非对称ARCH模型在我国沪市A股中的应用

利用ARCH类模型适用于具有群集性和方差时变性的特点，对上证综合指数收益率的波动进行实证研究，结果显示收益率的波动存在显著的条件异方差性和波动过程的非对称性，分析结果表明EGARCH（2，2）模型可以很好地描述上证综合指数的市场波状况．     

Research on Efficient Frontier of Portfolios with Transaction Cost

This paper is concerned with a study on the efficient frontier characters of portfolio with transaction cost. The conclusion is drawn that all portfolios are of positive correlation on the efficient frontier with transaction cost; the sufficient condition for the derivable efficient frontier has also been achieved. Meanwhile, in comparison with the position of the efficient frontier without transaction cost in the plane (σ2,R), the conclusion has been made that the efficient frontiers with transaction cost drift and its opening shrinks correspondingly. With this study, the content of the efficient frontier is further enriched. It's very constructive and important for the practical portfolio investment strategy.     

Research on Efficient Frontier of Portfolios with Transaction Cost

This paper is concerned with a study on the efficient frontier characters of portfolio with transaction cost.The conclusion is drawn that all portfolios are of positive correlation on the efficient frontier with transaction cost;the sufficient condition for the derivable efficient frontier has also been achieved. Meanwhile, in comparison with the position of the efficient frontier without transaction cost in the plane (σ^2,R) , the conclusion has been made that the efficient frontiers with transaction cost drift and its opening shrinks correspondingly. With this study, the content of the efficient frontier is further enriched. It‘s very constructive and important for the practical portfolio investment strategy.     

基于私家车保有量预测与调控的灰色模型研究

利用灰色系统理论建立了私家车保有量预测的数学模型,针对对某地区1996-2007年连续12年私家车保有量,利用该灰色预测模型得到了该地区2008年和2009年私家车保有量分别为174.08及266.11万辆的预测结果.针对影响私家车保有量的人均国内生产总值、公交车营运总里程、居民人均可支配收入等11个指标,利用灰色关联分析法得出:要控制汽车废气的排放量,就必须限制私家车的增长,加快发展公共交通,为市民出行提供便利的乘车环境.     

证券数减少情形下M-V证券组合特征灵敏度研究

基于均值-方差（M—V）投资组合选择模型，分析了证券市场上不存在无风险资产且允许卖空条件下证券组合特征关于证券数减少的灵敏度．通过引入扰动因子和扰动矩阵，建立了证券数减少时M—V组合模型．同时与原有模型进行了比较，分析了证券数减少对有效前沿的影响．结果表明：证券数减少时M—V证券组合有效前沿向右漂移且开口变大，并给出了相应的经济解释．     

非线性数学期望的收敛定理

从非线性数学期望的定义及其性质入手，通过与经典数学期望的比较，并利用经典的Lebesgue收敛定理和倒向随机微分方程解在L^2意义下的连续性，提出并证明了被P控制的非线性数学期望的Levi，Fatou及Lebesgue收敛定理，从而得到在适当条件下非线性数学期望在几乎处处意义下连续；同时指出这些结果对任意一个g-期望都成立．     

皮带输送机下料口堵料溢料的分析和解决

皮带输送机通常会设置安全保护装置，但是无防堵料溢料装置。针对皮带输送机下料口在生产过程中易发生堵料、溢料、损坏设备等问题，特设计一种防止皮带输送机下料口堵料溢料的保护装置，有效解决了上述问题。改造方式简单有效，效果显著。