Use of stochastic and mathematical programming in?portfolio theory and practice

Standard finance portfolio theory draws graphs and writes equations usually with no constraints and frequently in the univariate case. However, in reality, there are multivariate random variables and multivariate asset weights to determine with constraints. Also there are the effects of transaction costs on asset prices in the theory and calculation of optimal portfolios in the static and dynamic cases. There we use various stochastic programming, linear complementary, quadratic programming and nonlinear programming problems. This paper begins with the simplest problems and builds the theory to the more complex cases and then applies it to real financial asset allocation problems, hedge funds and professional racetrack betting. This paper is based on a keynote lecture at the APMOD conference in Madrid in June 2006. It was also presented at the London Business School. Many thanks are due to APMOD organizers Antonio Alonso-Ayuso, Laureano Escudero, and Andres Ramos for inviting me and for excellent hospitality in Madrid. Thanks are also due to my teachers at Berkeley who got me on the right track on stochastic and mathematical programming, especially Olvi Mangasarian, Roger Wets and Willard Zangwill, and my colleagues and co-authors on portfolio theory in finance and horseracing, especially Chanaka Edirishinge, Donald Hausch, Jarl Kallberg, Victor Lo, Leonard MacLean, Raymond Vickson and Yonggan Zhao.     

从《金陵赋》审视京都赋的嬗变

浠庢眽鐝浐鐨勩€婁袱閮借祴銆嬨€佸紶琛＄殑銆婁簩浜祴銆嬨€佹檵宸︽€濈殑銆婁笁閮借祴銆嬪強娓呯▼鍏堢敳鐨勩€婇噾闄佃祴銆嬬湅浜兘璧嬩綋鏂囧鐨勪紶鎵垮強婕斿彉,鍐嶄粠鍐欎綔鐩殑銆佸啓浣滄墜娉曘€佽緸璧嬭绛夋柟闈㈠鍏惰繘琛岃€冨療,杩涜€屾寚鍑轰含閮借祴鐨勫彉鍖?     

Chance-constrained programming models for capital budgeting with NPV as fuzzy parameters

In an uncertain economic environment, experts’ knowledge about outlays and cash inflows of available projects consists of much vagueness instead of randomness. Investment outlays and annual net cash flows of a project are usually predicted by using experts’ knowledge. Fuzzy variables can overcome the difficulties in predicting these parameters. In this paper, capital budgeting problem with fuzzy investment outlays and fuzzy annual net cash flows is studied based on credibility measure. Net present value (NPV) method is employed, and two fuzzy chance-constrained programming models for capital budgeting problem are provided. A fuzzy simulation-based genetic algorithm is provided for solving the proposed model problems. Two numerical examples are also presented to illustrate the modelling idea and the effectiveness of the proposed algorithm.     

《浙江省城全图》的前世与今生

《浙江省城全图》是杭州古旧地图中颇具近代特色的一类城市地图，它内容丰富、印制华美，是研究杭州近代城市史的重要图像资料，且固其存世稀少而为时人所珍重。笔者在广泛收集现存海内外各种版本《浙江省城全图》的基础上，通过年代考订与系谱整理．立足于历史地图学．考察了该类地图的形成背景、变化脉络及消失原因．为研究我国地图近代化过程中“过渡型城市地图”的表现形态与产生原因，以及城市史研究对此类地图的解读与利用提供实证案例。     

川端康成樱花意象研究

结合川端康成特殊的"孤儿根性"和恋爱态度,可以看出他所继承的日本传统文学"物哀"、"幽玄"的思想以及他所受的西方基督教文化的影响,从《古都》中川端康成对樱花在日本传统文化中本真的隐喻意义的把握出发,说明了樱花作为战争的反思形象所包含的"自救"与"她救"意义,借以加深对川端康成在战后回归日本传统美的文学思想的理解。     

Optimization of component reliability in the design phase of capital goods

We introduce a quantitative model to support the decision on the reliability level of a critical component during its design. We consider an OEM who is responsible for the availability of its systems in the field through service contracts. Upon a failure of a critical part in a system during the exploitation phase, the failed part is replaced by a ready-for-use part from a spare parts inventory. In an out-of-stock situation, a costly emergency procedure is applied. The reliability levels and spare parts inventory levels of the critical components are the two main factors that determine the downtime and corresponding costs of the systems. These two levels are decision variables in our model. We formulate the portions of Life Cycle Costs (LCC) which are affected by a component’s reliability and its spare parts inventory level. These costs consist of design costs, production costs, and maintenance and downtime costs in the exploitation phase. We conduct exact analysis and provide an efficient optimization algorithm. We provide managerial insights through a numerical experiment which is based on real-life data.     

The influence of capital market laws and initial public offering (IPO) process on venture capital

This paper is concerned with the influence of capital market laws and initial public offering (IPO) process on venture capital. It discusses the impact of US federal state laws and Securities and Exchange Commission (SEC) regulations to the venture capital markets, arguing if the rules and regulatories are burdensome to entrepreneurs and new-growth businesses. The impact of Sarbanes-Oxley Act and the future Investment Act on venture capital funds and entrepreneurial companies going public are also discussed. The paper proposes the model of venture capital financing describing the process from fund raising to investment exits, the linkages of the venture capital market to the financial/capital markets and the related capital market laws. The policy implications on SEC regulations essential to the development of venture capital industry are suggested.     

首都博物馆新馆石材幕墙施工技术

结合首都博物馆新馆的具体工程实例，对工程做法、主要材料、材料加工标准、加工订货要求、施工方法和质量标准进行了详细介绍。     

国有企业走出困境之我见

本文就国有企业的出路问题进行了探讨,从三个方面论述了企业必须解决的问题,首先必须以科学的管理思想为指导—实现资本营运管理;其次．必须确定科学的经营战略．最后．还必须遵循”以人为本”的思想原则．只有从根本上解决这三个方面的问题．企业才能走出困境。     

1985～2000年首都师范大学学生身体形态、机能和素质的研究

以 2 0 0 0年全国学生体质调研中首都师范大学学生的身体形态、机能和素质的测试统计数据为依据 ,并与历年统计数据进行比较和分析 ,力求提示首都师范大学学生 15年来 (1985～ 2 0 0 0年 )的体质发展状况 ,为今后改进和提高首都师范大学学生的体质状况 ,提供参考 .