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
The acute toxicity data of Cr+ and Hg2+ to the aquatic organisms in Liao River basin was collected and screened. Calculated results of criteria values using popular species sensitivity distribution (SSD) methods w...The acute toxicity data of Cr+ and Hg2+ to the aquatic organisms in Liao River basin was collected and screened. Calculated results of criteria values using popular species sensitivity distribution (SSD) methods were evaluated through data analysis. The comprehensive methodology of emergency water quality standards (EWQSs) was established on the basis of the SSD method of Australia and New Zealand according to the evalu- ation results. The affected fractions of the aquatic organisms were set to be 5 %, 15 %, 30 % and 50 %, corre- sponding to the risk grades of Ⅰ,Ⅱ,Ⅲ and IV, and four-grade EWQSs, respectively. The EWQSs for Cr6+ and Hg2. in the Liao River were derived and the corresponding risk indicators were also proposed. The results showed that the four-grade EWQSs for Cr6+ were 2.85 μg/L, 21.0 μg/L, 161 μg/L and 797 μ/L, respec- tively, and the risk indicators were daphnia (grade Ⅱ ), shrimp (grade Ⅲ), and the bighead fish or tadpole (grade IV). The four-grade EWQSs for Hg2+ were 0.59 μg/L, 2.32 μg/L, 6.25 μg/L and 15.6 μg/L, respective- ly, and the risk indicators were crucian carp or daphnia (grade Ⅱ), shrimp (grade Ⅲ), and worm or crab (grade IV). The results provided valuable information for the risk analysis of sudden ambient water environmen- tal pollution accident.展开更多
To the potential oil-spill risk caused by offshore pipeline more attention has been paid after the Dalian oil spill incident from oil-pipeline explosion. Since then an issue about how to prevent and control the sudden...To the potential oil-spill risk caused by offshore pipeline more attention has been paid after the Dalian oil spill incident from oil-pipeline explosion. Since then an issue about how to prevent and control the sudden oil-spill from the offshore pipeline has been raised. In this paper, we proposed an optimized model to analyze the main causes(probability) of spill and the consequence with the fuzzy comprehensive assessment model. Considering the complicated assessment process for oil-spill, the assessment factor system involving the spill probability and consequence was established based on the operative manual and statistic leakage/damage data of offshore pipeline in order to estimate the integrated spill risk score automatically. The evaluated factors of spill probability could be grouped into five aspects: corrosion, fatigue, national damage, third party, and operational fault; the consequence evaluated factors of spill included hazard of oil and impact-controlling capability. With some modifications based on experts' opinions, each of the evaluated factors in our work was developed with a relative weight and evaluation criterion. A test example for an offshore pipeline in the Bohai waters was described to show how the model can be used for an actual case in more detail. By using the oil-spill risk assessment model, it is easy to determine the risk level associated with the ongoing activity and management level and hence to take the risk mitigation action immediately.展开更多
China has proposed the "Belt and Road Initiative (B&R)" in 2013. One its core strategies is international oil/gas cooperation. This paper addresses the status quo of cooperation on oil/gas infrastructure with co...China has proposed the "Belt and Road Initiative (B&R)" in 2013. One its core strategies is international oil/gas cooperation. This paper addresses the status quo of cooperation on oil/gas infrastructure with countries along the line of "B&R', anticipahs the cooperatiorl prospect. On this basis, the author analyzes China's advantages and cooperation basis in this domain, conceives the practical way of cooperation on oil/gas infrastructure with countries along the line of "B&R'. This paper also elaborates on tlre potential risks, risk evaluation criteria and risk corr trol in oil/gas infrastructu re cooperation with countries tries along tire line of "B&R".展开更多
