Optimal investment based on relative performance and weighted utility

This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance comparison to a predefined reference point. We find the optimal investment strategy by maximizing a weighted average utility of a concave utility and an Sshaped utility via a concavification technique and the martingale method. Numerical results are carried out to show the impact of the extent to which the manager pays attention to the change of relative performance related to the reference point on the optimal terminal relative performance.

Study on information utility

Information has two aspects. One aspect is the objective one; another aspect is the subjective one. Shannon has discussed the objective aspect of information in information theory. But the subjective aspect of information has not been fully discussed. Someone use “Bayesian approaches” to evaluate the value of information. But in some cases it does not meet the information user＇s need. This paper is focus on the subjective aspect of objectively measurable information and gives formal definitions for information, information utility, and marginal information utility, normalized calculation of information utility. The information discussed in the paper has interdisciplinary nature. This work can be the foundation of many application areas.

EOS Utility软件在摄影理论可视化教学中的应用

可视化的理论知识更容易被识记、理解,而在摄影理论教学中,运用静态的图形图像,并不能理想地将复杂理论知识及其相互间的关系表征、可视化。运用EOS Utility软件进行摄影理论知识的辅助教学,可将各知识点内涵及其相互间的关系进行动态地表征,实现摄影参数可视化、摄影过程可视化、摄影效果可视化,使摄影知识点及其相互间的关系更容易被识记、理解,提高教学效率。

THE OPTIMAL REINSURANCE-INVESTMENT PROBLEM CONSIDERING THE JOINT INTERESTS OF AN INSURER AND A REINSURER UNDER HARA UTILITY

This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a reinsurer.Assume that the insurer can purchase reinsurance from the reinsurer,and that both the insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset which are governed by the Heston model and are distinct from one another.We aim to find the optimal reinsuranceinvestment strategy by maximizing the expected Hyperbolic Absolute Risk Aversion(HARA)utility of the insurance corporation’s terminal wealth,which is the weighted sum of the insurer’s and the reinsurer’s terminal wealth.The Hamilton-Jacobi-Bellman(HJB)equation is first established.However,this equation is non-linear and is difficult to solve directly by any ordinary method found in the existing literature,because the structure of this HJB equation is more complex under HARA utility.In the present paper,the Legendre transform is applied to change this HJB equation into a linear dual one such that the explicit expressions of optimal investment-reinsurance strategies for-1≤ρi≤1 are obtained.We also discuss some special cases in a little bit more detail.Finally,numerical analyses are provided.

High Utility Periodic Frequent Pattern Mining in Multiple Sequences

Periodic patternmining has become a popular research subject in recent years;this approach involves the discoveryof frequently recurring patterns in a transaction sequence. However, previous algorithms for periodic patternmining have ignored the utility (profit, value) of patterns. Additionally, these algorithms only identify periodicpatterns in a single sequence. However, identifying patterns of high utility that are common to a set of sequencesis more valuable. In several fields, identifying high-utility periodic frequent patterns in multiple sequences isimportant. In this study, an efficient algorithm called MHUPFPS was proposed to identify such patterns. To addressexisting problems, three new measures are defined: the utility, high support, and high-utility period sequenceratios. Further, a new upper bound, upSeqRa, and two new pruning properties were proposed. MHUPFPS usesa newly defined HUPFPS-list structure to significantly accelerate the reduction of the search space and improvethe overall performance of the algorithm. Furthermore, the proposed algorithmis evaluated using several datasets.The experimental results indicate that the algorithm is accurate and effective in filtering several non-high-utilityperiodic frequent patterns.

