一种基于不同风险偏好投资多目标决策模型及解法

建立了风险投资的多目标决策模型，分别采用线性加权法、TOPSIS法和密切值法，对不同风险偏好下备选方案进行排序，再用平均值法对上述排序进行综合排序，从而避免单一方法的片面性，较为全面科学地得出最优方案。最后，用一个算例说明了方法的可行性和有效性。     

Performance of Portfolios Based on the Expected Utility-Entropy Fund Rating Approach

Yang and Qiu proposed and reframed an expected utility–entropy (EU-E) based decision model. Later on, a similar numerical representation for a risky choice was axiomatically developed by Luce et al. under the condition of segregation. Recently, we established a fund rating approach based on the EU-E decision model and Morningstar ratings. In this paper, we apply the approach to US mutual funds and construct portfolios using the best rating funds. Furthermore, we evaluate the performance of the fund ratings based on the EU-E decision model against Morningstar ratings by examining the performance of the three models in portfolio selection. The conclusions show that portfolios constructed using the ratings based on the EU-E models with moderate tradeoff coefficients perform better than those constructed using Morningstar. The conclusion is robust to different rebalancing intervals.     

The Intensity of Heat Exchange between Rock and Flowing Gas in Terms of Gas-Geodynamic Phenomena

Gas-induced geodynamic phenomena can occur during underground mining operations if the porous structure of the rock is filled with gas at high pressure. In such cases, the original compact rock structure disintegrates into grains of small dimensions, which are then transported along the mine working space. Such geodynamic events, particularly outbursts of gas and rock, pose a danger both to the life of miners and to the functioning of the mine infrastructure. These incidents are rare in copper ore mining, but they have recently begun to occur, and have not yet been fully investigated. To ensure the safety of mining operations, it is necessary to determine parameters of the rock–gas system for which the energy of the gas will be smaller than the work required to disintegrate and transport the rock. Such a comparison is referred to as an energy balance and serves as a starting point for all engineering analyses. During mining operations, the equilibrium of the rock–gas system is disturbed, and the rapid destruction of the rock is initiated together with sudden decompression of the gas contained in its porous structure. The disintegrated rock is then transported along the mine working space in a stream of released gas. Estimation of the energy of the gas requires investigation of the type of thermodynamic transformation involved in the process. In this case, adiabatic transformation would mean that the gas, cooled in the course of decompression, remains at a temperature significantly lower than that of the surrounding rocks throughout the process. However, if we assume that the transformation is isothermal, then the cooled gas will heat up to the original temperature of the rock in a very short time (<1 s). Because the quantity of energy in the case of isothermal transformation is almost three times as high as in the adiabatic case, obtaining the correct energy balance for gas-induced geodynamic phenomena requires detailed analysis of this question. For this purpose, a unique experimental study was carried out to determine the time required for heat exchange in conditions of very rapid flows of gas around rock grains of different sizes. Numerical simulations reproducing the experiments were also designed. The results of the experiment and the simulation were in good agreement, indicating a very fast rate of heat exchange. Taking account of the parameters of the experiment, the thermodynamic transformation may be considered to be close to isothermal.     

Assessment of health risk associated with natural gamma dose rate levels and isodose mapping of Jordan

ABSTRACT

As a pioneering study in Jordan, an extensive measurement for external gamma dose rate (GDR) was conducted. A portable gamma radiation detector was used to perform these measurements at 1?m above the soil surface. A geographical positioning system Garmin was used to record a total of 823 measured points. The GDRs’ measurement ranged from 35 to 470?nGy?h^?1 giving a mean value of 90?nGy?h^?1, which was found to be one and half times higher than the world average of 59?nGy?h^?1. The lowest mean GDR 72?nGy?h^?1 was found in the Albalqa governate, while the highest mean GDR 131?nGy?h^?1 was found to be for the Alkarak governate. The mean annual effective dose was found to be 0.551?mSv, which is higher than the world average value of 0.48?mSv. This is a pivotal study evaluating the risks associated with GDR levels in Jordan that were the relative excess lifetime cancer risk, the mean collective effective dose, the mean weighted GDR and the mean lifetime dose that are 2.24?×?10^?3, 5538manSv?y^?1, 0.531?mSv and 39?mSv, respectively. The cosmic rays mean GDR was determined to be 20?nGy?h^?1. This study focuses on constructing GDRs’ baseline data in Jordan, which will be used to determine the possible change in the natural radiation due to other human activities in the future. ArcGIS software was employed to generate an isodose map to characterise exposure rates caused by GDR in Jordan.     

