Backtesting portfolio value-at-risk with estimated portfolio weights

This article theoretically and empirically analyzes backtesting portfolio value-at-risk (VaR) with estimation risk in an intrinsically multi-variate framework. It particularly takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating portfolio weights and that from estimating the multi-variate dynamic model make the existing methods in a univariate framework inapplicable. It proposes a general theory to quantify estimation risk applicable to the present problem and suggests practitioners a simple but effective way to implement valid inference to overcome the effect of estimation risk in backtesting portfolio VaR. In particular, we apply our theory to the efficient mean-variance-skewness portfolio for a multi-variate generalized autoregressive conditional heteroscedasticity model with multi-variate general hyperbolic distributed innovations. Some Monte Carlo simulations and an empirical application demonstrate the merits of our method.     

Emerging strategy recognition in agile portfolios

Agile practices become increasingly popular for projects and project portfolios offering firms a higher flexibility to adapt to dynamic environments. This study investigates the antecedents and consequences of agile practices' relevance for strategy formulation in project portfolio management processes. Building on complex adaptive systems theory, we hypothesize a positive relationship between agile capabilities and emerging strategy initiatives and eventually portfolio success. Agile capabilities refer to both the project portfolio organization's intensity of and competence in applying agile practices. Using a sample of 135 portfolios and multiple informants for each portfolio, the results support entrepreneurial orientation and voice behavior as antecedents for agile capabilities. Furthermore, the findings support an agile portfolio's positive relationship with emergence recognition and overall portfolio success. The findings contribute to the literature by identifying two significant antecedents of agile capabilities as well as empirically demonstrating the positive relationship between agile portfolios and emerging strategy recognition. For practitioners, the study encourages the application of agile practices by stressing the general positive influence of agile capabilities and underlines entrepreneurial orientation and voice behavior as important methods of empowerment for agile portfolio processes.     

超声波强化原油破乳电脱盐技术的工业实践

报道了采用超声波强化原油破乳电脱盐技术的开发与工业应用.经过实验室开发确定的超声波强化原油破乳电脱盐专利技术--超声波-电场联合破乳脱盐组合技术采用顺逆流方式.该技术于2003年9月在齐鲁分公司完成工业应用试验后,超声波强化原油破乳设备直接投入生产运行,在不加入化学破乳剂的情况下,可使胜利混输原油(平均盐浓度为50 mg/L,平均水质量分数为0.5%～1.0%)脱后盐浓度低于3 mg/L,水质量分数小于0.3%.     

Organization and Management of Deep knowledge Resources for Product Innovation

Product innovation,for a truly strong solution,needs deep knowledge.Based on this point,the authors draw a conclusion that patents are the main resource of deep technique knowledge.There are five levels of newly organized patents.The main results of the studies on patents are various tech-nique effects.The database of effects is organized and managed according to the form of function-effect structure.     

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.     

及时利用过喷粉末的涂装装置

对比了典型进口及国产粉末喷涂设备对过喷粉末的利用情况，介绍了一种获得实用新型专利权的涂装装置。该装置综合了进口及国产设备的优点，具有很高的性价比。     

对我国催化重整工艺专利市场的思考

根据我国专利法的原则，在对我国催化重整和芳烃生产专利检索过程和结果进行分析的基础上，阐述了对目前我国催化重整工艺专利市场的几点看法并提出对策。     

考虑限制性卖空的多期模糊投资组合优化模型

在实际证券交易中, 卖空操作是一种重要的投资手段, 因此本文研究考虑限制性卖空的多期模糊投资组合优化问题。将风险资产的收益视为梯形模糊数。在允许卖空的情况下, 建立了带单期最低期望收益约束、破产控制约束和投资比例边界约束的多期可信性均值−下半方差−偏度投资组合优化模型。设计了一个改进的多种群粒子群算法对模型进行求解。最后, 采用真实股票数据进行数值算例分析, 说明了所提出的优化模型和算法的有效性。     

基于配额制的自备电厂参与新能源消纳日前交易模式

国内风电和光伏等新能源发电迅速发展,而部分地区本地消纳和电网外送能力均有限,当地自备电厂未充分发挥调峰作用,出现日趋严重的弃风弃光现象,因此难以完成配额制目标。为利用市场手段充分调动当地自备电厂参与新能源消纳,促进新能源配额制目标的完成,同时避免因强行完成指标导致的社会整体消纳成本升高的问题,提出了一种基于竞价摘牌的新能源日前交易模式。通过具有引导效应的市场化手段,调动具备自备电厂用户的主动消纳意愿,进而提升配额制目标完成度,并降低整体消纳成本。最后,以新疆地区算例为例,分析验证了所提交易模式在提升配额制目标完成度及在尽量降低社会整体消纳成本方面的价值,为新疆等类似地区电力市场建设提供了一种新的思路。