The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probabili...The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.展开更多
Equipment plays an important role in open pit mining industry and its cost competence at efficient operation and maintenance techniques centered on reliability can lead to significant cost reduction.The application of...Equipment plays an important role in open pit mining industry and its cost competence at efficient operation and maintenance techniques centered on reliability can lead to significant cost reduction.The application of optimal maintenance process was investigated for minimizing the equipment breakdowns and downtimes in Sungun Copper Mine.It results in the improved efficiency and productivity of the equipment and lowered expenses as well as the increased profit margin.The field operating data of 10 trucks are used to estimate the failure and maintenance profile for each component,and modeling and simulation are accomplished by using reliability block diagram method.Trend analysis was then conducted to select proper probabilistic model for maintenance profile.Then reliability of the system was evaluated and importance of each component was computed by weighted importance measure method.This analysis led to identify the items with critical impact on availability of overall equipment in order to prioritize improvement decisions.Later,the availability of trucks was evaluated using Monte Carlo simulation and it is revealed that the uptime of the trucks is around 11000 h at 12000 operation hours.Finally,uncertainty analysis was performed to account for the uncertainty sources in data and models.展开更多
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal ...This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked according to a multiple-priors model of Chen and Epstein(2002). The price is determined by two optimal stochastic control problems(mixed with optimal stopping time in the case of American option) of forward-backward stochastic differential equations.By means of backward stochastic differential equation and partial differential equation methods, we show that both bid and ask prices are closely related to the Black-Scholes risk-neutral price with modified dividend rates.The two prices will actually coincide with each other if there is no trading constraint or the model uncertainty disappears. Finally, two applications to European option and American option are discussed.展开更多
文摘The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
基金the support of the Maintenance Department of Mobin Co.Sungun Copper mine
文摘Equipment plays an important role in open pit mining industry and its cost competence at efficient operation and maintenance techniques centered on reliability can lead to significant cost reduction.The application of optimal maintenance process was investigated for minimizing the equipment breakdowns and downtimes in Sungun Copper Mine.It results in the improved efficiency and productivity of the equipment and lowered expenses as well as the increased profit margin.The field operating data of 10 trucks are used to estimate the failure and maintenance profile for each component,and modeling and simulation are accomplished by using reliability block diagram method.Trend analysis was then conducted to select proper probabilistic model for maintenance profile.Then reliability of the system was evaluated and importance of each component was computed by weighted importance measure method.This analysis led to identify the items with critical impact on availability of overall equipment in order to prioritize improvement decisions.Later,the availability of trucks was evaluated using Monte Carlo simulation and it is revealed that the uptime of the trucks is around 11000 h at 12000 operation hours.Finally,uncertainty analysis was performed to account for the uncertainty sources in data and models.
基金supported by National Natural Science Foundation of China(Grant Nos.11271143,11371155 and 11326199)University Special Research Fund for Ph D Program(Grant No.20124407110001)+1 种基金National Natural Science Foundation of Zhejiang Province(Grant No.Y6110775)the Oxford-Man Institute of Quantitative Finance
文摘This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked according to a multiple-priors model of Chen and Epstein(2002). The price is determined by two optimal stochastic control problems(mixed with optimal stopping time in the case of American option) of forward-backward stochastic differential equations.By means of backward stochastic differential equation and partial differential equation methods, we show that both bid and ask prices are closely related to the Black-Scholes risk-neutral price with modified dividend rates.The two prices will actually coincide with each other if there is no trading constraint or the model uncertainty disappears. Finally, two applications to European option and American option are discussed.
