Sample average approximation of expected value constrained stochastic programs

We propose a sample average approximation (SAA) method for stochastic programming problems with expected value constraints. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). We provide a convergence analysis and a statistical validation scheme for the proposed method.     

On molecular topological properties of hex‐derived networks

Topological indices are numerical parameters of a molecular graph, which characterize its topology and are usually graph invariant. In quantitative structure–activity relationship/quantitative structure–property relationship study, physico‐chemical properties and topological indices such as Randić, atom–bond connectivity (ABC), and geometric–arithmetic (GA) index are used to predict the bioactivity of chemical compounds. Graph theory has found a considerable use in this area of research. In this paper, we study hex‐derived networks HDN1(n) and HDN2(n), which are generated by hexagonal network of dimension n and derive analytical closed results of general Randić index R_α(G) for different values of α, for these networks of dimension n. We also compute the general first Zagreb, ABC, GA, ABC₄, and GA₅ indices for these hex‐derived networks for the first time and give closed formulae of these degree‐based indices for hex‐derived networks. Copyright © 2016 John Wiley & Sons, Ltd.     

On the nonlocal symmetries of certain nonlinear oscillators and their general solution

In this Letter we establish the integrability of two nonlinear oscillators through group theoretical method. We utilize the algorithm given in [M.L. Gandarias, M.S. Bruzon, J. Nonlinear Math. Phys. 18 (2011) 123] and construct nonlocal symmetries for these two oscillators. From the knowledge of the latter we derive first integral and general solution for these two nonlinear nonpolynomial oscillator equations.     

Capital Asset Pricing Model (CAPM) with drawdown measure

The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the average of a specified percentage of the largest drawdowns over an investment horizon and includes maximum and average drawdowns as particular cases. The necessary optimality conditions for a portfolio optimization problem with CDaR yield the capital asset pricing model (CAPM) stated in both single and multiple sample-path settings. The drawdown beta in the CAPM has a simple interpretation and is evaluated for hedge fund indices from the HFRX database in the single sample-path setting. Drawdown alpha is introduced similarly to the alpha in the classical CAPM and is evaluated for the same hedge fund indices. Both drawdown beta and drawdown alpha are used to prioritize hedge fund strategies and to identify instruments for hedging against market drawdowns.     

Effective location models for sorting recyclables in public management

The recycling of urban solid wastes is a critical point for the “closing supply chains” of many products, mainly when their value cannot be completely recovered after use. In addition to environmental aspects, the process of recycling involves technical, economic, social and political challenges for public management. For most of the urban solid waste, the management of the end-of-life depends on selective collection to start the recycling process. For this reason, an efficient selective collection has become a mainstream tool in the Brazilian National Solid Waste Policy. In this paper, we study effective models that might support the location planning of sorting centers in a medium-sized Brazilian city that has been discussing waste management policies over the past few years. The main goal of this work is to provide an optimal location planning design for recycling urban solid wastes that fall within the financial budget agreed between the municipal government and the National Bank for Economic and Social Development. Moreover, facility planning involves deciding on the best sites for locating sorting centers along the four-year period as well as finding ways to meet the demand for collecting recyclable materials, given that economic factors, consumer behavior and environmental awareness are inherently uncertain future outcomes. To deal with these issues, we propose a deterministic version of the classical capacity facility location problem, and both a two-stage recourse formulation and risk-averse models to reduce the variability of the second-stage costs. Numerical results suggest that it is possible to improve the current selective collection, as well as hedge against data uncertainty by using stochastic and risk-averse optimization models.     

Dual Lukacs regressions for non-commutative variables

Dual Lukacs type characterizations of random variables in free probability are studied here. First, we develop a freeness property satisfied by Lukacs type transformations of free-Poisson and free-binomial non-commutative variables which are free. Second, we give a characterization of non-commutative free-Poisson and free-binomial variables by properties of first two conditional moments, which mimic Lukacs type assumptions known from classical probability. More precisely, our result is a non-commutative version of the following result known in classical probability: if U, V   are independent real random variables, such that E(V(1−U)|UV)$\mathbb{E}(V(1-U)|UV)$ and E(V²(1−U)²|UV)$\mathbb{E}(V^2{(1-U)}^2|UV)$ are non-random then V has a gamma distribution and U has a beta distribution.     

Solvency II,regulatory capital,and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?

We study the problem of optimal reinsurance as a means of risk management in the regulatory framework of Solvency II under Conditional Value-at-Risk and, as its natural extension, spectral risk measures. First, we show that stop-loss reinsurance is optimal under both Conditional Value-at-Risk and spectral risk measures. Spectral risk measures thus constitute a more general class of suitable regulatory risk measures than specific Conditional Value-at-Risk. At the same time, the established type of stop-loss reinsurance can be maintained as the optimal risk management strategy that minimizes regulatory capital. Second, we derive the optimal deductibles for stop-loss reinsurance. We show that under Conditional Value-at-Risk, the optimal deductible tends towards restrictive and counter-intuitive corner solutions or “plunging”, which is a serious objection against its use in regulatory risk management. By means of the broader class of spectral risk measures, we are able to overcome this shortcoming as optimal deductibles are now interior solutions. Especially, the recently discussed power spectral risk measures and the Wang risk measure are shown to avoid any plunging. They yield a one-to-one correspondence between the risk parameter and the optimal deductible and, thus, provide economically plausible risk management strategies.     

对称群上Cayley图的连通性

本文研究限制性边连通度的λ′-原子．运用所得结果可以证明Cayley图C(Sn,S)是最优超-λ的．这里Sn是n次对称群,S是若干由奇置换构成的共轭类的并，另外，我们还证明了C(Sn，S)是Vosperian的．除非它是完全二部图．