具有交易成本的证券组合投资决策研究

本文利用均值－方差模型，分析了有交易成本的证券投资组合的决策问题，给出了风险资产和无风险资产的最优投资比例与交易成本关系的一个有意义的结论。     

一种高温超导磁悬浮装置

本文介绍一个基于倒挂吸引式(EMS)原理的高温超导磁悬浮试验装置．这个装置由高温超导磁体、单臂梁金属导轨、位置传感器、控制电路等组成．绕制超导磁体线圈所用的是Bi-2223／Ag高温超导线材．超导磁体工作在激磁电流为3．2A时，在5mm的空气间隙中产生0．21T的磁通密度，与单臂梁金属导轨可产生72N的垂直悬浮力．通过引入压控电流源，利用常规的超前一滞后校正实现了该磁悬浮装置的稳定悬浮和鲁棒控制，在负载变化87．5%的情况下仍能实现超导磁悬浮装置的稳定悬浮．该试验装置首次验证了高温超导线圈的可控性问题，为进一步探索高温超导线圈用于磁悬浮轨道交通系统的可行性打下了基础．     

投资组合保险CPPI策略研究

随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测.     

Some aspects of diffusion: fluctuations in reaction diffusion,and geometric influences in nonuniform media

Summary We deal with two diffusion problems: Space-integrated conserved entities characterizing very fast - diffusion - controlled reactions, such as time lags, etc. are universal. They are given by relationships which do not reflect the failure of the mean field hydrodynamic equations. We present another application which does not reflect this failure, for determining the surface flux via a diffusion controlled reaction producing a colored product. Another anomalous diffusion process we considered is transport through cellular materials whose cell sizes are highly nonuniform. We have analyzed the effects of extreme nonuniformity by considering fractal-like models of cellular solids. The diffusion current through these models can exhibit anomalous time-dependencies which are not predicted by the diffusion equation. In particular, it is shown that the initial diffusion current can be characterized by a power-law dependence on the time. Furthermore, the exponent of the power law is given in terms of the distribution of cell sizes in the fractal-like cellular solid.     

Review of time lag permeation technique as a method for characterisation of porous media and membranes

The time lag permeation technique has proven to bean effective method for characterisation. Because of the simple nature of the permeation experiment, transport parameters can be directly obtained from experimental data hence avoiding the intensive mathematical treatment required by other techniques. The method has historically been applied to diffusion and adsorption in porous membranes and diffusion in polymer membranes. Since its origins in 1920, interest in the time lag method has expanded because of its value in characterising simple permeation processes and also complex systems of diffusion with simultaneous adsorption and surface diffusion. This review focuses on presenting the asymptotic solution of the mass balance diffusion equations and includes applications of time lag analysis, in order to give a critical and broad perspective of this method as a tool for characterisation. It includes much of the previously published literature in order to show that for most cases the asymptotic solution of the transport equations is simple, and for more complex cases that an analytical solution is possible hence avoiding cumbersome numerical techniques.     

Simple technique for the simultaneous determination of solvent diffusion coefficient in polymer by Quantum Resistive Sensors and FT‐IR spectroscopy

A simple, quick and novel method for the determination of diffusion properties through polymer films, based on Quantum Resistive Sensors made of Conductive Polymer nanoComposites is presented. The integral time lag method is employed for the calculation of diffusion coefficient, and the results are compared simultaneously with that of Fourier transform infrared spectroscopy and sorption method. Two model polymers, a semi‐crystalline poly(lactic acid) and an amorphous poly(isobutylene‐co‐isoprene), are used to validate the study. A good correlation is established between the diffusion coefficient values derived from all techniques demonstrating the interest of such reliable, simple and cheap nanosensors for the quick determination (several minutes) of diffusion properties in polymer films. Our first results suggest that this technique is meaningful for the determination of barrier properties in nanocomposite membranes filled with platelets of graphene or clay. Copyright © 2013 John Wiley & Sons, Ltd.     

Data envelopment analysis models of investment funds

This paper develops theory missing in the sizable literature that uses data envelopment analysis to construct return-risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks, and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification, coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference using monthly returns of 30 hedge funds over the same time period. It discusses possible shortcomings of the procedure and offers directions for future research.     

Two-stage financial risk tolerance assessment using data envelopment analysis

Typical questionnaires administered by financial advisors to assess financial risk tolerance mostly contain stereotypes of people, have seemingly unscientific scoring approaches and often treat risk as a one-dimensional concept. In this work, a mathematical tool was developed to assess relative risk tolerance using Data Envelopment Analysis (DEA). At its core, it is a novel questionnaire that characterizes risk by its four distinct elements: propensity, attitude, capacity, and knowledge. Over 180 individuals were surveyed and their responses were analyzed using the Slacks-based measure type of DEA efficiency model. Results show that the multidimensionality of risk must be considered for complete assessment of risk tolerance. This approach also provides insight into the relationship between risk, its elements and other variables. Specifically, the perception of risk varies by gender as men are generally less risk averse than women. In fact, risk attitude and knowledge scores are consistently lower for women, while there is no statistical difference in their risk capacity and propensity compared to men. The tool can also serve as a “risk calculator” for an appropriate and defensible method to meet legal compliance requirements, known as the “Know Your Client” rule, that exist for Canadian financial institutions and their advisors.     

Volatility estimation for stochastic project value models

One of the key parameters in modeling capital budgeting decisions for investments with embedded options is the project volatility. Most often, however, there is no market or historical data available to provide an accurate estimate for this parameter. A common approach to estimating the project volatility in such instances is to use a Monte Carlo simulation where one or more sources of uncertainty are consolidated into a single stochastic process for the project cash flows, from which the volatility parameter can be determined. Nonetheless, the simulation estimation method originally suggested for this purpose systematically overstates the project volatility, which can result in incorrect option values and non-optimal investment decisions. Examples that illustrate this issue numerically have appeared in several recent papers, along with revised estimation methods that address this problem. In this article, we extend that work by showing analytically the source of the overestimation bias and the adjustment necessary to remove it. We then generalize this development for the cases of levered cash flows and non-constant volatility. In each case, we use an example problem to show how a revised estimation methodology can be applied.     

Arithmetic Brownian motion and real options

We treat real option value when the underlying process is arithmetic Brownian motion (ABM). In contrast to the more common assumption of geometric Brownian motion (GBM) and multiplicative diffusion, with ABM the underlying project value is expressed as an additive process. Its variance remains constant over time rather than rising or falling along with the project’s value, even admitting the possibility of negative values. This is a more compelling paradigm for projects that are managed as a component of overall firm value. After outlining the case for ABM, we derive analytical formulas for European calls and puts on dividend-paying assets as well as a numerical algorithm for American-style and other more complex options based on ABM. We also provide examples of their use.