Flotation is a complex multifaceted process that is widely used for the separation of finely ground minerals. The theory of froth flotation is complex and is not completely understood. This fact has been brought many ...Flotation is a complex multifaceted process that is widely used for the separation of finely ground minerals. The theory of froth flotation is complex and is not completely understood. This fact has been brought many monitoring challenges in a coal processing plant. To solve those challenges, it is important to understand the effect of different parameters on the fine particle separation, and control flotation performance for a particular system. This study is going to indicate the effect of various parameters (particle Characteristics and hydrodynamic conditions) on coal flotation responses (flotation rate constant and recovery) by different modeling techniques. A comprehensive coal flotation database was prepared for the statistical and soft computing methods. Statistical factors were used for variable selections. Results were in a good agreement with recent theoretical flotation investigations. Computational models accurately can estimate flotation rate constant and coal recovery (correlation coefficient 0.85, and 0.99, respectively). According to the results, it can be concluded that the soft computing models can overcome the complexity of process and be used as an expert system to control, and optimize parameters of coal flotation process.展开更多
We used preliminary data to estimate the growth volume of artificially reforested Pinus densiflora in a post-fire area on three different contour conditions. We compared the growth of P. densiflora on a south-facing s...We used preliminary data to estimate the growth volume of artificially reforested Pinus densiflora in a post-fire area on three different contour conditions. We compared the growth of P. densiflora on a south-facing slope(Ssth), north-facing slope(Snth) and ridge area(Ridge), using 7 trees selected from each stand aspect. The tree height, diameter and growth volume were measured and the dry weight of each plant part were compared and analyzed. The results revealed that the total dry weight was highest on Ssth(5992.3 g), followed by Snth(4833.2 g) and lowest on Ridge(3160.1 g). The height growth was highest on Snth(285.8 cm), followed by Ssth(274.5 cm) and lowest on Ridge(211.5 cm). The diameter growth was greatest on Ssth(7.37 cm), followed by Snth(7.10 cm) and lowest on Ridge(5.72 cm). The volume growth was highest on Ssth(4257.7 cm3), followed by Snth(3750.7 cm3) and lowest on Ridge(2093.7 cm3). Therefore, we should consider and include the concept of slope orientation together with differences in habitat environments in afforestation projects when creating artificial forests with P. densiflora. These study results can serve as important preliminary data for future establishment of artificial forest of P. densiflora in a post-fire plantation.展开更多
The condition characteristics of hydraulic systems reflect running condition for the hydraulic equipment directly. It is the key for condition monitoring and early fault diagnosis to select characteristics reasonably....The condition characteristics of hydraulic systems reflect running condition for the hydraulic equipment directly. It is the key for condition monitoring and early fault diagnosis to select characteristics reasonably. In this paper, the types, properties of characteristics in hydraulic equipment are analysed, and some considerations in their selection are presented.展开更多
Based on water inrush accident of 1841 working face of Desheng Coal Mine in Wu'an, Hebei province, China, an evaluation model of hydrodynamic characteristics of the project is set up and simulated using Matlab. It...Based on water inrush accident of 1841 working face of Desheng Coal Mine in Wu'an, Hebei province, China, an evaluation model of hydrodynamic characteristics of the project is set up and simulated using Matlab. It is assumed that the pipe flow would transform into seepage flow when the aggregates are plugged into the water inrush channel and the seepage flow would disappear along with grouting process. The simulation results show that the flow velocity will increase with an increase in height of aggregates accumulation body during the aggregates filling process; the maximum seepage velocity occurs on the top of plugging zone; and the water flow decreases with increasing plugging height of water inrush channel. Finally, the field construction results show that the water inrush channel can be plugged effectively by the compacted body prepared with aggregate and cement slurry.展开更多
