证券组合的快车道问题研究

本文建立了新的证券组合最优控制模型，分析了证券市场长期投资过程中证券组合的快车道问题；提出了隐式规划的模拟退火方法，进行了快车道的仿真，这对于证券市场长期稳定运行和投资具有实际意义。     

Evidence of successful river spawning by lake trout (Salvelinus namaycush) in the Lower Niagara River,Lake Ontario

Restoration of a wild-produced lake trout Salvelinus namaycush population in Lake Ontario has not been successful despite the adult population often meeting or exceeding restoration targets. Lack of high-quality spawning habitat in Lake Ontario is suggested as one impediment to recruitment of wild lake trout, although the quantity and location of spawning habitat is poorly understood. If high-quality spawning habitat is limited in Lake Ontario, lake trout may be using uncommon spawning locations such as rivers. Anecdotal angler accounts point to the Niagara River as a lake trout spawning location. To better understand the potential of the Niagara River as a spawning location, egg and juvenile fish collections were conducted 12–14 river kilometers from the mouth of the Niagara River from 2010 to 2012; and mature female lake trout with surgically implanted acoustic tags were monitored from 2015 to 2019. Genetic analyses confirmed 60% of collected eggs and 93% of collected post-hatch juvenile fish in the Niagara River were lake trout. Tagged female lake trout returned to the Niagara River over consecutive years during the spawning season. The short duration of lake trout presence in the river (mean = 56 days/year) suggests female lake trout use the Niagara River primarily for spawning. Diversity in spawning locations may provide lake trout population’s resilience against environmental variability through a portfolio effect. Improved identification of riverine spawning locations, including their overall contribution to wild recruitment, may be a useful tool for managers to restore a wild-produced population of lake trout in Lake Ontario.     

Extremal optimization vs. learning automata: Strategies for spin selection in portfolio selection problems

Nowadays, various imitations of natural processes are used to solve challenging optimization problems faster and more accurately. Spin glass based optimization, specifically, has shown strong local search capability and parallel processing. But, spin glasses have a low rate of convergence since they use Monte Carlo simulation techniques such as simulated annealing (SA). Here, we propose two algorithms that combine the long range effect in spin glasses with extremal optimization (EO-SA) and learning automata (LA-SA). Instead of arbitrarily flipping spins at each step, these two strategies aim to choose the next spin and selectively exploiting the optimization landscape. As shown in this paper, this selection strategy can lead to faster rate of convergence and improved performance. The resulting two algorithms are then used to solve portfolio selection problem that is a non-polynomial (NP) complete problem. Comparison of test results indicates that the two algorithms, while being very different in strategy, provide similar performance and reach comparable probability distributions for spin selection. Furthermore, experiments show there is no difference in speed of LA-SA or EO-SA for glasses with fewer spins, but EO-SA responds much better than LA-SA for large glasses. This is confirmed by tests results of five of the world's major stock markets. In the last, the convergence speed is compared to other heuristic methods such as Neural Network (NN), Tabu Search (TS), and Genetic Algorithm (GA) to approve the truthfulness of proposed methods.     

A new Probe Guided Mutation operator and its application for solving the cardinality constrained portfolio optimization problem

This paper revisits the classical Polynomial Mutation (PLM) operator and proposes a new probe guided version of the PLM operator designed to be used in conjunction with Multiobjective Evolutionary Algorithms (MOEAs). The proposed Probe Guided Mutation (PGM) operator is validated by using data sets from six different stock markets. The performance of the proposed PGM operator is assessed in comparison with the one of the classical PLM with the assistance of the Non-dominated Sorting Genetic Algorithm II (NSGAII) and the Strength Pareto Evolutionary Algorithm 2 (SPEA2). The evaluation of the performance is based on three performance metrics, namely Hypervolume, Spread and Epsilon indicator. The experimental results reveal that the proposed PGM operator outperforms with confidence the performance of the classical PLM operator for all performance metrics when applied to the solution of the cardinality constrained portfolio optimization problem (CCPOP). We also calculate the True Efficient Frontier (TEF) of the CCPOP by formulating the CCPOP as a Mixed Integer Quadratic Program (MIQP) and we compare the relevant results with the approximate efficient frontiers that are generated by the proposed PGM operator. The results confirm that the PGM operator generates near optimal solutions that lie very close or in certain cases overlap with the TEF.     

A GRASP based solution approach to solve cardinality constrained portfolio optimization problems

In the current work, a solution methodology which combines a meta-heuristic algorithm with an exact solution approach is presented to solve cardinality constrained portfolio optimization (CCPO) problem. The proposed method is comprised of two levels, namely, stock selection and proportion determination. In stock selection level, a greedy randomized adaptive search procedure (GRASP) is developed. Once the stocks are selected the problem reduces to a quadratic programming problem. As GRASP ensures cardinality constraints by selecting predetermined number of stocks and quadratic programming model ensures the remaining problem constraints, no further constraint handling procedures are required. On the other hand, as the problem is decomposed into two sub-problems, total computational burden on the algorithm is considerably reduced. Furthermore, the performance of the proposed algorithm is evaluated by using benchmark data sets available in the OR Library. Computational results reveal that the proposed algorithm is competitive with the state of the art algorithms in the related literature.     

突发公共卫生事件的应急响应服务系统的分析与设计

阐述了贵州省疾病控制和预防中心目前阶段的工作成绩和存在的问题。在此基础上,设计了基于传染病学时空传播模型的突发公共卫生事件的应急响应服务系统。系统通过以事件驱动的服务动态整合机制,联合调度分布式的多种信息资源,进行多部门协同办案,为公共安全应急管理体系的建设提供了良好的技术支撑。     

粒子群算法求解组合投资问题

本文在分析概率准则下的组合投资问题模型的基础上,提出了一种基于粒子群优化算法的求解方案,并用C++加以实的收敛性和计算效率,为组合证券投资者提供了一种高效的决策方法。现,然后结合实例,和传统方法、随机模拟结合遗传算法,遗传—禁忌算法等进行比较。证明了文中采用算法具有较高     

Application of fuzzy calculations for improving portfolio matrices

In this paper, we draw upon portfolio analysis to develop and implement a strategic decision making model. We consider the limitations and problems of classic portfolio analysis approach and resolve these problems by using fuzzy set theory. In the proposed method, both internal and external factors are evaluated in linguistic terms and in terms of fuzzy triangular numbers. The fuzzy numbers are fed into an industry attractiveness-business analysis matrix. The novelty of the proposed approach comes from the fact that fuzzy numbers are processed without using conventional methods, allowing for strategies to be ranked.     

A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality

In this paper, we develop mathematical models for simultaneous consideration of suitability and optimality in asset allocation. We use a hybrid approach that combines behavior survey, cluster analysis, analytical hierarchy process and fuzzy mathematical programming.     

Consideration factors and adoption of type,tabulation and framework for creating e-portfolios

The purpose of this research is to analyze the content of e-portfolios created by students in order to understand their tabulation and ways of displaying content. The analytic result shows that the number of outcome portfolios created by students is more than that of process portfolios. The five types of e-portfolio tabulation, in order of those most commonly created by students, are combination-based, content item-based, work-based, course unit-based, and time-based. The combination-based type incorporates the advantages of other tabulation types, while the content item-based and work-based types are better for clearly classifying data and step-by-step organization of it. Future research may further explore factors related to students’ decision of tabulation type, the difficulties they face in the process, and their mentality as they adopt a portfolio type.