Background: While working as risk consultants at Barra in 1990’s, the first two authors decided to start collaborating on a research project with its first paper titled “Application of Volatility in Portfolio Constr...Background: While working as risk consultants at Barra in 1990’s, the first two authors decided to start collaborating on a research project with its first paper titled “Application of Volatility in Portfolio Construction” [1]. The third author was then a risk manager of a financial institution which was a client of Barra’s. Bringing his expertise in portfolio risk management, he joined the research team. Aim: The core of this paper lies in the construction of an investment portfolio with a main objective of value appreciation while examining its tracking error [1]-[3], a risk measurement with reference to a benchmark [1] [4]. The authors believe, while tracking error measurement is a common tool for portfolio risk management, total risk measurement is more important. The management goal is to minimize drawbacks using the technique of risk budgeting. These topics will be discussed in future research papers.展开更多
In Indus-2, by optimizing the position of the magnetic elements, using the simulated annealing algorithm, at different locations in the ring with their field errors, the effects on beam parameters have been minimized....In Indus-2, by optimizing the position of the magnetic elements, using the simulated annealing algorithm, at different locations in the ring with their field errors, the effects on beam parameters have been minimized. Closed orbit distortion and beta beat are considerably reduced by optimizing the dipole and quadrupole magnets positions in the ring. For the Indus-2 storage ring, sextupole optimization gives insignificant improvement in dynamic aperture with chromaticity-correcting sextupoles. The magnets have been placed in the ring with the optimized sequence and storage of the beam has been achieved at injection energy without energizing any corrector magnets. Magnet sorting has led to the easy beam current accumulation and the measurement of parameters such as closed orbit distortion, beta function, dispersion, dynamic aperture etc.展开更多
文摘Background: While working as risk consultants at Barra in 1990’s, the first two authors decided to start collaborating on a research project with its first paper titled “Application of Volatility in Portfolio Construction” [1]. The third author was then a risk manager of a financial institution which was a client of Barra’s. Bringing his expertise in portfolio risk management, he joined the research team. Aim: The core of this paper lies in the construction of an investment portfolio with a main objective of value appreciation while examining its tracking error [1]-[3], a risk measurement with reference to a benchmark [1] [4]. The authors believe, while tracking error measurement is a common tool for portfolio risk management, total risk measurement is more important. The management goal is to minimize drawbacks using the technique of risk budgeting. These topics will be discussed in future research papers.
文摘In Indus-2, by optimizing the position of the magnetic elements, using the simulated annealing algorithm, at different locations in the ring with their field errors, the effects on beam parameters have been minimized. Closed orbit distortion and beta beat are considerably reduced by optimizing the dipole and quadrupole magnets positions in the ring. For the Indus-2 storage ring, sextupole optimization gives insignificant improvement in dynamic aperture with chromaticity-correcting sextupoles. The magnets have been placed in the ring with the optimized sequence and storage of the beam has been achieved at injection energy without energizing any corrector magnets. Magnet sorting has led to the easy beam current accumulation and the measurement of parameters such as closed orbit distortion, beta function, dispersion, dynamic aperture etc.