Debris flows and landslides, extensively developing and frequently occurring along Parlung Zangbo, seriously damage the Highway from Sichuan to Tiebt(G318) at Bomi County. The disastrous debris flows of the Tianmo Wat...Debris flows and landslides, extensively developing and frequently occurring along Parlung Zangbo, seriously damage the Highway from Sichuan to Tiebt(G318) at Bomi County. The disastrous debris flows of the Tianmo Watershed on Sept. 4, 2007, July 25, 2010 and Sept. 4, 2010, blocked Parlung Zangbo River and produced dammed lakes, whose outburst flow made 50 m high terrace collapse at the opposite bank due to intense scouring on the foot of the terrace. As a result, the traffic was interrupted for 16 days in 2010 because that 900 m highway base was destructed and 430 m ruined. These debris flows were initiated by the glacial melting which was induced by continuous higher temperature and the following intensive rainfall, and expanded by moraines along channels and then blocked Parlung Zangbo. At the outlet of watershed,the density, velocity and peak discharge of debris flow was 2.06 t/m3, 12.7 m/s and 3334 m3/s, respectively. When the discharge at the outlet and the deposition volume into river exceeds 2125 m3/s and 126×103 m3, respectively, debris flow will completely blocked Parlung Zangbo. Moreover,if the shear stress of river flow on the foot of terrace and the inclination angel of terrace overruns 0. 377 N/m2 and 26°, respectively, the unconsolidated terrace will be eroded by outburst flow and collapse. It was strongly recommended for mitigation that identify and evade disastrous debris flows, reduce the junction angel of channels between river and watershed, build protecting wall for highway base and keep appropriate distance between highway and the edge of unconsolidated terrace.展开更多
As the development tends towards high-speed, large-scale and high-power, power of the ship main engine becomes larger and larger. This make the engine design and cabin arrangement become more and more difficult. Ship ...As the development tends towards high-speed, large-scale and high-power, power of the ship main engine becomes larger and larger. This make the engine design and cabin arrangement become more and more difficult. Ship maneuverability becomes bad. A new ship propulsion system, integrated hydraulic propulsion (IHP), is put forward to meet the development of modem ship. Principle of IHP system is discussed. Working condition matching characteristic of IHP ship is studied based on its matching characteristic charts. According to their propulsion principle, dynamic mathematic models of IHP ship and direct propulsion (DP) ship are developed. These two models are verified by test sailing and test stand data. Based on the software Matlab/Simulink, comparison research between IHP ship and DP ship is conducted. The results show that cabin arrangement of IHP ship is very flexible, working condition matching characteristic of IHP ship is good, the ratio of power to weight of IHP ship is larger than DP ship, and maneuverability is excellent. IHP system is suitable for engineering ship, superpower ship and warship, etc.展开更多
A PLU-SGS method based on a time-derivative preconditioning algorithm and LU-SGS method is developed in order to calculate the Navier-Stokes equations at all speeds. The equations were discretized using A USMPW scheme...A PLU-SGS method based on a time-derivative preconditioning algorithm and LU-SGS method is developed in order to calculate the Navier-Stokes equations at all speeds. The equations were discretized using A USMPW scheme in conjunction with the third-order MUSCL scheme with Van Leer limiter. The present method was applied to solve the multidimensional compressible Navier-Stokes equations in curvilinear coordinates. Characteristic boundary conditions based on the eigensystem of the preconditioned equations were employed. In order to examine the performance of present method, driven-cavity flow at various Reynolds numbers and viscous flow through a convergent-divergent nozzle at supersonic were selected to rest this method. The computed results were compared with the experimental data or the other numerical results available in literature and good agreements between them are obtained. The results show that the present method is accurate, self-adaptive and stable for a wide range of flow conditions from low speed to supersonic flows.展开更多
