To improve the efficiency of air quality analysis and the accuracy of predictions, this paper proposes a composite method based on Vector Autoregressive (VAR) and Random Forest (RF) models. In the theoretical section,...To improve the efficiency of air quality analysis and the accuracy of predictions, this paper proposes a composite method based on Vector Autoregressive (VAR) and Random Forest (RF) models. In the theoretical section, the model introduction and estimation algorithms are provided. In the empirical analysis section, global air quality data from 2022 to 2024 are used, and the proposed method is applied. Specifically, principal component analysis (PCA) is first conducted, and then VAR and Random Forest methods are used for prediction on the reduced-dimensional data. The results show that the RMSE of the hybrid model is 45.27, significantly lower than the 49.11 of the VAR model alone, verifying its superiority. The stability and predictive performance of the model are effectively enhanced.展开更多
本文研究了带有 VaR (Value-at-Risk, 风险价值)约束的固定缴费(defined contribution, DC) 型养老金的最优投资问题。 基金管理者将基金账户财富投资于由无风险资产,指数债券以及股票 所组成的金融市场中, 其目标为使得终端财富在 VaR...本文研究了带有 VaR (Value-at-Risk, 风险价值)约束的固定缴费(defined contribution, DC) 型养老金的最优投资问题。 基金管理者将基金账户财富投资于由无风险资产,指数债券以及股票 所组成的金融市场中, 其目标为使得终端财富在 VaR 约束下的预期效用最大化。 本文模型考虑随 机的通货膨胀环境以及随机的薪资过程,风险资产的漂移项为随机变量,风险市场价格具有已知 的概率分布。 首先引入辅助过程, 将原问题转化为自融资问题。 然后应用 Lagrange 对偶理论和鞍 方法, 推导得到了 CRRA 效用下的最优投资策略。This paper investigates an optimal investment problem of defined contribution (DC) pension with VaR (Value-at-Risk) constraint. The fund managers invest his wealth in a financial market consisting of a risk-free asset, a stock and an index bond, with the objective of maximizing the expected utility of terminal wealth under VaR constraint. In this model, we take account into stochastic inflation and salary process. The drift terms of the risky assets are described by random variables, and the market price of risk has a known probability distribution. We first introduce an auxiliary process to transform the original problem into a self-financing optimization problem. Then using the Lagrange dual method and martingale method, we derive the optimal investment strategy under CRRA utility.展开更多
The objective of this study was to determine the optimal proportions of plant growth regulators for growth and non-tube rapid propagation of Cymbidium tortisepalum var. longibracteatum;seedlings were utilized as the m...The objective of this study was to determine the optimal proportions of plant growth regulators for growth and non-tube rapid propagation of Cymbidium tortisepalum var. longibracteatum;seedlings were utilized as the material. The effects of various combinations and concentrations of 6-benzylaminopurine (6-BA), gibberellic acid (GA_(3)), and naphthaleneacetic acid (NAA) on growth and non-tube rapid propagation were assessed through a single-factor testing and response surface methodology. The results indicated that 6-BA at 60 mg/L, GA_(3) at 150 mg/L, and NAA at 30 mg/L were the most effective concentrations for promoting leaf buds formation in the single-factor analysis. Response surface methodology clarified the sensitivity of the proliferation rate of lateral buds to the three factors, with 6-BA being the most influential, followed by GA_(3) and NAA. The increase in leaf area was most significantly influenced by NAA, then GA_(3), and least by 6-BA, while the increase in plant height was most responsive to GA_(3), followed by 6-BA, and then NAA. The ideal concentrations of plant growth regulators were established as 6-BA at 43 mg/L, GA_(3) at 169 mg/L, and NAA at 36 mg/L. Under these conditions, the lateral bud number per plant was 2.78, with a leaf area increment of 2.87 cm2 and a plant height increment of 2.67 cm.展开更多
金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风...金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风险溢出效应,这有助于捕捉冲击在不同金融市场之间传播而产生的间接影响。Wald检验和后验分析表明5个市场间只在危机或泡沫状态时存在明显的风险溢出效应。同时,本文利用压力测试发现单个市场的短期冲击影响会被其他金融市场如股市消化吸收,但4个金融市场都处于正常状态会明显降低其他金融市场如股市的左尾风险。此外,本文提出利用单个金融市场在同一时点的不同分位数计算每个金融市场在同一时点的预期收益、波动风险和崩盘风险,这种做法的好处在于结果更加稳健以及减轻极端值的影响。在此基础上,本文进一步探究金融市场间是否能够对冲彼此的波动风险和崩盘风险。结果显示大宗商品市场和金融期货市场能够有效地对冲其他金融市场的波动风险和崩盘风险,但汇市、债市和股市无法对冲其他金融市场的波动风险和崩盘风险。展开更多
文摘To improve the efficiency of air quality analysis and the accuracy of predictions, this paper proposes a composite method based on Vector Autoregressive (VAR) and Random Forest (RF) models. In the theoretical section, the model introduction and estimation algorithms are provided. In the empirical analysis section, global air quality data from 2022 to 2024 are used, and the proposed method is applied. Specifically, principal component analysis (PCA) is first conducted, and then VAR and Random Forest methods are used for prediction on the reduced-dimensional data. The results show that the RMSE of the hybrid model is 45.27, significantly lower than the 49.11 of the VAR model alone, verifying its superiority. The stability and predictive performance of the model are effectively enhanced.
