不同于均值-方差(Mean-Variance)模型,均值-条件风险价值(Mean-Conditional Value at Risk,Mean-CVaR)模型不是以投资组合收益的方差作为风险测度,而是使用了能表征投资收益下侧尾部风险的条件风险价值。同样,Mean-CVaR模型存在优化解...不同于均值-方差(Mean-Variance)模型,均值-条件风险价值(Mean-Conditional Value at Risk,Mean-CVaR)模型不是以投资组合收益的方差作为风险测度,而是使用了能表征投资收益下侧尾部风险的条件风险价值。同样,Mean-CVaR模型存在优化解微权值数目过多的问题,造成操作性下降。针对这些问题,提出了在Mean-CVaR模型引入权值分离性约束,以保证投资权值不低于某一设定的阈值,结合上证50指数股票进行实例分析。展开更多
Mean platelet volume （MPV） is an early marker ofplatelet activation. Larger platelets, compared to small ones, increase platelet adhesion and aggregation, and present a higher thrombotic activity. Some studies have ...Mean platelet volume （MPV） is an early marker ofplatelet activation. Larger platelets, compared to small ones, increase platelet adhesion and aggregation, and present a higher thrombotic activity. Some studies have explored the association between MPV and the morbidity of portal vein thrombosis （PVT）. The aim of this study was to evaluate the predictive effect of MPV in patients with PVT by a meta-analysis. We searched Pubmed, Web of Science, SCOPUS, OVID, CNKI and CBMD from database inception to September 13, 2017. Seven studies in accordance with selection criteria were included. The extraction of basic data was independently conducted by two reviewers. The mean difference in MPV between PVT patients and controls were pooled with weighted mean difference （WMD） and 95% confidence interval of 0.88 fl （95% CI： 0.61-1.15）. A random-effect model was chosen for an obvious heterogeneity in the pooling （Chi-square=27.12, df=6, P〈0.0001, F=77.9%）. The sources of heterogeneity were from the difference of primary disease of participants and portal vein diameter. Taken together, our results reveal that MPV is a predictive indicator in patients with PVT.展开更多
This paper proposes a health evaluation method for degrading systems subject to competing risks of dependent soft and hard failures. To characterize the time-varying degradation rate, the degradation process is determ...This paper proposes a health evaluation method for degrading systems subject to competing risks of dependent soft and hard failures. To characterize the time-varying degradation rate, the degradation process is determined by a non-stationary Gamma process and the soft failure is encountered when it exceeds a predefined critical level. For the hard failure, a Cox’s proportional hazard model is applied to describe the hazard rate of the time to system failure. The dependent relationship is modeled by incorporating the degradation process as a time-varying covariate into the Cox’s proportional hazard model. To facilitate the health characteristics evaluation, a discretization technique is applied both to the degradation process and the monitoring time.All health characteristics can be obtained in the explicit form using the transition probability matrix, which is computationally attractive for practical applications. Finally, a numerical analysis is carried out to show the effectiveness and the performance of the proposed health evaluation method.展开更多
In order to study the effect of different risk measures on the efficient portfolios （fron- tier） while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper ...In order to study the effect of different risk measures on the efficient portfolios （fron- tier） while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios （frontier） based on risk measures such as variance, value at risk （VaR）, and expected shortfall （ES） is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance （MV） efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision.展开更多
文摘不同于均值-方差(Mean-Variance)模型,均值-条件风险价值(Mean-Conditional Value at Risk,Mean-CVaR)模型不是以投资组合收益的方差作为风险测度,而是使用了能表征投资收益下侧尾部风险的条件风险价值。同样,Mean-CVaR模型存在优化解微权值数目过多的问题,造成操作性下降。针对这些问题,提出了在Mean-CVaR模型引入权值分离性约束,以保证投资权值不低于某一设定的阈值,结合上证50指数股票进行实例分析。
基金This work was supported by the National Natural Science Foundation of China （No. 81500109）.
文摘Mean platelet volume （MPV） is an early marker ofplatelet activation. Larger platelets, compared to small ones, increase platelet adhesion and aggregation, and present a higher thrombotic activity. Some studies have explored the association between MPV and the morbidity of portal vein thrombosis （PVT）. The aim of this study was to evaluate the predictive effect of MPV in patients with PVT by a meta-analysis. We searched Pubmed, Web of Science, SCOPUS, OVID, CNKI and CBMD from database inception to September 13, 2017. Seven studies in accordance with selection criteria were included. The extraction of basic data was independently conducted by two reviewers. The mean difference in MPV between PVT patients and controls were pooled with weighted mean difference （WMD） and 95% confidence interval of 0.88 fl （95% CI： 0.61-1.15）. A random-effect model was chosen for an obvious heterogeneity in the pooling （Chi-square=27.12, df=6, P〈0.0001, F=77.9%）. The sources of heterogeneity were from the difference of primary disease of participants and portal vein diameter. Taken together, our results reveal that MPV is a predictive indicator in patients with PVT.
基金supported by the Aeronautical Science Foundation of China(20155553039)the Natural Sciences and Engineering Research Council of Canada(RGPIN 121384-11)
文摘This paper proposes a health evaluation method for degrading systems subject to competing risks of dependent soft and hard failures. To characterize the time-varying degradation rate, the degradation process is determined by a non-stationary Gamma process and the soft failure is encountered when it exceeds a predefined critical level. For the hard failure, a Cox’s proportional hazard model is applied to describe the hazard rate of the time to system failure. The dependent relationship is modeled by incorporating the degradation process as a time-varying covariate into the Cox’s proportional hazard model. To facilitate the health characteristics evaluation, a discretization technique is applied both to the degradation process and the monitoring time.All health characteristics can be obtained in the explicit form using the transition probability matrix, which is computationally attractive for practical applications. Finally, a numerical analysis is carried out to show the effectiveness and the performance of the proposed health evaluation method.
基金Supported by the NNSF of China (10571141) the Key Project of the NNSF of China (70531030).
文摘In order to study the effect of different risk measures on the efficient portfolios （fron- tier） while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios （frontier） based on risk measures such as variance, value at risk （VaR）, and expected shortfall （ES） is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance （MV） efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision.
