Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type

We study Merton's classical portfolio optimization problem for an investor who can trade in a risk-free bond and a stock. The goal of the investor is to allocate money so that her expected utility from terminal wealth is maximized. The special feature of the problem studied in this paper is the inclusion of stochastic volatility in the dynamics of the risky asset. The model we use is driven by a superposition of non-Gaussian Ornstein-Uhlenbeck processes and it was recently proposed and intensively investigated for real market data by Barndorff-Nielsen and Shephard (2001) . Using the dynamic programming method, explicit trading strategies and expressions for the value function via Feynman-Kac formulas are derived and verified for power utilities. Some numerical examples are also presented.     

上海国际航运中心建设中的系统要求

上海国际航运中心建设和形成的过程。实质上是构筑一个围绕国际航运大系统的过程．该系统由许多相互作用和依赖的子系统纽成，本文从系统工程的观点出发，对各子系统进行分类．并着重对综合运输和物流基础设施、多式联运、航运人文环境和人员素质、信息网络、营销策略等主观子系统进行分析，对航运政策法律体系子系统中的自由港政策、投融资政策、人力资源政策进行探讨，从而对相关子系统提出相应的调整、改善建议和要求．以最终实现整个大系统的协调发展。     

如何把握国有企业党组织党员队伍建设的基本要求

国有企业党组织党员队伍建设得当,能够为企业的发展建设注入更多活力,推动企业朝着更好的方向发展,使得企业上下团结一心,有效地解决企业生产经营活动中所面临的矛盾与纠纷。那么,在当前复杂的经济环境下,国有企业究竟应当如何做好党员队伍建设工作,把握好党员队伍建设的基本要求呢?论文对相关问题进行详细分析和论述。     

Value stream mapping in project management: A case study

This article describes the application of value stream mapping to analyze and redesign the way of managing the materials procurement stage of a project. A framework based on integrated definition (IDEF) methodology, the stream analysis approach, activity‐based costing, and discrete event simulation is presented. The stream analysis approach is used to analyze, diagnose, and manage process changes represented using an IDEF model. A dynamic simulation is used to evaluate the impact of the changes considered, to support the analysis of the process, and to model the performance of the proposed process. The overall methodology is demonstrated by applying it to a company whose core business is the design and construction of offshore oil rigs. The company specializes in engineering, procurement, and construction projects and has an annual portfolio of about six projects. Many of these projects have common features in terms of design and components, and they are all also characterized by a short “time to delivery.” For this reason, this study was aimed at assessing the possible effects that the application of new materials management policies could have on reducing both project completion time and the resources required.     

影响河北消费需求的经济学伦理学分析

我省的消费需求不足、通货紧缩趋势尚未得到有效的遏制。其主要原因是 :相对闭塞的地域特点 ,较低的经济收入水平 ,使省内人民尚未形成高消费和信贷消费的观念 ;消费群体的变化及对未来收入和消费预期的不确定 ;过时的限制消费政策 ;产品的质量低下和价格偏高 ;艰苦朴素的传统的消费观念     

Banks’ procyclical behavior: Does provisioning matter?

A panel of 186 European banks is used for the period 1992–2004 to determine if banking behaviors, induced by the capital adequacy constraint and the provisioning system, amplify credit fluctuations. We find that poorly capitalized banks are constrained to expand credit. We also find that loan loss provisions (LLP) made in order to cover expected future loan losses (non-discretionary LLP) amplify credit fluctuations. By contrast, LLP used for management objectives (discretionary LLP) do not affect credit fluctuations. The findings of our research are consistent with the call for the implementation of a dynamic provisioning system in Europe.     

论教师的道德修养

详细地描述了教师道德修养的内涵以及新时期对教师道德修养的要求。教师道德修养的高低直接关系到教育教学质量的好坏。     

钳形接地电阻仪及其检定

介绍了钳形接地电阻仪测量的基本概念和原理,阐述了笔者对JJG1054-2009《钳形接地电阻仪检定规程》的初步认识以及如何根据规程开展钳形接地电阻仪检定工作。     

军品采购系统需求响应机制研究

针对未来战争对军品需求出现的新特点,从军品采购系统的敏捷响应能力、军品的敏捷制造能力、军品生产的可动员资源以及军品采购模式等几个方面,对军品采购系统需求响应机制进行了探讨,为军品采购工作响应能力的提高提供一定的参考。     

标准化的8D方法及应用实践

文章就8D方法的发展过程、固有特征和实际应用做了介绍,并对问题解决的具体步骤和注意要点进行了描述和探讨;指出了8D方法的有效性和可持续发展的前景。