Temporal Preferences-Based Utility Control for Smart Homes

The residential sector contributes a large part of the energy to the global energy balance.To date,housing demand has mostly been uncontrollable and inelastic to grid conditions.Analyzing the performance of a home energy manage-ment system requires the creation of various profiles of real-world residential demand,as residential demand is complex and includes multiple factors such as occupancy,climate,user preferences,and appliance types.Average Peak Ratio(A2P)is one of the most important parameters when managing an efficient and cost-effective energy system.At the household level,the larger relative magni-tudes of certain energy devices make managing this ratio critical,albeit difficult.Various Demand Response(DR)and Demand Side Management(DSM)systems have been proposed to reduce this ratio to 1.The main ways to achieve this are economic incentives,user comfort modeling and control,or preference-based.In this study,we propose a unique opportunistic social time approach called the Time Utility Based Control Feature(TUBCF),which uses the concept of a utility function from economics to model and control consumer devices.We propose a DR model for residential customers to reduce Peak-to-Average Ratio(PAR)and improve customer satisfaction by eliminating Appliance Wait Time(WTA)during peak periods.For PAR reduction and WTA,we propose a system architecture and mathematical formulation.Our proposed model automatically schedules devices based on their temporal preferences and considers six households with different device types and operational characteristics.Simulation results show that using this strategy can reduce A2P by 80%and improve user comfort during peak hours.

Data-Driven Model for Risk Assessment of Cable Fire in Utility Tunnels Using Evidential Reasoning Approach

Cable fire is one of the most important events for operation and maintenance(O&M)safety in underground utility tunnels(UUTs).Since there are limited studies about cable fire risk assessment,a comprehensive assessment model is proposed to evaluate the cable fire risk in different UUT sections and improve O&M efficiency.Considering the uncertainties in the risk assessment,an evidential reasoning(ER)approach is used to combine quantitative sensor data and qualitative expert judgments.Meanwhile,a data transformation technique is contributed to transform continuous data into a five-grade distributed assessment.Then,a case study demonstrates how the model and the ER approach are established.The results show that in Shenzhen,China,the cable fire risk in District 8,B Road is the lowest,while more resources should be paid in District 3,C Road and District 25,C Road,which are selected as comparative roads.Based on the model,a data-driven O&M process is proposed to improve the O&M effectiveness,compared with traditional methods.This study contributes an effective ER-based cable fire evaluation model to improve the O&M efficiency of cable fire in UUTs.

Entrepreneur Education Level and Its Utility Maximization

The education level of entrepreneurs plays an important role in the decision-making process of loan financing. In this paper, the research method of optimization theory is used to study the problem of the education level and maximizing utility of entrepreneurs, and the optimal analytic solution is obtained. On this basis, the influence of the change of bank loan interest rate, the marginal effect of entrepreneur’s effort, the marginal effect of entrepreneur’s investment, the elastic coefficient of entrepreneur’s effort and the elastic coefficient of entrepreneur’s investment on the optimal solution of entrepreneur’s effort and investment amount is discussed.

SPI软件Import Utility模块在仪表数字化交付中的应用

为满足仪表数字化交付要求,基于Smart Plant Instrumentation(SPI)软件Import Utility导入模块的使用,对数字化交付这项内容采用的主要解决方法和主要流程进行了阐述,提出了在前期设计未使用SPI软件的情况下,设计院如何满足业主数字化交付的需求。

Understanding Expected Utility for Decision Making

In this paper,we present a brief version of de Finetti-Ramsey’s subjective probability theory and provide a rigorous yet intuitively plausible explanation of expected utility using elementary mathematics.In a final section,we take up the case of some“Paradoxes in Expected Utility Theory”and try to reconcile them with the help of subjective probabilities.

Utility Impact below Bridge or Culvert Soffit on Open Channel Flow

The background to this research was a flooding incident that occurred in Bridgend, Co. Donegal, Ireland in August 2017. While several properties were flooded, a flooding case study of a single dwelling house adjacent to the Bridgend River at Riverdale, Bunamayne, Co. Donegal, Ireland is used herein. For this study the flooded site shall be referred to as the “Hegarty property”. A structure in the form of a stone arched culvert is located directly adjacent to the two-storey detached dwelling house on the Hegarty Property. While the culvert is referred to locally as a bridge, within this research the word culvert will be used in connection with the structure. The culvert has a concrete surrounded utility (watermain) crossing at a gradient below the culvert soffit on the upstream face of the structure. The utility obstructed flow through the culvert and contributed to the flooding event. Given the implication of climate change and the increased probability of more extreme flooding events, it was decided to explore the case study to ascertain the factors that contribute to flooding events when utilities are positioned at culvert or bridge structures. This work was completed to assist undergraduate students, researchers, and local authorities in a relatively unknown area of flood causation.

