Holistic investment assessment: optimization,risk appraisal and decision making

On deciding for the most appropriate investment when capital restrictions exist, investors define their alternatives and analyze each one of them. Traditionally, the definition, appraisal and analysis stages are treated separately. Herein, an innovative holistic method is proposed for bridging these stages. Within this method, investment attributes definition occurs by genetic algorithm optimization, while the analysis of the investment is realized through simulation. The method also proposes the NPV Expected Shortfall and the NPV Risk Preference Index as investment evaluation criteria. An illustrative case study of two mutually exclusive renewable energy investment scenarios is also used for demonstration purposes. Copyright © 2008 John Wiley & Sons, Ltd.     

区域物流中心选址模型的元胞自动机模拟

元胞自动机是模拟复杂社会经济系统的有效工具。为了进行区域物流中心选址布局的研究,在分析区域物流中心选址影响因素的基础上,引入了区域物流中心选址竞争力概念,提出了元胞自动机模拟的模型假设,并利用MATLAB,进行区域物流中心选址的仿真研究,通过算例完成了模拟仿真,得到了优化结果。     

Simulating fundamental tax reforms in an aging Japan

This paper studies in a quantitative way the macroeconomic and welfare effects of introducing progressive expenditure taxation, in a situation of the aging of the Japanese population. It undertakes a simulation analysis taking account of the general equilibrium effects of intragenerational inequality, which increases with a transition to an aging society. The simulation results suggest that progressive expenditure taxation has advantages over progressive labor income taxation on the grounds of efficiency and equity. Thus, a shift to progressive expenditure taxation can overcome the large welfare loss that would occur under the current tax system as Japan ages.     

基于虚拟实验的教学方法研究

文章基于虚拟实验的思想和方法，探讨了在电工学教学中采用虚拟实验手段的意义和方法，并给出了应用MultiSim2001“电子工作台”实现电工学虚拟实验课堂教学的实例。     

不对称PWM半桥零电压DC/DC变换器的仿真

分析了不对称脉宽调制半桥ZVS DC/DC变换器电路在一个开关周期中的8个工作阶段,通过Or-CAD仿真软件对主电路进行了仿真分析,得出了一些有益的结论.     

基于GloMoSim的移动自组网路由仿真

全球移动信息系统仿真平台（CloMoSim）在移动自组织网络仿真中得到了广泛的应用，尤其是对网络路由以及MAC协议的建模支持。在对自组网路由方式特点及协议设计思路进行分析的基础上．结合典型的自组网路由算法策略，重点介绍了GloMoSim仿真环境的特点及其目前所支持的路由层协议。通过多次仿真验证，分析比较了这些路由协议的相关性能并得出结论。     

A New Control Variate Estimator for an Asian Option

There exist several estimators for valuing the Asian option on the arithmetic mean. Among all variance reduction estimators, the one with the control variate derived from the geometric mean has been shown by Boyle et al. (1997) to perform best so far. In this paper, a new improved control variate estimator for this type of Asian option is proposed and investigated. Simulation results confirm that it does perform better than the control variate derived from the geometric mean. The improvement becomes more significant as the volatility increases and/or as the time to expiration lengthens.     

Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

This paper develops efficient methods for computing portfolio value-at-risk (VAR) when the underlying risk factors have a heavy-tailed distribution. In modeling heavy tails, we focus on multivariate t distributions and some extensions thereof. We develop two methods for VAR calculation that exploit a quadratic approximation to the portfolio loss, such as the delta-gamma approximation. In the first method, we derive the characteristic function of the quadratic approximation and then use numerical transform inversion to approximate the portfolio loss distribution. Because the quadratic approximation may not always yield accurate VAR estimates, we also develop a low variance Monte Carlo method. This method uses the quadratic approximation to guide the selection of an effective importance sampling distribution that samples risk factors so that large losses occur more often. Variance is further reduced by combining the importance sampling with stratified sampling. Numerical results on a variety of test portfolios indicate that large variance reductions are typically obtained. Both methods developed in this paper overcome difficulties associated with VAR calculation with heavy-tailed risk factors. The Monte Carlo method also extends to the problem of estimating the conditional excess, sometimes known as the conditional VAR.     

On testing for symmetry in business cycles

Business cycle forecasting has become an important part of short and medium term economic planning. Such forecasting, however, is often very intricate, as business cycles are not at all periodic, just recurrent. Furthermore, they often include irregular timing and varying amplitudes. When patterns and relationships are very irregular there are no simple reliable business cycle forecasting procedures. In practice there is, somewhere, a limit for business cycle predictability, and it is often worthwhile to examine empirically the various theoretical regularity assumptions. One important regularity issue concerns the business cycle symmetry assumption. The present paper empirically tests the hypothesis of symmetry around business cycle turning points in some economic time series. Two test procedures are applied. One is based on the analysis of transition probabilities between expansion and recession regimes. The second procedure tests symmetry versus asymmetry through skewness statistics. The analysis is based on detrending through the use of linear deterministic trends as well as by Beveridge-Nelson decompositions.