The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod mod...The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of asset and liability; it does not depend on the assumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests that the multiperiod model can more effectively assist the property-liability insurer to determine the optimal composition of insurance and investment portfolio and outperforms the single period one.展开更多
We present a novel tool for generating speculative and hedging foreign exchange(FX)trading policies.Our solution provides a schedule that determines trades in each rebalancing period based on future currency prices,ne...We present a novel tool for generating speculative and hedging foreign exchange(FX)trading policies.Our solution provides a schedule that determines trades in each rebalancing period based on future currency prices,net foreign account positions,and incoming(outgoing)flows from business operations.To obtain such policies,we construct a multistage stochastic programming(MSP)model and solve it using the stochastic dual dynamic programming(SDDP)numerical method,which specializes in solving high-dimensional MSP models.We construct our methodology within an open-source SDDP package,avoiding implementing the method from scratch.To measure the performance of our policies,we model FX prices as a mean-reverting stochastic process with random events that incorporate stochastic trends.We calibrate this price model on seven currency pairs,demonstrating that our trading policies not only outperform the benchmarks for each currency,but may also be close to ex-post optimal solutions.We also show how the tool can be used to generate more or less conservative strategies by adjusting the risk tolerance,and how it can be used in a vari-ety of contexts and time scales,ranging from intraday speculative trading to monthly hedging for business operations.Finally,we examine the impact of increasing trade policy uncertainty(TPU)levels on our findings.Our findings show that the volatility of currencies from emerging economies rises in comparison to currencies from devel-oped markets.We discover that an increase in the TPU level has no effect on the aver-age profit obtained by our method.However,the risk exposure of the policies increases(decreases)for the group of currencies from emerging(developed)markets.展开更多
Ship outfitting is a key process in shipbuilding.Efficient and high-quality ship outfitting is a top priority for modern shipyards.These activities are conducted at different stations of shipyards.The outfitting plan ...Ship outfitting is a key process in shipbuilding.Efficient and high-quality ship outfitting is a top priority for modern shipyards.These activities are conducted at different stations of shipyards.The outfitting plan is one of the crucial issues in shipbuilding.In this paper,production scheduling and material ordering with endogenous uncertainty of the outfitting process are investigated.The uncertain factors in outfitting equipment production are usually decision-related,which leads to difficulties in addressing uncertainties in the outfitting production workshops before production is conducted according to plan.This uncertainty is regarded as endogenous uncertainty and can be treated as non-anticipativity constraints in the model.To address this problem,a stochastic two-stage programming model with endogenous uncertainty is established to optimize the outfitting job scheduling and raw material ordering process.A practical case of the shipyard of China Merchants Heavy Industry Co.,Ltd.is used to evaluate the performance of the proposed method.Satisfactory results are achieved at the lowest expected total cost as the complete kit rate of outfitting equipment is improved and emergency replenishment is reduced.展开更多
文摘The current portfolio model for property-liability insurance company is only single period that can not meet the practical demands of portfolio management, and the purpose of this paper is to develop a multiperiod model for its portfolio problem. The model is a multistage stochastic programming which considers transaction costs, cash flow between time periods, and the matching of asset and liability; it does not depend on the assumption for normality of return distribution. Additionally, an investment constraint is added. The numerical example manifests that the multiperiod model can more effectively assist the property-liability insurer to determine the optimal composition of insurance and investment portfolio and outperforms the single period one.
文摘We present a novel tool for generating speculative and hedging foreign exchange(FX)trading policies.Our solution provides a schedule that determines trades in each rebalancing period based on future currency prices,net foreign account positions,and incoming(outgoing)flows from business operations.To obtain such policies,we construct a multistage stochastic programming(MSP)model and solve it using the stochastic dual dynamic programming(SDDP)numerical method,which specializes in solving high-dimensional MSP models.We construct our methodology within an open-source SDDP package,avoiding implementing the method from scratch.To measure the performance of our policies,we model FX prices as a mean-reverting stochastic process with random events that incorporate stochastic trends.We calibrate this price model on seven currency pairs,demonstrating that our trading policies not only outperform the benchmarks for each currency,but may also be close to ex-post optimal solutions.We also show how the tool can be used to generate more or less conservative strategies by adjusting the risk tolerance,and how it can be used in a vari-ety of contexts and time scales,ranging from intraday speculative trading to monthly hedging for business operations.Finally,we examine the impact of increasing trade policy uncertainty(TPU)levels on our findings.Our findings show that the volatility of currencies from emerging economies rises in comparison to currencies from devel-oped markets.We discover that an increase in the TPU level has no effect on the aver-age profit obtained by our method.However,the risk exposure of the policies increases(decreases)for the group of currencies from emerging(developed)markets.
基金supported in part by the High-tech ship scientific research project of the Ministry of Industry and Information Technology of the People’s Republic of China,and the National Nature Science Foundation of China(Grant No.71671113)the Science and Technology Department of Shaanxi Province(No.2020GY-219)the Ministry of Education Collaborative Project of Production,Learning and Research(No.201901024016).
文摘Ship outfitting is a key process in shipbuilding.Efficient and high-quality ship outfitting is a top priority for modern shipyards.These activities are conducted at different stations of shipyards.The outfitting plan is one of the crucial issues in shipbuilding.In this paper,production scheduling and material ordering with endogenous uncertainty of the outfitting process are investigated.The uncertain factors in outfitting equipment production are usually decision-related,which leads to difficulties in addressing uncertainties in the outfitting production workshops before production is conducted according to plan.This uncertainty is regarded as endogenous uncertainty and can be treated as non-anticipativity constraints in the model.To address this problem,a stochastic two-stage programming model with endogenous uncertainty is established to optimize the outfitting job scheduling and raw material ordering process.A practical case of the shipyard of China Merchants Heavy Industry Co.,Ltd.is used to evaluate the performance of the proposed method.Satisfactory results are achieved at the lowest expected total cost as the complete kit rate of outfitting equipment is improved and emergency replenishment is reduced.
