealing treatment at various temperatures was investigated using time-of-flight secondary ion mass spectrometer (ToF-SIMS) depth profiling, X-ray diffractometer (XRD), field emission scanning electron microscopy (FESEM), energy dispersive X-ray (EDX) and sheet resistance measurement. The current study found that barrier failure did not occur until 650 °C annealing for 30 min. The failure occurs by the diffusion of copper into the Ti-Si-N film to form Cu-Ti and Cu-N compounds. FESEM surface morphology and EDX show that copper compounds were formed on the ridge areas of the Ti-Si-N film. The sheet resistance verifies the diffusion of Cu into the Ti-Si-N film; there is a sudden drop in the resistance with Cu compound formation. This finding provides a simple and effective method of monitoring Cu diffusion in TiN-based diffusion barriers.     

AN IMPROVED SEARCH-EXTENTION METHOD FOR SOLVING SEMILINEAR PDES

This article will combine the finite element method, the interpolated coefftcient finite element method, the eigenfunction expansion method, and the search-extension method to obtain the multiple solutions for semilinear elliptic equations. This strategy not only grently reduces the expensive computation, but also is successfully implemented to obtain multiple solutions for a class of semilinear elliptic boundary value problems with non-odd nonlinearity on some convex or nonconvex domains. Numerical solutions illustrated by their graphics for visualization will show the efficiency of the approach.     

An Enhancement of the Drezner—Wesolowsky Algorithm for Single-Facility Location with Maximin of Rectilinear Distance

In this note, we examine the algorithm of Drezner and Wesolowsky for locating a facility with maximin rectilinear distance to a given set of demand points. The concept of the closest-point constraint is introduced as a technique for increasing the efficiency of the algorithm. This potential increase in efficiency is demonstrated by an example.     

Modelling treatment effects in the HIV/AIDS epidemic

Advances in recent treatments for HIV/AIDS patients have shown dramatic outcomes in extending the incubation period and AIDS survival time, while also providing significant improvements in the quality of patients' lives. A compartmental model is proposed to analyse the effects of the various treatment regimens which have been introduced. The results produced are in good agreement with routinely collected data relating to levels of HIV/AIDS incidence and prevalence in the UK homosexual population. Some parameter values within the model are obtained from surveys, census results, etc, but others are derived using a maximum likelihood estimation procedure. Finally, the model is used to project levels of incidence and prevalence over the next few years, and to investigate several possible scenarios.     

On local optima in multiobjective combinatorial optimization problems

In this article, local optimality in multiobjective combinatorial optimization is used as a baseline for the design and analysis of two iterative improvement algorithms. Both algorithms search in a neighborhood that is defined on a collection of sets of feasible solutions and their acceptance criterion is based on outperformance relations. Proofs of the soundness and completeness of these algorithms are given.     

A note on the acyclicity of the Koszul complex of a module

We prove the vanishing of the Koszul homology group H _μ(Kos(M)_μ), where μ is the minimal number of generators of M. We give a counterexample that the Koszul complex of a module is not always acyclic and show its relationship with the homology of commutative rings.     

Synthesis of double silylene-bridged binuclear titanium complexes and their use as catalysts for ethylene polymerization

Five new double silylene-bridged binuclear titanium complexes were synthesized by the reaction of RCpTiCl₃ and Li₂[μ,μ-(SiMe₂)₂ (C₅H₃)₂] in toluene. They were all well characterized. These complexes activated with methylaluminoxane (MAO) are highly active catalysts (2.33 × 10⁵ g PE/mol Cat h) for the polymerization of ethylene even at low Al/Ti (Al/Ti = 300). The molecular weight distribution of the polymer indicates broad or bimodal (MWD = 26.76) distribution.