This study investigates calendar anomalies: day-of-the-week effect and seasonal effect in the Value-at-Risk (VaR) analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical propertie...This study investigates calendar anomalies: day-of-the-week effect and seasonal effect in the Value-at-Risk (VaR) analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical properties are examined and a comprehensive set of diagnostic checks are made on the two decades of AAPL daily stock returns. Combing the Extreme Value Approach together with a statistical analysis, it is learnt that the lowest VaR occurs on Fridays and Mondays typically. Moreover, high Q4 and Q3 VaR are observed during the test period. These results are valuable for anyone who needs evaluation and forecasts of the risk situation in AAPL. Moreover, this methodology, which is applicable to any other stocks or portfolios, is more realistic and comprehensive than the standard normal distribution based VaR model that is commonly used.展开更多
Aiming at the selection of fuzzy AHP and fuzzy DH methods in the previous studies, this paper evaluate the qualitative index system using expert questionnaire, the self-learning BP neural network model to construct th...Aiming at the selection of fuzzy AHP and fuzzy DH methods in the previous studies, this paper evaluate the qualitative index system using expert questionnaire, the self-learning BP neural network model to construct the index of system, and complete the establishment of model, in order to avoid the serious subjectivity, and using statistical and measurement methods test the reliability index, analyze the validity of the evaluation index system and completeness. Finally, the paper validate the practicability of the model.展开更多
As a prerequisite for groundwater protection and contamination control, evaluation of groundwater con- tamination risk was the extension of groundwater vulnerability assessment. Based on disaster theory and using shal...As a prerequisite for groundwater protection and contamination control, evaluation of groundwater con- tamination risk was the extension of groundwater vulnerability assessment. Based on disaster theory and using shallow groundwater of the lower reaches of Liaohe River Plain as the study area, we built an evaluation index system and a contamination index model for groundwater contamination risks from the perspectives of intrinsic vulnerability, external stresses, and functional value. We used data acquisition technology (remote sensing) and spatial analysis technology (GIS) to calculate the value of groundwater contamination risks. The spatial distribution of hotspots was obtained by calculating G index. Results show that groundwater contamination is above a mid-level risk in most of the study area. Areas with extreme high risk account for 37.86%, areas with high risk 32.47%, areas with moderate risk 12.07%, areas with light risk 3.17%, and areas with slight risk 14.43%. Hotspots areas are mainly located in central Shenyang City, northwest of Xinmin City, Beizhen City and Liaozhong County. Coldspots are mainly in Panjin City, Yingkou City, Dashiqiao City, Dawa County and Panshan County. The results reflect the spatial distribution and mechanism of groundwater contamination risk in the study area and provide relative references for land use planning and groundwater resource protection in the lower reaches of the Liaohe River Plain.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.
基金National Major Programme of Water Pollution Control and Treatment(No.2012ZX07501003-06)
文摘The acute toxicity data of Cr+ and Hg2+ to the aquatic organisms in Liao River basin was collected and screened. Calculated results of criteria values using popular species sensitivity distribution (SSD) methods were evaluated through data analysis. The comprehensive methodology of emergency water quality standards (EWQSs) was established on the basis of the SSD method of Australia and New Zealand according to the evalu- ation results. The affected fractions of the aquatic organisms were set to be 5 %, 15 %, 30 % and 50 %, corre- sponding to the risk grades of Ⅰ,Ⅱ,Ⅲ and IV, and four-grade EWQSs, respectively. The EWQSs for Cr6+ and Hg2. in the Liao River were derived and the corresponding risk indicators were also proposed. The results showed that the four-grade EWQSs for Cr6+ were 2.85 μg/L, 21.0 μg/L, 161 μg/L and 797 μ/L, respec- tively, and the risk indicators were daphnia (grade Ⅱ ), shrimp (grade Ⅲ), and the bighead fish or tadpole (grade IV). The four-grade EWQSs for Hg2+ were 0.59 μg/L, 2.32 μg/L, 6.25 μg/L and 15.6 μg/L, respective- ly, and the risk indicators were crucian carp or daphnia (grade Ⅱ), shrimp (grade Ⅲ), and worm or crab (grade IV). The results provided valuable information for the risk analysis of sudden ambient water environmen- tal pollution accident.
