PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING

A new equilibrium model of portfolio insurance is presented in order to study the volatility effects of dynamic insurance strategies. While prior research has focused on the relationship between portfolio insurance and the overall level of market volatility, this article shows that the salient feature of portfolio insurance is volatility regime switching. Regime switching is shown to be a necessary condition for portfolio insurance, which provides a new explanation for the pervasive volatility clustering effect that is found in most equity markets. The equilibrium involves a free boundary and the local time of the equilibrium price process at the free boundary plays an important role in solving the model.     

A Note on EOQ Model for Items with Mixtures of Exponential Distribution Deterioration,Shortages and Time-varying Demand

An inventory model is considered in which inventory is depleted not only by demand, but also by deterioration. In this paper, we derive the EOQ model for inventory of items that deteriorates at a mixtures of exponential distributed rate, assuming the demand rate with a continuous function of time. Moreover, the proposed model cannot be solved directly in a closed form, thus we used the computer software IMSL MATH/LIBRARY (1989) to find the optimal reorder time Further, we also find that the optimal procedure is independent of the form of the demand rate. Finally, we also assume that the holding cost is a continuous, nonnegative and non-decreasing function of time in order to generalize EOQ model. Moreover, four numerical examples and sensitivity analyses are provided to assess the solution procedure.     

对名义利率和实际利率的再认识

名义利率和实际利率对投资决策、筹资决策和股利分配政策有重要参考价值。该文对名义利率和实际利率进行了重新定义,同时指出影响名义利率和实际利率的因素并非仅是通货膨胀,还包括信用条件、计息方法、投资期限等多种因素,而且进一步阐述,实际利率并非简单地等于名义利率与通货膨胀之差,名义利率并非总大于实际利率。     

Routing and refueling plans to minimize travel time in alternative-fuel vehicles

A driver who drives an alternative-fuel vehicle (AFV) from an origin point to a destination point needs to consider how to get there (i.e., the routing problem), when to stop, and how and when to refuel (i.e., the refueling plan). In this study, models and algorithms are proposed that optimize a one-way-trip path such that the total travel time from the origin to the destination is minimized. The travel time consists of the setup time, the refueling time and the driving time. The setup time includes waiting for the AFV to be served at a refueling station and the preparation time of charging the machine. We categorized the problems into two types: (1) the refueling plan problem when the routing decision is given and (2) an integrated problem of routing and refueling. Another axis of categorization is when (1) setup time and refueling times are site-independent and (2) parameters are site-dependent. We propose optimal algorithms for site-independent problems and the integrated problem of routing and refueling planning with site-independent parameters. We also conduct experiments and sensitivity analyses for the site-dependent integrated problems of routing and refueling.     

The Role of Oil Price Shocks in Causing U.S. Recessions

Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role of net oil price increases in amplifying the transmission of oil price shocks. We quantify the conditional effect of oil price shocks in the net oil price increase model for all episodes of net oil price increases since the mid‐1970s, analyze its determinants, and show that the linear model fits the data better.     

Análisis del servicio de Urgencias aplicando teoría de líneas de espera

Those responsible for making decisions in hospitals are increasingly aware of the need to efficiently manage hospital systems. An option for analysis is done by queuing models. In this paper is analyzed the service area ER, in a public hospital applying the concepts and relationships of waiting lines. From the model results, it is concluded that in the emergency department does not have the required minimum number of doctors to allow a steady flow of patients. With the model, the minimum required number of doctors is calculated to meet current and future demand for service with the same service time and the same discipline of service. Analytical models, allowing direct understand the relationships between service demand, number of doctors and patient care priority viewed as a queuing system. The work is useful for administrators and managers of hospital systems.     

产业结构调整背景下的区域用电量预测模型库构建

基于产业结构调整宏观环境,构建了区域用电量预测模型初选库,其主要包括基于时间序列的区域用电量预测模型和基于影响因素的区域用电量预测模型。并基于预测效果反馈,建立预测效果评级指标体系,构建预测效果评价模型。在评价结果的基础上,筛选出最优模型作为区域用电量预测模型终选库,以便正确预估地区电网发展趋势,提高企业竞争力。     

钨系高速钢带状共晶碳化物级别的定量数值测定

为了实现高速钢带状碳化物的自动定量评级,在计算机图像仪上对钨系高速钢带状共晶碳化物不均匀度的国家标准评级图片进行了分析测定,还对实验数据进行了多种拟合处理.结果表明:碳化物总面积百分数、碳化物条带的平均宽度和条带内碳化物占整个碳化物的比例,可以作为衡量钨系高速钢带状共晶碳化物不均匀度的特征参数.     

英语时、态、体及其语法教学

英语语法是英语学习过程中的一个重点,同时也是一个难点,而英语语法在很多情况下与英语的“时”、“体”、“态”密切相关。了解英语“时”“体”“态”的基本概念和两种“时”、两种“体”和两种“态”的基本构成,对掌握英语语法中常见的时态和语态以及非谓语动词,尤其是不定式和分词结构的构成规则有很大的帮助。