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
This paper investigates the potential extreme tsunami hazards of the worst case scenario of the magnitude M_w=9.30 in South China Sea（SCS）as the Manila Trench is becoming one of the most hazardous tsunami source reg...This paper investigates the potential extreme tsunami hazards of the worst case scenario of the magnitude M_w=9.30 in South China Sea（SCS）as the Manila Trench is becoming one of the most hazardous tsunami source regions.Using nonlinear shallow water equations model,the time series of surface elevation,arrival time,spatial distributions of maximum wave amplitude and velocity distribution are presented.The characteristics of wave and currents are analyzed.The numerical results indicate that most of the energy of tsunami wave distributes in central and north part of SCS.The offshore regions around SCS will be influenced significantly by the tsunami currents generated by an earthquake in the Manila subduction zone.The maximum wave amplitude near Guangdong Province,Hainan Island,and Taiwan Island exceeds 4 m and velocities at the majority of measured locations near coast exceeds 2 m/s.Nested grid with high resolution is used to study the impacts of the tsunami on Hainan Island,Taiwan Island,and Lingding Bay.The regions with high hazard risk due to strong currents are identified.Finally,a fast tsunami warning method in SCS is developed and discussed,which can provide tsunami warning information in 5 min.展开更多
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.
基金supported by the National Natural Science Foundation of China(Grant Nos.11632012,51379123)
文摘This paper investigates the potential extreme tsunami hazards of the worst case scenario of the magnitude M_w=9.30 in South China Sea（SCS）as the Manila Trench is becoming one of the most hazardous tsunami source regions.Using nonlinear shallow water equations model,the time series of surface elevation,arrival time,spatial distributions of maximum wave amplitude and velocity distribution are presented.The characteristics of wave and currents are analyzed.The numerical results indicate that most of the energy of tsunami wave distributes in central and north part of SCS.The offshore regions around SCS will be influenced significantly by the tsunami currents generated by an earthquake in the Manila subduction zone.The maximum wave amplitude near Guangdong Province,Hainan Island,and Taiwan Island exceeds 4 m and velocities at the majority of measured locations near coast exceeds 2 m/s.Nested grid with high resolution is used to study the impacts of the tsunami on Hainan Island,Taiwan Island,and Lingding Bay.The regions with high hazard risk due to strong currents are identified.Finally,a fast tsunami warning method in SCS is developed and discussed,which can provide tsunami warning information in 5 min.
