APT 理论的非参数解释

本文用非参数回归方法中的核函数法和最近邻法来解释ＡＰＴ理论．通过不同核函数的选择和最近邻估计中参数的变化以及鲁棒性回归的辅助解释,来寻找ＡＰＴ理论较好的非参数解释．     

Esscher-变换与风险测度技术

通过研究精算学中Esscher 变换技术及其对于金融市场中风险资产无套利原则的刻画,反映其在金融市场风险管理技术中的应用,证明了无套利原则、等价鞅测度的存在性和Esscher 变换在所建立的Hilbert 空间下的一致性,并建立了在无套利条件下求解鞅性成立的Esscher 变换下概率测度变换参数的方法。讨论了Esscher 变换在金融市场风险管理策略的选择问题中的应用,得到了组合融资最优策略的Esscher 变换参数的解析式。     

万寿菊营养液配比试验的研究

通过N、P、K等3因素,每因素3水平的27种不同营养液追肥比较试验,筛选出适于万寿菊的元素营养液配比,笔者认为以氮、钾各150mg/kg、40mg/kg的配比较好,有利于提高万寿菊苗期植株的品质。     

现代投资组合理论模型的比较研究

对证券组合理论的Markowitz均值-方差模型以及均衡时关于资产的期望收益率的资本资产定价模型（CAPM）和套利定价理论（APT），进行了深入地比较研究，同时从动态投资组合理论，基于VaR的投资组合理论以及行为投资组合理论三个领域阐述了现代投资组合理论的新进展，并对其未来的发展进行了展望。     

On a dynamic mixture GARCH model

This paper proposes a new mixture GARCH model with a dynamic mixture proportion. The mixture Gaussian distribution of the error can vary from time to time. The Bayesian Information Criterion and the EM algorithm are used to estimate the number of parameters as well as the model parameters and their standard errors. The new model is applied to the S&P500 Index and Hang Seng Index and compared with GARCH models with Gaussian error and Student's t error. The result shows that the IGARCH effect in these index returns could be the result of the mixture of one stationary volatility component with another non‐stationary volatility component. The VaR based on the new model performs better than traditional GARCH‐based VaRs, especially in unstable stock markets. Copyright © 2008 John Wiley & Sons, Ltd.     

轴类件的参数化造型与设计

介绍了以互Ｉ－ＤＥＡＳ为支撑软件，实现油田井下工具中最常用零件一轴类件自动参数化造型的方法，大大提高了轴类件的设计造型效率，并为整机装配造型和有限元分析提供了有利条件。     

欧式期权定价基本原理及其计算公式

文献[1]给出了买入和卖出期权定价的基本概念、资产定价定理和资产定价的数学结构,本文进一步阐述了欧式买入和卖出期权定价的基本原理及其数学模型,并导出Slack-Scholes期权定价公式.     

管内流体湍流时的摩擦系数计算问题

本文对已经发表的计算管内流体湍流时的摩擦系数的不同关联式，以数值计算比较它们的相对准确性．并推荐比较适用的计算关联式．     

轴径向床中二维流动的研究：II.限定流道

在前文的基础上，结合流体在分流，集流流道中的变质量流动，考察了集流流道单边控制作用下限定流道时向心型轴径向床的流场，讨论了流道宽度和解媒封高度对调节流体分布的影响，提出了评价轴径向床合理设计的准则。     

A New Mean Reversion Model of Close-End Fund

On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end fund mean reversion model. Meanwhile, this paper validates the mean reversion time sequence for consecutive 54 week data of fund market. The result indicates that this model can effectively prove that Chinese close-end fund market follows the biased random walk. The research also proves that the fund discount does have mean reversion tendency and averagely the fund with high discount has a higher excess yield than that of the fund with low discount. The mean excess yield and the ratio between discount rate deviation and standard deviation demonstrate a descending relationship. The optimum investment period based on ＂mean reversion＂ is one month. Consequently this model provides a new arbitrage method through the discount of close-end fund.