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This paper is concerned with asset and liability management problem in an incomplete market from the viewpoints of expected utility maximization. The liability is supposed to be random process driven by Brownian motion with drift while risky assets' prices are governed by geometric Brownian motion. In addition, there exist correlations between the risky assets and the liability. The analytical optimal...
This paper uses the data of Korea and analyzes its outward foreign direct investment and its domestic industry structural optimization. The Granger causality test results indicate that Korea's outward FDI does help explain the changes of the proportion of Korea's second industry and the tertiary industry, but couldn't help explain the changes of the proportion of the first industry. The cointegration...
Quasi-Public Project (QPP) is one of the Municipal Infrastructure Project (MIP) with special characteristics. It realizes its marketing goal by means of attracting the participation of private investors who have been stimulated by state subsidy and favorable policies upon Quasi-Public Project (QPP). In this paper, Financing Structure Optimized Model (FSOM) for Quasi-Public Municipal Infrastructure...
This paper analyzes the predictivity and return of the Barmish-Iwarere trading algorithm described in. In the first part of the paper, we study the trade triggering algorithm using either an Ito process model, or real data from indexes and ETFs. It is shown through hypothesis testing that the trigger provides mixed results in predicting the sign of the single trade, for both the Ito process and real...
The real estate portfolio is a dynamic process and an effective way to spread risk. The article analyses the risk of real estate portfolio using VaR method, and on the basis of this, establishes an optimization model for real estate portfolio under VaR constraint, in addition, arrives its efficient frontier and optimal strategy. Finally, through a case of real estate portfolio, the paper also discusses...
Optimization method with triangular fuzzy numbers is introduced to describe the expected yield rate and risk loss of securities investment, and a combinational fuzzy optimization model of inclinations with exchange fee to avoid risks is presented in this paper. The experimental results on the data investigated from real-world securities markets show that our new method exploits a new strategy for...
Security risk management is becoming increasingly important in a variety of areas related to information technology (IT), such as telecommunications, cloud computing, banking information systems, etc. In this paper, we develop a systematic quantitative framework for security risk management in IT-intensive organizations. This framework provides a unified viewpoint for considering a wide array of security...
For the purpose of improving the management efficiency of university library, the operations research methods are used to study the path planning problem in the process of lending book. The mathematical model of the lending process is established, the impact of the efficiency in the five segments with different orders is analyzed. On this basis, the optimization solution is proposed without additional...
With the developing of urbanization, as well as the significant increasing of automobile in city, the phenomenon of traffic jam has occurred frequently. As a result, municipal administration has widened the city's trunk line, the traffic management bureau has increased traffic lights at crossroads, but we could not see much great change in city traffic condition. These measures, for instance, how...
Operational models are typically used to optimize operational measures such as lead time, work-in-process or throughput. Unfortunately, these models often do not take into account the financial aspects of the decisions made. Financial models on the other hand try to optimize costs, profits or shareholder's value. Integration with the underlying operational model is however often missing because the...
Under a regulation imposed by a regulatory authority, a general risk model is studied with stationary independent increments. The regulatory authority's problem is to exercise a regulation barrier and penalties to protect the insured with minimum cost. For an insurance firm with the given regulation, it has to maximize its long run average profit per unit time by seeking an investment-dividend policy...
This paper aims to make a research on the manufacturer enterprise supplier relationship under dynamic market environment. Firstly, it analyses the different supplier relationship to find that time and investment are two important factors in supplier relationship. Then, it finds the optimal strategy of both manufacturer enterprise and supplier by making a differential game analysis. Finally, it put...
We developed a chaos quantum honey bee algorithm inspired by the foraging and mating procedure of honey bee colony, incorporating chaos optimization and quantum computation to optimize complex uncertain problems such as transmission system expansion planning based on random fuzzy chance-constrained programming. This paper designed calculation steps and the solution, Gauss quantum mutation is used...
For most biotech start-ups' financing, the fundraising from the venture capital and capital market is not enough. Strategic partnership with the big pharmaceutical or biotech companies is also necessary. At the uncertain projects in the biopharmaceuticals, the flexibility of decision making is valuable against irreversibility. On the other hand, the strategic flexibility tends to become the trade-off...
The main purpose of this paper is to identify the optimal location of the unified power flow controller (UPFC) in electrical power systems. The proposed algorithm is based on the power injection model for UPFC incorporating Optimal Power Flow (OPF) in steady-state analysis. The problem is formulated to find the best location of UPFC in order to optimize the fuel cost function, power losses and the...
Investment income of Innovation projects is uncertainty, the objective existence of uncertainty determines the innovation project investment has certain risk, in this high-risk investment environment to achieve the expected benefits it is necessary to conduct risk analysis of investment projects. Construction of a set of science and innovation investment risk evaluation index system, the application...
By means of analyzing Yong's minimax portfolio selection model, a novel risk function is introduced with risk measure considering risk and extra return factors. The risk factor can tune the effects of asset yield on the investment decision, and the extra return factor can control the effects of assets portfolio's margin on the investment decision. Furthermore, an assets portfolio optimization model...
This paper proposes a work selection methodology to the medium-voltage distribution system aiming to adequate the reliability continuity indexes DEC and FEC (it corresponds to the English abbreviations SAIDI and SAIFI, respectively) to the limits defined by the Brazilian regulatory agency. This mathematical methodology is based on the optimization program and the works selection problem will be modeled...
This paper studies Merton's portfolio problem for an investor who can trade a risk-free asset and a stock. We consider the case where the stock price follows a constant elasticity of variance (CEV) dynamics. By applying stochastic optimal control theory and variable change technique, we derive an explicit solution for the CRRA utility function. The solution consists of a moving Merton strategy and...
The edgewise open city in western China is fast growing in recent years, through the case study of typical city - Yining, the study draws the most important influence factor: GDP, investment in fixed assets, value of foreign trade and disposable income of urban residents. Then this paper analyses them and creates the combinatorial optimization model, utilizes the analytic approach of the weight to...
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