Portfolio optimization in a regime-switching market with derivatives

We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an option, an underlying stock and a risk-free bond. The difficulty that arises in our setting is finding a way to represent the return of the option by the returns of the stock and the risk-free bond in an incomplete regime-switching market. To overcome this difficulty, we introduce a functional operator to generate a sequence of value functions, and then show that the optimal value function is the limit of this sequence. The explicit form of each function in the sequence can be obtained by solving an auxiliary portfolio optimization problem in a single-regime market. And then the original optimal value function can be approximated by taking the limit. Additionally, we can also show that the optimal value function is a solution to a dynamic programming equation, which leads to the explicit forms for the optimal value function and the optimal portfolio process. Furthermore, we demonstrate that, as long as the current state of the Markov chain is given, it is still optimal for an investor in a multiple-regime market to simply allocate his/her wealth in the same way as in a single-regime market.     

Impulse control of pension fund contributions,in a regime switching economy

In defined benefit pension plans, allowances are independent from the financial performance of the fund. And the sponsoring firm pays regularly contributions to limit deviations of fund assets from the mathematical reserve, necessary for covering the promised liabilities. This research paper proposes a method to optimize the timing and size of contributions, in a regime switching economy. The model takes into consideration important market frictions, like transactions costs, late payments and illiquidity. The problem is solved numerically using dynamic programming and impulse control techniques. Our approach is based on parallel grids, with trinomial links, discretizing the asset return in each economic regime.     

Explicit solutions of optimal consumption,investment and insurance problems with regime switching

We consider an investor who wants to select his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial market but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize his expected total discounted utility of consumption over an infinite time horizon. For the case of hyperbolic absolute risk aversion (HARA) utility functions, we obtain the first explicit solutions for simultaneous optimal consumption, investment, and insurance problems when there is regime switching. We determine that the optimal insurance contract is either no-insurance or deductible insurance, and calculate when it is optimal to buy insurance. The optimal policy depends strongly on the regime of the economy. Through an economic analysis, we calculate the advantage of buying insurance.     

波分复用波长路由节点的阻塞特性分析

利用概率统计理论的方法，从节点层次上定量分析了节点规模、复用波长数目以及波长转换对波分复用(WDM)波长路由网络中波长路由节点的影响。提出了基于概率统计的节点阻塞模型。数值结果突出表明波长转换能力越强的全光节点，其性能越优。为了提高网络资源的使用效率并增强全光网络的灵活性，必须实现全光网络中的虚波长路由波长转换器。通过数值计算找到了阻塞性能和代价的折中，研究中发现配置较低波长转换能力波长转换器的波长路由节点将会具备更强的性价比优势，当前在构建光通信系统时使用弱波长转换能力的光节点更可行。     

A transflective and viewing angle controllable blue-phase liquid crystal display

A polymer-stabilised blue-phase liquid crystal display (PSBP-LCD) with double-side in-plane switching (DS-IPS) electrode structure is proposed. This structure shows the transflective characteristics because the bottom electrodes are made by aluminium material. For transflective displays, it exhibits a well-matched voltage-dependent transmission and reflection curves through designing the width and gap of the top electrodes. When a bias voltage is applied on the top electrodes, it exhibits as a good viewing angle controllable display.     

宽带交换—ATM异军突起

异步转移模式（ＡＴＭ）正在以前所未有的速度向前发展，ＡＴＭ交换成为未来宽带ＩＳＤＮ的关键。本文分析了ＡＴＭ的产生背景，介绍了其基本概念和原理，讨论了ＡＴＭ网络的演进和应用，并概述了它在国内外的发展。     

旋转波片法测量电光调Q射频波导CO2激光器的内部参数

提出了一种测量电光调 Q射频波导 CO2 激光器内部参数的新方法 ,采用此方法可测量出激光器的小信号增益系数、内部损耗、饱和光强等内部参数 ,并可推广应用到其他种类激光器内部参数的测量。     

一种相位开关型分频器电路的噪声分析

介绍了一种相位开关型分频器电路的噪声分析方法。这种方法基于频率综合器的频域模型,能比较准确地预测分频器的相位噪声和它对整个频率综合器相位噪声的影响。分频器电路采用0.18μm CM O S工艺设计,用于W CDM A通讯系统中。在分析过程中,针对此电路的相位开关结构,提出了一些改进其噪声性能的方法。最后用仿真结果进行分析验证,仿真结果和理论相符合。     

一种PCIe交换电路设计与实现

随着高速串行计算机扩展总线标准(PCIe)技术的成熟和应用场合的增多,传统的“点对点”传输已不能满足不同设备之间高速数据传输的需求,因此有必要对PCIe数据交换技术进行研究.为了更加方便且高效地进行PCIe总线高速数据传输,也为了能将PCIe设备进行拓展,设计了一种以国产CPU为核心的PCIe交换电路,详细介绍了硬件设...