VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

In this paper, we generalize the Linear VaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a mixture of multivariate t-distributions. This is a part of J. SADEFO-KAMDEM PhD Thesis[12] of the Université de Reims, France . It has been presented at the workshop on modelling and computation in Financial Engineering at Bad Herrenalb, Germany May 6-8, 2003. The author is an associate professor at the Department of mathematics, université d’Evry Val d’Essonne.     

Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance

This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump–diffusion stochastic delay differential equation. Two sufficient maximum principles and one necessary maximum principle are established for the underlying system. As an application, a bicriteria mean–variance portfolio selection problem with delay is studied to demonstrate the effectiveness and potential of the proposed techniques. Under certain conditions, explicit expressions are provided for the efficient portfolio and the efficient frontier, which are as elegant as those in the classical mean–variance problem without delays.     

电袋复合除尘器清灰系统的优化组合

目前，关于电袋复合除尘器清灰系统优化组合的研究很少，而清灰系统是其核心和关键，因此清灰系统的设计对除尘器来说十分重要。本文提出了电袋复合除尘器的清灰系统所面临的问题，并给出了解决方案，从而得出了清灰系统的优化组合。     

多目标投资组合模型的理想点解法

对多目标证券组合投资模型进行了研究,该模型用于解决多目标线性优化问题,模型以绝对偏差和代替方差、以换手率刻画流动性。研究考虑到了投资者的效用函数,采用理想点法对模型进行了求解,便于实际操作;通过实例分析了该模型的应用价值。     

部分信息下的最优投资选择模型研究

在部分信息下研究了均值方差投资选择模型.投资者只能观察到风险资产的价格,漂移过程用一个高斯过程来刻画.本文的目的是使最终财富期望最大化,而使得最终财富的方差最小.本文模型中有一个债券及股票资产,在部分信息下推导出了最优策略及均值方差有效前沿.     

在不完全观察的漂移过程中达到一个目标的最大化概率

对一个具有原始财产X0（〈1）的投资者,当股市的涨落没有被直接观察,而仅仅是用计算的方法建立平均返回扩散模型时,他为了实现一个目标XT=1,如何达到最大的概率？在采用鞅方法的同时,以一个推广的Cameron—Martin公式就能如财富过程一样直接计算价值过程,从而采用Martin公式,可以确定动态的最优配制。     

基于威胁的信息系统安全技术选择策略研究

利用博弈论研究了基于信息系统安全威胁类型的安全技术选择与资源优化配置问题,同时考虑了具体威胁类型、信息系统安全技术特征、成本与组合效率等因素,指出了组织在信息系统安全管理时所选择的安全技术首先应当能够处理或弱化其所面临的大部分威胁,即以威胁为安全技术选择的基础,并且组织为了实现对有限资源的优化配置,应根据各种威胁导致的期望损失来确定相应的安全技术选择概率。模型将安全技术对不同威胁的检测率与误检率加以区分,较一种安全技术对所有威胁只有一个笼统的检测率和误检率更具实际意义。     

Longitudinal test of ePortfolio continuous use: an empirical study on the change of students’ beliefs

The electronic portfolio (ePortfolio) is learner-centred, and its effectiveness depends on the learners’ long-term use. Thus, it is proper to conduct the study from the learners’ perspectives. Currently, most research on the use of the ePortfolio is in the form of cross-sectional studies, and it is difficult to find the reasons for the changes in students’ beliefs with regard to the long-term use of the ePortfolio. Based on the longitudinal test, this study explained the students’ continuous use of ePortfolio and the changes in their beliefs. With 122 samplers in the adoption–continuous stage (t ₁–t ₂) and 117 samplers in the continuous stage (t ₂–t ₃), this study demonstrates that in continuous use stage (t ₂–t ₃), perceived ease of use still influences the users’ perceived usefulness (PU) and attitude towards the ePortfolio. Attribution significantly moderates the users’ beliefs from the adoption stage (t ₁) to the continuous use stage (t ₂). However, the moderating effect of attribution in the continuous use stage (t ₂–t ₃) is insignificant; satisfaction and attribution are the key factors driving the users’ continuous intention towards the ePortfolio rather than PU and attitude. Meanwhile, satisfaction and attribution will change because of the users’ expectation disconfirmation, and it will influence the users to continue using ePortfolio.     

Quantifying requirements volatility effects

In an organization operating in the bancassurance sector we identified a low-risk IT subportfolio of 84 IT projects comprising together 16,500 function points, each project varying in size and duration, for which we were able to quantify its requirements volatility. This representative portfolio stems from a much larger portfolio of IT projects. We calculated the volatility from the function point countings that were available to us. These figures were aggregated into a requirements volatility benchmark. We found that maximum requirements volatility rates depend on size and duration, which refutes currently known industrial averages. For instance, a monthly growth rate of 5% is considered a critical failure factor, but in our low-risk portfolio we found more than 21% of successful projects with a volatility larger than 5%. We proposed a mathematical model taking size and duration into account that provides a maximum healthy volatility rate that is more in line with the reality of low-risk IT portfolios. Based on the model, we proposed a tolerance factor expressing the maximal volatility tolerance for a project or portfolio. For a low-risk portfolio its empirically found tolerance is apparently acceptable, and values exceeding this tolerance are used to trigger IT decision makers. We derived two volatility ratios from this model, the π-ratio and the ρ-ratio. These ratios express how close the volatility of a project has approached the danger zone when requirements volatility reaches a critical failure rate. The volatility data of a governmental IT portfolio were juxtaposed to our bancassurance benchmark, immediately exposing a problematic project, which was corroborated by its actual failure. When function points are less common, e.g. in the embedded industry, we used daily source code size measures and illustrated how to govern the volatility of a software product line of a hardware manufacturer. With the three real-world portfolios we illustrated that our results serve the purpose of an early warning system for projects that are bound to fail due to excessive volatility. Moreover, we developed essential requirements volatility metrics that belong on an IT governance dashboard and presented such a volatility dashboard.     

基于QoS的P2P网络服务及流媒体传输

现有的P2P网络服务缺乏服务质量保证,很难应用于商业领域。将服务质量属性引入P2P网络服务,提出了P2P网络中服务组合模型,提出了基于P2P的数字音视频流媒体传输的问题及解决办法。