Risks and Portfolio Decisions Involving Hedge Funds

This article characterizes the systematic risk exposures ofhedge funds using buy-and-hold and option-based strategies.Our results show that a large number of equity-oriented hedgefund strategies exhibit payoffs resembling a short positionin a put option on the market index and therefore bear significantleft-tail risk, risk that is ignored by the commonly used mean-varianceframework. Using a mean-conditional value-at-risk framework,we demonstrate the extent to which the mean-variance frameworkunderestimates the tail risk. Finally, working with the systematicrisk exposures of hedge funds, we show that their recent performanceappears significantly better than their long-run performance.     

Fluidised pellet bed bioreactor: a promising technology for onsite wastewater treatment and reuse.

A pilot-scale fluidised pellet bed (FPB) bioreactor, which combines chemical coagulation, biological degradation, particle pelletisation and separation in one unit, was applied for onsite wastewater treatment and reuse. As a result of rational use of inorganic coagulant and organic polymer and moderate mechanical agitation, spherical particles were generated in the upflow column and a well-fluidised bed was formed. With a continuous supply of dissolved oxygen through a recycling loop, an aerobic condition was kept in the bottom section of the FPB column. Under such conditions the pellets in the FPB column showed the following characteristics: (1) compact structure and high density; (2) rich in microorganisms; and (3) high MLSS and MLVSS concentrations. Therefore, the FPB bioreactor achieved more than 90% removal of SS, COD, BOD and TP from raw domestic wastewater within a total hydraulic retention time (HRT) of only about 30 minutes. It also showed nitrification and denitrification ability and the TN removal could be about 50% as the recycling ratio was increased to 1:1. The treated water quality is generally competitive with the secondary effluent from a conventional activated sludge process. With these advantages the FPB bioreactor is recommendable as a compact system for onsite wastewater treatment and reuse.     

An Integrative Framework for Measuring the Extent to which Organizational Variables Influence the Success of Process Improvement Programmes

abstract    Studies on the three types of process improvement programmes (Continuous Improvement, Reengineering and Benchmarking) have appeared many times in the literature. These studies suggest that certain organizational variables act as enablers and their presence or absence can significantly influence success rates. Such studies have tended to examine companies where a single programme has been implemented. In contrast, this paper examines a sample of companies who have experienced all three programmes. Our aim is to compare and contrast each programme's impact on firm performance and identify which organizational variables are common and which are programme-specific enablers of success. We build and test an integrative framework to support our analysis. Our study found that: (1) Reengineering delivered the greatest impact on performance; (2) executive commitment was needed to make this happen; (3) strategic alignment was the major influence on the success rate of Reengineering and Continuous Improvement programmes; and (4) employee empowerment was necessary for each programme to work effectively.     

Pseudo empirical likelihood method in the presence of missing data

In this paper, we propose an estimator for the population mean when some observations on the study and auxiliary variables are missing from the sample. The proposed estimator is valid for any unequal probability sampling design, and is based upon the pseudo empirical likelihood method. The proposed estimator is compared with other estimators in a simulation study.     

Modeling of Water Resources Allocation and Water Quality Management for Supporting Regional Sustainability under Uncertainty in an Arid Region

In this study, a scenario-based interval-stochastic fraticle optimization with Laplace criterion (SISFL) method is developed for sustainable water resources allocation and water quality management (WAQM) under multiple uncertainties. SISFL can tackle uncertainties presented as interval parameters and probability distributions; meanwhile, it can also quantify artificial fuzziness such as risk-averse attitude in a decision-making issue. Besides, it can reflect random scenario occurrence under the supposition of no data available. The developed method is applied to a real case of water resources allocation and water quality management in the Kaidu-kongque River Basin, where encounter serve water deficit and water quality degradation simultaneously in Northwest China. Results of water allocation pattern, pollution mitigation scheme, and system benefit under various scenarios are analyzed. The tradeoff between economic activity and water-environment protection with interval necessity levels and Laplace criterions can support policymakers generating an effective and robust manner associated with risk control for WAQM under multiple uncertainties. These discoveries avail local policymakers gain insight into the capacity planning of water-environment to satisfy the basin’s integrity of socio-economic development and eco-environmental sustainability.     

Simulation of Nonstationary Spring Discharge Using Time Series Models

We present a detailed analysis and comparison of two time series models, i.e., ARIMA and ARIMA-GARCH, to simulate the discharge of a karst spring (Niangziguan Springs (NS) complex) in the northern China. Statistical tests for the residuals are applied to examine the reasonability of the models. Statistically, both models are reasonably good to simulate the mean value of the discharge of the NS complex. The statistical test shows that the residual discharge data have conditional time-varying variance and volatility clustering, known as heteroscedasticity of the data. Calibration test shows that the ARIMA-GARCH model gives a varying confidence interval, which can more effectively capture the heteroscedasticity of the data, comparing with a constant confidence interval in the ARIMA model. In the validation and application process, we applied two approaches to simulate the discharge data: (1) fixed models, and (2) evolving models. The confidence interval width monotonically increases in both fixed models, and the fixed ARIMA-GARCH model has faster increasing confidence interval width than the fixed ARIMA model. This suggests that the fixed time series models are only suitable for short-term prediction. However, we found that this drawback can be compensated by updating the model once new data become available. Our evolving models show more reasonable confidence interval width for both models. In addition, the application shows that the ARIMA-GARCH model is very sensitive to the data fluctuation. We also found the evolving ARIMA-GARCH model was able to return to the narrow confidence interval width once the fluctuation diminished. Hence, we conclude that the ARIMA-GARCH model is more suitable for the sequences with strong heteroscedasticity.     

粤港澳大湾区水安全协同调控理论框架研究

针对粤港澳大湾区水问题多维交织特性,基于流域系统整体观梳理总结了技术上可控、逻辑上关联的5个水安全调控子系统结构,包括：河势调控子系统、内河水环境水生态调控子系统、外江咸潮调控子系统、城市暴雨洪涝调控子系统、外江洪潮调控子系统。探讨了各子系统关键机理、系统间的协同作用原理、协同调控的关键技术需求及协同调控模型算法架构,构建了大湾区水安全协同调控理论框架,以珠江河口为例开展了粤港澳大湾区水安全协同调控理论的应用,为大湾区水问题系统治理提出了新的解决方案。     

Results of Combined Cleaning of the Internal Heating Surfaces of High-Pressure Heaters

The technology, flow diagram, and results of combined cleaning of deposits from the internal heating surfaces (tubes) of high-pressure heaters are describe     

An application of the extended cross impact method to generating scenarios of social change in Japan

Scenarios of Japanese society in 2000 are obtained by applying an extended correlational cross impact analysis. Since the scope of the scenarios is extensive, a procedure is developed to generate the scenarios that consists of a preprocessing of the events of interest and a step-by-step application of a cross impact method. Three scenarios are described, based on a workshop where the procedure was applied.