Arithmetic returns for investment performance measurement

This paper introduces new money-weighted metrics for investment performance analysis, based on arithmetic means of holding period rates weighted by the investment’s market values. This approach generates rates of return which measure a fund’s or portfolio’s performance and a fund manager’s performance. It also enables to show that the Internal Rate of Return (IRR) is a weighted mean of holding period rates associated with interim values which differ from market values, so that value additivity is violated. The manager’s Arithmetic Internal Rate of Return (AIRR) is shown to be the true period equivalent of the cumulative Time Weighted Rate of Return (TWRR), whereas the period TWRR (a geometric return) provides a different ranking. The method is easily generalized for coping with varying benchmark rates. We also cope with the practical problem of estimating interim values whenever they are not available.     

On dividend strategies with non-exponential discounting

In this paper, we study the dividend maximization problem with a non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to Markov strategies. This is a time inconsistent control problem. The equilibrium HJB-equation is given and the verification theorem is proven for a general discount function. Considering a mixture of exponential discount functions and a pseudo-exponential discount function, we get equilibrium dividend strategies and the corresponding equilibrium value functions by solving the equilibrium HJB-equations.     

时滞系统在博弈中的应用研究

演化博弈理论解决策略均衡问题是目前比较认可的好方法.对于博弈方的经验行为,还未曾研究.本文以非对称2×2的博弈问题为研究对象,建立起带有时滞的博弈系统,通过动力学相关知识,分别研究了两类系统下博弈参与者策略的稳定状态.数值模拟分析了延时给决策带来的影响.实验表明,时滞作用不改变策略的稳定状态,改变的仅是达到稳态的速率.     

The effects of time delay on the stochastic resonance in feed-forward-loop neuronal network motifs

The dependence of stochastic resonance in the feed-forward-loop neuronal network motifs on the noise and time delay are studied in this paper. By computational modeling, Izhikevich neuron model with the chemical coupling is used to build the triple-neuron feed-forward-loop motifs with all possible motif types. Numerical results show that the correlation between the periodic subthreshold signal’s frequency and the dynamical response of the network motifs is resonantly dependent on the intensity of additive spatiotemporal noise. Interestingly, the excitatory intermediate neuron could induce intermittent stochastic resonance, whereas the inhibitory one weakens its influence on the intermittent mode. More importantly, it is found that the increasing delays can induce the intermittent appearance of regions of stochastic resonance. Based on the effects of the time delay on the stochastic resonance, the reasons and conditions of such intermittent resonance phenomenon are analyzed.     

Discrete-space partial dynamic equations on time scales and applications to stochastic processes

We consider a general class of discrete-space linear partial dynamic equations. The basic properties of solutions are provided (existence and uniqueness, sign preservation, maximum principle). Above all, we derive the following main results: first, we prove that the solutions depend continuously on the choice of the time scale. Second, we show that, under certain conditions, the solutions describe probability distributions of nonhomogeneous Markov processes, and that their time integrals remain the same for all underlying regular time scales.     

时间测度链上具正负系数的二阶阻尼动力方程的振动准则

研究了时间测度链上一类具正负系数和阻尼项及非线性中立项的二阶变时滞非线性动力方程的振荡性.利用时间测度链上的有关理论及广义Riccati变换,结合大量不等式技巧,建立了该方程若干新的振动准则,这些准则不仅推广和改进了一些已知的结果,而且在时间测度链上统一了二阶非线性时滞阻尼微分方程和二阶非线性时滞阻尼差分方程的振动性质.     

A family of minimax rates for density estimators in continuous time

In continuous time, rates of convergence of density estimators fluctuate with the nature of observed sample paths. In this paper, we give a family of rates reached by the kernel estimator and we show that these rates are minimax. Finally, we study applications of these results for specific classes of processes including the Gaussian ones     

Correlations in financial time series: established versus emerging markets

Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed. Received 17 October 2000     

Precise (m,k)-Zipf diagram analysis of mathematical and financial time series when m=6, k=2

For studying short-range time correlations in financial signals, we have envisaged to combine the Zipf method and the i-variability diagrams (VD) as useful tools. The 2-VD describes the local curvature short-range correlations. We have resulted into ranking the 2-VD data according to their frequency of occurrence. After having tested the ideas and estimated the error bars on a Brownian motion signal, we have examined two stocks, i.e. SGP and OXHP closing price and volume of transaction long series. A precise (m,k)-Zipf diagram analysis when m=6, k=2 has been shown to lead to a non-immediate information on the signal behavior, even taking into account error bars. The set of curvatures (translated into “words”) indicates a Brownian motion-like set for the closing price local curvature of such signals over a 6 day span. Moreover, it has been shown that the conjecture about a simple relationship between the Hurst exponent H and the ζ exponent of Zipf plots does not seem to be substantiated here.     

Time evolution of the size distribution of nano-sphere droplets in the hexadecane-in-water miniemulsion stabilized by nonionic surfactants

Time evolutions of the droplet size distribution in miniemulsions, which is constituted of water/n-hexadecane/nonionic surfactants, were investigated by using light scattering techniques. A hard-sphere model is applied to characterize the polydispersity of miniemulsion droplets. Measuring the relative scattering intensity as a function of the volume fraction of dispersed phase, the variance of the droplets size distribution, σ², was evaluated. Miniemulsions developed gradually from monodisperse systems (σ²≅0.02) to polydisperse ones (σ²≥0.13) over 12 days after preparation. σ² increased rapidly in the early stage, and ceased to develop at about 6 days after preparation. The z-average hydrodynamic radius of miniemulsion droplets grew with time over the whole time range. The change with time of the total droplet number of miniemulsion is in agreement with that predicted by Smoluchowski's theory for diffusion-controlled coagulation. Although the characteristic coagulation time obtained here was much larger than that estimated by Smoluchowski's theory, the qualitative agreement between the theory and the experimental results obtained here is good. At the earlier stage of the destabilization process of miniemulsions, the growth mechanism of droplets may be explained in terms of a diffusion-controlled coagulation. Received: 1 April 2000 Accepted: 10 August 2000