用Johnson分布族来计算非线性VaR

目前，最普遍的风险管理方法是：VaR(Value at Risk含义是风险中的价值）风险测量技术，而该技术在测量包含有非非线性头寸的资产组合回报时，因为资产回报分布已不是正态分布，因而在求组合回报在一定置信水平下的分位数时，遇到了前扎未有的挑战。在这种情况下，局部Mnte-Carlo模拟法被认为是一种较准确的VaR测量方法，但由于其计算的时间长，计算量大，且无法解决伪随机数的休聚性问题等本身缺陷，在实际中也不常用，针对这一情况，Risk Metrics技术小组于1996年就提出以Johnson分布来将回报转换为标准正态分布，但参数估计除对数正态外不存在解析形式，且需要解一个非线性方程组。而本采用分位点估计来估计参数，不但不必要解非线性方程组，计算量上大大减少，而且James F.Slifker等人已经证明分位点估计比矩估计拟合得更好，所以本把它用于VaR计算，并与局部Monte-Carlo模拟法进行了比较。     

Foliated Manifolds and Conformal Heat Morphisms

The objects under study, in this article, are Riemannian manifoldsfoliated by hypersurfaces. Looking at the transverse direction as time,we construct the generalised heat operator and, in the spirit of atime-space extension of harmonic morphisms, we introduce the conformal heat morphisms. Concrete examples of these concepts arepresented, as well as, a characterisation of conformal heat morphisms.Lastly, we calculate the heat Lie algebra of the generalised heatoperator.     

On isomorphisms and isotopisms of bol loops of order 3p

Let A = A(p, λ) be the multiparameter deformation of the coordinate algebra of n × n matrices as described by Artin, Schelter and TÄte. Let U be the quantum enveloping algebra which is associ-ated to A, in the sense of Fad dee v, Reshetikhin and Takhtadzhyan. When the parameter λ is not a root of unity, we classify the skew primitive elements of U and describe the group of Hopf algebra automorphisms of a subalgebra U ^′ of u. Finally, we find some of the central group-like elements of U.     

On the Composite of Three Irreducible Morphisms in the Fourth Power of the Radical

We study here the nonzero composite of three irreducible morphisms between indecomposable modules lying in the fourth power of the radical.     

On the minimum average distance of binary constant weight codes

Let β(n,M,w) denote the minimum average Hamming distance of a binary constant weight code with length n, size M and weight w. In this paper, we study the problem of determining β(n,M,w). Using the methods from coding theory and linear programming, we derive several lower bounds on the average Hamming distance of a binary constant weight code. These lower bounds enable us to determine the exact value for β(n,M,w) in several cases.     

A strong log-concavity property for measures on Boolean algebras

We introduce the antipodal pairs property for probability measures on finite Boolean algebras and prove that conditional versions imply strong forms of log-concavity. We give several applications of this fact, including improvements of some results of Wagner, a new proof of a theorem of Liggett stating that ultra-log-concavity of sequences is preserved by convolutions, and some progress on a well-known log-concavity conjecture of J. Mason.     

Primitive decompositions of Johnson graphs

A transitive decomposition of a graph is a partition of the edge set together with a group of automorphisms which transitively permutes the parts. In this paper we determine all transitive decompositions of the Johnson graphs such that the group preserving the partition is arc-transitive and acts primitively on the parts.     

Convex hull realizations of the multiplihedra

We present a simple algorithm for determining the extremal points in Euclidean space whose convex hull is the nth polytope in the sequence known as the multiplihedra. This answers the open question of whether the multiplihedra could be realized as convex polytopes. We use this realization to unite the approach to An-maps of Iwase and Mimura to that of Boardman and Vogt. We include a review of the appearance of the nth multiplihedron for various n in the studies of higher homotopy commutativity, (weak) n-categories, A_∞-categories, deformation theory, and moduli spaces. We also include suggestions for the use of our realizations in some of these areas as well as in related studies, including enriched category theory and the graph-associahedra.     

f-Harmonic Morphisms Between Riemannian Manifolds

f-Harmonic maps were first introduced and studied by Lichnerowicz in 1970. In this paper, the author studies a subclass of f-harmonic maps called f-harmonic morphisms which pull back local harmonic functions to local f-harmonic functions. The author proves that a map between Riemannian manifolds is an f-harmonic morphism if and only if it is a horizontally weakly conformal f-harmonic map. This generalizes the well-known characterization for harmonic morphisms. Some properties and many examples as well as some non-existence of f-harmonic morphisms are given. The author also studies the f-harmonicity of conformal immersions.     

Latin squares with bounded size of row prefix intersections

A latin square is a matrix of size n×n with entries from the set {1,…,n}, such that each row and each column is a permutation on {1,…,n}. We show how to construct a latin square such that for any two distinct rows, the prefixes of length h of the two rows share at most about h²/n elements. This upper bound is close to optimal when contrasted with a lower bound derived from the Second Johnson bound [6].