We present the development of a non-reflecting boundary condition,based on the Local One-Dimensional Inviscid(LODI)approach,for Lattice Boltzmann Models working with multi-speed stencils.We test and evaluate the LODI ...We present the development of a non-reflecting boundary condition,based on the Local One-Dimensional Inviscid(LODI)approach,for Lattice Boltzmann Models working with multi-speed stencils.We test and evaluate the LODI implementation with numerical benchmarks,showing significant accuracy gains with respect to the results produced by a simple zerogradient condition.We also implement a simplified approach,which allows handling the unknown distribution functions spanning several layers of nodes in a unified way,still preserving a comparable level of accuracy with respect to the standard formulation.展开更多
An algorithm composed of an iterative modified approximate factorization(MAF(k)) method with Navier-Stokes characteristic boundary conditions(NSCBC) is proposed for solving subsonic viscous flows.A transformation on t...An algorithm composed of an iterative modified approximate factorization(MAF(k)) method with Navier-Stokes characteristic boundary conditions(NSCBC) is proposed for solving subsonic viscous flows.A transformation on the matrix equation in MAF(k) is made in order to impose the implicit boundary conditions properly.To be in consistent with the implicit solver for the interior domain,an implicit scheme for NSCBC is formulated.The performance of the developed algorithm is investigated using spatially evolving zero pressure gradient boundary layer over a flat plate and a wall jet mixing with a cross flow over a flat plate with a square hole as the test cases.The numerical results are compared to the existing experimental datasets and a number of general correlations,together with other available numerical solutions,which demonstrate that the developed algorithm possesses promising capacity for simulating the subsonic viscous flows with large CFL number.展开更多
The upward lightning(UL) initiated from the top of tall buildings(at least above 100 m) is a type of atmospheric discharge. Currently, we understand the nature of the UL from ground observations, but the corresponding...The upward lightning(UL) initiated from the top of tall buildings(at least above 100 m) is a type of atmospheric discharge. Currently, we understand the nature of the UL from ground observations, but the corresponding theoretical research is lacking. Based on an existing bidirectional leader stochastic model, a stochastic parameterization scheme for the UL has been built and embedded in an existing two-dimensional thundercloud charge/discharge model. The ULs simulated from the experiments with two-dimensional high resolution agree generally with the observation results. By analyzing the charge structure of thunderstorm clouds, we determined the in-cloud environmental characteristics that favor the initiation of conventional cloud-to-ground(CG) flashes and analyzed the differences and similarities of some characteristics of the positive and the negative UL. Simulation results indicate that the positive ULs are typically other-lightning-triggered ULs(OLTUL) and are usually a discharge phenomenon between the ground and the lower positive charge region appearing below the main middle negative charge region. The effect of the previous in-cloud lightning(IC) process of space electrical field provides favorable conditions for the initiation of a positive UL. Its entire discharge process is limited, and the branches of the leader are fewer in number as its discharge is not sufficient. A negative UL is generally a discharge phenomenon of the dipole charge structure between the ground and the main negative charge region. The lower temperature stratification and the sinking of the hydrometeors typically initiate a negative UL. Negative ULs develop strongly and have more branches. The OLTUL is initiated mainly during the development stage of a thunderstorm, while the self-triggered UL(STUL) is initiated mainly during the dissipation stage of a thunderstorm.展开更多
The three-dimensional Navier-Stokes characteristic boundary conditions(3D-NSCBC), although physically reasonable and popular in many applications, may encounter the instability problem in simulating complex flows, esp...The three-dimensional Navier-Stokes characteristic boundary conditions(3D-NSCBC), although physically reasonable and popular in many applications, may encounter the instability problem in simulating complex flows, especially for large Reynolds number reactive turbulence where locally the strong reversed flow appears at the outflow boundary surfaces. In the present work, a revised 3D-NSCBC strategy is proposed based on the kinematic relation in different moving coordinate systems. Following this strategy, a systematic formulation is presented for the outflow surface with local reversed flow and can be easily extended to the coupled edge and corner boundaries. Direct numerical simulation(DNS) tests of flow with different turbulence intensities are carried out. Compared with the conventional 3D-NSCBC, the newly proposed method exhibits satisfactory performance to confine numerical instability in the strong reversed flow region. The results confirm the robustness and effectiveness of this newly proposed algorithm.展开更多