文摘本文研究了带有 VaR (Value-at-Risk, 风险价值)约束的固定缴费(defined contribution, DC) 型养老金的最优投资问题。 基金管理者将基金账户财富投资于由无风险资产,指数债券以及股票 所组成的金融市场中, 其目标为使得终端财富在 VaR 约束下的预期效用最大化。 本文模型考虑随 机的通货膨胀环境以及随机的薪资过程,风险资产的漂移项为随机变量,风险市场价格具有已知 的概率分布。 首先引入辅助过程, 将原问题转化为自融资问题。 然后应用 Lagrange 对偶理论和鞍 方法, 推导得到了 CRRA 效用下的最优投资策略。This paper investigates an optimal investment problem of defined contribution (DC) pension with VaR (Value-at-Risk) constraint. The fund managers invest his wealth in a financial market consisting of a risk-free asset, a stock and an index bond, with the objective of maximizing the expected utility of terminal wealth under VaR constraint. In this model, we take account into stochastic inflation and salary process. The drift terms of the risky assets are described by random variables, and the market price of risk has a known probability distribution. We first introduce an auxiliary process to transform the original problem into a self-financing optimization problem. Then using the Lagrange dual method and martingale method, we derive the optimal investment strategy under CRRA utility.
基金funded by the Sichuan Science and Technology Program“Research on Synergistic Relationship and Reintroduction Technology of C.tortisepalum var.longibracteatum and Endophytic Mycorrhizal Fungi in Eastern Sichuan”(2017JY0132)Longshan Academic Talent Research Supporting Program of SWUST(17LZX521,18LZX522).
文摘The objective of this study was to determine the optimal proportions of plant growth regulators for growth and non-tube rapid propagation of Cymbidium tortisepalum var. longibracteatum;seedlings were utilized as the material. The effects of various combinations and concentrations of 6-benzylaminopurine (6-BA), gibberellic acid (GA_(3)), and naphthaleneacetic acid (NAA) on growth and non-tube rapid propagation were assessed through a single-factor testing and response surface methodology. The results indicated that 6-BA at 60 mg/L, GA_(3) at 150 mg/L, and NAA at 30 mg/L were the most effective concentrations for promoting leaf buds formation in the single-factor analysis. Response surface methodology clarified the sensitivity of the proliferation rate of lateral buds to the three factors, with 6-BA being the most influential, followed by GA_(3) and NAA. The increase in leaf area was most significantly influenced by NAA, then GA_(3), and least by 6-BA, while the increase in plant height was most responsive to GA_(3), followed by 6-BA, and then NAA. The ideal concentrations of plant growth regulators were established as 6-BA at 43 mg/L, GA_(3) at 169 mg/L, and NAA at 36 mg/L. Under these conditions, the lateral bud number per plant was 2.78, with a leaf area increment of 2.87 cm2 and a plant height increment of 2.67 cm.
文摘金融稳定需要防范和化解金融市场之间的风险传染。与以往文献只是探究两个市场的风险传染不同,本文利用高维VAR for VaR模型将中国的汇市、债市、大宗商品、金融期货和股市等五个金融市场纳入统一框架,分析这5个金融市场在不同状态的风险溢出效应,这有助于捕捉冲击在不同金融市场之间传播而产生的间接影响。Wald检验和后验分析表明5个市场间只在危机或泡沫状态时存在明显的风险溢出效应。同时,本文利用压力测试发现单个市场的短期冲击影响会被其他金融市场如股市消化吸收,但4个金融市场都处于正常状态会明显降低其他金融市场如股市的左尾风险。此外,本文提出利用单个金融市场在同一时点的不同分位数计算每个金融市场在同一时点的预期收益、波动风险和崩盘风险,这种做法的好处在于结果更加稳健以及减轻极端值的影响。在此基础上,本文进一步探究金融市场间是否能够对冲彼此的波动风险和崩盘风险。结果显示大宗商品市场和金融期货市场能够有效地对冲其他金融市场的波动风险和崩盘风险,但汇市、债市和股市无法对冲其他金融市场的波动风险和崩盘风险。
