基于CRRA效用函数的企业年金最优个体投资策略

在常数相对风险规避系数(constant relative risk aversion,CRRA)效用函数的偏好假定下,构建了反映企业年金计划退休前有固定投入.退休后有固定支出的连续时间随机动态规划模型,求出了退休前和退休后最优个体投资策略.发现二者具有一定的对称性:固定缴费投入使退休前的策略相对积极,但最优风险证券投资比重随时间推移而降低;固定养老支出使退休后的策略相对保守,但最优风险证券投资比重随时间推移而增加.大规模的MonteCarlo模拟证明了理论推导.     

考虑红利支付和随机波动的确定缴费型养老金最优投资策略

为研究红利支付和随机波动情形下确定缴费型养老金的最优投资问题,假设:(1)金融市场有2种资产,即无风险资产(银行存款)和风险资产(股票),且养老金计划的基金投资在这2种资产上;(2)风险资产的方差服从Heston模型,且考虑了风险资产(股票)所得的红利收入。通过随机控制原理,在指数效用函数情形下获得DC型养老金最优投资的显式解,从而得出其最优投资策略为:红利率越大,相同的养老金财富水平在股票上的投资比例越大;在一定范围内,通胀波动率的增加使得投资者追加对股票的投资,但当通胀波动率较大时,投资者反而减少对股票的投资。     

随机缴费流下DC型企业年金基金的动态投资策略

在连续时间金融市场中建立了具有最低保障约束的缴费确定型(DC)企业年金资产配置模型,选择Vasicek模型刻画利率,建立新的随机缴费流模型,选择CARA效用函数,在满足企业年金终期财富超过最低保障的约束条件下得到了使终期财富期望效用最大的配置策略,最后对基金的最优策略进行数值模拟分析,分析结果表明最优策略具有生命周期投资风格的特征.     

Stein-Stein随机波动率模型下确定缴费型养老金的最优投资

确定缴费型养老金在社会保障体系中扮演着越来越重要的角色.本文研究了确定缴费型养老金的最优投资,投资目标是最大化终端财富的期望效用.假设养老金投资计划的资金可以投资于一个无风险资产和两个风险资产,并且风险资产的价格过程服从Stein-Stein随机波动模型,最终得到该优化问题的最优投资策略的显性解,可为养老金管理者提供一定的投资依据.     

待遇预定制养老基金管理的常方差弹性模型

该文主要为待遇预定制养老基金的管理建立常方差弹性(CEV)模型，给出了相应的Beliman方程，并分析了求解过程，确定风险资产和无风险资产的投资比例以及养老金缴费水平，最终实现养老基金管理的最优资产配置和最低缴费水平．文中最后还就绝对扩散的CEV模型给出数值解并描绘成图，更加直观地叙述了在不同状态下养老金管理的最优决策．     

保险公司VaR约束下的最优投资问题

研究VaR约束下的具有随机现金流的保险公司投资问题.假设一个连续时间的金融市场存在一种无风险资产和一种风险资产.分别研究在仅有一种风险资产下的投资和在一种风险资产和无风险资产之间投资的问题.针对指数效用函数,在终端财富最大化的目标下,结合相应的VaR约束,通过建立和求解相应的HJB方程,得到相应问题的最优投资策略.     

一个风险值约束下的连续时间最优投资组合

考察当存在一个风险约束时的连续时间的最优投资组合问题,提供最优投资组合中控制风险的一种方法和实践管理者对市场风险控制的必要条件.一个风险约束是指由n个风险资产加上一个无风险资产且风险随时间是连续的,问题化为一段时间内约束效用最大化问题.利用动态规划技巧推导Hamilton-Jacobi-Bellman方程,且利用Lagrange乘子法处理约束条件.     

随机环境下有最低收益保障的DC型养老金问题

对随机利率和随机波动率模型下带有最低收益保障的DC型养老金投资问题进行了研究,其中假设利率服从仿射利率模型,股票价格服从Heston随机波动率模型.养老金被允许投资于三种资产:一种无风险资产,一种可转换债券,一种风险资产.运用动态规划原理得到了指数效用函数下最优投资策略的显性解.给出数值算例分析了市场参数对最优投资策略的影响.     

跳跃不确定过程下的养老金最优投资策略

在不确定理论的框架下,研究具有不确定工资的确定缴费(DC)型养老金的最优投资策略问题.在最优化模型中,假设风险资产的价格服从跳跃不确定过程,养老金在无风险资产和风险资产上进行投资,养老金控制的目标是选择最优给付率和投资策略,以使其二次损失函数现值最小化.利用不确定动态规划法,证明了不确定最优性原理,得出了不确定最优性方程,通过求解不确定最优性方程得到最优给付率和最优投资策略的显式解.     