This paper presents an empirical likelihood estimation procedure for parameters of the discretely sampled process of Ornstein-Uhlenbeck type. The proposed procedure is based on the condi- tional characteristic functio...This paper presents an empirical likelihood estimation procedure for parameters of the discretely sampled process of Ornstein-Uhlenbeck type. The proposed procedure is based on the condi- tional characteristic function, and the maximum empirical likelihood estimator is proved to be consistent and asymptotically normal. Moreover, this estimator is shown to be asymptotically efficient under some mild conditions. When the background driving Lévy process is of type A or B, we show that the intensity parameter can be exactly recovered, and we study the maximum empirical likelihood estimator with the plug-in estimated intensity parameter. Testing procedures based on the empirical likelihood ratio statistic are developed for parameters and for estimating equations, respectively. Finally, Monte Carlo simulations are conducted to demonstrate the performance of proposed estimators.展开更多
By introducing a stochastic element to the double-jump diffusion framework to measure the Knight uncertainty of asset return process, this paper builds the model of dynamic portfolio choice, which maximizes the expect...By introducing a stochastic element to the double-jump diffusion framework to measure the Knight uncertainty of asset return process, this paper builds the model of dynamic portfolio choice, which maximizes the expected utility of terminal portfolio wealth. Through specifying the state function of uncertainty-aversion, it utilizes the max-min method to derive the analytical solution of the model to study the effect of the time-varying, jumps, and Knight uncertainty of asset return process on dynamic portfolio choice and their interactions. Results of comparative analysis show: The time-varying results in positive or negative intertemporal hedging demand of portfolio, which depends on the coefficient of investor's risk aversion and the correlation coefficient between return shift and volatility shift; the jumps in asset return overall reduce investor's demand for the risky asset, which can be enhanced or weakened by the jumps in volatility; due to the existing of the Knight uncertainty, the investor avoids taking large position on risky asset, and the resulting is the improving of portfolio's steady and immunity. At last, an empirical study is done based on the samples of Shanghai Exchange Composite Index monthly return data from January 1997 to December 2009, which not only tests the theoretical analysis but also demonstrates that the proposed method in the paper is useful from the aspect of portfotio's equivalent utility.展开更多
文摘Flotation is a complex multifaceted process that is widely used for the separation of finely ground minerals. The theory of froth flotation is complex and is not completely understood. This fact has been brought many monitoring challenges in a coal processing plant. To solve those challenges, it is important to understand the effect of different parameters on the fine particle separation, and control flotation performance for a particular system. This study is going to indicate the effect of various parameters (particle Characteristics and hydrodynamic conditions) on coal flotation responses (flotation rate constant and recovery) by different modeling techniques. A comprehensive coal flotation database was prepared for the statistical and soft computing methods. Statistical factors were used for variable selections. Results were in a good agreement with recent theoretical flotation investigations. Computational models accurately can estimate flotation rate constant and coal recovery (correlation coefficient 0.85, and 0.99, respectively). According to the results, it can be concluded that the soft computing models can overcome the complexity of process and be used as an expert system to control, and optimize parameters of coal flotation process.
