投资组合保险CPPI策略研究

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.     

Drug metabolite cluster centers-based strategy for comprehensive profiling of Neomangiferin metabolites in vivo and in vitro and network pharmacology study on anti-inflammatory mechanism

Neomangiferin (NMF) is an extremely special xanthone that could be simultaneously attributed to C-glycoside and O-glycoside with a variety of biological activities, such as anti-inflammatory, antitumor, antipyretic, and so on. So far as we know, the metabolism profiling has been insufficient until now. Herein, Drug Metabolite Cluster Centers (DMCCs)-based Strategy has been developed to profile the NMF metabolites in vivo and in vitro. Firstly, the DMCCs was proposed depending on literature-related and preliminary analysis results. Secondly, the specific metabolic rule was implemented to screen the metabolites of candidate DMCCs from the acquired Ultra High Performance Liquid Chromatography Quadrupole Exactive Orbitrap Mass Spectrometry (UHPLC-Q-Exactive Orbitrap MS) data by extracted ion chromatography (EIC) method. Thirdly, candidate metabolites were accurately and tentatively identified according to the pyrolysis law of mass spectrometry, literature reports, comparison of reference substances, and especially the diagnostic product ions (DPIs) deduced preliminarily. Finally, network pharmacology was adopted to elucidate the anti-inflammatory action mechanism of NMF on the basis of DMCCs. As a result, 3 critical metabolites including NMF, Mangiferin (MF) and Norathyriol (NA) were proposed as DMCCs, and a total of 61 NMF metabolites (NMF included) were finally screened and characterized coupled with 3 different biological sample preparation methods including solid phase extraction (SPE), acetonitrile precipitation and methanol precipitation. Among them, 32 metabolites were discovered in rat urine, 30 in rat plasma, 12 in rat liver, 9 metabolites in liver microsomes and 8 in rat faeces, respectively. Our results also illustrated that NMF primarily underwent deglucosylation, glucuronidation, methylation, sulfation, dihydroxylation and their composite reactions in vivo and in vitro. Additionally, network pharmacology analysis based on DMCCs revealed 85 common targets of disease-metabolites, and the key targets were TNF, EGFR, ESR1, PTGS2, HIF1A, IL-2, PRKCA and PRKCB. They exerted anti-inflammatory effects mainly through the pathways of inflammatory response, calcium-dependent protein kinase C activity, nitrogen metabolism, pathways in cancer and so on. In general, our study constructed a novel strategy to comprehensive elucidate the biotransformation pathways of NMF in vivo and in vitro, and provided vital reference for further understanding its anti-inflammatory action mechanism. Moreover, the established strategy could be generalized to the metabolism and action mechanism study of other natural products.     

Development and prevalidation of a method for phenol determination by solid-phase spectrophotometry

A simple, sensitive and rapid solid-phase spectrophotometric procedure was developed for the determination of traces of phenol with 4-aminoantipyrine as a reagent (AAP-SPS), and the optimal experimental conditions were established. This method was performed by sorption and direct absorbance measurements of the product phenol-AAP sorbed on the anion-exchanger Dowex 1-X4 (0.2 g) at 495 nm (absorption maximum) and 700 nm (non-absorption wavelength). The sensitivity offered by the AAP-SPS procedure was higher by a factor of 40 compared with the respective conventional spectrophotometric method. Metrological characteristics were established using a prevalidation strategy. The AAP-SPS procedure is characterized by a linear calibration function in the working range of 0.05–0.50 μmol, low standard deviation of procedure (±0.012), low limit of determination (0.021 μmol), and favorable random (±0.85 to ±11.27%) and systematic deviations (−4.55 to +11.50%). Moreover, the accuracy of the system investigated by the recovery test is acceptable (99–102%). Favorable working and performance characteristics make the new SPS method ideal for phenol monitoring in pharmaceutical preparations as well as other matrices.     

