A unified approach to portfolio optimization with linear transaction costs

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the problem within our unified framework.     

带交易费用的证券组合投资选择的优化模型

本文利用在约束条件中加入证券多样化选择约束的办法来抵减非系统风险 ,就证券组合投资的选择问题 ,建立了带交易费用的综合考虑收益和风险的多目标规划模型 ,然后通过变换将不可微的多目标规划问题转化为一个多目标线性规划问题 ,最后给出了问题的一个算法和算例     

浅论国有建筑企业组织结构优化调整应处理好的五个关系

刚性的国有建筑企业组织结构,是制约国有建筑企业加快发展的关键问题,在组织结构优化调整中,处理好组织结构与发展战略、企业规模、组织成本、运行机制、宏观政策的五个方面关系,是提高产业竞争力、国际竞争力、企业发展力的现实选择与根本途径。     

总图运输成本自主式综合评价模型

根据工业企业总图设计的特点,建立总图设计方案运输成本综合评价指标体系,并对评价指标进行分组.使用信息熵理论计算分组指标测度,使用分组指标测度对方案进行分析,进一步简化评价指标体系.针对总图运输成本评价特点,提出一种确定自主评价竞争视野的方法,基于此提出一种改进的自主式综合评价方法.建立一种在双层规划模型构架下,结合信息熵理论、改进自主式综合评价法的自主式综合评价模型,并用于工业企业总图运输成本评价.结合实例,对多个总图运输成本方案进行量化分析,从总图运输成本最优的角度给出推荐方案.     

�����׷��ú�Ͷ��Լ������ɢģ��������Ͷ��-�ֺ�����

This paper investigates the investment-dividend optimization problem for a corporation with transaction costs and investment constraints. The main feature is that we assume general constraints on investments including the special case of short-sale and borrowing constraints. This results in a regular-impulse stochastic control problem. The nontrivial case is that the investment can't meet the loss of wealth due to discounting. In this case, delicate analysis is carried out on QVI w.r.t. three possible situations, leading to an explicit construction of the value functions together with the optimal policies. We also give explicit conclusion of the trivial case at last.     

Two‐tier healthcare service systems and cost of waiting for patients

Waiting has been a significant concern for healthcare services. We address this issue in the context of a two‐tier service system in this study. A two‐tier healthcare service system consists of two different service providers, typically one public service provider and one private service provider. In a baseline model, the two service providers are modeled by two queue servers, which charge each patient a common fixed fee for the service. Then, we study a queue model in which one service provider offers a subsidy or charges a premium while the other maintains the fixed service fee. This system provides a mechanism to segment patients along their waiting time cost through price discrimination. We analyze the problem from both the perspective of minimizing total waiting cost for all patients and the perspective of maximizing social gain for the public service provider or profit for the private service provider. We show that this model can significantly alleviate the burden of waiting for patients. The study addresses the design, the efficiency, and the implementation of two‐tier healthcare service systems. Copyright © 2017 John Wiley & Sons, Ltd.     

CEV和B&P作用下带交易费的亚式期权定价模型

基于B-S定价模型的基础,利用Ito公式及保值策略,研究了股票价格服从CEV模型和B&P过程且存在交易费用的亚式期权的定价模型.得出了该类期权价格所满足的微分方程,并对模型做了数值分析.结论拓宽了亚式期权的研究范围,更适用于实际金融市场.     

带交易费和时间依赖型的波动率弹性为常数的期权定价模型

提出了一种基于Lie-代数法和Wei-Norman定理的带交易费和时间依赖型波动率弹性为常数(CEV)的期权定价模型,通过不同的弹性系数得到了CEV期权定价模型的解析解,并且我们发现,当模型不依赖时间时,该解析解的形式是相同的.另外,李代数方法较容易对代数结构较好的其他的期权进行定价,例如:带有交易费的单壁垒CEV期权的定价估计.     

多目标成本下的集装箱船快速配载

为实现集装箱船的快速配载,在保证集装箱船结构强度和稳定性前提下,引入甲板下集装箱区配载问题(CSPB-DL),建立整数规划模型,设计相应的启发式算法,对实际集装箱(具有3个重量等级和4个目的港)进行配载,得到配载图.利用GAMS软件检验该配载方案的优化程度.结果表明,该配载方法在平均14 s内可使94％的集装箱成功实现配载,并使90％以上的集装箱实现最优配载,配载成本趋向最小.     

VaR optimal portfolio with transaction costs

We consider the problem of portfolio optimization under VaR risk measure taking into account transaction costs. Fixed costs as well as impact costs as a nonlinear function of trading activity are incorporated in the optimal portfolio model. Thus the obtained model is a nonlinear optimization problem with nonsmooth objective function. The model is solved by an iterative method based on a smoothing VaR technique. We prove the convergence of the considered iterative procedure and demonstrate the nontrivial influence of transaction costs on the optimal portfolio weights.