基金supported by a research grant from Yeungnam University in 2015
文摘We used preliminary data to estimate the growth volume of artificially reforested Pinus densiflora in a post-fire area on three different contour conditions. We compared the growth of P. densiflora on a south-facing slope(Ssth), north-facing slope(Snth) and ridge area(Ridge), using 7 trees selected from each stand aspect. The tree height, diameter and growth volume were measured and the dry weight of each plant part were compared and analyzed. The results revealed that the total dry weight was highest on Ssth(5992.3 g), followed by Snth(4833.2 g) and lowest on Ridge(3160.1 g). The height growth was highest on Snth(285.8 cm), followed by Ssth(274.5 cm) and lowest on Ridge(211.5 cm). The diameter growth was greatest on Ssth(7.37 cm), followed by Snth(7.10 cm) and lowest on Ridge(5.72 cm). The volume growth was highest on Ssth(4257.7 cm3), followed by Snth(3750.7 cm3) and lowest on Ridge(2093.7 cm3). Therefore, we should consider and include the concept of slope orientation together with differences in habitat environments in afforestation projects when creating artificial forests with P. densiflora. These study results can serve as important preliminary data for future establishment of artificial forest of P. densiflora in a post-fire plantation.
文摘The condition characteristics of hydraulic systems reflect running condition for the hydraulic equipment directly. It is the key for condition monitoring and early fault diagnosis to select characteristics reasonably. In this paper, the types, properties of characteristics in hydraulic equipment are analysed, and some considerations in their selection are presented.
基金Financial support for this work, provided by the National Natural Science Foundation of China (Nos. 41072031, 40172119)the Natural Science Foundation of Hebei Province of China(No. D2012402008)
文摘Based on water inrush accident of 1841 working face of Desheng Coal Mine in Wu'an, Hebei province, China, an evaluation model of hydrodynamic characteristics of the project is set up and simulated using Matlab. It is assumed that the pipe flow would transform into seepage flow when the aggregates are plugged into the water inrush channel and the seepage flow would disappear along with grouting process. The simulation results show that the flow velocity will increase with an increase in height of aggregates accumulation body during the aggregates filling process; the maximum seepage velocity occurs on the top of plugging zone; and the water flow decreases with increasing plugging height of water inrush channel. Finally, the field construction results show that the water inrush channel can be plugged effectively by the compacted body prepared with aggregate and cement slurry.
基金supported by the Key Program of National Natural Science Found of China(Grant No.41030742)the Grand Program of National Natural Science Found of China(Grant No.41190084)
文摘Debris flows and landslides, extensively developing and frequently occurring along Parlung Zangbo, seriously damage the Highway from Sichuan to Tiebt(G318) at Bomi County. The disastrous debris flows of the Tianmo Watershed on Sept. 4, 2007, July 25, 2010 and Sept. 4, 2010, blocked Parlung Zangbo River and produced dammed lakes, whose outburst flow made 50 m high terrace collapse at the opposite bank due to intense scouring on the foot of the terrace. As a result, the traffic was interrupted for 16 days in 2010 because that 900 m highway base was destructed and 430 m ruined. These debris flows were initiated by the glacial melting which was induced by continuous higher temperature and the following intensive rainfall, and expanded by moraines along channels and then blocked Parlung Zangbo. At the outlet of watershed,the density, velocity and peak discharge of debris flow was 2.06 t/m3, 12.7 m/s and 3334 m3/s, respectively. When the discharge at the outlet and the deposition volume into river exceeds 2125 m3/s and 126×103 m3, respectively, debris flow will completely blocked Parlung Zangbo. Moreover,if the shear stress of river flow on the foot of terrace and the inclination angel of terrace overruns 0. 377 N/m2 and 26°, respectively, the unconsolidated terrace will be eroded by outburst flow and collapse. It was strongly recommended for mitigation that identify and evade disastrous debris flows, reduce the junction angel of channels between river and watershed, build protecting wall for highway base and keep appropriate distance between highway and the edge of unconsolidated terrace.
