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Particle swarm optimization (PSO) has shown its good performance on numerical function problems. However, on some multimodal functions the PSO easily suffers from premature convergence because of the rapid decline in velocity. This paper presents a hybrid PSO for numerical optimization, namely HPSO, which employs opposition-based learning (OBL) and a modified velocity model. The OBL provides more...
A dynamic discount information sending problem and its bi-level programming model for customer relationship management were presented in this paper. The intelligent algorithms were proposed to optimize the model. The simulated annealing algorithm (SA) was applied to optimize the brand information sending policy in up-level. The customerspsila purchase behaviors were simulated by cellular automata...
Based on chaos theory in economics, this paper introduces an application of the non-linear Duffing equation in financial crisis and briefly interprets an equation coefficient corresponding to the economic significance. This paper specifically focuses on the empirical problems of the Duffing equation in financial markets to solve the anti-disturbance coefficient of financial system to the external...
This paper investigates the multi-period portfolio problem under the framework of Tobin. Specifically, the paper analyzes the optimal two-period portfolio strategy compared with the buy-and-hold strategy, the stochastic rebalancing strategy and the simple rebalancing strategy. According to the result of the practical examples, we find that the unadjusted investment portfolio known as the buy-and-hold...
The ERP II implementing options are enlargement of the financial options. Its essence is object item investment and policy decision of management. In this paper ERP II implementing option functions of client and vendor are described. The optimization investment policy decision of the ERP II implementing option has been analyzed under different information conditions. The vendor of ERP II implementing...
In this paper, we provide a fast algorithm for solving the pricing of American options, which is easier to apply and implement in computer comparing with general difference method. Our research substantially reduces the computational time as well as improves the computational efficiency and accuracy considerably. Furthermore, we propose and implement a numerical procedure for computing the pricing...
In this paper, value at risk of hedging portfolio is adopted to measure the risk of futures hedging. The control constraint based on risk tolerance of hedgers is established. The futures optimal hedge ratio is presented by maximizing the return of hedging portfolio under the control constraint. The contributions of the model are as follows: Firstly that we use VaR to construct the control constraint...
To overcome the difficulty in estimating low probability, the paper proposes that importance sampling technique is developed upto non-linear VaR model of FX option portfolio. Producing more samples in corresponding region by changing expectation vector and covariance matrix of distribution of market factors returns, this makes the state not be rare event simulation. Accordingly, this decreases calculating...
In order to measure the increasing complexity and dependent risk of nonlife insurance products and models, a class of the renewal risk processes with non-stationary and stochastic dependence properties are considered in this paper. By introducing an external continuous-time Markov process, the generalized Erlang(2) risk model can rationally characterize the dependent structure, in which the interclaim...
According to a questionnaire survey, the collecting price of the used-product will affect the demand of the new product. In order to study the price decisions of the used-product considering its impact on the new-product-demand, an influence coefficient in new-product-demand function is introduced. The optimal price decisions of the used-products, including the manufacturerpsilas reclaiming price...
Although utility-based recommendation in e-commerce can provide much better recommendation accuracy, there are still no effective approaches to build the utility function of each user. In order to overcome this problem, an approach based on Bayesian networks is proposed. Firstly, based on the common user utility function of a specific commodity which has already been constructed by domain experts,...
In the designing of the instruments with asset-backed securitization structure, the cost and contribution of different credit enhancement methods are varied greatly which result the difficulties to find the proper combination of credit enhancement structure. Considering the contribution quantity of credit enhancement structure, the proper credit enhancement combination can be find using the method...
Using the data of aluminium of Shanghai and London futures exchange, the long-term and dynamic relationship between them are examined. The results suggest that: (1) there are two-way causal relationship between the prices of Shanghai and London futures exchange at the significant level of 10%; (2) the cointegrating residual can be an important explanatory variable for both the conditional mean and...
This paper considers the credit authorization problem in credit card companiespsila authorization systems. Customers are classified into several risk segments according to the type of services requested and the associated credit risk of customers. Card companies need to balance the risk exposure and the quality of customer service in the decision of referral/no referral. We formulate this problem...
Based on the equilibrium real exchange rate (ERER) put forward by Edwards (1989) and Johansen cointegration estimation methodology, this paper estimates the equilibrium real exchange rate of Chinese Yuan from 1980 to 2007 and calculates the real exchange rate misalignment. The result shows that the real exchange rate of Chinese Yuan was deviated from the equilibrium substantially most of the time,...
In order to study the influence of reduced holding behavior information of the restricted stocks to the Shenzhen stock market, a lshock-GARCH model is used in this paper. We construct a new liquidity shock measure to represent the market influence brought by reduced holding behavior information of the restricted stock and then put it into GARCH model to do the empirical study. The results show that...
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