Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

Given an investor maximizing utility from terminal wealth with respect to a power utility function, we present a verification result for portfolio problems with stochastic volatility. Applying this result, we solve the portfolio problem for Heston's stochastic volatility model. We find that only under a specific condition on the model parameters does the problem possess a unique solution leading to a partial equilibrium. Finally, it is demonstrated that the results critically hinge upon the specification of the market price of risk. We conclude that, in applications, one has to be very careful when exogenously specifying the form of the market price of risk.     

Term frequency – function of document frequency: a new term weighting scheme for enterprise information retrieval

In today's business environment, enterprises are increasingly under pressure to process the vast amount of data produced everyday within enterprises. One method is to focus on the business intelligence (BI) applications and increasing the commercial added-value through such business analytics activities. Term weighting scheme, which has been used to convert the documents as vectors in the term space, is a vital task in enterprise Information Retrieval (IR), text categorisation, text analytics, etc. When determining term weight in a document, the traditional TF-IDF scheme sets weight value for the term considering only its occurrence frequency within the document and in the entire set of documents, which leads to some meaningful terms that cannot get the appropriate weight. In this article, we propose a new term weighting scheme called Term Frequency – Function of Document Frequency (TF-FDF) to address this issue. Instead of using monotonically decreasing function such as Inverse Document Frequency, FDF presents a convex function that dynamically adjusts weights according to the significance of the words in a document set. This function can be manually tuned based on the distribution of the most meaningful words which semantically represent the document set. Our experiments show that the TF-FDF can achieve higher value of Normalised Discounted Cumulative Gain in IR than that of TF-IDF and its variants, and improving the accuracy of relevance ranking of the IR results.     

Instant‐count sampling: A technique for estimating recreation use in municipal settings

Instant‐count sampling was tested on four municipal recreation areas in Athens, Georgia. Users were counted instantaneously on the areas at randomly selected times. From these counts, estimates of use and standard errors were achieved with a minimum of sampling time required. Errors ranged from 10.2 to 37.8 percent of estimated use and did not exceed 23.6 percent for total use.     

抽样定理的System View仿真与实现

通过分析SystemView仿真软件的优势及主要的功能模块库和应用领域,重点通过通信系统中的抽样定理实例介绍了该软件的使用方法及注意事项。最后,总结该软件的教学应用效果及对相关课程教学的借鉴作用,特别适合通信系统的仿真与设计。     

Optimal foreign debt for Egypt: A stochastic control approach

This study assesses the foreign debt policy in Egypt and contrasts it versus the optimal policy during the period 1985–2008. It also presents a forecast of the optimal debt during the period 2009–2014. The optimal debt policy was derived using an open economy model for Egypt. The uncertainties in the model stem from the uncertainties in the interest or debt service payments and the uncertainties in the rate of return on investments. The stochastic control approach was used to find the optimal debt policy. It was found that Egypt could borrow externally as long as the trend in the rate of return on investments exceeds the trend in the real interest rate or the trend in the rate of the debt service payments. The analysis finds that Egypt's foreign debt was higher than the optimal level before 1997. After 1997, foreign debt seems to converge to the optimal level. However, Egypt's foreign debt is still below its optimal level which results in an opportunity cost for the economy to grow, otherwise, GDP could have recorded a favorable increase.     

Energy balance climate models and general equilibrium optimal mitigation policies

In a general equilibrium model of the world economy, we develop a two-dimensional energy balance climate model featuring heat diffusion and anthropogenic forcing driven by global fossil fuel use across the sphere of the Earth. This introduces an endogenous location dependent temperature function, driving spatial characteristics, in terms of location dependent damages resulting from local temperature anomalies into the standard climate-economy framework. We solve the social planner's problem and characterize the competitive equilibrium for two polar cases differentiated by the degree of market integration. We define optimal taxes on fossil fuel use and how they may implement the planning solution. Our results suggest that if the implementation of international transfers across latitudes is not possible then optimal taxes are in general spatially non-homogeneous and may be lower at poorer latitudes. The degree of spatial differentiation of optimal taxes depends on heat transportation. By employing the properties of the spatial model, we show by numerical simulations how the impact of thermal transport across latitudes on welfare can be studied.     

能源自动检测系统的设计

本文介绍一种高精度、多功能、智能化能源检测系统,可对各种液体、蒸汽的温度、压力、流量以及电力负荷等参数进行巡检,越限报警和自动打印(共118个测试点)。该系统适合于在大、中型企业中推广应用。     

基于SMS霓虹灯的监控系统

鉴于GSM/SMS网络的技术已比较成熟,又有开发方便、费用低廉、可靠性高、覆盖范围较广等诸多优点,本文研究了通过监测霓虹灯工作电流参数,利用GSM/SMS短信息服务,实现对霓虹灯远程报警和控制操作。该系统以AT89S52单片机为核心,使用MAX274、MAX125和TC35来构成整个系统。文章详细阐述了系统的结构、工作原理、软件设计和研制体会。该系统经实践验证,实时性强、可靠性高。     

A comment on the role of prices for excludable public goods

Blomquist and Christensen [(2005). The role of prices for excludable public goods, International Tax and Public Finance, 12 ,61–79] argue that welfare is initially decreasing in the price of an excludable public good and that the case for a positive price for an excludable public good price is weak. We argue that this result follows from their particular characterization of the public good and that an alternative and equally reasonable characterization overturns their result. Hence, the policy case for a positive price on the public good is stronger than Blomquist and Christiansen suggest. JEL Classification H21 · H41     

An Analysis of the Out-of-Market Gap for DVDs in the U.S.

We examine the out-of-market gap – the time between the end of a film’s theatrical run and its release on DVD – for a sample of U.S. films during 1988-2005. The average gap declined from 58.14 days in 1998 to 27.93 days in 2005; by 2005, 39% of the films were released on DVD prior to leaving the theaters. Probit and hazard models are estimated to explore the factors that influence a distributor’s decision to release a film on DVD before it exits the theaters, and the timing of the release for films that appear on DVD after they leave the theaters.