基金supported by National Natural Science Foundation of China(Grant No. 50575027)Ministry of Transportation and Communications Foundation of China (Grant No. 200332922502)
文摘As the development tends towards high-speed, large-scale and high-power, power of the ship main engine becomes larger and larger. This make the engine design and cabin arrangement become more and more difficult. Ship maneuverability becomes bad. A new ship propulsion system, integrated hydraulic propulsion (IHP), is put forward to meet the development of modem ship. Principle of IHP system is discussed. Working condition matching characteristic of IHP ship is studied based on its matching characteristic charts. According to their propulsion principle, dynamic mathematic models of IHP ship and direct propulsion (DP) ship are developed. These two models are verified by test sailing and test stand data. Based on the software Matlab/Simulink, comparison research between IHP ship and DP ship is conducted. The results show that cabin arrangement of IHP ship is very flexible, working condition matching characteristic of IHP ship is good, the ratio of power to weight of IHP ship is larger than DP ship, and maneuverability is excellent. IHP system is suitable for engineering ship, superpower ship and warship, etc.
文摘A PLU-SGS method based on a time-derivative preconditioning algorithm and LU-SGS method is developed in order to calculate the Navier-Stokes equations at all speeds. The equations were discretized using A USMPW scheme in conjunction with the third-order MUSCL scheme with Van Leer limiter. The present method was applied to solve the multidimensional compressible Navier-Stokes equations in curvilinear coordinates. Characteristic boundary conditions based on the eigensystem of the preconditioned equations were employed. In order to examine the performance of present method, driven-cavity flow at various Reynolds numbers and viscous flow through a convergent-divergent nozzle at supersonic were selected to rest this method. The computed results were compared with the experimental data or the other numerical results available in literature and good agreements between them are obtained. The results show that the present method is accurate, self-adaptive and stable for a wide range of flow conditions from low speed to supersonic flows.
文摘We present the development of a non-reflecting boundary condition,based on the Local One-Dimensional Inviscid(LODI)approach,for Lattice Boltzmann Models working with multi-speed stencils.We test and evaluate the LODI implementation with numerical benchmarks,showing significant accuracy gains with respect to the results produced by a simple zerogradient condition.We also implement a simplified approach,which allows handling the unknown distribution functions spanning several layers of nodes in a unified way,still preserving a comparable level of accuracy with respect to the standard formulation.
文摘An algorithm composed of an iterative modified approximate factorization(MAF(k)) method with Navier-Stokes characteristic boundary conditions(NSCBC) is proposed for solving subsonic viscous flows.A transformation on the matrix equation in MAF(k) is made in order to impose the implicit boundary conditions properly.To be in consistent with the implicit solver for the interior domain,an implicit scheme for NSCBC is formulated.The performance of the developed algorithm is investigated using spatially evolving zero pressure gradient boundary layer over a flat plate and a wall jet mixing with a cross flow over a flat plate with a square hole as the test cases.The numerical results are compared to the existing experimental datasets and a number of general correlations,together with other available numerical solutions,which demonstrate that the developed algorithm possesses promising capacity for simulating the subsonic viscous flows with large CFL number.
基金supported by the National Key Basic Research Development Program of China (Grant No. 2014CB441403)the National Natural Science Foundation of China (Grant Nos. 41175003 & 41475003)
文摘The upward lightning(UL) initiated from the top of tall buildings(at least above 100 m) is a type of atmospheric discharge. Currently, we understand the nature of the UL from ground observations, but the corresponding theoretical research is lacking. Based on an existing bidirectional leader stochastic model, a stochastic parameterization scheme for the UL has been built and embedded in an existing two-dimensional thundercloud charge/discharge model. The ULs simulated from the experiments with two-dimensional high resolution agree generally with the observation results. By analyzing the charge structure of thunderstorm clouds, we determined the in-cloud environmental characteristics that favor the initiation of conventional cloud-to-ground(CG) flashes and analyzed the differences and similarities of some characteristics of the positive and the negative UL. Simulation results indicate that the positive ULs are typically other-lightning-triggered ULs(OLTUL) and are usually a discharge phenomenon between the ground and the lower positive charge region appearing below the main middle negative charge region. The effect of the previous in-cloud lightning(IC) process of space electrical field provides favorable conditions for the initiation of a positive UL. Its entire discharge process is limited, and the branches of the leader are fewer in number as its discharge is not sufficient. A negative UL is generally a discharge phenomenon of the dipole charge structure between the ground and the main negative charge region. The lower temperature stratification and the sinking of the hydrometeors typically initiate a negative UL. Negative ULs develop strongly and have more branches. The OLTUL is initiated mainly during the development stage of a thunderstorm, while the self-triggered UL(STUL) is initiated mainly during the dissipation stage of a thunderstorm.
