基于多目标优化的水上休闲资源整合决策模型与应用研究——以长三角为例

长三角区域的同城化趋势和都市休闲化发展加快了水上休闲资源的整合进程,而整合过程中各相关利益主体之间的矛盾与冲突也由来已久。本文运用多目标优化的视角,通过对问题的实地调研和剖析设定三大目标函数与两大约束条件,构建水上休闲资源整合决策模型,并提出非劣性解的求解思路与相关对策,旨在为问题的解决构建一套定性的分析框架和定量的测度手段,切实推进长三角休闲(旅游)的一体化进程。     

考虑投资组合收益率完全分布信息的投资组合优化研究

前四阶矩并不能完全决定收益率服从何种分布,因而对于偏好某种特定分布的投资者而言,以往的高阶投资组合优化方法并不适用,应当进行考虑投资组合收益率完全分布信息的投资组合优化。本文提出了一种考虑投资组合收益率完全分布信息的投资组合优化方法,通过Gram-Charlier渐进展开来近似投资组合收益率的概率密度函数,以KL散度来度量投资组合收益率的概率密度函数与目标概率密度函数的距离,从而构建了投资组合优化模型,并给出了具体算例。     

基于DCS汽轮机DEH控制系统的优化研究分析

数字电液调节控制系统(DEH)是DCS控制系统应用于汽轮机控制的典型形式,而且当前的汽轮机几乎都是运用DEH控制系统来实现其有关的控制功能。随着DCS控制系统的迅速发展及进步,对汽轮机DEH控制系统实行相关的优化措施也势在必行。本文顺应科技发展的要求,结合基于DCS下汽轮机DEH控制系统的实际情况,对其系统的优化进行相应的分析和研究,以实现系统控制功能的全面优化。     

建设单位如何在设计阶段利用价值工程进行优化设计

自1978年开始引入价值工程以来,价值工程的应用已经覆盖到各行各业,应用领域也在不断地扩大。国外价值工程应用最为广泛的就是建筑业,在我国却尚未得到足够的重视。本文从建设单位角度应用价值工程理论对设计阶段的方案入手,在面对复杂的内外部环境的情势下,选择最优的设计施工方案。     

低碳旅游视角下浙江省旅游公共服务体系的构建

旅游低碳化是旅游现阶段发展的导向,高水平的旅游公共服务是社会发展到一定阶段的必然要求,它不仅是衡量区域旅游业发展水平的重要标志,也是衡量旅游者对特定旅游地满意度的一个重要指标,同时也是我国旅游公共服务"十二五"规划的重要内容。目前我国旅游公共服务供给水平低,问题多。文章通过对国内外旅游公共服务体系的研究以及对浙江省旅游公共服务体系建设的现状调查,提出在旅游低碳化背景下,如何优化浙江省旅游公共服务体系的四点措施。并根据调查结果进一步丰富了旅游公共服务的内涵,为优化旅游公共服务体系奠定良好基础。     

Optimal portfolio delegation when parties have different coefficients of risk aversion

We consider the problem of delegated portfolio management when the involved parties are risk-averse. The agent invests the principal's money in the financial market, and in return he receives a compensation which depends on the value that he generates over some period of time. We use a dual approach to explicitly solve the agent's problem analytically and subsequently we use this solution to solve the principal's problem numerically. The interaction between the principal's and the agent's risk aversion and the optimal compensation scheme is studied and, for example, in the case of the more risk averse agent according to common folklore the principal should optimally choose a fee schedule such that the agent's derived risk aversion decreases. We illustrate that this is not always the case.     

On the equivalence of the static and dynamic asset allocation problems

A classic dynamic asset allocation problem optimizes the expected final-time utility of wealth, for an individual who can invest in a risky stock and a risk-free bond, trading continuously in time. Recently, several authors considered the corresponding static asset allocation problem in which the individual cannot trade but can invest in options as well as the underlying. The optimal static strategy can never do better than the optimal dynamic one. Surprisingly, however, for some market models the two approaches are equivalent. When this happens the static strategy is clearly preferable, since it avoids any impact of market frictions. This paper examines the question: when, exactly, are the static and dynamic approaches equivalent? We give an easily tested necessary and sufficient condition, and many non-trivial examples. Our analysis assumes that the stock follows a scalar diffusion process, and uses the completeness of the resulting market model. A simple special case is when the drift and volatility depend only on time; then the two approaches are equivalent precisely if (μ (t)? r)/σ²(t) is constant. This is not the Sharpe ratio or the market price of risk, but rather a nondimensional ratio of excess return to squared volatility that arises naturally in portfolio optimization problems.     

A new computational tool for analysing dynamic hedging under transaction costs

This paper highlights a framework for analysing dynamic hedging strategies under transaction costs. First, self-financing portfolio dynamics under transaction costs are modelled as being portfolio affine. An algorithm for computing the moments of the hedging error on a lattice under portfolio affine dynamics is then presented. In a number of circumstances, this provides an efficient approach to analysing the performance of hedging strategies under transaction costs through moments. As an example, this approach is applied to the hedging of a European call option with a Black–Scholes delta hedge and Leland's adjustment for transaction costs. Results are presented that demonstrate the range of analysis possible within the presented framework.     

Investment strategies in the long run with proportional transaction costs and a HARA utility function

We consider an agent who invests in a stock and a money market in order to maximize the asymptotic behaviour of expected utility of the portfolio market price in the presence of proportional transaction costs. The assumption that the portfolio market price is a geometric Brownian motion and the restriction to a utility function with hyperbolic absolute risk aversion (HARA) enable us to evaluate interval investment strategies. It is shown that the optimal interval strategy is also optimal among a wide family of strategies and that it is optimal also in a time changed model in the case of logarithmic utility.     

基于GM-DEA对天然气操作成本预测及投入产出优化研究

以气田的天然气操作成本预测与优化控制为研究对象,以HTB气田天然气成本为基础,采用GM(1,1)模型对天然气操作成本进行预测,并运用DEA(I-C2 R)技术对投入产出要素进行评价和优化,从而比较准确的为气田管理部门提供优化成本的措施,可帮助气田实现资源的优化配置,从而提高气田的整体经济效益。