基于混合遗传算法的投资组合优化改进模型研究

证券投资组合优化问题的实质就是有限的资产在具有不同风险收益特性的证券之间的优化配置问题.本文在马克维茨投资组合的均值一方差模型框架下,提出改进的证券投资组合优化模型,即以VAR作为风险度量工具和以RAROC作为目标优化函数的投资组合优化模型.从理论上讲该模型更符合投资工具的风险收益规律,同时采用遗传算法求解也保证了该模型在投资实践中应用的有效性.该模型和求解方法的有效性在上证A股市场的实证研究中得到了验证.     

M-V证券组合投资决策的风险厌恶模型

引入风险厌恶函数作为投资者对风险厌恶程度的一个度量标准,建立了含该函数的非线性证券组合投资决策模型,求解该模型便得到给定风险厌恶函数下的最佳证券组合,简化了证券组合选择过程.文中给出了该模型的解析解,并通过数值例子检验了该模型的解.结果表明,该模型所确定的最佳证券组合为M-V有效证券组合.     

基于Copula函数的贷款组合期限结构优化模型及其应用

将Copula函数应用于银行贷款组合期限结构优化模型上,进行实证分析.指出基于Copula函数的贷款组合期限结构模型解决了贷款组合的流动性风险控制问题.更好地反映了贷款组合的真实风险,兼顾了资产组合的收益与市场风险的暴露.     

BVaR风险度量下限制性卖空的单位风险收益最大投资组合模型

在BVaR风险度量下,提出了限制性卖空的单位风险收益最大投资组合模型,通过罚函数处理机制将模型转化成无约束优化问题,然后运用自适应差分进化算法进行求解.实证分析表明该算法是有效的,将限制性卖空引入到投资组合模型中,有助于扩展投资机会空间,增强市场效率,降低市场风险.     

基于模糊数的证券投资组合最优化模型

利用模糊数处理不确定性信息,建立了以总风险最小为目标函数的证券投资组合优化模型.在给定的截集下,借助模糊数大小的概率比较,将模糊优化模型转化为不等式约束下的线性规划模型.利用Matlab编程解得了其最优投资方案,并阐述了该方法的可行性.     

完全市场情况下多阶段均值-VaR投资组合优化

将VaR风险度量方法拓展到多阶段投资组合优化,提出了完全市场情况下多阶段均值-VaR投资组合模型,该模型的目标函数不具有可分离性。采用嵌入式方法将不可分离的问题转化为可分离的,并运用动态规划方法得到了模型的解析解,即最优投资策略。通过一个算例验证了该模型和求解方法的有效性。     

求解WCVaR的光滑化方法

聚焦基于WCVaR下,风险——利润的组合优化模型的计算问题,在随机变量服从离散界约束和损失函数为线性的条件下,根据已研究的半光滑化方法,将化简后的模型光滑化,并建立了SQP光滑化算法,并验证了该算法的全局收敛性.     

基于蚁群算法的GM(1,1)幂模型参数优化

为了提高GM(1,1)幂模型的精度,将平均相对误差函数和偏差平方和误差函数分别看成是幂指数、发展系数、灰作用量以及初值的函数,通过蚁群算法进行参数辨识.根据两类误差函数最小化原则得到两组参数估计值,再利用这两组参数估计值的凸组合优化模型的参数,通过最大相对误差最小化确定凸组合权系数.实例表明,基于蚁群算法和参数估计凸组合优化改进的GM(1,1)幂模型,其建模精度高于传统GM(1,1)幂模型,同时也说明该优化方法是有效的和可行的.     

基于泛函灵敏度方法的PSS参数优化设计

提出了一种多机电力系统稳定器(PSS)参数协调优化的共轭梯度法.该方法以系统动态组合泛函作为评价PSS阻尼效果的性能指标,通过变分法处理组合泛函指标中的积分项,提出了采用轨迹逆积分技术计算该指标对PSS参数向量梯度的新方法.该方法以上述组合泛函指标最小作为PSS参数优化模型中的目标函数.由于目标函数考虑了电力系统大扰动...     

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。     

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.     

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.     

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。     

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.     

Achieving Unusual States of Matter Under High Pressure

正The periodicity of the elements and the non-reactivity of the inner-shell electrons are two related principles of chemistry,rooted in the atomic shell structure.Within compounds,Group I elements,for example,invariably assume the+1 oxidation state,and their chemical properties differ completely from those of the p-block elements.These general rules govern our understanding of chemical structures and reactions.Using first principles calcula-     

Exchange-Correlation and Electronic Excitation Energies from Pairing Matrix Fluctuations

We have developed an adiabatic connection to formulate the ground-state exchange-correlation energy in terms of pairing matrix linear fluctuations.This formulation of the exchange-correlation energy opens a new channel for density functional approximations based on the many-body perturbation theory.We illustrate the potential of such approaches with an approximation based on the particle-particle Random Phase Approximation(pp-RPA).This re-     

Density Functional Theory for the Response of Periodic Systems to Electric Fields Based on the Vector Potential Approach

正The electronic and nuclear(structural/vibrational)response of 1D-3D nanoscale systems to electric fields gives rise to a host of optical,mechanical,spectral,etc.properties that are of high theoretical and applied interest.Due to the computational difficulty of treating such large systems it is convenient to model them as infinite and periodic(at least,in first approximation).The fundamental theoretical/computational problem in doing so is that     

Call for Papers

<正>"The Journal of Shanghai Normal University:Mathematics"is published by Shanghai Normal University as regular issues of The Journal of Shanghai Normal University each year from 2014 in English.The editors-in-chief of the issues are professors Yuhao Cong and Maoan Han.The Journal of Shanghai Normal University was started in 1958 with     

Journal of Donghua University ( English Edition) Contents of Volume 31

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Brief Introduction to “Journal of Jilin University( Science Edition) ”

<正>"Journal of Jilin University(Science Edition)"is a comprehensive academic journal in the fields of science sponsored by Jilin University and administrated by the Ministry of Education of the Peoples Republic of China.The journal started publication in 1955.The original name at starting publication was"Journal of Natural Science of Northeast People University",which was changed into"Acta Scientiarum Naturalium Universitatis Jilinensis"in 1958 owing to the name change of the university.The present journal name has