Minimizing setup costs for parallel multi-purpose machines under load-balancing constraint

This article focuses on the minimization of the setup costs of a workshop modeled with parallel multi-purpose machines. Any admissible workshop configuration has to ensure that a load-balanced production plan meeting a given demand exists. This problem is shown to be NP-hard in the strong sense, and is stated as a mixed integer linear program. It is shown that under some hypotheses, it can be stated as a transportation problem and solved in polynomial time. An upper bound and lower bound are proposed, as well as a performance ratio assessment that is reached only when degenerate optimal solutions to the transportation problem exist.     

非国有企业融资问题探讨

非国有企业的迅速崛起为我国经济快速发展和综合国力的增强做出了巨大贡献,但其融资依然存在着各种各样的困难,成为制约非国有企业发展的瓶颈。本文融资环境入手,分析非国有企业融资所面临的主要问题,提出解决的方法,主要包括信贷担保基金,融资租赁,资本市场的融资,民间拆借,典当等措施。     

支付交易费的回望期权定价

以Black-Scholes模型为基础,通过对回望期权的研究,结合有交易费的欧式期权的定价公式,运用证券组合技术与无套利原理,建立了支付交易费的回望期权定价模型.通过对方程化简和分析,运到PDE相关方法化为Cauchy问题,得出定价公式.     

制度影响国际贸易成本竞争力的效应分析——基于国家间产权效度差异的视角

本文通过构建产权效度的影响效应模型、产权效度的优化模型和最优产权效度的贸易效应模型,分别对产权制度与出口竞争力的关系、最优产权效度的决定机制与影响效应进行了初步分析与论证,并对旨在提高产权效度的制度改革提出了相关建议.     

Dynamic portfolio selection with market impact costs

This paper concerns optimal dynamic portfolio choice with quadratic utility when there are market impact costs. The optimal policy is difficult to characterize, so we look instead for sub-optimal policies. Our proposed suboptimal policy solves a tractable dynamic portfolio choice problem where the cost of trading is captured in the objective instead of the price dynamics. A multiple time scale asymptotic expansion shows that our proposed policy has sensible structural properties, while numerical experiments show promising performance and robustness properties.     

Improving fleet utilization for carriers by interval scheduling

Carriers are under increasing pressure to offset rising fuel charges with cost cutting or revenue generating schemes. One opportunity for cost reduction lies in asset management. This paper presents resource allocation scheduling models that can be used to assign truck loads to delivery times and trucks when delivery times are flexible. The paper makes two main contributions. First, we formulate the problem as a multi-objective optimization model — minimizing the number of trucks needed as well as the costs associated with tardiness or earliness — and demonstrate how improvements in fleet usage translate into savings which carriers can use as incentives to promote flexible delivery times for customers. Second, we show that a two-phase model with a polynomial algorithm in the second phase is able to produce optimal schedules in a reasonable time.     

FOREST BIOENERGY ADOPTION FOR A RISK‐AVERSE LANDOWNER UNDER UNCERTAIN EMERGING BIOMASS MARKET

Abstract This paper examines a land use problem where a risk‐averse representative landowner is uncertain about the timing and extent of a future biomass market emergence. The risk‐averse landowner is expected to maximize his or her expected utility of net present value from three land uses: agriculture, conventional forestry, and bioenergy forestry. Varying land quality, expected price jumps, and the timing of biomass market emergence are incorporated into the analysis. Under constant risk aversion, the simulation results show that the level of risk aversion has a significant influence on land allocation. The analysis also includes a discussion of how transaction costs affect land use change. The results offer insights into policy making for promoting forest bioenergy market development.     

Utility maximization in markets with bid–ask spreads

A one-period financial market model with transaction costs is considered in this paper. Redefining the risky asset price process in a suitable way, we obtain an explicit solution to the utility maximization problem when the risk preferences of the investor are based on the exponential utility function and a liability can be included in her portfolio. The arbitrage-free interval price for a general liability, as well as its replication price, is characterized in terms of expectations with respect to equivalent martingale measures. The indifference price is derived and its asymptotic limit when the risk aversion is going to infinity is analysed.     

个人投资与消费模型的期望效用最大化

研究了具有初始财富的投资者如何最大化终端资产和消费的期望效用,首先通过交易费用函数建立带交易费的连续时间投资与消费模型,然后运用鞅分析和对偶理论证明了：在有效市场中,如果投资者积极交易,则只会降低终端财富的期望值,并得到了最优投资消费组合过程和终端资产.     

Pricing European option with transaction costs under the fractional long memory stochastic volatility model

This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained.