考虑有交易成本的证券组合的有效前沿研究

利用均值一方差模型，讨论了有交易成本的证券组合的有效前沿问题，并给出了有交易成本的n种风险资产的证券组合以及n种风险资产与一种无风险资产的证券组合的有效前沿特性的两个结论．该研究不同于CAPM那样的一般均衡模型，不需要假设市场是否达到一般均衡的条件，使投资组合有效前沿问题的研究结论更贴近于实际．     

基于动态极值VaR股指分析的中国行业风险研究

应用动态极值VaR模型分析中国行业股票价格指数,对不同市场条件下中国行业风险进行实证研究.在McNeil等提出的GARCH模型与极值理论基础上,运用Huisman等提出的VaR法修正上述风险值估计方法,构建了动态极值VaR模型.在该模型的构建中考虑了风险因子的时变特性,采用EVT方法对风险因子的厚尾特性进行建模,简化了风险值的估计过程,并提高了估计的准确性.动态极值VaR模型能够较好地刻画风险尾部分布特性,同时能够比较准确地度量所研究时间段内的市场风险和行业风险.研究结果表明,不同市场条件下各行业的风险特性具有显著的变化.最后利用Kruskal-Wallis一致性检验对上述结论进行了验证.据此,在资产组合管理过程中,有必要依据市场环境和行业风险特性对资产配置比例进行调整.     

基于均值-CVaR- 熵的社保基金最优投资组合模型

为研究社保基金最优投资组合问题,在借鉴现代投资组合理论的基础上,从证券投资组合理论的风险度量着手,用条件在险价值（Conditional Value at Risk,CVaR）和熵来共同度量风险,提出新的风险度量模型：均值-CVaR-熵模型。在保证投资组合收益率的前提下,以 CVaR 和叉熵函数的线性组合为最小目标函数,在险价值（Value at Risk,VaR）为约束条件,构建考虑交易成本和政策约束下不允许卖空的基于均值 CVaR 熵的社保基金投资组合模型,探讨社保基金的投资方式及投资比例的分配问题,并利用实际数据求得该模型的最优解及各资产的分配比例。结果表明多元化投资是我国社保基金投资实现保值增值目的的必然选择。     

多期投资组合问题的优化分析

根据实践中风险分散的要求,在多期投资组合问题中加入资产分散约束,建立了该问题的随机规划模型,并将其转化为两阶段有补偿模型.然后将资产虚拟为局中人,构造了一个合作博弈问题.利用随机规划的对偶理论证明了该合作博弈存在核心分配,结论显示将初始资金投资到全部资产上的多期投资组合,其收益优于分散初始资金、分散资产组合的投资方法.     

不确定性条件下股票质押贷款基本问题的探讨

探讨了在不确定条件下商业银行质押贷款的决策行为，并建立了股票组合质押贷款的优化模型．在此基础上，通过对该模型的修正和经济意义的解释，1)拓宽了模型的应用范围，弥补了传统技术分析和基本面分析严重脱节的缺陷；2)对信息不对称条件下商业银行的行为作出了理论解释；3)解决了流动性风险和市场风险对质押贷款组合的不同影响的问题；4)推导出了质押率的理论区间．     

证券资产动态定价模型与机制研究

从新兴市场动态多变的基本特征出发，根据现代Ｉｎｔｅｒｔｅｍｐｏｒａｌ组合理论的思想方法，重点研究探讨了资产（证券）的收益、需求以及预算约束的动态特性及方程，深入分析了证券市场定价的动态机制．在此基础上，又进一步研究提出了在可行集状态可由单一变量描述的情况下的资产定价动态均衡模型．与传统的ＣＡＰＭ理论不同，本模型表明在动态市场环境下，资产价格与可行集变化情况密切相关     

基于资产组合理论的发电商电能分配策略研究

如何将有限的电能在各个细分电能市场进行合理的分配从而获得利润最大化,是发电厂商当前急需解决的问题.将发电商在电能市场和备用市场的能量分配策略看成投资者对风险资产的投资组合策略,运用Markowitz的均值-方差分析理论建立了相应的分析模型,通过对模型的求解,得到了发电商的最优能量分配策略.     

多风险资产期权定价模型及其应用

为了研究能使投资于多种风险资产的风险最小或收益最大的最优组合投资问题, 首先给出了市场的假设条件, 根据投资准则建立一个多目标二次规划模型, 再利用统计出来的相关数据将此转化为两个单目标规划问题, 利用其最大效用函数是随机控制问题对应的方程, 给出最优投资策略的线性方程组, 所得解即为所寻求的最优组合投资方案. 通过实例表明此模型在实际的投资组合中有重大的现实意义.     

