Model-free portfolio theory: A rough path approach

Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on Föllmer integration. Without the assumption of any underlying probabilistic model, we prove a pathwise formula for the relative wealth process, which reduces in the special case of functionally generated portfolios to a pathwise version of the so-called master formula of classical SPT. We show that the appropriately scaled asymptotic growth rate of a far reaching generalization of Cover's universal portfolio based on controlled paths coincides with that of the best retrospectively chosen portfolio within this class. We provide several novel results concerning rough integration, and highlight the advantages of the rough path approach by showing that (nonfunctionally generated) log-optimal portfolios in an ergodic Itô diffusion setting have the same asymptotic growth rate as Cover's universal portfolio and the best retrospectively chosen one.     

A Note on the Nelson–Siegel Family

We study a problem posed in Bj"ork and Christensen (1999): Does there exist any nontrivial interest rate model that is consistent with the Nelson–Siegel family? They show that within the Heath–Jarrow–Morton framework with deterministic volatility structure the answer is no. In this paper we give a generalized version of this result including stochastic volatility structure. For that purpose we introduce the class of consistent state space processes, which have the property to provide an arbitrage-free interest rate model when representing the parameters of the Nelson–Siegel family. We characterize the consistent state space Itô processes in terms of their drift and diffusion coefficients. By solving an inverse problem we find their explicit form. It turns out that there exists no nontrivial interest rate model driven by a consistent state space Itô process.     

A Characterization of Complete Security Markets On A Brownian Filtration1

This paper provides a characterization theorem for a complete securities market when security prices follow Itô processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by Müller (1989).     

OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS

An investor with constant absolute risk aversion trades a risky asset with general Itô‐dynamics, in the presence of small proportional transaction costs. In this setting, we formally derive a leading‐order optimal trading policy and the associated welfare, expressed in terms of the local dynamics of the frictionless optimizer. By applying these results in the presence of a random endowment, we obtain asymptotic formulas for utility indifference prices and hedging strategies in the presence of small transaction costs.     

船载外测设备测速数据的误差修正

针对“远望”号航天远洋测量船对航天飞行器动态测量的特点，分析了影响船载外测设备测速数据的各种因素，提出了对测速数据进行误差修正的设想和思路并给出了误差修正公式；同时用实战任务中的实测数据进行计算，考察了此方法误差修正的效果。计算结果表明，使用经各种误差修正后的测速数据参与初轨计算能有效提高定轨精度。     

基于MATLAB的VLF/LF通信系统仿真

由于大气无线电噪声所涉及的现象非常复杂，观测结果又具有局限性，所以它对VLF／LF(甚低频／低频)通信系统性能影响的理论分析比较困难。本文运用MATLAB提供的Simulink动态仿真平台对大气噪声环境下的VLF／LF通信系统误码性能进行了仿真研究，并结合实例给出了系统的仿真结果，验证了该仿真系统的可行性。     

PCM遥测帧同步技术性能分析

在分析假同步和漏同步现象的基础上,介绍了脉冲编码调制（PCM）遥测帧同步工作的三态逻辑转换过程,通过进一步简化搜索态重叠区假同步概率计算公式,重新对搜索态和校核态的帧同步工作性能指标进行理论建模和仿真,根据仿真结果对影响帧同步性能的相关因素和参数进行讨论,为帧同步参数设计提供参考。     

BUY‐LOW AND SELL‐HIGH INVESTMENT STRATEGIES

Buy‐low and sell‐high investment strategies are a recurrent theme in the considerations of many investors. In this paper, we consider an investor who aims at maximizing the expected discounted cash‐flow that can be generated by sequentially buying and selling one share of a given asset at fixed transaction costs. We model the underlying asset price by means of a general one‐dimensional Itô diffusion X , we solve the resulting stochastic control problem in a closed analytic form, and we completely characterize the optimal strategy. In particular, we show that, if 0 is a natural boundary point of X , e.g., if X is a geometric Brownian motion, then it is never optimal to sequentially buy and sell. On the other hand, we prove that, if 0 is an entrance point of X , e.g., if X is a mean‐reverting constant elasticity of variance (CEV) process, then it may be optimal to sequentially buy and sell, depending on the problem data.     

采用一维物理光学法的天线罩瞄准误差补偿

针对雷达天线罩瞄准误差的补偿问题,提出了一种适用于各向同性的天线罩瞄准误差修正方法。构建了基于一维物理光学法的天线罩瞄准误差的数学模型,推导了雷达导引头测量目标角度和角速度的误差修正公式。试验结果表明,该方法有效降低了天线罩瞄准误差对目标角速度性能的影响。     

Learning from error: The influence of error incident characteristics

This study investigates the influence of error incident characteristics on organizational learning among operators in the chemical process industry. The study asks operators to describe recently occurred error incidents at time 0 (n = 87), followed up by measurements for learning 6 weeks later (n = 48). Organizations learn more from error incidents with more severe consequences. Severity of consequences relates positively to learning. When consequences are more severe, communication about an error is higher. Communication is subsequently related to learning. Error incidents without imminent negative consequences, however, can also be a platform for learning. This research recommends attention towards the promotion of learning from conditions that do not necessarily encourage employees to learn.     

