基于VaR控制下的动态优化投资组合

本文应用的动态优化投资组合模型是在VaR的约束下,调整投资组合的配置,使期望收益达到最大.基于投资组合中每一种资产的收益率序列,模型在不断变化的数据窗口下,首先估计模型参数,然后求解优化模型,得到每日投资组合中风险资产在VAR约束下的最优配置和借贷比率.这种方法对构筑新的风险资产投资组合的决策,以及对已有投资组合中资产配置的优化具有重要的指导意义.选取中国A股市场的4只股票,在收益率服从正态分布的假定下,确定投资组合中的资产配置以及借贷比率,并且讨论了模型参数的敏感性.     

存贷款利率隐含期权的蒙特卡罗模拟定价

随着利率市场化改革的深入,商业银行在经营中将出现一种新的风险,即隐含期权所带来的利率风险,对这些隐含期权的忽略会给公司造成重大损失。本文研究了基于跳跃---扩散模型的利率隐含期权的蒙特卡罗模拟定价模型与原理,结合我国银行存、贷款的隐含期权的类型及投资者的最优执行策略理论,对我国商业银行五年期定期存款与十年期可提前偿还贷款中的隐含期权进行定价。     

服从ARCH模型的风险资产定价模型

考虑服从ARCH模型的风险资产的定价问题,研究了投资者在具有二次效用函数下的最优投资组合问题。利用无套利原理给出了投资者在效用最大化条件下风险资产的定价问题,给出了最优投资组合的定价模型,并对不同形式下的定价公式进行了讨论。     

代理证券的有效度研究

在完美的市场假设下，经典的资本资产定价模型证明了，证券期望收益率R与β因子存在精确线性关系．而现实中，代理证券的有效边界与市场的有效边界是不一致的．在不引入无风险资产的条件下，本文根据证券组合协方差矩阵的正定性质和证券组合风险函数的凸性，证明了代理证券的有效度与代理证券包含的证券数目存在正向的比例关系．     

我国主权财富基金资产最优配置与风险管理模式研究

本文通过对主权财富基金的发展与中国主权财富基金现状进行研究,构建CRRA效用模型来分析我国主权财富基金最优资产配置,并运用金融市场风险测度方法VAR分别从风险框架与内外部风险层次深入分析其投资风险,在此基础上得出我国主权财富基金最优资产配置形式为效用增量最大化,我国主权财富基金资产风险管理模式为四维风险管理框架下的内外部风险度量与管理,最后建议我国主权财富基金应施行资产管理与风险管理相结合,提高其投资效率。     

基于谱风险度量的风险谱函数的研究

提出双曲型风险谱函数并得到了双曲型谱风险度量的估计量、后验检验和投资组合优化模型。实证分析表明,单个资产的双曲型谱风险度量值受置信水平和风险厌恶因子的影响,以双曲型谱风险度量为目标函数的投资组合的优化配置受风险厌恶因子和期望收益率的影响。     

老龄化背景下居民资产配置研究

本文基于生命周期投资理论,根据历史数据进行参数校准,分析引入了生存概率背景风险后的居民最优风险资产配置情况,建立最优消费效用投资组合模型,并使用Carroll提出的数值解法进行模型求解。模型得出了在不同财富水平下、不同劳动收入增长率以及遗赠影响下居民随着年龄增长其最优风险资产配置比例情况。     

基于系统性风险角度的基金资产配置策略分析

为从系统性风险角度分析基金资产配置策略,首先利用ARMA模型预测股票价格,并构建线性规划模型确立最优的股票投资组合策略。其次综合考虑每家公司配置资产时的收益和风险,构建马科维茨投资组合模型和投资效用-VaR平衡模型,给出最优投资组合策略下的投资效用以及风险价值。最后建立了基于聚类分析的相似性度量模型分析其公司间资产配置的相似性。     

资本资产定价理论及其发展方向研究

本文简要介绍了资本资产定价模型,并回顾了资本资产定价模型的产生,及其产生后众学者对其修正和改进的发展过程以及资本资产定价模型在现实中应用范围,指出了资本资产定价理论今后的三个主要的发展方向:修正和改进模型,使之继续为定价服务、通过和行为经济学结合发展出行为资产定价模型、扩展到实体经济学领域,发展出基于行业的投资组合理论。     

