A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation

We present a new approach to asset allocation with transaction costs. A multiperiod stochastic linear programming model is developed where the risk is based on the worst case payoff that is endogenously determined by the model that balances expected return and risk. Utilizing portfolio protection and dynamic hedging, an investment portfolio similar to an option-like payoff structure on the initial investment portfolio is characterized. The relative changes in the expected terminal wealth, worst case payoff, and risk aversion, are studied theoretically and illustrated using a numerical example. This model dominates a static mean-variance model when the optimal portfolios are evaluated by the Sharpe ratio. Received: August 15, 1999 / Accepted: October 1, 2000?Published online December 15, 2000     

ON TESTING THE EQUALITY OF K MULTIPLE AND PARTIAL CORRELATION COEFFICIENTS

1 IntroductionWe are given k independent Wishart densities of the p x p random symmetric positivedefinite matrices G1, G2,' t Gkwhere Ri denotes the population correlation matrir, and K as a generic letter denotes thenormalizing constants of density functions in this paper. The squared multiple correlationcoefficient of the i-th population is pf = r:Riz1.)ri, whereand a likelihood ratio test for testing the hypothesisis desired.Now Wilks (l932, l946) provides certain procedures and guidel…     

恢复率正比于总人数的多传染阶段的艾滋病模型及其性态

文 [1 ]、[2 ]和 [3]主要是建立多传染阶段的艾滋病模型 ,并根据各自建立的模型 ,来讨论疾病传染的消除平衡态与流行平衡态以及它们的稳定性 .本文首先对文 [3]中的模型作适当的改进 ,再根据改进的数学模型来分析疾病传染的动态性质 ,着重讨论多传染阶段情况下艾滋病传染的持久性及其对总人数的影响 .     

Matching tyre size to weight, speed and power available for maximising pulling ability of agricultural tractors

The desirable weight-to-axle power ratio for agricultural tractors is determined by the necessity for the optimum utilisation of the available axle power to produce the required drawbar pull at a preselected slip. For a vehicle designed to operate in a given speed range, the weight-to-axle power ratio should be within a particular limit, so that a specific level of conversion efficiency can be maintained. In this paper attempts have been made to select suitable tyres for Indian two-wheel drive tractors operating in sandy clay loam soils on the basis of weight-to-power utiisation and maximum pull-to-optimum weight ratio at a preselected slip using the developed traction prediction equations. A comparison has also been made between the desired and actual weight on a single traction wheel and suitable tyre and tyre normally fitted in Indian two wheel drive tractors up to 35 kW.     

用剪切干涉法测气动窗口流场对光束质量的影响

 利用横向剪切干涉仪对测量环境要求不高的优点,提出用横向剪切干涉仪测量气动窗口流场对光束质量的影响;给出测量原理,解决了干涉条纹难以判读的难点。并对稳定工作状态下自由旋涡气动窗口流场对光束质量的影响进行实验研究。以斯特列尔比为评价标准,测量给出自由旋涡气动窗口在稳定工作状态下对光束质量的影响程度。结果表明,当自由旋涡气动窗口工作在理论设计条件下时,对光束质量的影响比较小,能较好满足任务需要。     

微光像增强器图像传递信噪比的测试研究

图像传递信噪比是微光像增强器的重要特性参数．能够全面定量地表征像增强器在探测弱辐射图像时的综合性能，对于确定像增强器的图像探测灵敏闽具有重要意义。针对其测试原理．采用高灵敏度低噪声CCD器件作为像管输出图像的探测接收器．并引入数字图像处理技术。利用设计的测试系统实现了典型目标图像传递信噪比的自动测试．多次实验结果表明．陔测试系统具有测试过程自动快速及测试数据准确稳定的优点．相同测试条件下的不确定度优于±3%。     

利用光子统计概率测量单分子光子源的信号背景比

理论上研究了基于Hanbury Brown Twiss 探测方式，利用单光子和双光子统计概率P RS(1),PRS(2),直接测量单分子光子源的信号背景比.在研究过程中同时考 虑到单分子布居于暂稳态和探测器量子效率对测量结果的影响.在满足PRS(1)2 PRS(2)-3PRS(2)的条件时，研究给出了一种有效测量信号背景比的方 法SBR=P2RS(1)/2PRS(2).另外，分析讨论了Mandel参数Q 与信号背景比之间的关系. 关键词： 单分子光子源 信号背景比 光子统计 暂稳态 Mandel参数     

离子液体处理含油污水实验研究

合成出了适合于含油污水处理的憎水性离子液体,研究了离子液体对含油污水的处理条件。当离子液体与含油污水体积比为1∶5,pH值为5,处理15min后,水中油的去除率为95.6%,COD_Cr的去除率为93.5%,表明应用离子液体可以有效地去除油田采出水中的有机物。同时考察了再生离子液体对除油效果的影响,其五次平行实验的除油率达95.4%,COD_Cr去除率为93.2%,表明离子液体可以回收利用。在此基础上,分析了离子液体对含油污水处理的作用机理。     

基于金属狭缝阵列的各向异性偏振分束器

在金属-电介质结构的基础上提出了一种基于金属狭缝阵列的各向异性偏振分束器,并采用有限元法研究了横磁(TM)和横电(TE)偏振光入射后结构所表现出的负反射和镜面反射等特性.计算结果表明,当偏振光的入射角设定在20?—70?时,入射的TM光发生强烈的负反射,而TE光的负反射很弱,并随着波长的增加而急剧下降.分析可得偏振分束光栅的理想负反射点和反射面的完美对称响应效果.通过仿真得到了理想负反射点的取值范围.结合严格耦合波法软件,计算不同偏振光入射时负反射和镜面反射条件下的反射率,其消光比高达10~6.     

Continuous flame oxidation in supercritical water

Abstract

Continuous flames have been observed in Supercritical water oxidation (scWO) of isopropyl alcohol (IPA), using a vertical continuous reactor with sapphire windows and a mixing nozzle. Two types of continuous flame were confirmed: the one was long pale blue colored and the other was red short cone shaped, changing blue to red at around air ratio 2.0. The flame was strongly influenced by IPA concentration, air ratio and design of the mixing nozzle. Results for decomposition of PA are presented for IPA concentrations ranging from 600 up to 28260 ppm as TOC and initial reactor temperatures, were mostly around 490°C, at 25 MPa. Decomposition rate at steady state was over 99.9%. Experimentally measured CO₂ and O₂ concentrations at the flue gas were in good agreement with theoretically calculated values. Even for low air ratio as 1.1, high decomposition rate without CO, NO, NO₂ was achieved.