Mathematical and Computer Modelling最新文献_第3页

Optimal inventory policy with fixed and proportional transaction costs under a risk constraint 风险约束下交易成本固定比例的最优库存策略

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2012.03.009

S.Y. Wang , K.F.C. Yiu , K.L. Mak

{"title":"Optimal inventory policy with fixed and proportional transaction costs under a risk constraint","authors":"S.Y. Wang , K.F.C. Yiu , K.L. Mak","doi":"10.1016/j.mcm.2012.03.009","DOIUrl":"10.1016/j.mcm.2012.03.009","url":null,"abstract":"<div><p>The traditional inventory models focus on characterizing replenishment policies in order to maximize the total expected profit or to minimize the expected total cost over a planned horizon. However, for many companies, total inventory costs could be accounting for a fairly large amount of invested capital. In particular, raw material inventories should be viewed as a type of invested asset for a manufacturer with suitable risk control. This paper is intended to provide this perspective on inventory management that treats inventory problems within a wider context of financial risk management. In view of this, the optimal inventory problem under a VaR constraint is studied. The financial portfolio theory has been used to model the dynamics of inventories. A diverse portfolio consists of raw material inventories, which involve market risk because of price fluctuations as well as a risk-free bank account. The value-at-risk measure is applied thereto to control the inventory portfolio’s risk. The objective function is to maximize the utility of total portfolio value. In this model, the ordering cost is assumed to be fixed and the selling cost is proportional to the value. The inventory control problem is thus formulated as a continuous stochastic optimal control problem with fixed and proportional transaction costs under a continuous value-at-risk (VaR) constraint. The optimal inventory policies are derived by using stochastic optimal control theory and the optimal inventory level is reviewed and adjusted continuously. A numerical algorithm is proposed and the results illustrate how the raw material price, inventory level and VaR constraint are interrelated.</p></div>","PeriodicalId":49872,"journal":{"name":"Mathematical and Computer Modelling","volume":"58 9","pages":"Pages 1595-1614"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mcm.2012.03.009","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80925658","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9

Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns 基于EDF统计量的极端收益参数VaR与拟合优度检验

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2013.07.002

Herick Fernando Moralles , Daisy Aparecida do Nascimento Rebelatto , Alexandre Sartoris

引用次数: 9

Optimal investment with a corporate bond 公司债券的最佳投资

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2012.05.001

Shibo Bian , Hailong Liu

引用次数: 2

Measuring the capital charge for operational risk of a bank with the large deviation approach 用大偏差法度量银行操作风险的资本费用

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2013.07.001

Zhaoyang Lu

引用次数: 6

Simultaneous quantitative determination of Amlodipine and Atorvastatin in tablets using artificial neural networks 人工神经网络同时定量测定片剂中氨氯地平和阿托伐他汀的含量

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2011.11.034

Mahmoud Reza Sohrabi , Parviz Abdolmaleki , Maryam Dehroudi

{"title":"Simultaneous quantitative determination of Amlodipine and Atorvastatin in tablets using artificial neural networks","authors":"Mahmoud Reza Sohrabi , Parviz Abdolmaleki , Maryam Dehroudi","doi":"10.1016/j.mcm.2011.11.034","DOIUrl":"10.1016/j.mcm.2011.11.034","url":null,"abstract":"<div><p>Simultaneous spectrophotometric estimation of Atorvastatin Calcium and Amlodipine Besylate in Amostatine<sup>®</sup> tablets were performed using UV–Vis spectroscopic and Artificial Neural Networks (ANN). Absorption spectra of two components were recorded in 200–350 (nm) wavelengths region with an interval of 4 nm. The calibration models were thoroughly evaluated at several concentration levels using the spectra of synthetic binary mixture (prepared using orthogonal design). Three layers feed-forward neural networks using the back-propagation algorithm (B.P) has been employed for building and testing models. Several parameters such as the number of neurons in the hidden layer, learning rate and the number of epochs were optimized. A general statistic function, Sum Square Error (SSE), was selected to evaluate the training process of ANN. The single Relative Standard Error (RSE) (%) of prediction for each component in real sample was calculated as 0.62 and 2.00 for Atorvastatin and Amlodipine, respectively. The results showed a very good agreement between true values and predicted concentration values. The proposed procedure is a simple, precise and convenient method for the determination of Atorvastatin and Amlodipine in commercial tablets.</p></div>","PeriodicalId":49872,"journal":{"name":"Mathematical and Computer Modelling","volume":"58 9","pages":"Pages 1588-1594"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mcm.2011.11.034","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87732438","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9

Bargaining in supply chain with price and promotional effort dependent demand 价格和促销努力依赖于需求的供应链议价

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2010.12.035

Desheng Dash Wu

引用次数: 67

Several consensus protocols with memory of multi-agent systems 多智能体系统的几种具有内存的共识协议

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2012.09.009

Xin-Lei Feng , Ting-Zhu Huang , Jin-Liang Shao

引用次数: 3

The impact of distribution on value-at-risk measures 分配对风险价值度量的影响

Mathematical and Computer Modelling Pub Date : 2013-11-01 DOI: 10.1016/j.mcm.2011.06.053

David L. Olson , Desheng Wu

引用次数: 18

A new multi-symplectic Euler box scheme for the BBM equation BBM方程的一种新的多辛欧拉盒格式

Mathematical and Computer Modelling Pub Date : 2013-10-01 DOI: 10.1016/j.mcm.2013.06.012

Haochen Li , Jianqiang Sun

引用次数: 10

Spreading speeds and travelling waves for non-monotone time-delayed 2D lattice systems 非单调时滞二维晶格系统的传播速度和行波

Mathematical and Computer Modelling Pub Date : 2013-10-01 DOI: 10.1016/j.mcm.2013.06.009

Zhi-Xian Yu , Weiguo Zhang , Xiaoming Wang

{"title":"Spreading speeds and travelling waves for non-monotone time-delayed 2D lattice systems","authors":"Zhi-Xian Yu , Weiguo Zhang , Xiaoming Wang","doi":"10.1016/j.mcm.2013.06.009","DOIUrl":"10.1016/j.mcm.2013.06.009","url":null,"abstract":"<div><p>In this paper, a non-monotone time delayed 2D lattice system with global interaction is studied. The important feature of the model is the reflection of the joint effect of the diffusion dynamics, the nonlocal delayed effect and the direction of propagation. The existence of travelling waves for the wave speed <span><math><mi>c</mi><mo>≥</mo><msub><mrow><mi>c</mi></mrow><mrow><mo>∗</mo></mrow></msub><mrow><mo>(</mo><mi>θ</mi><mo>)</mo></mrow></math></span> is established by Schauder’s fixed point theorem and a limiting argument, where <span><math><mi>θ</mi></math></span> is any fixed direction of propagation. The spreading speed is investigated by comparison arguments and a fluctuation method. It is also shown that the spreading speed coincides with the minimal wave speed along every direction. Particularly, letting the direction of propagation <span><math><mi>θ</mi><mo>=</mo><mn>0</mn></math></span> or <span><math><mfrac><mrow><mi>π</mi></mrow><mrow><mn>2</mn></mrow></mfrac></math></span>, the wave profile equation of the 2D lattice system can reduce to the wave profile equation of 1D lattice system and therefore, our results can cover the previous works.</p></div>","PeriodicalId":49872,"journal":{"name":"Mathematical and Computer Modelling","volume":"58 7","pages":"Pages 1510-1521"},"PeriodicalIF":0.0,"publicationDate":"2013-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.mcm.2013.06.009","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74377881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 9