基于Python对Intergraph Smart^(■) 3D Bulkload Utility的重新设计与实现

海克斯康的Smart 3D作为近20年来出现的先进的三维工厂设计软件,凭借其面向数据库、设计规则驱动等特点,简化了工程设计过程,深受用户喜爱,在流程行业中应用广泛。绝大多数使用过该软件进行工程设计的管理员与材料人员都对其配套工具Bulkload Utility(以下简称“Bulkload”)不陌生。作为官方提供的唯一具有图形用户界面的参考数据库(Catalog Database)导入工具,Bulkload在整个工程设计过程中都发挥着至关重要的作用。

Study on Gas Explosion Characteristics in Urban Utility Tunnels

In order to study the effects of three factors,namely,premixed gas concentration,number of pressure relief ports and number of obstacles,on the overpressure characteristics of gas explosion and flame structure of gas chambers in utility tunnels,in this paper,a small and narrow experimental platform for gas explosion was constructed to study the evolution mechanism and law of the kinetic characteristics and flame behavior of gas explosion in utility tunnels,with a view to revealing the special influencing mechanism of the overpressure characteristics and flame behavior of gas explosion in utility tunnels.The results show that in the methane concentration of 9.5%when the explosion overpressure reaches its peak,and at the same time by the utility tunnel long and narrow restricted space,the explosion generated by the precursor shock wave along with the flame compression wave were superimposed on both ends of the pipeline back and forth for many times so that the overpressure waveforms are cyclic oscillatory trend,increasing the explosion hazards;compared with the closed conditions,the relief port on the overpressure characteristics of the significant impact of the maximum decrease of 57.7%,when the frequency of overpressure oscillation is reduced,the gas explosion generated by the overpressure damage is reduced;the presence of obstacles significantly affects the flow field,accelerates the flame propagation and leads to greater overpressure peaks and overpressure oscillations.The conclusions of the study can provide a basis for the safety of natural gas in utility tunnels.

STOCHASTIC DIFFERENTIAL UTILITY UNDER NON-LIPSCHITZ CONDITIONS

In this paper, the theory of stochastic differential utility is studied. Sufficient conditions for existence, uniqueness, continuity, monotonicity, time consistency, risk aversion and concavity are gived under non-Lipschtz assumptions.

Optimal consumption-leisure, portfolio and retirement selection based on α-maxmin expected CES utility with ambiguity

This article studies optimal consumption-leisure, portfolio and retirement selection of an infinitely lived investor whose preference is formulated by a-maxmin expected CES utility which is to differentiate ambiguity and ambiguity attitude. Adopting the recursive multiple- priors utility and the technique of backward stochastic differential equations （BSDEs）, we transform the （^-maxmin expected CES utility into a classical expected CES utility under a new probability measure related to the degree of an investor＇s uncertainty. Our model investi- gates the optimal consumption-leisure-work selection, the optimal portfolio selection, and the optimal stopping problem. In this model, the investor is able to adjust her supply of labor flex- ibly above a certain minimum work-hour along with a retirement option. The problem can be analytically solved by using a variational inequality. And the optimal retirement time is given as the first time when her wealth exceeds a certain critical level. The optimal consumption-leisure and portfolio strategies before and after retirement are provided in closed forms. Finally, the distinctions of optimal consumption-leisure, portfolio and critical wealth level under ambiguity from those with no vagueness are discussed.

Analyzing our educational resource deployment of compulsory education by marginal utility

In the base of utility and marginal utility,the article put forwardthe concept of utility and marginal utilityof educational outlay and the theory of them,and analyzed the actuality of educational resource deployment in ourcountry,gave some advice about howtoi mprove our educational resource deployment of compulsory education.

