Caught up in the whirlwind of the global fi-nancial crisis since last October, governments worldwide have rushed to adapt to the drastic economic changes that have occurred both in their own countries and internationa...Caught up in the whirlwind of the global fi-nancial crisis since last October, governments worldwide have rushed to adapt to the drastic economic changes that have occurred both in their own countries and internationally. Anticipating that this year may witness heavier storms, Wang Jian, Secretary General of the China Society of Macroeconomics under the National Development and Reform Commission, warned about some trends in China’s macro-control efforts in 2009. Edited excerpts of his interview with China Securities Journal follow.展开更多
This paper considers a worst-case investment optimization problem with delay for a fund manager who is in a crash-threatened financial market. Driven by existing of capital inflow/outflow related to history performanc...This paper considers a worst-case investment optimization problem with delay for a fund manager who is in a crash-threatened financial market. Driven by existing of capital inflow/outflow related to history performance, we investigate the optimal investment strategies under the worst-case scenario and the stochastic control framework with delay. The financial market is assumed to be either in a normal state(crash-free) or in a crash state. In the normal state the prices of risky assets behave as geometric Brownian motion, and in the crash state the prices of risky assets suddenly drop by a certain relative amount, which induces to a dropping of the total wealth relative to that of crash-free state. We obtain the ordinary differential equations satisfied by the optimal investment strategies and the optimal value functions under the power and exponential utilities, respectively. Finally, a numerical simulation is provided to illustrate the sensitivity of the optimal strategies with respective to the model parameters.展开更多
The uncertainties of the power load,wind power,and photovoltaic power lead to errors between point prediction values and real values,which challenges the safe operation of distribution networks.In this paper,a robust ...The uncertainties of the power load,wind power,and photovoltaic power lead to errors between point prediction values and real values,which challenges the safe operation of distribution networks.In this paper,a robust reactive power scheduling(RRPS)model based on a modified bootstrap technique is proposed to consider the uncertainties of power loads and renewable energy sources.Firstly,a deterministic reactive power scheduling(DRPS)model and an RRPS model are formulated.Secondly,a modified bootstrap technique is proposed to estimate prediction errors of power loads and renewable energy sources without artificially assuming the probability density function of prediction errors.To represent all possible scenarios,point prediction values and prediction errors are combined to construct two worst-case scenarios in the RRPS model.Finally,the RRPS model is solved to find a scheduling scheme,which ensures the security of distribution networks for all possible scenarios in theory.Simulation results show that the worst-case scenarios constructed by the modified bootstrap technique outperform popular baselines.Besides,the RRPS model based on the modified bootstrap technique balances economics and security well.展开更多
文摘Caught up in the whirlwind of the global fi-nancial crisis since last October, governments worldwide have rushed to adapt to the drastic economic changes that have occurred both in their own countries and internationally. Anticipating that this year may witness heavier storms, Wang Jian, Secretary General of the China Society of Macroeconomics under the National Development and Reform Commission, warned about some trends in China’s macro-control efforts in 2009. Edited excerpts of his interview with China Securities Journal follow.
基金Supported by the National Natural Science Foundation of China(71501050)Startup Foundation for Doctors of ZhaoQing University(611-612282)the National Science Foundation of Guangdong Province of China(2017A030310660)
文摘This paper considers a worst-case investment optimization problem with delay for a fund manager who is in a crash-threatened financial market. Driven by existing of capital inflow/outflow related to history performance, we investigate the optimal investment strategies under the worst-case scenario and the stochastic control framework with delay. The financial market is assumed to be either in a normal state(crash-free) or in a crash state. In the normal state the prices of risky assets behave as geometric Brownian motion, and in the crash state the prices of risky assets suddenly drop by a certain relative amount, which induces to a dropping of the total wealth relative to that of crash-free state. We obtain the ordinary differential equations satisfied by the optimal investment strategies and the optimal value functions under the power and exponential utilities, respectively. Finally, a numerical simulation is provided to illustrate the sensitivity of the optimal strategies with respective to the model parameters.
文摘The uncertainties of the power load,wind power,and photovoltaic power lead to errors between point prediction values and real values,which challenges the safe operation of distribution networks.In this paper,a robust reactive power scheduling(RRPS)model based on a modified bootstrap technique is proposed to consider the uncertainties of power loads and renewable energy sources.Firstly,a deterministic reactive power scheduling(DRPS)model and an RRPS model are formulated.Secondly,a modified bootstrap technique is proposed to estimate prediction errors of power loads and renewable energy sources without artificially assuming the probability density function of prediction errors.To represent all possible scenarios,point prediction values and prediction errors are combined to construct two worst-case scenarios in the RRPS model.Finally,the RRPS model is solved to find a scheduling scheme,which ensures the security of distribution networks for all possible scenarios in theory.Simulation results show that the worst-case scenarios constructed by the modified bootstrap technique outperform popular baselines.Besides,the RRPS model based on the modified bootstrap technique balances economics and security well.