Kelly CVaR模型在大类资产配置中的应用

将CVaR方法和Kelly公式结合起来,建立了Kelly-CVaR模型,在CVaR控制风险的前提下,使用Kelly公式的思路配置资产,即在确保组合净值的平均损失率不超过给定水平的前提下,最大化资产增值率;运用Kelly-CVaR模型对中证全指、中证全债和Wind商品指数进行资产配置实证,回测期为2007-01-01到2016-12-31,3个月换仓一次,回测结果显示,根据模型配置的投资组合取得的收益率显著超过了各资产的收益率,并且夏普比率也要高于各资产,说明模型具有良好的资产配置效果。     

Markedness and its Interpretation in Language Use

Language markedness is a common phenomenon in languages, and is reflected from hearing, vision and sense, i.e. the variation in the three aspects such as phonology, morphology and semantics. This paper focuses on the interpretation of markedness in language use following the three perspectives, i.e. pragmatic interpretation, psychological interpretation and cognitive interpretation, with an aim to define the function of markedness.     

Lower Paleozoic oil relationships within Williston Basin, Canada

The Williston Basin is a significant petroleum province, containing oil production zones that include the Middle Cambrian to Lower Ordovician, Upper Ordovician, Middle Devonian, Upper Devonian and Mississippian and within the Jurassic and Cretaceous. The oils of the Williston Basin exhibit a wide range of geochemical characteristics defined as "oil families", although the geochemical signature of the Cambrian Deadwood Formation and Lower Ordovician Winnipeg reservoired oils does not match any "oil family". Despite their close stratigraphic proximity, it is evident that the oils of the Lower Palaeozoic within the Williston Basin are distinct. This suggests the presence of a new "oil family" within the Williston Basin. Diagnostic geochemical signatures occur in the gasoline range chromatograms, within saturate fraction gas chromatograms and biomarker fingerprints. However, some of the established criteria and cross-plots that are currently used to segregate oils into distinct genetic families within the basin do not always meet with success, particularly when applied to the Lower Palaeozoic oils of the Deadwood and Winnipeg Formation.     

An Analysis of Catherine＇s Character——Wuthering Heights

Wuthering Heights, Emily Bronte＇s only novel, was published in December of 1847 under the pseudonym Ellis Bell. The book did not gain immediate success, but it is now thought one of the finest novels in the English language. Catherine is the key character of this masterpiece, because everybody and everything center on her though she had a short life. We can understand this masterpiece better if we know Catherine well.     

Characterization of Ordovician carbonate reservoirs, southeastern Saskatchewan, Canada

The discovery of the prolific Ordovician Red River reservoirs in 1995 in southeastern Saskatchewan was the catalyst for extensive exploration activity which resulted in the discovery of more than 15 new Red River pools. The best yields of Red River production to date have been from dolomite reservoirs. Understanding the processes of dolomitization is, therefore, crucial for the prediction of the connectivity, spatial distribution and heterogeneity of dolomite reservoirs.The Red River reservoirs in the Midale area consist of 3～4 thin dolomitized zones, with a total thickness of about 20 m, which occur at the top of the Yeoman Formation. Two types of replacement dolomite were recognized in the Red River reservoir: dolomitized burrow infills and dolomitized host matrix. The spatial distribution of dolomite suggests that burrowing organisms played an important role in facilitating the fluid flow in the backfilled sediments. This resulted in penecontemporaneous dolomitization of burrow infills by normal seawater. The dolomite in the host matrix is interpreted as having occurred at shallow burial by evaporitic seawater during precipitation of Lake Almar anhydrite that immediately overlies the Yeoman Formation. However, the low δ18O values of dolomited burrow infills (-5.9‰～ -7.8‰, PDB) and matrix dolomites (-6.6‰～ -8.1‰, avg. -7.4‰ PDB) compared to the estimated values for the late Ordovician marine dolomite could be attributed to modification and alteration of dolomite at higher temperatures during deeper burial, which could also be responsible for its 87Sr/86Sr ratios (0.7084～0.7088) that are higher than suggested for the late Ordovician seawaters (0.7078～0.7080). The trace amounts of saddle dolomite cement in the Red River carbonates are probably related to "cannibalization" of earlier replacement dolomite during the chemical compaction.     

