Asset allocation strategies in the presence of liability constraints

The performance of portfolio managers is usually assessed by comparing their allocation strategies to a benchmark portfolio. A major issue for portfolio managers of liability driven institutions is that no benchmark is given to them, although they face mid-term objectives with short term constraints. No performance attribution methodology may then be used to serve as a reference. Assessing the performance of the asset manager as an agent, represents a major stake for the institution as a principal delegating a mandate of asset management. We propose an optimal asset allocation approach taking into account liability constraints to build a benchmark. This benchmark will be used to compare the ex-post effective performance of the asset manager to the effective performance of the ex-ante optimal dynamic asset allocation.     

Approximation results for the weighted partition problem

We present several new standard and differential approximation results for the P₄-partition problem using the Hassin and Rubinstein algorithm [Information Processing Letters 63 (1997) 63–67]. Those results concern both minimization and maximization versions of the problem. However, the main point of this paper lies in the establishment of the robustness of this algorithm, in the sense that it provides good quality solutions for a variety of versions of the problem, under both standard and differential approximation ratios.     

Comparative performance evaluation under uncertainty

In this article CCPR, a multidimensional framework for comparative performance evaluation is proposed, which is elaborated and illustrated through a real-life case. A particular feature of the approach is that it takes account of and corrects for the influence of risks, which are beyond the control of the decision maker. Here risk is seen as a multidimensional measure; it is expressed by means of sensitivities to unexpected changes of a multitude of risk factors. Furthermore, the approach corrects for differences in characteristics between the firms that are being compared. Some characteristics are fixed and thus uncontrollable for the decision maker, whereas others may be changed and controlled by the decision maker. The approach also answers whether the changes in firm characteristics made by management have been appropriate or not.     

Micromethod for Determination of Thiopental in Biological Fluids by High Performance Liquid Chromatography. Application to Therapeutic Follow-Up and Pharmacokinetic Study

Abstract

Thiopental is an ultra-short acting barbiturate, used either to induce anesthesia, or to manage intracranial hypertension associated with head injuries. A high performance liquid chromatography method vas proposed for the rapid and easy determination of thiopental in biological fluids. After precipitation of proteins with acetonitrile the chromatographic separation vas performed onto a reversed-phase column with an acetonitrile-perchlorate buffer mixture as mobile phase. Compounds were analysed at 300nm and the detection limit vas about 0.1 mg/1. The analytical procedure vas applied to the therapeutic follow-up in patients (8 childrens. 4 adults) treated with long-term infusion of thiopental after head injury, and to a pharmacokinetic study in patients receiving a single 1Y bolus of thiopental to induce anesthesia.     

High Performance Liquid Chromatographic Separation of Tropatepine in Biological Fluids. Application to a Healthy Volunteer

Abstract

A high performance liquid chromatographic method for the determination of tropatepine in human plasma and urines is described here. After addition of an internal standard (2 chloro-11-(4-methyl piprazine 1-yl) dibenzo (b-f)(1–4) thiazepine) to the biological fluid and extraction at pH 12.0 in hexane, the analysis was performed on a reversed phase column (C18 microBondapak) with UV detection at 231 nm. The compound was eluted by a perchlorate buffer-acetonitrile mixture with a flow rate of 1.7 ml/min. The detection limit was about 25 ng/ml; reproducibility was around 7.5% for plasma concentrations below 50 ng/ml. Mass spectrometry by direct insertion probe had validated the chromatographic results. The method was successfully applied to plasma specimen collected from a healthy human volunteer following a single intravenous administration of 20 mg of tropatepine.     

全固态穿刺复合Sb/Sb_xO_y-pH传感器的制备及性能研究

报道了一种直接测定固体、半固体及糊状物表面和内部pH的全固态复合Sb/SbxOy-pH传感器,研究了该传感器的制备工艺、性能、测试条件等。该pH传感器线性范围2～12,响应斜率-58.98mV/pH,响应时间≤30s,漂移≤0.1pH/24h,用于实际样品与pH玻璃电极对照,ΔpH≤0.1。通过交流阻抗技术,探讨了电极的动力学机理。     

Mutual funds performance appraisal using stochastic multicriteria acceptability analysis

Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria methodology using stochastic multicriteria acceptability analysis, on Greek domestic equity funds for the period 2000-2009. Combining a unique dataset of risk-adjusted returns such as Carhart’s alpha with funds’ cost variables, we obtain a multicriteria performance evaluation and ranking of the mutual funds, by means of an additive value function model. The main conclusion is that among employed variables, the sophisticated Carhart’s alpha plays the most important role in determining fund rankings. On the other hand, funds’ rankings are affected only marginally by operational attributes. We believe that our results could have serious implications either in terms of a fund rating system or for constructing optimal combinations of portfolios.     

Optimizing reliability and service parts logistics for a time-varying installed base

Performance based contracting (PBC) emerges as a new after-sales service practice to support the operation and maintenance of capital equipment or systems. Under the PBC framework, the goal of the study is to increase the system operational availability while minimizing the logistics footprint through the design for reliability. We consider the situation where the number of installed systems randomly increases over the planning horizon, resulting in a non-stationary maintenance and repair demand. Renewal equation and Poisson process are used to estimate the aggregate fleet failures. We propose a dynamic stocking policy that adaptively replenishes the inventory to meet the time-varying parts demand. An optimization model is formulated and solved under a multi-phase adaptive inventory control policy. The study provides theoretical insights into the performance-driven service operation in the context of changing system fleet size due to new installations. Trade-offs between reliability design and inventory level are examined and compared in various shipment scenarios. Numerical examples drawn from semiconductor equipment industry are used to demonstrate the applicability and the performance of the proposed method.     

基于HPLC的葡萄籽提取物指纹图谱的建立

葡萄籽提取物是一种高效的抗氧化剂,其抗氧化效果远高于绿茶等。利用反相HPLC建立葡萄籽提取物的中药指纹图谱,以便于对其质量的优劣进行监测。实验分析了12个不同产地的葡萄籽提取物样品,采用了国家食品药品监督管理局推荐的"中药色谱指纹图谱相似度软件评价系统(2004 A版)"计算处理。建立了25个指纹峰、6个共有峰,确定了3个主要的指纹峰。通过夹角余弦法计算了12个产地的葡萄籽提取物的相似度。建立的指纹图谱可以用来评价不同产地葡萄籽提取物的优劣;并依此为标准,为进一步控制葡萄籽提取物的质量提供依据。     

Group performance evaluation, an application of data envelopment analysis

The contribution of this paper is to provide an approach for evaluating the performance of a group of decision making units (DMUs) based on the production technology. Group evaluation is an application of data envelopment analysis (DEA). DEA uses linear programming to provide a suitable technique to estimate a multiple-input/multiple-output empirical efficient function. This paper applies group evaluation to evaluate the performance of Iranian commercial banks.