静不定拱在静载荷作用下拱轴轴向缩短的探讨

本文以“静不定拱在静载荷作用下,拱轴轴向缩短时,沿拱跨方向的相对线变位应等于零”为依据,运用弹性中心法详尽地分析论证了静不定拱在静载荷作用下拱轴轴向缩短对内力的影响。并由此得出了:考虑静不定拱在静载荷作用下拱轴轴向缩短对内力的影响时,唯一正确的公式。     

电机生产计划计算机优化系统

本文介绍了电机生产计划计算机优化系统.该系统主要由模型优化和数据处理两大部分组成,采用结构化方法进行系统分析与设计.该系统解决了合理、充分地利用有限原材料的问题,为工厂制订更合理、更科学的生产计划提供了必要的信息。     

区间时变时滞线性系统稳定性准则的改进

研究了区间时变时滞线性系统的稳定性问题,基于Lyapunov泛函方法,使用新的处理技术估计Lyapunov泛函导数的上界,以线性矩阵不等式形式给出了系统稳定性准则的改进结果。所给稳定性准则比已有结果具有更低的保守性,数值实例表明了结果的有效性。     

A DC programming heuristic applied to the logistics network design problem

This paper proposes a new heuristic method for the logistics network design and planning problem based on linear relaxation and DC (difference of convex functions) programming. We consider a multi-period, multi-echelon, multi-commodity and multi-product problem defined as a large scale mixed integer linear programming (MILP) model. The method is experimented on data sets of various size. The numerical results validate the efficiency of the heuristic for instances with up to several dozens facilities, 18 products and 270 retailers.     

Cross Validation Calibration Based Shrinkage – Revisited for the Construction of Prognostic Indices

The use of shrinkage methods for the construction of prognostic indices has been paid increasing attention in the literature on medical statistics in the last years. One approach for the construction of a shrinkage factor is cross validation calibration as suggested by van H ouwelingen and le C essie (1990). We investigate this approach in more detail. First we try to clarify why shrinkage factors constructed by cross validation calibration tend to be smaller than 1. Second we explain why use of this shrinkage factor can result in an improvement of the average prediction error. Third we investigate the possible gain for constellations relevant in medical research by means of a simulation study, focusing on the dilemma, that the improvement on average has to be paid by distinct deteriorations for some patients. Finally we conclude that it is necessary to rethink the choice of loss functions in constructing prognostic indices before recommendations about the use of shrinkage methods can be made.     

Econometric Analysis of Managers' Judgements on the Determinants of the Financial Situation in Russia

The paper presents an econometric analysis of the determinants of the financial situation in Russian manufacturing. Official statistics in Russia are not reliable. This is why the analysis is based on business opinion surveys carried out within `The Russian Economic Barometer' long-term research programme for monitoring and investigation of the transition to the market in Russia. The new adaptive approach elaborated by the author of the paper is used to form a correct set of explanatory variables in regression equations. This approach is based on the comparison of the forecast abilities of alternative models with different sets of explanatory variables. Two periods are considered and compared: January 1993 to January 1995 and February 1995 to January 1998. Two variables, the diffusion index of output and the average order-book level, provide the best explanation of the managers' judgement regarding the financial situation in Russia for the first period. It was found that for the second period, the influence of the `output index' diminished. The main factors with which managers related a `good' financial situation in their enterprises were the sample average of order-book level, the stocks of finished goods, the index of order-book level, the index of output prices ratio, and the indebtedness to banks. All relationships are presented in the context of linear probability and logit models.     

Mean squared error of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model

The mean squared error (MSE) of the empirical best linear unbiased predictor in an orthogonal finite discrete spectrum linear regression model is derived and a comparison with the MSE of the best linear unbiased predictor in this model is made. It is shown that under weak conditions these two mean square errors are asymptotically the same.     

Conservatism in residual income models: theory and supporting evidence

In this paper, we develop a framework for evaluating the impact of conservative accounting on the structure of residual income models of equity valuation. We explore specific examples of both unconditional and conditional conservatism and observe a common mathematical structure. We proceed to generalise our model and identify the joint dependency of conservatism and the persistence of abnormal earnings on the weights attached to book values, earnings and dividends. We are able to show theoretically the likely numerical impact of conservatism on price-earnings ratios and under-valuations produced by residual income models. We investigate empirically the interaction between conservatism and persistence and find they accord well with the theory developed. We briefly discuss the implications of testing the effect of conservatism on valuation and linear information dynamics.     

ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS

We develop a theory of robust pricing and hedging of a weighted variance swap given market prices for a finite number of co‐maturing put options. We assume the put option prices do not admit arbitrage and deduce no‐arbitrage bounds on the weighted variance swap along with super‐ and sub‐replicating strategies that enforce them. We find that market quotes for variance swaps are surprisingly close to the model‐free lower bounds we determine. We solve the problem by transforming it into an analogous question for a European option with a convex payoff. The lower bound becomes a problem in semi‐infinite linear programming which we solve in detail. The upper bound is explicit. We work in a model‐independent and probability‐free setup. In particular, we use and extend Föllmer's pathwise stochastic calculus. Appropriate notions of arbitrage and admissibility are introduced. This allows us to establish the usual hedging relation between the variance swap and the “log contract” and similar connections for weighted variance swaps. Our results take the form of a FTAP: we show that the absence of (weak) arbitrage is equivalent to the existence of a classical model which reproduces the observed prices via risk‐neutral expectations of discounted payoffs.