油水井套变地层岩石力学参数反演分析

以套管变形测井资料为基础,利用APDL编制有限元优化模块反演套变围岩力学参数,即可确定套变地层缺失的力学参数,又克服目前套管变形分析多是基于弹性模型,不能进行塑性变形分析的问题。同时在岩石力学参数反演程序中引入莫尔―库伦破坏准则,确定岩层内摩擦角与黏聚力、最大水平主应力和最小水平主应力之间的关系,使反演解具有唯一性。该方法为套变围岩岩石力学参数的确定提供了新方法,并较传统反演方法更为简捷高效。     

股指期货套利与现货组合模型的构建

股指期货作为我国首推的一款金融衍生产品,具有回避股市系统风险和增强市场流动性等重要功能,它的推出对广大机构投资者而言意义重大。本文重点探讨股指期货期现套利的投资策略,并在考虑交易成本的前提下,给出了更为接近现实的区间定价模型和复制指数的投资组合模型。     

Differentiation Among US Colleges and Universities

Colleges and universities in the US differ markedly in their access to economic resources. National data are used here to describe the resulting hierarchy that's reflected in schools' spending on their students, the prices those students pay, and the subsidies they get in consequence. Both historical data and projections based on recent institutional saving suggest that economic disparities among institutions and their students are increasing. In a final section, the paper asks what to make of this: what we can say about the right degree of institutional disparity – whether we have too much, too little, or about the right amount of differentiation.     

Alliance portfolio diversity and firm performance

In this paper, we offer a comprehensive alliance portfolio diversity construct that includes partner, functional, and governance diversity. Grounding our work primarily with the resource‐ and dynamic capabilities‐based views, we argue that increased diversity in partners' industry, organizational, and national background will incur added complexity and coordination costs but will provide broadened resource and learning benefits. Increased functional diversity results in a more balanced portfolio of exploration and exploitation activities that expands the firm's knowledge base while increased governance diversity inhibits learning and routine building. Hypotheses were tested with alliance portfolio and performance data for 138 multinational firms in the global automobile industry during the twenty‐year period from 1985 to 2005. We found alliance portfolios with greater organizational and functional diversity and lower governance diversity were related to higher firm performance while industry diversity had a U‐shaped relationship with firm performance. We suggest firms manage their alliances with a portfolio perspective, seeking to maximize resource and learning benefits by collaborating with a variety of organizations in various value chain activities while minimizing managerial costs through a focused set of governance structures. Copyright © 2010 John Wiley & Sons, Ltd.     

主房公积金沉淀资金存款收益优化研究

在我国住房公积金制度的发展与普及过程中,沉淀资金投资收益低下的问题目益明显。基于某市近年来住房公积金沉淀资金投资银行存款的数据,利用基于持续期的多目标规划模型,分析了沉淀资金存款收益与风险的变化关系,提出了提高沉淀资金收益的存款优化方案。结果表明,优化方案可在当前风险条件下使收益率提高0．213个百分点,或在风险调整的条件下使收益率提高0．518个百分占、。相关结论可为改进住房公积金沉淀资金银行存款管理策略提供支撬提高公积金沉淀资金的存款收益。     

基于真实收益率的中国外汇储备最优币种结构分析

本文利用Markowitz提出的资产组合理论(Markowitz,1952),结合中国外汇储备结构的具体情况,根据经济实力、币值稳定性和交易匹配三大原则,摒弃含有诸多弊端的、单纯以美元计价的外汇储备收益率,改为采用以商品篮子衡量的外汇储备真实收益率作为期望收益率,利用二次规划工具求出了以4种外汇储备最优资产组合的风险有效前沿,测算出我国外汇储备最优币种结构,并给出相应建议,以期实现外汇储备保值增值的目标。     

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

We extend the recently introduced latent threshold dynamic models to include dependencies among the dynamic latent factors which underlie multivariate volatility. With an ability to induce time-varying sparsity in factor loadings, these models now also allow time-varying correlations among factors, which may be exploited in order to improve volatility forecasts. We couple multi-period, out-of-sample forecasting with portfolio analysis using standard and novel benchmark neutral portfolios. Detailed studies of stock index and FX time series include: multi-period, out-of-sample forecasting, statistical model comparisons, and portfolio performance testing using raw returns, risk-adjusted returns and portfolio volatility. We find uniform improvements on all measures relative to standard dynamic factor models. This is due to the parsimony of latent threshold models and their ability to exploit between-factor correlations so as to improve the characterization and prediction of volatility. These advances will be of interest to financial analysts, investors and practitioners, as well as to modeling researchers.     

Structure of the optimal income tax in the quasi-linear model

Existing numerical characterizations of the optimal income tax have been based on a limited number of model specifications. As a result, they do not reveal which properties are general. We determine the optimal tax in the quasi-linear model under weaker assumptions than have previously been used; in particular, we remove the assumption of a lower bound on the utility of zero consumption and the need to permit negative labor incomes. A Monte Carlo analysis is then conducted in which economies are selected at random and the optimal tax function constructed. The results show that in a significant proportion of economies the marginal tax rate rises at low skills and falls at high. The average tax rate is equally likely to rise or fall with skill at low skill levels, rises in the majority of cases in the centre of the skill range, and falls at high skills. These results are consistent across all the specifications we test. We then extend the analysis to show that these results also hold for Cobb-Douglas utility.     

Discussion and Analysis about Duration Method Based on Marginal Analysis

The selective principle of mutually exclusive project is the maximum of net present value, It is difficult to make decision when NPVA is equal to NPVLB. Some assistant analyses are put forward in ＂Enterprise Investment Decision Management＂. The scientific marginal analysis shows that the assistant analyses including the duration analysis are wrong. This problem can be solved by the classical marginal analysis.