基金the funding support by National Science Foundation China(NSFC)under the grant No.91441116NSFC-CNRS joint research project(No.11611130099,NSFC China and PRC 2016-2018 LATUMAR"Turbulence lagrangienne:études numériques et applications environnementales marines",CNRS,France)
文摘The three-dimensional Navier-Stokes characteristic boundary conditions(3D-NSCBC), although physically reasonable and popular in many applications, may encounter the instability problem in simulating complex flows, especially for large Reynolds number reactive turbulence where locally the strong reversed flow appears at the outflow boundary surfaces. In the present work, a revised 3D-NSCBC strategy is proposed based on the kinematic relation in different moving coordinate systems. Following this strategy, a systematic formulation is presented for the outflow surface with local reversed flow and can be easily extended to the coupled edge and corner boundaries. Direct numerical simulation(DNS) tests of flow with different turbulence intensities are carried out. Compared with the conventional 3D-NSCBC, the newly proposed method exhibits satisfactory performance to confine numerical instability in the strong reversed flow region. The results confirm the robustness and effectiveness of this newly proposed algorithm.
基金supported by National Natural Science Foundation of China (Grant No. 10671037)the Science Foundation of Shanghai Educational Department (Grant No. 06FZ035)
文摘This paper presents an empirical likelihood estimation procedure for parameters of the discretely sampled process of Ornstein-Uhlenbeck type. The proposed procedure is based on the condi- tional characteristic function, and the maximum empirical likelihood estimator is proved to be consistent and asymptotically normal. Moreover, this estimator is shown to be asymptotically efficient under some mild conditions. When the background driving Lévy process is of type A or B, we show that the intensity parameter can be exactly recovered, and we study the maximum empirical likelihood estimator with the plug-in estimated intensity parameter. Testing procedures based on the empirical likelihood ratio statistic are developed for parameters and for estimating equations, respectively. Finally, Monte Carlo simulations are conducted to demonstrate the performance of proposed estimators.
基金supported by National Natural Science Foundation of China under Grant Nos.71271003 and 71171003Programming Fund Project of the Humanities and Social Sciences Research of the Ministry of Education of China under Grant No.12YJA790041+1 种基金Natural Science Foundation of Anhui Province under Grant No.1208085MG116Key Program of Natural Science Research of High Education of Anhui Province of China under Grant No.KJ2011A031
文摘By introducing a stochastic element to the double-jump diffusion framework to measure the Knight uncertainty of asset return process, this paper builds the model of dynamic portfolio choice, which maximizes the expected utility of terminal portfolio wealth. Through specifying the state function of uncertainty-aversion, it utilizes the max-min method to derive the analytical solution of the model to study the effect of the time-varying, jumps, and Knight uncertainty of asset return process on dynamic portfolio choice and their interactions. Results of comparative analysis show: The time-varying results in positive or negative intertemporal hedging demand of portfolio, which depends on the coefficient of investor's risk aversion and the correlation coefficient between return shift and volatility shift; the jumps in asset return overall reduce investor's demand for the risky asset, which can be enhanced or weakened by the jumps in volatility; due to the existing of the Knight uncertainty, the investor avoids taking large position on risky asset, and the resulting is the improving of portfolio's steady and immunity. At last, an empirical study is done based on the samples of Shanghai Exchange Composite Index monthly return data from January 1997 to December 2009, which not only tests the theoretical analysis but also demonstrates that the proposed method in the paper is useful from the aspect of portfotio's equivalent utility.