Design and analysis of generic LBS application developing platform

Location based services is promising due to its novel working style and contents.A software platform is proposed to provide application programs of typical location based services and support new applications developing efficiently. The analysis shows that this scheme is easy implemented, low cost and adapt to all kinds of mobile nework system.     

橡胶颗粒沥青混合料低温抗裂性试验研究

以AC-13级配为基础,将橡胶颗粒代替部分集料掺入混合料中,以低温弯曲试验为评价方法对不同橡胶颗粒掺量下沥青混合料的低温抗裂性进行研究,并引入应变能密度值对混合料的低温抗裂性进行综合评价.试验结果表明:橡胶颗粒沥青混合料试件的破坏微应变均超过2 300,满足冬寒区的技术指标;无论是否掺加橡胶颗粒,随着温度的下降,沥青混合料破坏时的最大弯拉强度增大,弯拉应变降低,劲度模量增大;弯曲应变能密度在胶粒掺量为1%左右时具有较大的弯曲应变能密度值,此时橡胶颗粒沥青混合料具有较好的低温抗裂性.     

A computer generator for randomly layered structures

AcomputergeneratorforrandomlylayeredstructuresYUJia shun1,2,HEZhen hua2(1.TheInstituteofGeologicalandNuclearSciences,NewZealand;2.StateKeyLaboratoryofOilandGasReservoirGeologyandExploitation,ChengduUniversityofTechnology,China)Abstract:Analgorithmisintrod…     

低渗透非均质砂岩油藏启动压力梯度研究

理论推导与室内实验相结合,建立了低渗透非均质砂岩油藏启动压力梯度确定方法。首先借助油藏流场与电场相似的原理,推导了非均质砂岩油藏启动压力梯度计算公式。其次基于稳定流实验方法,建立了非均质砂岩油藏启动压力梯度测试方法。结果表明:低渗透非均质砂岩油藏的启动压力梯度确定遵循两个等效原则。平面非均质油藏的启动压力梯度等于各级渗透率段的启动压力梯度关于长度的加权平均;纵向非均质油藏的启动压力梯度等于各渗透率层的启动压力梯度关于渗透率与渗流面积乘积的加权平均。研究成果可用于有效指导低渗透非均质砂岩油藏的合理井距确定,促进该类油藏的高效开发。     

Quantitative trait loci （QTLs） for quality traits related to protein and starch in wheat

Quality traits in wheat （Triticum aestirum L.） were studied by quantitative trait locus （QTL） analysis in a recombinant inbred line （RIL） population, a set of 131 lines derived from Chuan 35050 × Shannong 483 cross （ChSh）. Grains from RILs were assayed for 21 quality traits related to protein and starch. A total of 35 putative QTLs for 19 traits with a single QTL explaining 7.99-40.52% of phenotypic variations were detected on 10 chromosomes, 1D, 2A, 2D, 3B, 3D, 5A, 6A, 6B, 6D, and 7B. The additive effects of 30 QTLs were positive, contributed by Chuan 35050, the remaining 5 QTLs were negative with the additive effect contributed by Shannong 483. For protein traits, 15 QTLs were obtained and most of them were located on chromosomes 1 D, 3B and 6D, while 20 QTLs for starch traits were detected and most of them were located on chromosomes 3D, 6B and 7B. Only 7 QTLs for protein and starch traits were co-located in three regions on chromosomes 1D, 2A and 2D. These protein and starch trait QTLs showed a distinct distribution pattern in certain regions and chromosomes. Twenty-two QTLs were clustered in 6 regions of 5 chromosomes. Two QTL clusters for protein traits were located on chromosomes 1D and 3B, respectively, three clusters for starch traits on chromosomes 3D, 6B and 7B, and one cluster including protein and starch traits on chromosome 1D.     

On Tragic Consciousness In The Works By Ernest Hemingway

As an American modern novelist who were famous in the literary world, Hemingway was not a person who always followed the trend but a sharp observer. At the same time, he was a tragedy maestro, he paid great attention on existence, fate and end-result. The dramatis personae's tragedy of his works was an extreme limit by all means tragedy on the meaning of fearless challenge that failed. The beauty of tragedy was not produced on the destruction of life, but now this kind of value was in the impact activity. They performed for the reader about the tragedy on challenging for the limit and the death.