基于Kalman滤波算法的基金动态资产配置能力评价方法

构建了一个可以用于分析开放式基金动态资产配置结构的模型, 并利用Kalman滤波算法对我国54支开放式基金近5年的时间序列样本进行了实证检验. 结果显示: 该模型具有时变特征的状态参数设定能够较好地跟踪和近似拟合现实中基金对股票和债券资产配置结构的变动. 进一步扩展了模型, 提出了直接评价基金在股票和债券资产之间进行动态配置能力的方法. 实证结果显示: 该方法在分析基金投资业绩表现的效果上要优于传统的Treynor-Mazuy模型, 而且能够识别出我国开放式基金总体上具有资产配置能力, 基金长期投资业绩主要来源于资产配置决策.     

Spectral matching algorithm based on nonsubsampled contourlet transform and scale-invariant feature transform

A new spectral matching algorithm is proposed by using nonsubsampled contourlet transform and scale-invariant feature transform.The nonsubsampled contourlet transform is used to decompose an image into...     

Complete monotonicity of the probability of ruin and de Finetti’s dividend problem

This paper studies the complete monotonicity of the probability of ruinψin the the classical risk model and the classical risk model that is perturbed by a diffusion.As a byproduct,the authors give an alternative proof to a result on the optimal dividend problem due to LoefFen(2008).     

Ruin probabilities with pairwise quasi-asymptotically independent and dominatedly-varying tailed claims

This paper considers the nonstandard renewal risk model in which a part of surplus is invested into a Black-Scholes market whose price process is modelled by a geometric Brownian motion, claim sizes form a sequence of not necessarily identically distributed and pairwise quasi-asymptotically independent random variables with dominatedly-varying tails.The authors obtain a weakly asymptotic formula for the finite-time and infinite-time ruin probabilities.In particular,if the claims are identically distributed and consistently-varying tailed,then an asymptotic formula is presented.     

基于对象的CIPS总体设计模型体系

在分析综合现有模型体系、建模方法和面向对象思想的基础上,建立了一套基于对象的模型体系,简述了使用该模型进行总体设计的方法．该模型体系不但能全面地描述系统中的状态因素和人的行为因素,同时由于它的整个定义集都是建立在对象、属性和服务这三个基础定义上的,这可以使模型方便地转换成数学描述,有利于对现有系统和未来系统的信息流和物质流的过程、效率和可行性等加以分析     

应用神经网络建立冬小麦产量预测模型

实践表明,冬小麦的绿度与产量之间存在着密切的,非线性的相关关系。运用人工神经网络技术,对这种关系进行拟合和描述,建立了小麦绿度－产量模型,并对模型结构,预测精度进行了检验和探讨。     

并行多路径传输的可靠性模型研究

端到端并行多连接和多路径技术的应用能够提高数据传输的吞吐量,增强数据传输的可靠性,因此成为互联网研究的一个重要内容.一个应用所使用的路径可能会因为网络中存在的攻击而断掉,在失效路径可恢复的情形下,研究了并行多路径传输的可靠性,给出了相应的可靠性模型,得到了此时该应用仍能够成功完成的概率.最后给出了数值仿真,说明了并行多路径数据传输的高可靠性.     

一种基于BDD求解PIS的新方法

提出了基于双择判决有向图 (BinaryDecisionDigraph ,BDD)求解故障树的全部PIS的新方法 ,该方法将故障树转化为BDD ,通过反对称规律将故障树的BDD转化为对偶BDD ,再基于该对偶BDD用迭代算法实施第二次对偶运算 ,从而达到求原故障树全部质蕴涵集的目的     

Study on the Investment Behavior under Transaction Cost in Futures Market

1　IntroductionAfter10yearsdevelopment,thestockmarketsofchinaarewaitingtoseestock-indexfu-turesinthenewcentury.Itisofgreatimportantforbothsmallinvestorsandlargeinvest-menthousestoadjusttheirbehaviorincasetheyenterintomarketswithnewinstruments.Inrecentyears,speculatingwithfutureswasdiscussedinsomepapers[1～4],andtheresultsachievedroutinelyholdtheassumptionsasnotransactioncosts(TC),nodifferentbetweenborrowingandlandingrates,andalltradingprofitsbeingsubjecttothesametaxrate.Themainproblemisthatne…     

Fuzzy Mathematical Model for Comprehensive Evaluation on Schemes of Coal Mine Design

1　IntroductionAtpresenttheschemecomparisonmethodiswidelyusedinchoosingdesignplansinChinacoalmineengineeringprojects,i.e.,afterseveraldifferentplansarelistedaccordingtoknownconditions,theconcretetechnicalanalysisandeconomiccomparisonarecarriedoutinordertochooserelativelyoptimumschemeamongthem.Generallyspeaking,someevaluatedfactorsofdesignplansarehardlyexpressedquantitativelyandcanonlybedescribedqualitatively.Therefore,itisverydifficultforustouseconcreteevaluationvaluetoappraiseeachdesignscheme…