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.     

Serial deployment of attention during visual search.

This study examined whether objects are attended in serial or in parallel during a demanding visual search task. A component of the event-related potential waveform, the N2pc wave, was used as a continuous measure of the allocation of attention to possible targets in the search arrays. Experiment 1 demonstrated that the relative allocation of attention shifts rapidly, favoring one item and then another. In Experiment 2, a paradigm was used that made it possible to track the absolute allocation of attention to individual items. This experiment showed that attention was allocated to one object for 100-150 ms before attention began to be allocated to the next object. These findings support models of attention that posit serial processing in demanding visual search tasks. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Seeking the truth about ad hoc join costs

In this paper, we re-examine the results of prior work on methods for computing ad hoc joins. We develop a detailed cost model for predicting join algorithm performance, and we use the model to develop cost formulas for the major ad hoc join methods found in the relational database literature. We show that various pieces of “common wisdom” about join algorithm performance fail to hold up when analyzed carefully, and we use our detailed cost model to derive op timal buffer allocation schemes for each of the join methods examined here. We show that optimizing their buffer allocations can lead to large performance improvements, e.g., as much as a 400% improvement in some cases. We also validate our cost model's predictions by measuring an actual implementation of each join algorithm considered. The results of this work should be directly useful to implementors of relational query optimizers and query processing systems. Edited by M. Adiba. Received May 1993 / Accepted April 1996     

An accurate and practical buffer allocation model for the buffer cache based on marginal gains

A new dynamic buffer allocation strategy based on the notion of marginal gains is presented for the buffer cache that is used by the operating system to store frequently accessed disk blocks in main memory, and the performance of the proposed strategy is compared with those of previous allocation strategies. In the proposed strategy, marginal gain values are predicted by exploiting functions that approximate the expected number of buffer hits per unit time. Experimental results from both trace-driven simulation and an actual implementation in the FreeBSD operating system show that the proposed strategy accurately predicts the marginal gain values for various workloads resulting in significantly improved buffer hit ratios.     

Allocation of Scarce Water Resources Using Deficit Irrigation in Rotational Systems

On irrigation schemes with rotational irrigation systems in semiarid tropics, the existing rules for water allocation are based on applying a fixed depth of water with every irrigation irrespective of the crops, their growth stages, and soils on which these crops are grown. However, when water resources are scarce, it is necessary to allocate water optimally to different crops grown in the irrigation scheme taking account of different soils in the command area. Allocating water optimally may lead to applying less water to crops than is needed to obtain the maximum yield. In this paper, a three stage approach is proposed for allocating water from a reservoir optimally based on a deficit irrigation approach, using a simulation-optimization model. The allocation results with a deficit irrigation approach are compared for a single crop (wheat) in an irrigation scheme in India, first with full irrigation (irrigation to fill the root zone to field capacity) and second with the existing rule. The full irrigation with a small irrigation interval was equivalent to adequate irrigation (no stress to the crop). It is found that practicing deficit irrigation enables the irrigated area and the total crop production in the irrigation scheme used for the case study to be increased by about 30–45% and 20–40%, respectively, over the existing rule and by 50 and 45%, respectively, over the adequate irrigation. Allocation of resources also varied with soil types.     

Cost estimates to guide pre-selection of processes

A process is a method of shaping, joining or surface-treating a material. Process selection has three steps. The first is to identify from the ‘menu’ of all available processes, the subset, which can give a chosen material the desired shape with the desired detail, precision and finish. The second is to choose, from among these, the ones that will do so at the lowest cost. The final step is to investigate the most promising processes in depth, exploring considerations such as availability, in-house experience, safety and environmental issues. The first two steps can be thought of as process pre-selection. Components have to be assembled and finished to create products. Here too, the ability to rank by cost, however crudely, helps guide pre-selection. Cost models are reviewed from the perspective of material and process selection. An approximate model is useful provided it has generality—that is, it must allow comparison of very different processes. Many approaches fail in this. One that works, based on resource consumption, is developed here and its use for selection is illustrated. It has been implemented as part of a tool that allows rapid pre-selection from a database of 112 processes.     

Implementing Information Systems: Some Practical Advice and a Richer Model

Recent research suggests that implementing information systems presents considerable difficulties and that many implementations are total or partial failures. This paper argues that what both practitioners and students require are richer and more acceptable models of information systems implementation. Accordingly, case study data concerning the introduction of manufacturing resource planning (MRP II) are used to illustrate five patterns of behaviour (rites) which capture important social actions; and four components of changing psychological orientation. It is argued that appreciation of the rites and psychological developments identified here will support effective change programmes. Guidelines based on our model are provided for practitioners.     

Optimal task allocation in hypercube multiprocessor ensembles

Criteria are established to determine the optimal policy for allocating a set of uniform tasks onto a multiprocessor hypercube ensemble. It is shown that the optimal policy depends on the ratio of computation to intertask communication required by the distributed program, and that based on this ratio, tasks should be placed either all on one processor or uniformly distributed over the largest possible hypercube.     

商务智能在ERP系统中的应用

ERP系统属于典型的联机事务处理系统,不可避免的存在许多不足,无法提供企业决策所需的决策信息。商务智能是一种正在快速发展的技术,它在ERP中的应用有效的解决ERP存在的问题。