具有交易成本的证券组合投资决策研究

本文利用均值－方差模型，分析了有交易成本的证券投资组合的决策问题，给出了风险资产和无风险资产的最优投资比例与交易成本关系的一个有意义的结论。     

Some aspects of diffusion: fluctuations in reaction diffusion,and geometric influences in nonuniform media

Summary We deal with two diffusion problems: Space-integrated conserved entities characterizing very fast - diffusion - controlled reactions, such as time lags, etc. are universal. They are given by relationships which do not reflect the failure of the mean field hydrodynamic equations. We present another application which does not reflect this failure, for determining the surface flux via a diffusion controlled reaction producing a colored product. Another anomalous diffusion process we considered is transport through cellular materials whose cell sizes are highly nonuniform. We have analyzed the effects of extreme nonuniformity by considering fractal-like models of cellular solids. The diffusion current through these models can exhibit anomalous time-dependencies which are not predicted by the diffusion equation. In particular, it is shown that the initial diffusion current can be characterized by a power-law dependence on the time. Furthermore, the exponent of the power law is given in terms of the distribution of cell sizes in the fractal-like cellular solid.     

Review of time lag permeation technique as a method for characterisation of porous media and membranes

The time lag permeation technique has proven to bean effective method for characterisation. Because of the simple nature of the permeation experiment, transport parameters can be directly obtained from experimental data hence avoiding the intensive mathematical treatment required by other techniques. The method has historically been applied to diffusion and adsorption in porous membranes and diffusion in polymer membranes. Since its origins in 1920, interest in the time lag method has expanded because of its value in characterising simple permeation processes and also complex systems of diffusion with simultaneous adsorption and surface diffusion. This review focuses on presenting the asymptotic solution of the mass balance diffusion equations and includes applications of time lag analysis, in order to give a critical and broad perspective of this method as a tool for characterisation. It includes much of the previously published literature in order to show that for most cases the asymptotic solution of the transport equations is simple, and for more complex cases that an analytical solution is possible hence avoiding cumbersome numerical techniques.     

大学、企业研发与区域创新的空间统计与计量分析

利用空间统计的Moran指数和空间计量经济学的空间误差模型和空间滞后模型,对2000年中国大陆31个省域的创新产出与大学与企业的关系进行了空间计量经济分析。结果发现:31个省域创新能力贡献主要是由企业研究与开发投入实现,大学研发对区域创新能力没有明显的作用,大学与企业研发的结合也没有对区域创新产生明显贡献。     

变分原理分析开裂简支箱梁剪力滞效应

变分原理通常应用于箱形截面梁剪力滞效应弹性分析,本文基于换算截面法,运用变分原理推导了预应力混凝土简支箱梁均布荷载作用、钢筋混凝土简支箱梁集中荷载作用的剪力滞系数计算公式,考虑了混凝土开裂对箱梁剪力滞效应的影响,并与试验结果和规范方法进行了对比分析。变分原理分析开裂混凝土箱梁剪力滞效应方法力学概念明确,是其弹性分析适用范围的拓展,亦可推广应用到混凝土连续箱梁开裂后的剪力滞效应分析,具有广阔的应用前景。     

Simple technique for the simultaneous determination of solvent diffusion coefficient in polymer by Quantum Resistive Sensors and FT‐IR spectroscopy

A simple, quick and novel method for the determination of diffusion properties through polymer films, based on Quantum Resistive Sensors made of Conductive Polymer nanoComposites is presented. The integral time lag method is employed for the calculation of diffusion coefficient, and the results are compared simultaneously with that of Fourier transform infrared spectroscopy and sorption method. Two model polymers, a semi‐crystalline poly(lactic acid) and an amorphous poly(isobutylene‐co‐isoprene), are used to validate the study. A good correlation is established between the diffusion coefficient values derived from all techniques demonstrating the interest of such reliable, simple and cheap nanosensors for the quick determination (several minutes) of diffusion properties in polymer films. Our first results suggest that this technique is meaningful for the determination of barrier properties in nanocomposite membranes filled with platelets of graphene or clay. Copyright © 2013 John Wiley & Sons, Ltd.     

Operational risk: Emerging markets,sectors and measurement

The role of decision support systems in mitigating operational risks in firms is well established. However, there is a lack of investment in decision support systems in emerging markets, even though inadequate operational risk management is a key cause of discouraging external investment. This has also been exacerbated by insufficient understanding of operational risk in emerging markets, which can be attributed to past operational risk measurement techniques, limited studies on emerging markets and inadequate data.     

简支及悬臂箱梁在角隅轴向荷载作用下的翼板纵向应力

基于能量变分原理,拟定轴向荷载作用下箱梁的纵向位移函数,得到关于翼板剪切变形引起的位移差函数的基本微分方程,继而推导出箱梁翼板纵向应力表达式,并首次得出角隅轴向荷载作用下翼板出现应力不均匀分布的荷载及边界条件。通过对一模型箱梁进行计算,并与通用有限元软件ANSYS壳单元计算结果进行比较,验证了该方法和所推导公式的正确性。研究结果表明,当作用于简支箱梁截面角隅处的轴向荷载（合力无偏心）为集中或分布荷载时,翼板不产生纵向应力不均匀现象;当作用于悬臂箱梁截面角隅处的轴向荷载（合力无偏心）为集中荷载时,翼板不产生纵向应力不均匀现象,而当荷载轴向分布时,翼板将产生纵向应力不均匀现象。实际工程中,横力弯曲使悬臂箱梁产生剪力滞效应,这种效应会与轴向分布荷载产生的效应叠加,设计时对此应予以充分考虑。     

聚类分析在股票市场板块分析中的应用

本文将聚类分析应用于股票市场的研究,研究实例表明,聚类分析方法是股市板块分析中的一种有效、实用的方法     

Local Lead–Lag Relationships and Nonlinear Granger Causality: An Empirical Analysis

The Granger causality test is essential for detecting lead–lag relationships between time series. Traditionally, one uses a linear version of the test, essentially based on a linear time series regression, itself being based on autocorrelations and cross-correlations of the series. In the present paper, we employ a local Gaussian approach in an empirical investigation of lead–lag and causality relations. The study is carried out for monthly recorded financial indices for ten countries in Europe, North America, Asia and Australia. The local Gaussian approach makes it possible to examine lead–lag relations locally and separately in the tails and in the center of the return distributions of the series. It is shown that this results in a new and much more detailed picture of these relationships. Typically, the dependence is much stronger in the tails than in the center of the return distributions. It is shown that the ensuing nonlinear Granger causality tests may detect causality where traditional linear tests fail.