Stochastic regularization for the mean-variance allocation scheme

Despite being based on sound principles, the original Markovitz portfolio allocation theory cannot produce sound allocations, and restrictions or modifications need to be imposed from outside the theory in order to obtain meaningful portfolios. This is unsatisfactory, and the reasons for this failure are discussed, in particular, the unavoidable small eigenvalues of the covariance. Within the original principles of risk minimization and return maximization, several modifications of the original theory are introduced. First, the strategic and tactical time horizons are separated. A base long-term allocation is chosen at the strategic time horizon, while the portfolio is optimized at the tactical time horizon using information from the price histories. Second, the tactical portfolio is financed by the strategic one, and a funding operator is introduced. The corresponding optimal allocation (without constraints) has one free parameter fixing the leverage. Third, the transaction costs are taken into account. This includes the current re-allocation cost, but crucially the expected costs of the next reallocation. This last term depends on the sensitivity of the allocation with respect to the covariance, and the expectation introduces another dependency on the (inverse) covariance. The new term regularizes the original minimization problem by modifying the lower part of the spectrum of the covariance, leading to meaningful portfolios. Without constraints, the final Lagrangian can be minimized analytically, with a solution that has a structure similar to the original Markovitz solution, but with the inverse covariance regularized by the expected transaction costs.     

基于Petri网的冷链配送流程仿真优化研究

应用Petri网理论．对冷链配送流程进行优化研究。根据某企业目前的配送流程,利用Petri网理论进行建模。之后运用ExSpect软件对模型进行了仿真。得到仿真结果后,对结果进行分析,并基于效率提高和流程重构两种优化措施对流程进行改进。最后．再次利用软件对改进后的流程进行仿真,说明改进措施的有效性,并增加了随机性仿真,加强仿真结果的可信度。     

网购平台信用评价体系系统研究

近年以来,网络购物取得了爆发式增长,给人民带来便利的同时,网络诚信问题也随之凸显。网购平台的信用评价系统是解决网络诚信问题的重要工具。本文以国内最大网购平台淘宝为例,系统研究了淘宝信用评价系统的优劣,存在的问题及原因,并就如何优化淘宝的信用评价系统给出了相关建议。     

库存——运输联合优化问题简介

对现代物流系统优化中一个较新的、且具有巨大理论和实践意义的研究领域--库存/运输联合优化问题进行了介绍,着重分析了此类问题的性质和已有研究中存在的不足,并指出了潜在的研究方向。     

浅谈建筑方案设计阶段的造价控制

在项目作出决策后,控制工程造价的关键就在于设计阶段,而设计阶段中的方案设计阶段又尤为重要。从设计方案的技术经济分析和方案的总体评价优选这两个方面出发,阐述了如何在方案设计阶段有效地控制工程造价。     

基于双层规划模型的冷链物流网络多目标优化

针对冷链物流时效性强这一特性,应用软时间窗反映客户满意度,并结合T.T.T理论换算货损成本。在考虑满足客户时间窗的条件下,寻找配送中心建设及操作成本、车辆成本、惩罚成本及货损成本所构成的总成本最小时的最优配送方案,建立冷链物流配送选址及路径优化的双层规划模型,并将改进的遗传算法运用到该模型中,借助Matlab软件对具体实例进行求解,得到最优结果,为冷链物流网络多目标优化问题提供理论依据。     

麦洛维水电站工程粘土心墙坝的设计优化与工期延长

通过浅谈粘土心墙坝设计优化的原因和优化项目,从施工工艺和施工进度上分析优化对施工的影响以及对麦洛维水电站二期导流程序的影响。     

The European refugee crisis and the natural rate of output

The European Commission follows a harmonized approach for calculating structural (potential) output for EU member states that takes into account labour as an important ingredient. This article shows how the recent huge migrants’ inflow to Europe affects trend output. Due to the fact that the immigrants immediately increase the working population but effectively do not enter the labour market, we illustrate that the potential output is potentially upward biased without any corrections. Taking Germany as an example, we find that the average medium-term potential growth rate is lower if the migration flow is modelled adequately compared to results based on the unadjusted European Commission procedure.     

TFP growth in Chinese cities: The role of factor-intensity and industrial agglomeration

This article estimates agglomeration effects via calculating EG (Elilsion & Glaeser) and TFP growth (Total Factor Production) by considering the undesired output of the industrial enterprise database and the entropy weight method. Using panel data of 207 county-level cities in China and 28 two-digit manufacturing industries from 2003 to 2013 based on SIC codes, this paper analyzes the relationship between agglomeration and TFP growth through the smooth transition model under different regions and factor-intensity. The results are as follows. (1) A negative relationship appears in manufacturing productivity. The agglomeration effect changes to the crowded effect. Environmental pollution is also generated by transportation and inadequate pollution treatment technology. (2) The excessive agglomeration phenomenon of developed areas (eastern region) is less than the less developed areas (central and western regions). (3) Resource-intensity industries present two thresholds that indicate complex regional features. For various intensive industries in different regions, the relationship between GML and agglomeration is different. High agglomeration does not always promote TFP growth. (4) At different levels of urban industrial agglomeration, the influences of efficiency change and technical change on GML are different. Overall, moderate agglomeration in all regions helps promote economic development.     

建设项目设计阶段的投资控制

针对近年来国内建设项目普遍存在“三超”现象，分析了造成严重投资失控问题的主要原因，指出在设计阶段进行投资控制对于全面控制建设项目总投资的重要性。研究了如何运用价值工程、推行优化设计、限额设计和标准设计等方法，达到在设计阶段有效地控制投资的目的。