In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk sourc...In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks （large caps） under stressed market conditions and less liquid stocks （small caps） under normal conditions.展开更多
This paper makes a study of some technical and engineering aspects by using C2 ＋ hydrocarbon separation facility at Guangdong Dapeng liquefied natural gas （GDLNG） terminal. In the C2＋ hydrocarbon extraction proces...This paper makes a study of some technical and engineering aspects by using C2 ＋ hydrocarbon separation facility at Guangdong Dapeng liquefied natural gas （GDLNG） terminal. In the C2＋ hydrocarbon extraction process, the cold energy contained in LNG will be utilized. In order to ensure the optimum operating conditions of the temlinal and C2 ＋ hydrocarbon extraction facility by optimizing the current operating processes of the terminal, the C2 ＋ hydrocarbon extraction facility construction plan is proposed. We conducted numerous calculations and simulations using such specific analysis software as PRO II 〈 version 7.0 〉. Additionally available flow data are used to verify the cyclic send-out rates from the terminal, thus establishing the current and future projected load factors. This study is intended to make sure that GDLNG can continue to supply gas via the pipeline system safely without interruptions and most significantly solves the effects of flow fluctuations at the terminal gasification send-out facility on the hydrocarbons extraction, ensuring optimum pipeline operations and ensuring safe and effective means for such C2＋ hydrocarbons extraction process as well. At the same time, the terminal is also in the optimum operation condition. This is very significant to the terminal safety operation and the energy conservation and emission reduction.展开更多
In this paper,Hermitian positive definite solutions of the nonlinear matrix equation X + A*X-qA = Q(q ≥ 1) are studied.Some new necessary and sufficient conditions for the existence of solutions are obtained.Two iter...In this paper,Hermitian positive definite solutions of the nonlinear matrix equation X + A*X-qA = Q(q ≥ 1) are studied.Some new necessary and sufficient conditions for the existence of solutions are obtained.Two iterative methods are presented to compute the smallest and the quasi largest positive definite solutions,and the convergence analysis is also given.The theoretical results are illustrated by numerical examples.展开更多
文摘In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks （large caps） under stressed market conditions and less liquid stocks （small caps） under normal conditions.
文摘This paper makes a study of some technical and engineering aspects by using C2 ＋ hydrocarbon separation facility at Guangdong Dapeng liquefied natural gas （GDLNG） terminal. In the C2＋ hydrocarbon extraction process, the cold energy contained in LNG will be utilized. In order to ensure the optimum operating conditions of the temlinal and C2 ＋ hydrocarbon extraction facility by optimizing the current operating processes of the terminal, the C2 ＋ hydrocarbon extraction facility construction plan is proposed. We conducted numerous calculations and simulations using such specific analysis software as PRO II 〈 version 7.0 〉. Additionally available flow data are used to verify the cyclic send-out rates from the terminal, thus establishing the current and future projected load factors. This study is intended to make sure that GDLNG can continue to supply gas via the pipeline system safely without interruptions and most significantly solves the effects of flow fluctuations at the terminal gasification send-out facility on the hydrocarbons extraction, ensuring optimum pipeline operations and ensuring safe and effective means for such C2＋ hydrocarbons extraction process as well. At the same time, the terminal is also in the optimum operation condition. This is very significant to the terminal safety operation and the energy conservation and emission reduction.
基金Foundation item： the Natural Science Foundation of Hunan Province （No. 09JJ6012）.
文摘In this paper,Hermitian positive definite solutions of the nonlinear matrix equation X + A*X-qA = Q(q ≥ 1) are studied.Some new necessary and sufficient conditions for the existence of solutions are obtained.Two iterative methods are presented to compute the smallest and the quasi largest positive definite solutions,and the convergence analysis is also given.The theoretical results are illustrated by numerical examples.
