Change-point detection for expected shortfall in time series

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the Wild Binary Segmentation (WBS) algorithm in Fryzlewicz (2014), this paper proposes a variant WBS procedure to detect and estimate change points of ES in time series. The strengthened Schwarz information criterion is also introduced to determine the number of change points. Monte Carlo simulation studies are conducted to assess the finite-sample performance of our variant WBS procedure about ES in time series. An empirical application is given to illustrate the usefulness of our procedure.     

Another view on optimal design for estimating the point of extremum in quadratic regression

In this paper we illustrate how certain design problems can be simplified by reparametrization of the response function. This alternative viewpoint provides further insights than the more traditional approaches, like minimax, Bayesian or sequential techniques. It will also improve a practitioner’s understanding of more general situations and their “classical” treatment.     

随机存货决策中的安全库存研究

在有短缺成本下 ,讨论了再定购点的确定 ,着重分析了安全库存的一种简易计算。     

全国土壤污染状况调查中采样点定位方法初探

探讨了通过互联网利用Google Earth以及中文地图网页对全国土壤污染状况调查中的采样点进行定位的方法,阐述了必要的操作步骤及应用技巧,指出了这种方法的不足,提出应用此方法可大大提高土壤样品采集的工作效率。     

Designs for estimating an extremal point of quadratic regression models in a hyperball

This paper is devoted to studying optimal designs for estimating an extremal point of a multivariate quadratic regression model in the unit hyperball. The problem of estimating an extremal point is reduced to that of estimating certain parameters of a corresponding nonlinear (in parameters) regression model. For this reduced problem truncated locally D-optimal designs are found in an explicit form. The result is a generalization of the results of Fedorov and Müller (1997) for onedimensional quadratic regression function in the unit segment. Received February 2002     

论检验直接成本和间接成本的平衡及平衡点的经济意义

分析了工业企业外购物品检验成本的两个组成部分:检验过程直接投入的要素成本和检验结果失准诱发的问接成本,并分析论证了二者的习性、平衡条件以及平衡点的计算方法及应用。     

VMI模式下最优订货点的仿真研究

通过VMI模式下订货流程的模拟,根据客户订货前置期的历史统计数据或分布函数,利用Arena软件求解配送中心最优订货点。研究表明,仿真分析能获得比常规数学方法更科学合理的最优订货点。     

新农村建设需要重点解决好的几个问题

建设社会主义新农村既是我国在新时期作出的一项伟大的战略部署,又是我国在加快推进社会主义经济建设和社会和谐发展中所面临的一项艰巨的历史任务.加快社会主义新农村建设,必须选准切入点,抓住关节点,稳步推进,力求实效.     

折旧方法对盈亏平衡点的影响分析

分析了折旧方法对静态盈亏平衡点及动态盈亏平衡点的影响，结果表明，不同的折旧方法对盈亏平衡点的影响很大。     

财务理论体系构架的评述

构建财务理论体系应遵循系统完整、逻辑一贯、兼容并包、科学实用、动态稳定等原则.理财环境是财务理论体系赖以推理论证的最本源的抽象范畴,是构建财务理论体系的逻辑起点.财务理论体系由起点理论、基础理论、目标理论、运行理论四个层次组成,它们相互联系,互为铺垫,循序推进财务理论研究向实践方向发展.