VaR模型及其在证券投资管理中的应用

VaR模型是近年来用于测量和控制市场风险的主要方法之一，分析了VaR模型的基本原理和考虑的主要因素，根据函数所反映的映射关系，将资产组合价值与其相关的市场风险因素的关系分为线性关系和非线性关系，推导了在正常市场条件下VaR值的计算方法，并探讨了VaR模型在投资组合构造、投资风险控制、信息披露、金融监管等方面的应用．     

熵池理论和风险平均分散化模型在投资组合分配中的应用

为确定资产组合中各资产的权重,提出了基于熵池理论和风险平均分散化模型的新方法.首先根据投资者线性或非线性观点,用熵池理论的方法,结合CMA算法和蒙特卡洛模拟得出协方差矩阵的估计(∑);其次对估计出的(∑)进行主成分分析,并运用风险平均分散化模型,求出组合权重,得到各个资产在组合中的分配方案;最后用历史数据进行了实证研究,证明了这种方法的优越性.     

Solid lipid nanoparticles loading adefovir dipivoxil for antiviral therapy

Herein, solid lipid nanoparticles （SLN） were proposed as a new drug delivery system for adefovir dipivoxil （ADV）. The octadecylamine-fluorescein isothiocynate （ODA-FITC） was synthesized and used as a fluorescence maker to be incorporated into SLN to investigate the time-dependent cellular uptake of SLN by HepG2.2.15. The SLN of monostearin with ODA-FITC or ADV were prepared by solvent diffusion method in an aqueous system. About 15 wt% drug entrapment efficiency （EE） and 3 wt% drug loading （DL） could be reached in SLN loading ADV. Comparing with free ADV, the inhibitory effects of ADV loaded in SLN on hepatitis B surface antigen （HBsAg）, hepatitis B e antigen （HBeAg） and hepatitis B virus （HBV） DNA levels in vitro were significantly enhanced.     

检疫性害虫——瓜实蝇在中国的适生性研究

通过对瓜实蝇的适生性研究分析,阐明其在中国19个气候大区的适生区域,为对瓜实蝇的针对性调查、检疫和防治以及风险研究提供依据。     

谈“法”说“律”

《尔雅》中“法”与“律”是一组同义词,但是在中国传统的法律文化中,“法”的内涵远远大于“律”,它是一种抽象意义上的所指,而“律”则侧重的是刑法。它们不仅单用,也经常连用,因此逐渐凝固为“法律”一词。但是直到1815年它才正式出现在工具书中,可见现代的法律观念是在明清之后逐渐形成的。     

说“休”道“闲”

论述"休"、"闲"二字的原初构形意图,梳理二者意义发展的线索及其与相关字词的意义联系。指出休的字形构意与表示哺乳的乳字有相似之处,人对自然物的依赖犹如小孩对母亲的依赖,是文章的一个亮点。     

Application of NIR spectroscopy for firmness evaluation of peaches

The use of near infrared （NIR） spectroscopy was proved to be a useful tool for quality analysis of fruits. A bifurcated fiber type NIR spectrometer, with a detection range of 800-2500 nm by InGaAs detector, was used to evaluate the firmness of peaches. Anisotropy of NIR spectra and firmness of peaches in relation to detecting positions of different parts （including three latitudes and three longitudes） were investigated. Both spectra absorbency and firmness of peach were influenced by longitudes （i, ii, iii） and latitudes （A, B, C）. For modeling, two thirds of the samples were used as the calibration set and the remaining one third were used as the validation or prediction set. Partial least square regression （PLSR） models for different longitude and latitude spectra and for the whole fruit show that collecting several NIR spectra from different longitudes and latitudes of a fruit for NIR calibration modeling can improve the modeling performance. In addition, proper spectra pretreatments like scattering correction or derivative also can enhance the modeling performance. The best results obtained in this study were from the holistic model with multiplicative scattering correction （MSC） pretreatment, with correlation coefficient of cross-validation γcv=0.864, root mean square error of cross-validation RMSECV=6.71 N, correlation coefficient of calibration r=0.948, root mean square error of calibration RMSEC=4.21 N and root mean square error of prediction RMSEP=5.42 N. The results of this study are useful for further research and application that when applying NIR spectroscopy for objectives with anisotropic differences, spectra and quality indices are necessarily measured from several parts of each object to improve the modeling performance.     

