投资组合保险CPPI策略研究

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.     

Determination of the orientation of the electric field gradient at the Cu(1) site from the Mössbauer spectra of textured pellets made of YBa2Cu3O7−δ superconductor

A textured pellet of YBa₂Cu₃O_7?δ was prepared and doped with⁵⁷Co. After subsequent heat treatments the cobalt was found at the two copper sites. The degree of alignment of individual crystallites (about 40%) was determined from the Mössbauer spectrum by using a method developed by the authors [1]. The same method showed that the most characteristic doublet component of such spectra (δ=0.08 mm/s; |ΔE _Q|=1.96 mm/s) is associated with a site, most probably a Cu(1) site, where the EFG is parallel to thec direction of the unit cell. The sign ofV _zz turned out to be negative, giving a negative quadrupole splitting (ΔE _Q=?1.96 mm/s) for that component.     

同步辐射与GGG：Nd^3＋晶体的相互作用

用北京同步辐射489A-VUV束线作为连续光源测定了GGG:Nd~(3+)晶体的短波吸收光谱。用束线4B9A-WX作为光源激发GGG:Nd~(3+),测定了它的XEOL(X-ray excited optical luminescence)。     

Synthesis of 5‐Radioiodoarabinosyl Uridine Analog for Probing the HSV‐1 Thymidine Kinase Gene

Tumor cells transduced with herpes simplex virus thymidine kinase gene have been intensively applied to the field of positron emission tomography via imaging of its substrate. As a pilot synthesis approach, a facile preparation of 5‐[¹²⁵I] iodoarabinosyl uridine starting from commercially available uridine is reported herein.     

Frame Wavelets with Compact Supports for L^2（R^n）

The construction of frame wavelets with compact supports is a meaningful problem in wavelet analysis. In particular, it is a hard work to construct the frame wavelets with explicit analytic forms. For a given n × n real expansive matrix A, the frame-sets with respect to A are a family of sets in R^n. Based on the frame-sets, a class of high-dimensional frame wavelets with analytic forms are constructed, which can be non-bandlimited, or even compactly supported. As an application, the construction is illustrated by several examples, in which some new frame wavelets with compact supports are constructed. Moreover, since the main result of this paper is about general dilation matrices, in the examples we present a family of frame wavelets associated with some non-integer dilation matrices that is meaningful in computational geometry.     

Image Displaying Method of Ground-Based Millimeter Wave Radiometric Imaging System

The image displaying methods used in a millimeter wave radiometric imaging system have great influence on its imaging quality. In order to obtain high quality millimeter wave radiometric images, intensive studies on the image displaying methods are needed. This paper describes the image displaying method of Ground-based 8mm Millimeter Wave Radiometric Imaging (GMWRI) system and compares two different image displaying methods. The experimental results prove the unequal size element arc displaying method fits GMWRI system better.     

Synthesis of grafted poly(p‐phenyleneethynylene) with energy donor–acceptor architecture via atom transfer radical polymerization: Towards nonaggregating and hole‐facilitating light‐emitting material

In this contribution, we demonstrate a new effective methodology for constructing highly efficient and durable poly(p‐phenyleneethynylene) (PPE) containing emissive material with nonaggregating and hole‐facilitating properties through the introduction of hole‐transporting blocks into the PPE system as the grafting coils as well as building the energy donor–acceptor architecture between the grafting coils and the PPE backbone. Poly(2‐(carbazol‐9‐yl)ethyl methacrylate) (PCzEMA), herein, is chosen as the hole‐transporting blocks, and incorporated into the PPE system as the grafting coils via atom transfer radical polymerization. The chemical structure of the resultant copolymer, PPE‐g‐PCzEMA, was characterized by NMR and gel permeation chromatography, showing that the desirable copolymer was obtained with the narrow polydispersity. The increased thermal stability of PPE‐g‐PCzEMA was confirmed by thermogravimetric analysis and differential scanning calorimetry along with its macroinitiator. The optoelectronic properties of this copolymer were studied in detail by ultraviolet‐visible absorption, photoluminescence emission and excitation spectra, and cyclic voltammogram (CV). The results indicate that PPE‐g‐PCzEMA exhibits the solid‐state luminescent property dominated by individual lumophores, and also the energy transfer process from the PCzEMA blocks to the PPE backbone with a relatively higher energy transfer efficiency in the solid‐state compared to that of the solution state. Additionally, the hole‐injection property is greatly facilitated due to the presence of PCzEMA, as confirmed by CV profiles. All these data indicate that PPE‐g‐PCzEMA is a good candidate for use in optoelectronic devices. © 2007 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 45: 3776–3787, 2007     

动态广义球对称含荷黑洞的统计熵

利用改进了的brickwall膜模型,计算了动态广义球对称含荷黑洞的熵,研究结果表明,对于动态黑洞,将黑洞熵表示为与视界面积成正比时,则比例系数总与动态黑洞的视界速度有关 关键词： 广义球对称黑洞 黑洞熵 brick-wall膜模型 WKB近似     

Interplay of charge, spin, orbital and lattice correlations in colossal magnetoresistance manganites

We derive a realistic microscopic model for doped colossal magnetoresistance manganites, which includes the dynamics of charge, spin, orbital and lattice degrees of freedom on a quantum mechanical level. The model respects the SU(2) spin symmetry and the full multiplet structure of the manganese ions within the cubic lattice. Concentrating on the hole doped domain ( 0≤x≤0.5) we study the influence of the electron-lattice interaction on spin and orbital correlations by means of exact diagonalisation techniques. We find that the lattice can cause a considerable suppression of the coupling between spin and orbital degrees of freedom and show how changes in the magnetic correlations are reflected in dynamic phonon correlations. In addition, our calculation gives detailed insights into orbital correlations and demonstrates the possibility of complex orbital states. Received 4 September 2002 / Received in final form 8 November 2002 Published online 31 December 2002