Seismic response of underground utility tunnels: shaking table testing and FEM analysis

Underground utility tunnels are widely used in urban areas throughout the world for lifeline networks due to their easy maintenance and environmental protection capabilities. However, knowledge about their seismic performance is still quite limited and seismic design procedures are not included in current design codes. This paper describes a series of shaking table tests the authors performed on a scaled utility tunnel model to explore its performance under earthquake excitation. Details of the experimental setup are first presented focusing on aspects such as the design of the soil container, scaled structural model, sensor array arrangement and test procedure. The main observations from the test program, including structural response, soil response, soil-structure interaction and earth pressure, are summarized and discussed. Further, a finite element model （FEM） of the test utility tunnel is established where the nonlinear soil properties are modeled by the Drucker- Prager constitutive model; the master-slave surface mechanism is employed to simulate the soil-structure dynamic interaction; and the confining effect of the laminar shear box to soil is considered by proper boundary modeling. The results from the numerical model are compared with experiment measurements in terms of displacement, acceleration and amplification factor of the structural model and the soil. The comparison shows that the numerical results match the experimental measurements quite well. The validated numerical model can be adopted for further analysis.

Dynamic response of utility tunnel during the passage of Rayleigh waves

The modeling methodologies and calculation of dynamic response of underground structure under Rayleigh waves is investigated in this paper. First the free field responses under Rayleigh waves are analyzed and the numerical results agree well with the theoretical results. Then, the approximate Rayleigh waves are put forward based on the preliminary re- search, and Rayleigh wave field is obtained through fast Fourier transform technique. Taking a utility tunnel as an example, its dynamic responses under Rayleigh waves is calculated by ABAQUS. The results demonstrate that bending deformation is the main component of structural deformation and the deformation at the top of the structure is about twice as much as that at bottom of the structure. The effect of soil-structure interface and the buried depth of underground structure are also investi- gated via parameter analysis. For the shallow buffed underground structures, Rayleigh waves can be the key factor to control the responses and damage of the structure.

Blast resistance evaluation of urban utility tunnel reinforced with BFRP bars

To improve corrosion-resistance of shallow-buried concrete urban utility tunnels(UUTs),basalt fiber reinforced polymer(BFRP)bars are applied to reinforce UUTs.As the UUT must have excellent survival capability under accidental explosions,a shallow-buried BFRP bars reinforced UUT(BBRU)was designed and constructed.Repetitive blast experiments were carried out on this BBRU.Dynamic responses,damage evolutions and failure styles of the BBRU under repetitive explosions were revealed.The tunnel roof is the most vulnerable component and longitudinal cracks develop along the tunnel.When the scaled distance is larger than 1.10 m/kg1/3,no cracks are observed in the experiments.When the BBRU is severely damaged,there are five cracks forming and developing along the roof.The roof is simplified as a clamped-supported one-way slab,proved by the observation that the maximum strain of the transverse bar is much larger than that of the longitudinal bar.Dynamic responses of the roof slab are predicted by dynamic Euler beam theory,which can consistently predict the roof displacement under large-scaleddistance explosion.Compared with the UUT reinforced with steel bars,the BBRU has advantages in blast resistance with smaller deflections and more evenly-distributed cracks when the scaled distance is smaller than 1.260 m/kg1/3 and the steel bars enter plastic state.Longer elastic defamation of the BFRP bars endows the UUT more excellent blast resistance under small-scaled-distance explosions.

Large scale shaking table model test and analysis on seismic response of utility tunnel in non-homogeneous soil

Underground utility tunnels are the most fundamental and reliable lifeline network in urban cities,and are widely constructed throughout the world.In urban areas,most utility tunnels usually encounter the non-homogeneity of subsoil condition due to various construction effects.Studies have shown that the damage mechanism of shallow underground structures mainly depends on the inhomogeneity of the subsoil conditions.This would become a considerable factor for the stability of the underground utility tunnel structures.However,this type of research still needs to establish the vulnerable seismic design.In this study,a series of shaking table tests were conducted on non-homogenous soils to investigate the performance of seismic interaction between utility tunnels,surrounding soils and interior pipelines.The dynamic responses measured from the test account for the boundary condition of non-homogeneous soils,the internal forces,displacement of tunnel joints,the dynamic characteristics on interior pipelines and the reasonable spring stiffness with damping in the seismically isolated gas pipeline model inside the tunnel.The vulnerability of underground utility tunnel in non-homogeneous soil zone and the mechanism of the stability of interior facilities are the main topics discussed in this paper.