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.     

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.     

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.     

Non-Parametric Regression Methods

The nature of the financial time series is complex, continuous interchange of stochastic and deterministic regimes. Therefore, it is difficult to forecast with parametric techniques. Instead of parametric models, we propose three techniques and compare with each other. Neural networks and support vector regression (SVR) are two universally approximators. They are data-driven non parametric models. ARCH/GARCH models are also investigated. Our assumption is that the future value of Istanbul Stock Exchange 100 index daily return depends on the financial indicators although there is no known parametric model to explain this relationship. This relationship comes from the technical analysis. Comparison shows that the multi layer perceptron networks overperform the SVR and time series model (GARCH).     

沪深股市回报率、波动率和交易量关系的实证研究

本文首先对回报率与交易量之间的关系进行了研究,发现并不存在非对称的数量关系,但存在双向的葛兰杰因果关系;同时将交易量对波动率的解释能力进行了研究,发现在沪市交易量对波动率具有解释力,而在深市交易量对波动率没有解释力。     

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.     

直接资本化法中自有资本收益率的算法探讨

在分析我国房地产自有资本收益率操作中所存在问题的基础上,论述了自有资本收益率的实质是自有资金直接资本化率,并在房地产持有期小于抵押贷款期以及房地产持有期和土地批租年限相同的两种情况下,推导出了与土地有限期使用制度相适应的房地产资本化率和自有资本收益率的计算方法,提出了利用债务保障比率的取值范围检验资本化率合理性的基本公式.     

原木随机存贮策略的最优化问题

本主要介绍原木经销商在周期内原木变价销售情况下的最佳期初贮存量的决策方法，在建立期望机会成本的数学模型基础上，探讨原木随机存贮策略的最优化问题。     

高强混凝土弯压极限应变试验研究与计算

由于混凝土材料理化特性的差异,高强混凝土的弯压极限应变明显地小于普通混凝土,依据试验结果分析了高强混凝土的弯压极限应变变化规律,并给出了它的计算公式.