Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified is shown that these parameterized Markowitz strategies could reach the original mean target with a...Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified is shown that these parameterized Markowitz strategies could reach the original mean target with arbitrarily high probabilities. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted loss from the initial budget. A new portfolio selection model is suggested based on the results of the paper.展开更多
The reliability level of a power generation system is an important problem which is concerned by both electricity producers and electricity consumers. Why？ It is known that the high reliability level may result in ad...The reliability level of a power generation system is an important problem which is concerned by both electricity producers and electricity consumers. Why？ It is known that the high reliability level may result in additional utility cost, and the low reliability level may result in additional consumer＇s cost, so the optimum reliability level should be determined such that the total cost can reach its minimum. Four optimization models for power generation system reliability are constructed, and the proven efficient solutions for these models are also given.展开更多
A number of quality loss functions, most recently the Taguchi loss function, have been developed to quantify the loss due to the deviation of product performance from the desired target value. All these loss functions...A number of quality loss functions, most recently the Taguchi loss function, have been developed to quantify the loss due to the deviation of product performance from the desired target value. All these loss functions assume the same loss at the specified specification limits. In many real life industrial applications, however, the losses at the two different specifications limits are often not the same. Further, current loss functions assume a product should be reworked or scrapped if product performance falls outside the specification limits. It is a common practice in many industries to replace a defective item rather than spending resources to repair it, especially if considerable amount of time is required. To rectify these two potential problems, this paper proposes more realistic quality loss functions for proper applications to real-world industrial problems. This paper also carries out a comparison studies of all the loss functions it considers.展开更多
基金supported by the National Natural Science Foundation of China (10571167)the National Basic Research Program of China (973 Program, 2007CB814902)+2 种基金the Science Fund for Creative Research Groups (10721101)supported by the Nomura Centrefor Mathematical Finance and the Oxford–Man Institute of Quantitative Financea start-up fund of the University of Oxford
文摘Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified is shown that these parameterized Markowitz strategies could reach the original mean target with arbitrarily high probabilities. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted loss from the initial budget. A new portfolio selection model is suggested based on the results of the paper.
基金This project was supported by the National Natural Science Foundation of China (70373017) .
文摘The reliability level of a power generation system is an important problem which is concerned by both electricity producers and electricity consumers. Why？ It is known that the high reliability level may result in additional utility cost, and the low reliability level may result in additional consumer＇s cost, so the optimum reliability level should be determined such that the total cost can reach its minimum. Four optimization models for power generation system reliability are constructed, and the proven efficient solutions for these models are also given.
文摘A number of quality loss functions, most recently the Taguchi loss function, have been developed to quantify the loss due to the deviation of product performance from the desired target value. All these loss functions assume the same loss at the specified specification limits. In many real life industrial applications, however, the losses at the two different specifications limits are often not the same. Further, current loss functions assume a product should be reworked or scrapped if product performance falls outside the specification limits. It is a common practice in many industries to replace a defective item rather than spending resources to repair it, especially if considerable amount of time is required. To rectify these two potential problems, this paper proposes more realistic quality loss functions for proper applications to real-world industrial problems. This paper also carries out a comparison studies of all the loss functions it considers.