基金the Marine Public Welfare Research Project of China (No. 201205012)Preferential Funding of Tianjin
文摘To the potential oil-spill risk caused by offshore pipeline more attention has been paid after the Dalian oil spill incident from oil-pipeline explosion. Since then an issue about how to prevent and control the sudden oil-spill from the offshore pipeline has been raised. In this paper, we proposed an optimized model to analyze the main causes(probability) of spill and the consequence with the fuzzy comprehensive assessment model. Considering the complicated assessment process for oil-spill, the assessment factor system involving the spill probability and consequence was established based on the operative manual and statistic leakage/damage data of offshore pipeline in order to estimate the integrated spill risk score automatically. The evaluated factors of spill probability could be grouped into five aspects: corrosion, fatigue, national damage, third party, and operational fault; the consequence evaluated factors of spill included hazard of oil and impact-controlling capability. With some modifications based on experts' opinions, each of the evaluated factors in our work was developed with a relative weight and evaluation criterion. A test example for an offshore pipeline in the Bohai waters was described to show how the model can be used for an actual case in more detail. By using the oil-spill risk assessment model, it is easy to determine the risk level associated with the ongoing activity and management level and hence to take the risk mitigation action immediately.
文摘China has proposed the "Belt and Road Initiative (B&R)" in 2013. One its core strategies is international oil/gas cooperation. This paper addresses the status quo of cooperation on oil/gas infrastructure with countries along the line of "B&R', anticipahs the cooperatiorl prospect. On this basis, the author analyzes China's advantages and cooperation basis in this domain, conceives the practical way of cooperation on oil/gas infrastructure with countries along the line of "B&R'. This paper also elaborates on tlre potential risks, risk evaluation criteria and risk corr trol in oil/gas infrastructu re cooperation with countries tries along tire line of "B&R".
文摘This study investigates calendar anomalies: day-of-the-week effect and seasonal effect in the Value-at-Risk (VaR) analysis of stock returns for AAPL during the period of 1995 through 2015. The statistical properties are examined and a comprehensive set of diagnostic checks are made on the two decades of AAPL daily stock returns. Combing the Extreme Value Approach together with a statistical analysis, it is learnt that the lowest VaR occurs on Fridays and Mondays typically. Moreover, high Q4 and Q3 VaR are observed during the test period. These results are valuable for anyone who needs evaluation and forecasts of the risk situation in AAPL. Moreover, this methodology, which is applicable to any other stocks or portfolios, is more realistic and comprehensive than the standard normal distribution based VaR model that is commonly used.
文摘Aiming at the selection of fuzzy AHP and fuzzy DH methods in the previous studies, this paper evaluate the qualitative index system using expert questionnaire, the self-learning BP neural network model to construct the index of system, and complete the establishment of model, in order to avoid the serious subjectivity, and using statistical and measurement methods test the reliability index, analyze the validity of the evaluation index system and completeness. Finally, the paper validate the practicability of the model.
基金National Natural Science Foundation of China(No.40501013)Specialized Research Fund for the Doctoral Program of Higher Education of China(No.20122136110003)
文摘As a prerequisite for groundwater protection and contamination control, evaluation of groundwater con- tamination risk was the extension of groundwater vulnerability assessment. Based on disaster theory and using shallow groundwater of the lower reaches of Liaohe River Plain as the study area, we built an evaluation index system and a contamination index model for groundwater contamination risks from the perspectives of intrinsic vulnerability, external stresses, and functional value. We used data acquisition technology (remote sensing) and spatial analysis technology (GIS) to calculate the value of groundwater contamination risks. The spatial distribution of hotspots was obtained by calculating G index. Results show that groundwater contamination is above a mid-level risk in most of the study area. Areas with extreme high risk account for 37.86%, areas with high risk 32.47%, areas with moderate risk 12.07%, areas with light risk 3.17%, and areas with slight risk 14.43%. Hotspots areas are mainly located in central Shenyang City, northwest of Xinmin City, Beizhen City and Liaozhong County. Coldspots are mainly in Panjin City, Yingkou City, Dashiqiao City, Dawa County and Panshan County. The results reflect the spatial distribution and mechanism of groundwater contamination risk in the study area and provide relative references for land use planning and groundwater resource protection in the lower reaches of the Liaohe River Plain.