Lamination Design Optimization for Continuous Fiber Reinforced Composites of Variable Thicknesses北大核心CSCD

由于具备高的比强度、比刚度,利用连续纤维增强复合材料代替传统金属材料以实现结构轻量化正受到设计者们的广泛关注。然而,结构的复杂性给复合材料的铺层设计与优化带来了很大的挑战。针对航空用复合材料铺层设计约束多的问题,通过逐步构建设计变量准确表达结构的铺层信息。基于经典遗传算法框架,结合各设计变量特点,定义了铺层优化算法中的遗传算子,通过引入“修复”策略保证了每一代解都能满足设计约束,分布在可行域区间内。最后利用精英保留策略提高了算法的局部寻优能力,可以降低复杂复合材料结构铺层设计的计算成本。通过解决经典benchmark问题并与已有优化结果的比较,验证了前述铺层优化算法的全局、局部寻优能力,为工程实际中的复合材料铺层设计优化提供了理论支撑。     

汽车制造商分时租赁模式采用及产品线策略研究

考虑自有平台和第三方平台两种分时租赁方式,将汽车质量划分为性能质量和环境质量,构建销售模式、纯分时租赁模式和混合模式下的产品线策略模型,研究制造商产品线策略与商业模式之间的相互作用。研究发现,同品牌产品间竞争和合并效应是分时租赁模式影响产品线策略的两个关键因素。同品牌产品间竞争的加剧和合并效应的增大都会激励企业选择性能更好的车型而忽略其环境表现。分时租赁模式能同时改进利润与产品环境表现,但存在条件:当消费者价格敏感性较低时,使用成本高且合并效应小是实现同时改进的条件;当消费者价格敏感较高时,使用成本低且合并效应小则是同时改进的条件。     

A-P-S组合策略的多重绩效及其“褪色”效应分析

为了降低城市交通拥堵及空气污染程度,本文在现有研究的基础上引入罚款政策,利用系统动力学方法原理构建了机动车污染物减排管控模型。通过仿真和比较分析来探索空气污染收费(Air pollution charging fee,简称APCF)、罚款(penalty)和补贴(subsidy)政策(简称A-P-S策略)的作用效果。研究结果表明:一方面,组合策略具有多重绩效,不但能够降低污染损失(经济-环境效益)、死亡人口的生命价值(社会-经济效益)、交通拥堵程度(社会效益)和机动车污染物总量(环境效益),而且能大大改善环境生态承载力(环境效益)和机动车非法出行增长量(社会安全绩效);另一方面,政策在实施过程中也会遇到一定的局限性,如初期的滞后性,后期的“褪色”效应和“反弹”效应,因此,从长期来看,需要及时调整组合方案。最后,根据仿真结果提出了相应的政策建议,进而为城市交通和环保等相关部门提供决策参考。     

Parameter choice by discrepancy principles for ill-posed problems leading to optimal convergence rates

Schock (Ref. 1) considered a general a posteriori parameter choice strategy for the Tikhonov regularization of the ill-posed operator equationTx=y which provides nearly the optimal rate of convergence if the minimal-norm least-squares solution belongs to the range of the operator (T ^* T) ^v , o<v1. Recently, Nair (Ref. 2) improved the result of Schock and also provided the optimal rate ifv=1. In this note, we further improve the result and show in particular that the optimal rate can be achieved for 1/2v1.The final version of this work was written while M. T. Nair was a Visiting Fellow at the Centre for Mathematics and Its Applications, Australian National University, Canberra, Australia. The work of S. George was supported by a Senior Research Fellowship from CSIR, India.     

Optimal life strategies in organisms exposed to recurrent critical events

The optimal partition of energy between survival and reproduction is considered for a population subject to recurrent and potentially lethal critical events. The best strategy is found by maximizing fitness, a functional derived from the Lotka equation. The dynamics is governed by a second-order, age-varying, nonlinear system. The energy storage and the probability of survival are the state variables, while the amounts of energy placed into and withdrawn from the storage are the controls. The optimal life strategy is shown to be as follows: build up the storage at the very beginning of life, and then progressively deplete it to resist the critical events.This work was partially supported by MURST Project Ricerche sui Fondamenti della Conservazione della Natura. The authors would like to thank C. Ricci for suggesting the problem and C. Matessi for helpful discussion.     

Cyclical games with prohibitions

We consider a certain combinatorial game on a digraph for two cases of the price function. For one case the game in question extends the cyclical game studied in Ehrenfeucht and Mycielski (1979) and Gurvitch, Karzanov and Khachiyan (1988) which, in its turn, is a generalization of the well-known problem of finding a minimum mean cycle in an edge-weighted digraph. We prove the existence of optimal uniform stationary strategies for both cases and give algorithms to find such strategies.This work was partially supported by Chaire municipale, Mairie de Grenoble.     

液相组合合成的纯化方法

综述了近8年来液相平行合成和组合合成中应用的不同技术, 包括可溶性载体、氟合成技术、离子液体、固相试剂树脂以及低聚乙烯二醇(OEG)衍生物的应用等几方面内容. 论述了它们的基本原理以及相关的应用实例, 并着重强调了目标化合物的分离纯化方法.