Nanoscale structural and electronic evolution for increased efficiency in polymer solar cells monitored by electric scanning probe microscopy

Control of blend morphology at multi-scale is critical for optimizing the power conversion efficiency （PCE） of plastic solar cells. To better understand the physics of photoactive layer in the organic photovoltaic devices, it is necessary to gain understanding of morphol- ogy and the corresponding electronic property. Herein we report the correlation between nanoscale structural, electric properties of bulk heterojunction （BHJ） solar cells and the annealing-induced PCE change. We demonstrate that the PCE of BHJ solar cells are dramatically improved （from 1.3 % to 4.6 %） by thermal annealing, which results from P3HT crystalline stacking and the PCBM aggregation for interpenetrated network. The similar trend for annealing- induced photovoltage and PCE evolution present as an initial increase followed by a decrease with the annealing time and temperature. The surface roughness increase slowly and then abruptly after the same inflection points observed for photovoltage and PCE. The phase images in electric force microscopy indicate the optimized P3HT and PCBM crystallization for interpenetrating network formation considering the spectroscopic results as well. From the correlation between surface photovoltage, blend morphology, and PCE, we propose a model to illustrate the film structure and its evolution under different annealing conditions. This work would benefit the better design and optimization of the morphology and local electric proper- ties of solar cell active layers for improved PCE.     

Verilog HDL modeling and design of 10Gb/s SerDes full rate CDR in 65nm CMOS

Phase locked loop （PLL） is a typical analog-digital mixed signal circuit and a method of conducting a top level system verification including PLL with standard digital simulator becomes especially significant. The behavioral level model （BLM） of the PLL in Verilog-HDL for pure digital simulator is innovated in this paper, and the design of PLL based clock and data recovery （CDR） circuit aided with jitter attenuation PLL for SerDes application is also presented. The CDR employs a dual-loop architecture where a frequency-locked loop acts as an acquisition aid to the phase-locked loop. To simultaneously meet jitter tolerance and jitter transfer specifications defined in G. 8251 of optical transport network （ ITU-T OTN） , an additional jitter attenuation PLL is used. Simulation results show that the peak-to-peak jitter of the recovered clock and data is 5.17ps and 2.3ps respectively. The core of the whole chip consumes 72mA current from a 1.0V supply.     

QTL analysis of flag leaf in barley （Hordeum vulgate L.） for morphological traits and chlorophyll content

To understand genetic patterns of the morphological and physiological traits in flag leaf of barley, a double haploid （DH） population derived from the parents Yerong and Franklin was used to determine quantitative trait loci （QTL） controlling length, width, length/width, and chlorophyll content of flag leaves. A total of 9 QTLs showing significantly additive effect were detected in 8 intervals on 5 chromosomes. The variation of individual QTL ranged from 1.9% to 20.2%. For chlorophyll content expressed as SPAD value, 4 QTLs were identified on chromosomes 2H, 3H and 6H; for leaf length and width, 2 QTLs located on chromosomes 5H and 7H, and 2 QTLs located on chromosome 5H were detected; and for length/width, I QTL was detected on chromosome 7H. The identification of these QTLs associated with the properties of flag leaf is useful for barley improvement in breeding programs.     

基于DSP的动态无功补偿装置的研制

针对电力系统中无功补偿装置发展的现状,研制出基于DSP控制的TSC低压动态无功补偿装置。系统以无功功率和电压为综合判据控制电容器的自动循环投切,克服了传统无功补偿中只考虑单一因素作为判据的缺陷,有效地消除了电容器轻载投切振荡现象,并通过串联电抗器对谐波进行了很好的抑制。     

基于区间分析的建设项目经济评估方法比较

为解决项目建设中的不确定性经济评估问题，对区间净现值（INPV）法、区间动态投资回收期（IPT）法及区间内部收益率（IIRR）法等3种项目经济评估方法进行了比较．给出了各区间评估方法的基本概念和评估准则，总结了其优缺点；并对这3种方法进行了比较研究表明，IPT法、INPV法、IIRR法对项目经济评估的结果基本相同，都可以有效地处理经济评估中的不确定性，每种方法能够给出项目某一方面的经济指标，可从一定侧面反映项目的经济可行性以及项目面临的经济风险．为此，对其进行了风险计算，各方法计算所得项目风险排序从小到大为IPT、INPV、IIRR．因此，保守的决策者优先采用的方法顺序为IIRR法、INPV法、IPT法；大胆的决策者采用的方法顺序为IPT法、INPV法、IIRR法．