Unified Model for Generation Complex Networks with Utility Preferential Attachment

In this paper, based on the utility preferential attachment, we propose a new unified model to generate different network topologies such as scale-free, small-world and random networks. Moreover, a new network structure named super scale network is found, which has monopoly characteristic in our simulation experiments. Finally, the characteristics ofthis new network are given.     

两个安全第一思想模型的比较分析

针对投资者可能的投资需求确立了基于安全第一思想下两个相近的投资目标:1、极大化投资末期总收益率超过给定水平α的概率;2、极小化投资末期总收益率与给定水平α的距离.并分别就这两个目标建立了优化决策模型,得到了模型解析解,最后对两个模型结果进行了比较分析和经济解释.     

带有回报计划的动态客户关系管理模型及实验应用分析

在客户最大化效用及公司最大化CLV的动态环境下。对所提的带有回报计划的动态客户关系管理模型用于某超市的客户数据库中，发现模型的结果对这类客户是适用的。并给出了不同的客户状态空间对应的有效营销组合策略。结果表明：合适的回报计划可以促进客户的购买、提高公司的利润及缓解价格竞争。回报极限应该比客户的平均购买水平偏高，回报率应该与回报极限的改变方向一致。计划的时间范围应定在一年左右比较合适。对于累积购买水平较高的客户一般不邮寄商品信息。在回报计划的初期与末期不用打折。中期对那些购买次数很少的客户可以实行相应的降价策略。     

Assessing the Error Probability of the Model Selection Test

The asymptotic error probability of Linhart's model selection test isevaluated, and compared with the nominal significance level. We examine thecase where the expected discrepancies of the candidate models from the truemodel are asymptotically equal. The local alternatives method is employed inthe limiting operation of the asymptotic evaluation. Although the errorprobability under the null hypothesis is actually shown to be equal to orless than the level for most situations, intolerable violations of the errorcontrol are observed for nested models: It is often erroneously concludedthat the smaller model is significantly better than the larger model. Toprevent this violation, a modification of Linhart's test statistic isproposed. The effectiveness of the proposed test is confirmed throughtheoretical analysis and numerical simulations.     

Polling systems in heavy traffic: Exhaustiveness of service policies

We study the expected delay in cyclic polling models with general ‘branching-type’ service disciplines. For this class of models, which contains models with exhaustive and gated service as special cases, we obtain closed-form expressions for the expected delay under standard heavy-traffic scalings. We identify a single parameter associated with the service discipline at each queue, which we call the ‘exhaustiveness’. We show that the scaled expected delay figures depend on the service policies at the queues only through the exhaustiveness of each of the service disciplines. This implies that the influence of different service disciplines, but with the same exhaustiveness, on the expected delays at the queues becomes the same when the system reaches saturation. This observation leads to a new classification of the service disciplines. In addition, we show monotonicity of the scaled expected delays with respect to the exhaustiveness of the service disciplines. This induces a complete ordering in terms of efficiency of the service disciplines. The results also lead to new rules for optimization of the system performance with respect to the service disciplines at the queues. Further, the exact asymptotic results suggest simple expected waiting-time approximations for polling models in heavy traffic. Numerical experiments show that the accuracy of the approximations is excellent for practical heavy-traffic scenarios. This revised version was published online in June 2006 with corrections to the Cover Date.     

Optimal Investment in a Levy Market

In this paper we consider the optimal investment problem in a market where the stock price process is modeled by a geometric Levy process (taking into account jumps). Except for the geometric Brownian model and the geometric Poissonian model, the resulting models are incomplete and there are many equivalent martingale measures. However, the model can be completed by the so-called power-jump assets. By doing this we allow investment in these new assets and we can try to maximize the expected utility of these portfolios. As particular cases we obtain the optimal portfolios based in stocks and bonds, showing that the new assets are superfluous for certain martingale measures that depend on the utility function we use.     

Global Optimization of Stochastic Black-Box Systems via Sequential Kriging Meta-Models

This paper proposes a new method that extends the efficient global optimization to address stochastic black-box systems. The method is based on a kriging meta-model that provides a global prediction of the objective values and a measure of prediction uncertainty at every point. The criterion for the infill sample selection is an augmented expected improvement function with desirable properties for stochastic responses. The method is empirically compared with the revised simplex search, the simultaneous perturbation stochastic approximation, and the DIRECT methods using six test problems from the literature. An application case study on an inventory system is also documented. The results suggest that the proposed method has excellent consistency and efficiency in finding global optimal solutions, and is particularly useful for expensive systems.     

Quadratic distances for capacity and bi-capacity approximation and identification

The application of multi-attribute utility theory based on the Choquet integral requires the prior identification of a capacity if the utility scale is unipolar, or of a bi-capacity if the utility scale is bipolar. In order to implement a minimum distance principle for capacity or bi-capacity approximation or identification, quadratic distances between capacities and bi-capacities are studied. The proposed approach, consisting in solving a strictly convex quadratic program, has been implemented within the GNU R kappalab package for capacity and nonadditive integral manipulation. Its application is illustrated on two examples.      

均值-方差效用函数在证券组合投资决策中的应用

本文利用均值—方差效用函数，按期望效用最大化准则建立并分析了证券组合投资决策模型。在投资者的效用函数为指数型效用函数时，得到了两基金定理分离权重的计算公式。得出了在均值——方差效用函数条件下期望效用最大化准则与M—V期望收益最大化准则一致的结论。     

动态随机弹性在期权定价中的应用

给出动态随机弹性的概念及运算性质,讨论了动态随机弹性在期权定价模型中的应用.主要结果有:(1)在波动率为常数时,期权价格对的弹性,得到了动态随机弹性服从运动,并给出了相应的经济解释;(2)由于波动率一般不是常数,也是随机过程,因此本文进一步研究了期权价格对波动率的弹性,就股票价格的波动情况给出了数学描述和金融意义上的解释.