修正的Sharpe 指数及其在基金业绩评价中的应用

随着近几年基金管理公司的数量迅速增长和基金发行规模的不断增加,证券投资基金已经超过券商、保险、私募基金成为国内资本市场最大、最有影响力的机构投资者,因此科学地分析和评价基金的业绩以及度量它们所面临的风险就变得越来越重要.目前,国内最常用的风险调整后的绩效度量指标—Sharpe指数使用标准差来度量投资风险及假设收益率服从正态分布,但实证检验发现中国开放式基金收益率序列有明显的尖峰、厚尾性和有偏性.为此,提出用非对称Laplace分布来拟合收益率分布,它充分考虑了收益率分布的有偏性、尖峰和厚尾性,因此能更好的度量基金的投资风险.在此基础上,分别给出了基于非对称Laplace分布标准差和VaR值的修正的Sharpe指数;然后对31只开放式基金数据进行了实证分析.结果表明,修正的Sharpe指数是有效的.     

需求信息不对称下供需双方的博弈

针对由单供应商和单销售商组成的供应链,提出了供应链双方需求信息对称情况下的激励机制模型,在此基础上建立了供应链双方在需求信息不对称情形下的运作策略博弈模型。该模型在供应商和销售商协商分享供应链利润的条件下,运用激励相容机制使销售商诚实申报需求信息,以便供应链利润最大化同时供应链成员实现双赢。通过冷酷战略原理分析了该激励机制的有效性,并运用仿真实验验证了该激励机制的可行性。     

不可压缩流中板状结构的振动分析

研究了一个两跨板状结构的简单模型在不可压缩流中振动的固有特性.采用假设模态法建立了系统的运动微分方程,着重考察结构非对称对固有频率和模态局部化的影响.研究结果表明,结构非对称是导致模态局部化现象的主要因素,而结构的固有频率随流体速度的增大而减小.     

以天然冰片为手性源的α-取代乳酸的不对称合成

以天然丰产的冰片为手性源与非手性的丙酮酸进行酯化反应生成手性丙酮酸冰片酯,该酯与格氏试剂进行Grignard反应,选择性地得到指定构型过量的α-取代乳酸.     

一类供应链在信息不对称下的协调机制

该文研究了由单一分销商和单一零售商组成的分销系统的协调问题,运用补偿策略给出双方得以合作的最优协调机制;同时建立了零售商库存成本信息不对称下的库存模型,利用信息揭示原理给出了促使零售商报告真实成本的激励机制,从而得出在信息不对称下供应链的最优协调机制。     

Absolute Asymmetric Synthesis Using A Cocrystal Approach

1 Results Absolute asymmetric synthesis by means of solid-state reaction of chiral crystals self-assembled from achiral molecules is an attractive and promising methodology for asymmetric synthesis because it is not necessary to employ any external chiral source like a chiral catalyst.In order to design reliably absolute asymmetric syntheses in the solid state,it is inevitable to prepare and predict the formation of chiral crystals from achiral compounds.We have prepared a number of chiral cocrystals co...     

Catalytic Asymmetric Carbon-Carbon Forming Reactions Catalyzed Chiral Schiff Base-Metal Complexes

1 Results In 1991, we disclosed the novel asymmetric catalysts prepared from chiral Schiff base and titanium alkoxide in the reaction of asymmetric silylcyanation of aldehydes (eq.1)[1]. Since our first report, chiral Schiff base-metal complex was proven to be efficient in a variety of asymmetric reactions. We reported the first example of enantioselective addition of diketene to aldehydes promoted by chiral Schiff base-titanium alkoxide complexes (eq.2)[2]. The products of this reaction have been cove...     

Effect of the contact distance on transport properties of an orsanic molecular device

Using a spatially symmetric phenyldithiolate molecule sandwiched between two gold electrodes as model system and through shifting one electrode from symmetric contact site to form asymmetric contact, we investigated the properties of electronic transport in such a device by the first-principles. It was found that the/（G ）-V characteristics of a device show significant asymmetry and the magnitudes of current and conductance depend remarkably on the variation of molecule-metal distance at one of the two contacts. Namely, an asymmetric contact would lead to the weak rectifying effects on the current-voltage characteristics of a molecular device. The analysis shows that the HOMO is responsible for the resonant tunneling and its shift due to the charging of the device while the bias voltage is the intrinsic origin of asymmetric/（G）- Vcharacteristics.     

顶部偏心缩进结构的扭转效应

对立面不一致结构,即顶部楼层有局部偏心缩进的房屋建筑的弹塑性地震反应进行分析.以一理想的5层钢筋混凝土框架结构为例,分析了顶部偏心缩进25%、50%、75%等不同偏心缩进率结构在单向地震动输入下的弹塑性扭转效应.结果表明：顶部楼层的局部偏心缩进对结构的弹性反应将产生明显的影响;结构进入弹塑性运动后,平扭耦合运动的程度减小,偏心缩进对构件的最小延性要求影响较小.