证券投资基金业绩度量模型探析

证券投资基金是中国资本市场上一支重要的力量,对其业绩进行客观评价是一项极其复杂的系统工程。本文试图运用风险调整收益的思想,分别选取风险价值VAR与尾条件期望CVAR的加权平均、以及ARCH模型计算出来的条件异方差作为风险测度指标,建立基金业绩评价模型。  

Bridging the Gap between Different Statistical Approaches: An Integrated Framework for Modelling

This paper proposes a template for modelling complex datasets that integrates traditional statistical modelling approaches with more recent advances in statistics and modelling through an exploratory framework. Our approach builds on the well-known and long standing traditional idea of 'good practice in statistics' by establishing a comprehensive framework for modelling that focuses on exploration, prediction, interpretation and reliability assessment, a relatively new idea that allows individual assessment of predictions.
The integrated framework we present comprises two stages. The first involves the use of exploratory methods to help visually understand the data and identify a parsimonious set of explanatory variables. The second encompasses a two step modelling process, where the use of non-parametric methods such as decision trees and generalized additive models are promoted to identify important variables and their modelling relationship with the response before a final predictive model is considered. We focus on fitting the predictive model using parametric, non-parametric and Bayesian approaches.
This paper is motivated by a medical problem where interest focuses on developing a risk stratification system for morbidity of 1,710 cardiac patients given a suite of demographic, clinical and preoperative variables. Although the methods we use are applied specifically to this case study, these methods can be applied across any field, irrespective of the type of response.  

On the residual lifelengths of the remaining components in a coherent system

In this note, we consider a coherent system with the property that, upon failure of the system, some of its components remain unfailed in the system. Under this condition, we study the residual lifetime of the live components of the system. Signature based mixture representation of the joint and marginal reliability functions of the live components are obtained. Various stochastic and aging properties of the residual lifetime of such components are investigated. Some characterization results on exponential distributions are also provided.  

刍议我国稀土研究的概况及趋势

本文首先简要介绍稀土的概念、应用及其研究意义,其次通过CNKI对我国近十年来稀土研究文献进行检索和统计,最后得出我国稀土研究层次较高,研究领域重点在工程技术领域,研究机构主要是"211"和"985"工程大学等特点。  

基于CVaR与平均离差波动限制的投资组合模型

提出了一种基于CVaR的投资组合模型,对组合资产收益率不做正态分布假设,用MAD模型作为一个约束条件,实现波动性度量限制,用上凸效用函数作为一个约束条件,表示风险资产交易费用。实验结果表明,该模型满足实际投资要求,符合实际投资规律,与M-V模型和原始CVaR模型相比具有波动性和风险价值最小化的优势。  

用于网络信息组织的分类体系研究

随着信息技术和信息网络的迅速发展,如何对网络信息资源进行科学的组织管理成为一大热点。文章研究了传统文献分类法和网络自编分类法在网络信息资源组织中的应用现状,并探讨了文献分类法用于组织网络信息的局限性。  

数据网格技术在税务发票管理中的应用研究

税务系统发票数据电子信息分散存放在全国各个省市的服务器数据库中,数据量达到了海量数据,而各省市之间税务发票电子信息却相互隔离,在税务系统内部形成了一个个的税务发票电子信息"孤岛",对于跨地区使用的税务发票的大部分脱离了税务机关的监控;海量的发票数据信息没有得到充分的利用;社会公众缺乏统一的税务发票真假辨别平台,数据网格技术的引入给解决这一问题提供了新的解决方案。论文首先对当前阶段国内外税务系统信息化与发票管理的现状作对比,对税务发票实际管理的现状进行了分析,论述了数据网格技术在税务系统发票管理中应用的现实意义。其次,在研究了目前网格技术理论及成果的基础上,提出构建基于Globus和OGSA-DAI的税务发票网格系统(TIG)。最后论文对进行了异构数据库连接进行了模拟测试。  

基于量子三叉树的量子Black-Scholes期权定价

将量子概率引入到期权定价是最近几年一个新的研究趋势,也称为量子金融.为了期权定价更方便,文章建立了量子三叉树模型,同时利用量子概率建立了连续量子Black-Scholes(B-S)模型。实例应用和Matlab期权敏感性分析都验证了量子B-S优于经典B-S,从而为连续期权定价提供量子决策的途径。  

开放式大学物理实验教学的负熵机制

传统大学物理实验教学长期陷入自我封闭的超稳定＂死寂＂平衡状态,各种封闭因素导致实验教学系统呈混乱无序、效益低下的＂熵增＂趋势。大学物理实验教学改革的关键是着力克服长期封闭性的固疾,从各种途径引进知识信息流、人力资源流、物质设备流等消除无序因素的＂负熵＂流,建立起多元开放的＂负熵＂机制,形成能有效实现高校人才培养目标的鲜活有序的教学改革耗散结构状态。  

线性代数双语教学模式实现途径研究

分析了线性代数双语教学的必要性与可行性,探讨了适合我校的教学模式,给出了教学目标和评价方法。