Extending the MAD portfolio optimization model to incorporate downside risk aversion

A mathematical model of portfolio optimization is usually represented as a bicriteria optimization problem where a reasonable tradeoff between expected rate of return and risk is sought. In a classical Markowitz model, the risk is measured by a variance, thus resulting in a quadratic programming model. As an alternative, the MAD model was developed by Konno and Yamazaki, where risk is measured by (mean) absolute deviation instead of a variance. The MAD model is computationally attractive, since it is easily transformed into a linear programming problem. An extension to the MAD model proposed in this paper allows us to measure risk using downside deviations, with the ability to penalize larger downside deviations. Hence, it provides for better modeling of risk averse preferences. The resulting m‐MAD model generates efficient solutions with respect to second degree stochastic dominance, while at the same time preserving the simplicity and linearity of the original MAD model. © 2001 John Wiley & Sons, Inc. Naval Research Logistics 48: 185–200, 2001     

无信息先验下几种不同Bayes估计的比较

讨论了在二项分布场合关于成功率的不同无信息先验分布下的Bayes估计 ,并从Bayse风险的角度对它们进行了比较     

索赔离散到达的风险模型

讨论了索赔到达时间和索赔额均服从几何分布的风险模型 ,利用逐段决定马尔可夫骨架过程的广义生成算子去构造有关盈余过程的鞅 ,精确求解了模型的破产概率     

基于事例推理的海上编队风险评估系统模型

海上作战信息范围广、内容多,海上编队面临情况异常复杂.针对海上编队面临的威胁,运用人工智能的基于事例推理技术探索海上编队风险评估问题,建立起了基于事例推理的海上编队风险评估系统模型.该模型运用数据事例库对情报信息进行识别和分析,通过专家对各种情况进行打分,并运行推理机找出相匹配的事例,从而得出海上编队当前的风险指标.该模型能在多种复杂情况中,甄别关键影响因素,通过专家与机器的结合,较准确地定出编队风险值,为指挥员实施判断决策提供帮助.     

The prediction formula and a risk-based sensor scheduling method in target detection with guiding information

Sensor scheduling is used to improve the sensing performance in the estimation of targets' states. However, few papers are on the sensor scheduling for target detection with guiding information. This letter can remedy this deficiency. A risk-based target detection method with guiding information is provided firstly, based on which, the sensor scheduling approach is aiming at reducing the risk and uncertainty in target detection, namely risk-based sensor scheduling method. What should be stressed is that the Prediction Formula in sensor scheduling is proposed. Lastly, some examples are conducted to stress the effectiveness of this proposed method.     

基于打击链的智能武器风险分析与控制方法研究

打击链是分析武器和系统等作战要素有效性的一种方法.针对当前智能武器概念缺乏一致定义的问题,本文提出了基于打击链作战方式的智能武器判定方法.针对智能武器认定困难引发的军控措施争论,分析了智能武器两方面的失控风险:人失去对自主武器的控制权与自主武器本身存在不可控因素和缺陷;以及智能武器的问责困境:如何在指挥者、编程者与智能...     

中国警察参与联合国维和行动风险分析

风险管理是一门新兴学科,已普遍应用于各个领域。维和工作处处充满风险,有必要进行深刻探讨,进而对中国警察参与联合国维和行动面临的风险进行科学合理的分析并提出应对措施。     

白炽灯对棉质材料的引燃性能研究

通过对不同功率白炽灯引燃100％棉质材料的研究,分析了白炽灯引燃棉质材料引发火灾的危险性。利用半导体点温计分别对不同功率白炽灯表面及棉布的温度进行记录,根据温度随时间的变化情况、可燃物被引燃情况,分析了不同功率白炽灯对棉布的引燃性能。     

配电系统谐波电流火灾隐患研究

随着人民生活水平的提高,非线性用电设备大量使用,这方便和提高了人们的生活质量,但非线性负载会给三相供电线路注入谐波电流,引发中性线过载。从配电系统谐波电流的产生、危害入手,应用Fourier级数分解方法对非正弦周期电流进行理论分析,得出三次谐波及其奇数倍谐波会在中性线产生叠加效应,再加上三相负载不平衡,造成中性线过载,进而引发火灾事故的结论。     

谈大型超市火灾的预防与扑救

通过分析大型日用百货及生熟食品超级市场的火灾危险性及火灾特点,提出现代大型超市火灾的预防对策和扑救大型超市火灾的战术要点,旨在宣传预防超市火灾的重要性,推动大型超市的消防安全管理,提高整个社会抵御超市火灾的能力。