Change-point detection for expected shortfall in time series

Expected shortfall (ES) is a popular risk measure and plays an important role in risk and portfolio management. Recently, change-point detection of risk measures has been attracting much attention in finance. Based on the self-normalized CUSUM statistic in Fan, Glynn and Pelger (2018) and the Wild Binary Segmentation (WBS) algorithm in Fryzlewicz (2014), this paper proposes a variant WBS procedure to detect and estimate change points of ES in time series. The strengthened Schwarz information criterion is also introduced to determine the number of change points. Monte Carlo simulation studies are conducted to assess the finite-sample performance of our variant WBS procedure about ES in time series. An empirical application is given to illustrate the usefulness of our procedure.     

Another view on optimal design for estimating the point of extremum in quadratic regression

In this paper we illustrate how certain design problems can be simplified by reparametrization of the response function. This alternative viewpoint provides further insights than the more traditional approaches, like minimax, Bayesian or sequential techniques. It will also improve a practitioner’s understanding of more general situations and their “classical” treatment.     

随机存货决策中的安全库存研究

在有短缺成本下 ,讨论了再定购点的确定 ,着重分析了安全库存的一种简易计算。     

Designs for estimating an extremal point of quadratic regression models in a hyperball

This paper is devoted to studying optimal designs for estimating an extremal point of a multivariate quadratic regression model in the unit hyperball. The problem of estimating an extremal point is reduced to that of estimating certain parameters of a corresponding nonlinear (in parameters) regression model. For this reduced problem truncated locally D-optimal designs are found in an explicit form. The result is a generalization of the results of Fedorov and Müller (1997) for onedimensional quadratic regression function in the unit segment. Received February 2002     

论检验直接成本和间接成本的平衡及平衡点的经济意义

分析了工业企业外购物品检验成本的两个组成部分:检验过程直接投入的要素成本和检验结果失准诱发的问接成本,并分析论证了二者的习性、平衡条件以及平衡点的计算方法及应用。     

预防性方法在危险品物流管理中的应用

针对危险品物流管理中对安全性的要求,借鉴食品物流管理中对食品安全的预防性管理思想,提出了对危险品物流的采购、运输和仓储等环节采取预防性管理的方法,并对危险品物流管理中采取预防性方法时应注意的几个方面的问题进行了分析.     

我国危险品物流管理对策研究

通过对我国危险品物流的现状分析,指出了加强危险品物流管理的必要性,并阐述了加强危险品物流管理的意义。在对国外危险品物流管理方法进行总结的基础上,分析了我国政府和危险品物流企业在危险品物流管理中的作用和相互关系,并提出了加强危险品物流管理的一些具体对策和措施。     

VMI模式下最优订货点的仿真研究

通过VMI模式下订货流程的模拟,根据客户订货前置期的历史统计数据或分布函数,利用Arena软件求解配送中心最优订货点。研究表明,仿真分析能获得比常规数学方法更科学合理的最优订货点。     

新农村建设需要重点解决好的几个问题

建设社会主义新农村既是我国在新时期作出的一项伟大的战略部署,又是我国在加快推进社会主义经济建设和社会和谐发展中所面临的一项艰巨的历史任务.加快社会主义新农村建设,必须选准切入点,抓住关节点,稳步推进,力求实效.     

折旧方法对盈亏平衡点的影响分析

分析了折旧方法对静态盈亏平衡点及动态盈亏平衡点的影响，结果表明，不同的折旧方法对盈亏平衡点的影响很大。