混合随机波动模型下带随机工资的DC型养老金最优投资策略

针对养老金的保值增值问题,分析具有利率风险和波动风险的DC(defined contribution)型养老金最优投资策略。假设金融市场包含一种无风险资产和一种股票,其中股票价格服从混合随机波动(Heston-Hull-White)模型。设定养老金计划成员的工资是随机的。基于终端财富预期效用最大化标准,在CARA效用函数下,通过建立相应的HJB(Hamilton-Jacob-Bellman)方程,求解出最优投资策略,并利用数值算例分析主要模型参数对最优投资策略的影响。结果表明：风险规避系数的增大会导致投资者对股票的投资比例下降,利率风险和波动风险对DC型养老金的最优投资策略有显著影响。所得结果对基金管理者具有一定的指导作用。     

Features of Women's language

Language is a means of verbal communication. People use language to communicate with each other. In the society, no two speakers are exactly alike in the way of speaking. Some differences are due to age, gender, statue and personality. Above all, gender is one of the obvious reasons. The writer of this paper tries to describe the features of women＇s language from these perspectives： pronunciation, intonation, diction, subjects, grammar and discourse. From the discussion of the features of women＇s language, more attention should be paid to language use in social context. What＇s more, the linguistic phenomena in a speaking community can be understood more thoroughly.     

Jane Eyre——A Feminist In The 19th Century

In the 19th century the society was controlled by men, and women were just appendants of them, they had not any rights and freedom. But Jane was an exception, she showed some characteristics of early feminist. Jane showed her characteristics of feminism in three aspects: rebellion, equality, and independence. These characteristics were helpful to her success, and feminism is the only way out for women of that time.     

Editorial note for the special topic on ＂Nanopore Analysis＂

The concept of nanopore analysis, using the pore-forming protein a-hemolysin to detect individual nucleic acids at a single-molecule level, was first proposed in 1996. Over the past two decades, tremendous progress has been made in the nanopore field, and nanopore analysis has become a label-free and high-throughput method for probing bio- molecules and other analytes with single-molecule sensi- tivity, especially holds the promising for ＂third generation＂ DNA sequencing. However, challenges still remain in the experimental strategies and the design of whole nanopore-based instruments. Here, we proudly present a special topic dedicated to the topic of ＂Nanopore Analysis＂, with 8 reviews/articles providing up to date coverage of the experimental strategies, theoretical calcu- lations and simulations, and instrument design. Reviews and articles on the experimental strategies cover control of DNA partitioning into a nanopore, detection of target DNA, and the advantages of nanopore-based DNA sequencing. The theoretical calculations and simulations discuss the translocation behavior of DNA, and an inte- grated measurement system and data analysis software are presented for instrument design.     

Effects of climate change on biodiversity

1 Rise of studies on climate change＇s effects on biodiversity
Until the 1980s, climate change and biodiversity were studied as two independent disciplines for more than a century. In 1992, the Ecological Society of America＇s annual report named climate change, biodiversity, and the sustainable ecological system as the three major global environmental issues of the twenty-first century [1].     

Discussing the Expansive Learning in Modern Organizations

<正>1 Introduction Endeavours on learning methods have long occupied the mind spaces of scholars and there have been theories abound on how people learn and in what way organisations can use some of the knowledge gained in the art of learning to maximise human productivity.While the theories by themselves are not solutions to problems,they are steps of inquiry that provide us with interesting perspectives that we can use to extend our knowledge of the dimensions of learning.This paper is an exploratory work on the theories postulated by three notable scholars including Zimmerman     

Progress in Linear Scaling Non-Orthogonal Localized Molecular Orbitals Method

The non-orthogonal localized molecular orbital(NOLMO)is the most localized representation of electronic degrees of freedom.As such,NOLMOs are thus potentially the most efficient for linear scaling calculations of electronic structures for large systems.However,direct ab initio calculations with NOLMO have not been fully implemented and widely used,partly because of the slow convergence issue in the optimization of NOLMO.We devel-     

An Accurate and Universal HEOM Approach to Strongly Correlated Quantum Impurity Systems

A hierarchical equations of motion(HEOM)approach is developed for general open quantum systems coupled to fermionic environment.The HEOM method is in principle formally exact,as it resolves nonperturbatively the combined effects of many-body interaction,system-bath dissipation,and non-Markovian memory.In practice,the HEOM approach is highly accurate and efficient for the characterization of strongly correlated quantum impurity sys-     

关于有理混合吸引子的Ciric型非唯一不动点定理

本文我们应用有理混合吸引子条件去证明具非唯一不动点的映射Ciric型的若干不动点定理.结果推广并改进已知的一些结果.     

次线性算子交换子在变指数Herz-Morrey空间上的有界性

本文主要利用给出的次线性算子分别与BMO函数及Lipschitz函数生成的交换子在变指数L~(p(·))(R~n)空间上的有界性,证明了其在变指数Herz-Morrey空间MK_(q,p(·))~α~((·)),λ(R~n)上的有界性.     

利用GPS双频观测值实现PPP电离层延迟高阶项改正

给出了利用双频观测值计算L3组合电离层延迟高阶项改正的方法,并与全球电离层延迟文件的改正效果进行对比.利用赤道附近的15个国际全球卫星导航定位系统服务组织(IGS)站的数据进行比较,结果表明:2种方法计算的电离层二阶项延迟互差最大不超过1 cm,三阶项延迟互差最大不超过5 mm;电离层高阶项改正后的观测值精密单点定位(PPP)解算结果N、E、U方向互差平均值分别为0.4、0.5、1.0mm,因此2种改正方法效果在同一水平.