简介:Chainreactionbankruptcyisregardedascommonphenomenonanditseffectistobetakenintoaccountwhencreditriskportfolioisanalyzed.Butconsiderationandmodelingofitseffectleavemuchroomforimprovement.Thatismainlybecausemethodforgraspingrelationsamongcompanieswithlimiteddataisunderdeveloped.Inthisarticle,chancediscoverymethodisappliedtoestimateindustrialrelationsthataretoincludecompanies'relationsthattransmitchainreactionofbankruptcy.TimeordermethodanddirectedKeyGrapharenewlyintroducedtodistinguishandexpressthetimeorderamongdefaultsthatisessentialinformationfortheanalysisofchainreactionbankruptcy.ThestepsforthedataanalysisareintroducedandresultofexampleanalysiswithdefaultdatainKyushu,Japan,2005ispresented.Thestructureestimatedbythenewmethodiscomparedwiththestructureofactualaccountreceivableholdersofbankruptedcompaniesforevaluation.
简介:ANEFFICINTIMPLEMENTATIONOFMERRILL'SMETHODYANGBing(DepartmentofManagementEngineeringHarbinEngineeringUniversityHarbin150001)Ab...
简介:当处理回归分析时,heteroscedasticity是作者不得不面对的一个问题。特别如果很少信息都不能预先被得到,heteroscedasticity的察觉以及统计模型的评价能是甚至更困难的。到这个目的,这份报纸建议能有效地估计heteroscedastic功能的一个quantile差别方法(QDM)。这个方法,从吝啬的回归的评价是完全自由的工作,简单、柔韧、容易实现。而且,没有任何限制,QDM方法在错误术语启用heteroscedasticity的察觉,因而是广泛地适用。值得提及的,基于建议途径评估者是那两个都,吝啬的回归功能和heteroscedastic功能能被获得。最后,作者进行一些模拟检验建议方法的表演并且使用一个真实数据做一幅插图。
简介:Thispaperproposesaprojectionprogrammingmethodofcombinationweighting.Themethodcombinessubjectiveweightsandobjectiveweights,andderivestheweightsofattributesbysolvingaprojection-programmingmodel.Themethodissimple,practicalandeasytoimplementoncomputer.Anumericalexampleisalsogiven.
简介:Thesystemwhichconsistsofareliablemachine,anunreliablemachineandastoragebufferwithinfinitemanyworkpieceshasbeenstudied.Theexistenceofauniquepositivetime-dependentsolutionofthemodelcorrespondingtothesystemhasbeenobtainedbyusingC0-semigrouptheoryoflinearoperatorsinfunctionalanalysis.
简介:Portfoliomanagementisatypicaldecisionmakingproblemunderincomplete,sometimesunknown,information.Thispaperconsiderstheportfolioselectionproblemsunderageneralsettingofuncertainstateswithoutprobability.Theinvestor'spreferenceisbasedonhisoptimumdegreeaboutthenature,andhisattitudecanbedescribedbyanOrderedWeightedAveragingAggregationfunction.WeconstructtheOWAportfolioselectionmodel,whichisanonlinearprogrammingproblem.Theproblemcanbeequivalentlytransformedintoamixedintegerlinearprogramming.Anumericalexampleisgivenandthesolutionsimplythattheinvestor'sstrategiesdependnotonlyonhisoptimumdegreebutalsoonhispreferenceweightvector.Thegeneralgame-theoreticalportfolioselectionmethod,max-minmethodandcompetitiveratiomethodareallthespecialsettingsofthismodel.
简介:Assetallocationisanimportantissueinfinance,andbothriskandreturnareitsfundamentalingredients.Ratherthanthereturn,themeasureoftheriskiscomplicatedandofcontroversy.Inthispaper,weproposeanappropriateriskmeasurewhichispreciselyaconvexcombinationofmeansemi-deviationandconditionalvalue-at-risk.Basedonthisriskmeasure,investorscantrade-offflexiblybetweenthevolatilityandthelosstotackletheincurringriskbychoosingdifferentconvexcoefficients.Asthepresentedriskmeasurecontainsnonsmoothterm,theassetallocationmodelbasedonitisnonsmooth.Toemploytraditionalgradientalgorithms,wedevelopauniformsmoothapproximationoftheplusfunctionandconvertthemodelintoasmoothone.Finally,anillustrativeempiricalstudyisgiven.Theresultsindicatethatinvestorscancontrolriskefficientlybyadjustingtheconvexcoefficientandtheconfidencelevelsimultaneouslyaccordingtotheirperceptions.Moreover,theeffectivenessofthesmoothingfunctionproposedinthepaperisverified.
简介:Inthispaper,atrustregionmethodforequalityconstrainedoptlmizationbasedonnondiferentiableexactpenaltyisproposed.Inthisalgorithin,thetrailstepischaracterizedbycomputationofitsnormalcomponentbeingseparatedfromcomputationofitstangentialcomponent,i.e.,onlythetangentialcomponentofthetrailstepisconstrainedbytrustradiuswhilethenormalcomponentandtrailstepitselfhavenoconstraints.Theothermaincharacteristicofthealgorithmisthedecisionoftrustregionradius.Here,thedecisionoftrustregionradiususestheinformationofthegradientofobjectivefunctionandreducedHessian.However,Maratoseffectwilloccurwhenweusethenondifferentiableexactpenaltyfunctionasthemeritfunction.Inordertoobtainthesuperlinearconvergenceofthealgorithm,weusethetwiceordercorrectiontechnique.Becauseofthespecialityoftheadaptivetrustregionmethod,weusetwiceordercorrectionwhenp=0(thedefinitionisasinSection2)andthisisdifferentfromthetraditionaltrustregionmethodsforequalityconstrainedopthnization.Sothecomputationofthealgorithminthispaperisreduced.Whatismore,wecanprovethatthealgorithmisgloballyandsuperlinearlyconvergent.
简介:Calculatingandmeasuringcreditriskisthekeytechniqueofcommercialbankmanagement.InternationalrelativeachievementsmainlyincludeZandZETAmodelofAltman,Standard&poolexternalratingsystem,Moodyexternalratingsystem,KMVmodel,CreditMetricsmodel,CreditRiskmodel,McKinseymodelandsoon.Chineserelativeachievementsmainlyincludes:creditscoremethod,comprehensiveestimatingmethod,discriminativeanalysismethod,artificialneuralnetworkmethodetc.Thispaperanalyzestherelativeresearchachievementsofcreditriskmeasurementandthefutureresearchtrend.