Bayesian sequential reliability for Weibull and related distributions

Assume that the probability density function for the lifetime of a newly designed product has the form: [H(t)/Q()] exp{–H(t)/Q()}. The Exponential(), Rayleigh, WeibullW(, ) and Pareto pdf's are special cases.Q() will be assumed to have an inverse Gamma prior. Assume thatm independent products are to be tested with replacement. A Bayesian Sequential Reliability Demonstration Testing plan is used to eigher accept the product and start formal production, or reject the product for reengineering. The test criterion is the intersection of two goals, a minimal goal to begin production and a mature product goal. The exact values of various risks and the distribution of total number of failures are evaluated. Based on a result about a Poisson process, the expected stopping time for the exponential failure time is also found. Included in these risks and expected stopping times are frequentist versions, thereof, so that the results also provide frequentist answers for a class of interesting stopping rules.This research was supported by NSF grants DMS-8703620 and DMS-8923071, and forms part of the Ph.D. Thesis of the first author, the development of which was supported in part by a David Ross grant at Purdue University. The authors thank the editors and a referee for insightful comments and suggestions.     

Rate conservation laws: A survey

We survey the rate conservation law, RCL for short, arising in queues and related stochastic models. RCL was recognized as one of the fundamental principles to get relationships between time and embedded averages such as the extended Little's formulaH=G, but we show that it has other applications. For example, RCL is one of the important techniques for deriving equilibrium equations for stochastic processes. It is shown that the various techniques, including Mecke's formula for a stationary random measure, can be formulated as RCL. For this purpose, we start with a new definition of the rate with respect to a random measure, and generalize RCL by using it. We further introduce the notion of quasi-expectation, which is a certain extension of the ordinary expectation, and derive RCL applicable to the sample average results. It means that the sample average formulas such asH=G can be obtained as the stationary RCL in the quasi-expectation framework. We also survey several extensions of RCL and discuss examples. Throughout the paper, we would like to emphasize how results can be easily obtained by using a simple principle, RCL.     

次贷危机下我国资本市场与银行体系跨市场风险传染实证研究

跨市场风险传染是在金融工具创新和金融业务融合的过程中,金融风险跨越原有金融分业经营界限由某一金融机构、金融市场向其他金融机构和市场传导的机制.本文通过构造资本市场三大价格指数,利用格兰杰(Granger)因果关系检验、向量自回归模型(VAR模型)、方差分解和脉冲响应函数对次贷危机给我国资本市场带来的金融风险向银行体系传导进行实证分析,并得出股票市场风险的跨市场传染是资本市场金融风险向银行体系传导的主要形式,股票市场对信贷市场的影响时间更长,而股票市场对票据市场的冲击强度更大.     

东南沿海景观格局及其生态风险演化研究——以宁波北仑区为例

以宁波北仑区1990,1995,2000,2005,2010,2015年6期LandsatTM/OLI遥感影像为数据源,提取景观格局数据,进行景观格局及其生态风险区时空演化特征分析.结果表明:(1)研究区的主要景观类型是林地与耕地,景观演化的主要特征表现为建设用地景观面积大量增加,耕地景观面积明显减少,区域景观破碎化愈加明显;(2)25a间,研究区内低生态风险区大量减少,而中、较高和高生态风险区面积大大增加;高生态风险区主要分布于北部平原地区,重心向西南方向移动,人类活动使山麓地带大量低生态风险区转变为较低生态风险区;(3)1990~2015年,研究区内由低等级转向高等级的生态风险区面积占研究区总面积的42.5%;前期以低生态风险区、较低生态风险区转向中生态风险区为主,后阶段以中生态风险区转向较高生态风险区、高生态风险区的比例有所增加;1990~1995年、2000~2005年、2010~2015年3个时间段生态风险转换面积较大.     

Simultaneous estimation of Poisson means

In the simultaneous estimation of means from independent Poisson distributions, an estimator is developed which incorporates a prior mean and variance for each Poisson mean estimated. This estimator possesses substantially smaller risk than the usual estimator in a region of the parameter space and seems superior to other estimators proposed to estimate p Poisson means. It is indicated through two asymptotic results that, unlike the conjugate Bayes estimator, the risk of the estimator does not greatly exceed the risk of the usual estimator outside of the region of risk improvement.     

Estimation of Multinomial Probabilities under a Model Constraint

In this paper estimation of the probabilities of a multinomial distribution has been studied. The five estimators considered are: unrestricted estimator (UE), restricted estimator (RE) (under model ), preliminary test estimator (PTE) based on a test of the model , shrinkage estimator (SE) and the positive-rule shrinkage estimator (PRSE). Asymptotic distributions of these estimators are given under Pitman alternatives and the asymptotic risk under a quadratic loss has been evaluated. The relative performance of the five estimators is then studied with respect to their asymptotic distributional risks (ADR). It is seen that neither of the preliminary test and shrinkage estimators dominates the other, though each fares well relative to the other estimators. However, the positive rule estimator is recommended for use for dimension 3 or more while the PTE is recommended for dimension less than 3.