综合孔径辐射成像系统的轨道摄动误差修正

为了提高综合孔径辐射成像系统在地球物理摄动因素影响下的图像精度，对低轨星载综合孔径辐射成像系统的成像误差的修正方法进行了研究，提出了针对地球形状摄动、大气阻力摄动以及两种摄动共同作用的空域补偿动力学模型，结合空域摄动法和数值分析方法对这一空域误差补偿动力学模型进行了模型简化以及误差补偿算法的研究，并给出了空域补偿算法的流程图。仿真结果表明，所提出的空域补偿算法极大地提高了综合孔径辐射成像系统对于目标场景物体的恢复精度，有效降低了综合孔径辐射成像系统成像的摄动力误差。     

Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps

We investigate analytical solvability of models with affine stochastic volatility (SV) and Lévy jumps by deriving a unified formula for the conditional moment generating function of the log-asset price and providing the condition under which this new formula is explicit. The results lay a foundation for a range of valuation, calibration, and econometric problems. We then combine our theoretical results, the Hilbert transform method, various interpolation techniques, with the dimension reduction technique to propose unified simulation schemes for solvable models with affine SV and Lévy jumps. In contrast to traditional exact simulation methods, our approach is applicable to a broad class of models, maintains good accuracy, and enables efficient pricing of discretely monitored path-dependent derivatives. We analyze various sources of errors arising from the simulation approach and present error bounds. Finally, extensive numerical results demonstrate that our method is highly accurate, efficient, simple to implement, and widely applicable.     

MODIFIED LELAND’S STRATEGY FOR A CONSTANT TRANSACTION COSTS RATE

In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs. Its main idea is to use the classical Black–Scholes formula with a suitably adjusted volatility for a periodical revision of the portfolio whose terminal value approximates the pay‐off. Unfortunately, if the transaction costs rate does not depend on the number of revisions, the approximation error does not converge to zero as the frequency of revisions tends to infinity. In the present paper, we suggest a modification of Leland’s strategy ensuring that the approximation error vanishes in the limit.     

外军舰载电子战装备现状及趋势

本文对舰载电子战装备（信号情报侦察，综合电子战装备）在美国，前苏联，英国，法国，德国等的现状及发展趋势作出概述。     

一种直扩跟踪接收机的噪声精度分析

针对自跟踪接收机跟踪精度的问题,结合一种直扩跟踪接收机的原理,推导了不同解调及提取方式下的角误差电压及噪声精度公式。依据公式分析了随机噪声对跟踪精度的影响,比较了各种提取方式的优劣,指出了公式的应用价值。     

波导开关的精度分析

波导开关外壳与转子的波导口在两极限位置要精确对准。文中分析了在整个传动链中影响对准的各种因素及传递关系，从零件的工艺误差出发，合理确定各误差源的误差，并通过计算，使之满足对准的误差要求。     

NLOS环境下移动台位置与速率估计

NLOS (Non-line of Sight)误差是定位中的主要误差来源,直接影响了定位的精度 。在MIMO（Multiple Input Multiple Output）系统中,基于NLOS信道模型的定位方法成为 解决NLOS定位误差问题的利器。基于此提出一种新颖的几何方法,仅采用两条NLOS路径就可 计算MS(Mobile Station)的位置,并且只需要利用单个基站便可完成MS的定位,克服了基站 数目过少无法准确定位MS的缺陷。在此基础上,还给出了最小二乘与最大似然算法利用多条 NLOS路径来改善定位精度的方法,并利用它对NLOS环境下运动的MS进行定位跟踪。理论分析 和仿真结 果都证明该定位方法在NLOS环境中对MS定位的有效性与精确度。     

PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD

This paper studies the critical stock price of American options with continuous dividend yield. We solve the integral equation and derive a new analytical formula in a series form for the critical stock price. American options can be priced and hedged analytically with the help of our critical-stock-price formula. Numerical tests show that our formula gives very accurate prices. With the error well controlled, our formula is now ready for traders to use in pricing and hedging the S&P 100 index options and for the Chicago Board Options Exchange to use in computing the VXO volatility index.     

对外贸易与经济增长关系的实证分析--以山东省为例

对外贸易对经济增长的促进作用因不同的经济条件而有所不同。运用协整理论和误差修正模型，对山东省经济增长与对外贸易的相关性和因果关系进行实证检验的结果表明，山东省经济增长与出口和进口之间存在着长期的稳定关系，无论在短期内还是长期内，三个变量两两之间都具有显著的双向格兰杰因果关系，因此应继续坚定出口导向型的外向发展战略。     

HEDGING WITH ENERGY

In the setting of diffusion models for price evolution, we suggest an easily implementable approximate evaluation formula for measuring the errors in option pricing and hedging due to volatility misspecification. The main tool we use in this paper is a (suitably modified) classical inequality for the L ² norm of the solution, and the derivatives of the solution, of a partial differential equation (the so-called "energy" inequality). This result allows us to give bounds on the errors implied by the use of approximate models for option valuation and hedging and can be used to justify formally some "folk" belief about the robustness of the Black and Scholes model. Surprisingly enough, the result can also be applied to improve pricing and hedging with an approximate model. When statistical or a priori information is available on the "true" volatility, the error measure given by the energy inequality can be minimized w.r.t. the parameters of the approximating model. The method suggested in this paper can help in conjugating statistical estimation of the volatility function derived from flexible but computationally cumbersome statistical models, with the use of analytically tractable approximate models calibrated using error estimates.