We consider the problem of dynamically hedging a fixed portfolio of assets in the presence of non-linear instruments and transaction costs, as well as constraints on feasible hedging positions. We assume an investor maximizing the expected utility of his terminal wealth over a finite holding period, and analyse the dynamic portfolio optimization problem when the trading interval is fixed. An approximate solution is obtained from a two-stage numerical procedure. The problem is first transformed into a nonlinear programming problem which utilizes simulated coefficient matrices. The nonlinear programming problem is then solved numerically using standard constrained optimization techniques. 相似文献
We describe a new interactive learning-oriented method called Pareto navigator for nonlinear multiobjective optimization.
In the method, first a polyhedral approximation of the Pareto optimal set is formed in the objective function space using
a relatively small set of Pareto optimal solutions representing the Pareto optimal set. Then the decision maker can navigate
around the polyhedral approximation and direct the search for promising regions where the most preferred solution could be
located. In this way, the decision maker can learn about the interdependencies between the conflicting objectives and possibly
adjust one’s preferences. Once an interesting region has been identified, the polyhedral approximation can be made more accurate
in that region or the decision maker can ask for the closest counterpart in the actual Pareto optimal set. If desired, (s)he
can continue with another interactive method from the solution obtained. Pareto navigator can be seen as a nonlinear extension
of the linear Pareto race method. After the representative set of Pareto optimal solutions has been generated, Pareto navigator
is computationally efficient because the computations are performed in the polyhedral approximation and for that reason function
evaluations of the actual objective functions are not needed. Thus, the method is well suited especially for problems with
computationally costly functions. Furthermore, thanks to the visualization technique used, the method is applicable also for
problems with three or more objective functions, and in fact it is best suited for such problems. After introducing the method
in more detail, we illustrate it and the underlying ideas with an example. 相似文献
The classical plate method for discriminating between viable and nonviable yeast cells in stored baker's yeast was compared with dead cell staining techniques using methylene blue and three fluorochrome stains. The increase of dead yeast cells during storage of baker's yeast for up to 16 days at 5°C, 20°C and 35°C was determined. During prolonged storage, especially at 35°C, the death rate increased rapidly and the yeast cake began to soften because of autolysis. In these conditions the choice of method for determining the proportion of dead cells proved to be of great importance. Useful results for yeast stored for some time at 35°C could be obtained only by the fluorochrome technique using primuline, acridine orange or acriflavine as fluorochromes. 相似文献
The simulation of mechanical systems often requires modeling of systems of other physical nature, such as hydraulics. In such systems, the numerical stiffness introduced by the hydraulics can become a significant aspect to consider in the modeling, as it can negatively effect to the computational efficiency. The hydraulic system can be described by using the lumped fluid theory. In this approach, a pressure can be integrated from a differential equation in which effective bulk modulus is divided by a volume size. This representation can lead to numerical stiffness as a consequence of which time integration of a hydraulically driven system becomes cumbersome. In this regard, the used multibody formulation plays an important role, as there are many different procedures for the constraint enforcement and different sets of coordinates to choose from. This paper introduces the double-step semirecursive approach and compares it with a penalty-based semirecursive approach in case of coupled multibody and hydraulic dynamics within the monolithic framework. To this end, hydraulically actuated four-bar and quick-return mechanisms are analyzed as case studies. The two approaches are compared in terms of the work cycle, energy balance, constraint violation, and numerical efficiency of the mechanisms. It is concluded that the penalty-based semirecursive approach has a number of advantages compared with the double-step semirecursive approach, which is in accordance with the literature.
Water temperature and the related thermal structure and stratification of a lake are very important to lake ecosystems because of their significant effects on the vertical exchanges of dissolved and particulate matter. In this study, we present high resolution, seasonal variations in water temperature at different depths of a large deep lake on the central Tibetan Plateau. The results show that Nam Co is a typical dimictic lake whose thermal stratification begins and ends in early June and early November, respectively. Increases in the water temperature during spring and the establishment of thermal stratification in the eastern small sub-basin occur approximately one month prior to the main basin which is likely caused by the different morphometry, different water transparency during spring, and the possible presence of a spring thermal bar. The Schmidt stability of the water column is directly controlled by surface water temperature. During the ice-covered period, the homogeneous water temperature exhibits a continuous increasing trend from approximately 0.5 °C to 3.5 °C. The daily mean surface water temperature of the main open lake area is highly correlated to the air temperature but shows a hysteresis effect of approximately 38 days, which shows the significant heat storage in such a large deep lake. Nam Co is a typical lake in this area in terms of its altitude, water depth and climatic conditions, so our results have broader significance for limnological and paleolimnological studies of similar lakes on the Tibetan Plateau. 相似文献
A monoclonal antibody was developed to the 20 kd major allergen of cow by immunizing mice with crude dander extract. The monoclonal antibody did not exhibit cross-reactivity to cat, dog, and horse dander extracts when studied by ELISA inhibition. The antibody was used in affinity chromatography for the purification of the 20 kd allergen from cow dander extract. Purity of the allergen was estimated to be 88%, and allergenic reactivity was verified by IgE immunoblotting and skin prick tests. After further purification with size-exclusion chromatography, the allergen was almost 100% pure. The isoelectric point of the double-purified allergen was determined to be 4.1. The amino acid composition was characterized by the predominance of acidic amino acids. 相似文献
In this paper, the challenging problem of robust mean-signal estimation of a single-step microparticle bioaffinity assay is investigated. For this purpose, a density estimation-based robust algorithm (DER) was developed. The DER algorithm was comparatively evaluated with four other parameter estimation methods (mean value, median filtering, least square estimation, Welsch robust m-estimator). Two important questions were raised and investigated: 1) Which of the five methods can robustly estimate the mean bioaffinity signal? and 2) How many microparticles need to be measured in order to obtain an accurate estimate of the mean signal value? To answer the questions, bootstrap and coefficient of variation (CV) analyses were performed. In the CV analysis, the DER algorithm gave the best results: The CV ranged from 0.8% to 4.9% when the number of microparticles used for the mean signal estimation varied from 800 to 30. In the bootstrap analysis of the standard error, the DER algorithm had the smallest variance. As a conclusion, it can be underlined that: 1) of all methods tested, the DER algorithm gave the most consistent and reproducible results according to the bootstrap and CV analysis; 2) using the DER algorithm accurate estimates could be calculated based on 80-100 particles, corresponding to a typical assay measurement time of 1 min; and 3) the investigated bioaffinity signals contained a large number of outliers (observations that severely deviate from the majority of data) and therefore robust techniques were necessary for the mean signal estimation tasks. 相似文献