Optimal hedging through limit orders

This article applies the methods of stochastic dynamic programming to a risk management problem, where an agent hedges her derivative position by submitting limit orders. Therefore, this model is the first, in the literature on optimal trading with limit orders, to handle a problem of hedging options or other derivatives. A hedging strategy is developed where both the size and the limit price of each order is optimally set.     

Zen and the art of aut-ethnography: a tribute to Robert M. Pirsig

With the passing of Robert M. Pirsig, I felt that it was an appropriate time to write a tribute to his work and the influence it has had on my own theorising in regard to autistic ways of being. This reflection utilises the concept of an ‘aut-ethnography’ to examine passages that I had highlighted word by word when I first read Pirsig’s book: Zen and the Art of Motorcycle Maintenance. These fragments contain links to a number of theoretical ‘lines of flight’ within my own work and that of others, from his concepts of dynamic ‘quality’ to his discussion on the tension between scientific method and lived experience.     

Tactical production and distribution planning with dependency issues on the production process

Tactical production-distribution planning models have attracted a great deal of attention in the past decades. In these models, production and distribution decisions are considered simultaneously such that the combined plans are more advantageous than the plans resolved in a hierarchical planning process. We consider a two-stage production process, where in the first stage raw materials are transformed into continuous resources that feed the discrete production of end products in the second stage. Moreover, the setup times and costs of resources depend on the sequence in which they are processed in the first stage. The minimum scheduling unit is the product family which consists of products sharing common resources and manufacturing processes. Based on different mathematical modelling approaches to the production in the first stage, we develop a sequence-oriented formulation and a product-oriented formulation, and propose decomposition-based heuristics to solve this problem efficiently. By considering these dependencies arising in practical production processes, our model can be applied to various industrial cases, such as the beverage industry or the steel industry. Computation tests on instances from an industrial application are provided at the end of the paper.     

Confucius＇ Psychological Adjustment Strategies and Its Revelation for Teachers

孔子以丰厚的学识修养锻炼出成熟丰富的心理调适策略：树立崇高的价值取向；构建学习型生活方式；培养高雅的生活情趣；固守正确的交友观念；保持幽默的人生态度。这些策略对当代教师具有重要的借鉴意义。     

人力资源管理与企业战略、绩效关系研究的演进——基于企业环境的变化

高度动态化的环境作为当前企业面临的最大问题,导致不可预测性的增强。这将直接影响战略的制定和执行。因此,这一环境下的企业如何保持战略实施有效性和竞争优势可持续性成为企业发展道路上的关键。而在战略与绩效的关系中,人力资源作为企业关键的战略性资源是企业运作的基础,其管理起了非常重要的作用。本文通过对已有文献的详细梳理,概括出两类研究类型:战略和人力资源的匹配;人力资源的配置管理与实现绩效的关系。柔性化思想的提出,使人力资源研究有了新的方向。在环境变动这一前提下,人力资源柔性化的管理区别于传统意义上的管理。本文以动态环境的背景,围绕人力资源、战略、绩效三者的关系提炼出整合的演进框架,以更好地指导未来人力资源相关的研究。     

Spanish migrants to European Union countries: predictors of psychological adjustment / Españoles que emigran a países de la Unión Europea: predictores de su ajuste psicológico

In recent years, the migration of Spanish people to other countries in Europe has increased; however, there are hardly any studies on this phenomenon. The aim of this study is to identify the predictive sociodemographic and psychosocial factors of psychological adjustment (life satisfaction and absence of internalizing symptoms) of emigrants and to determine the indirect effects of these factors through perceived stress. This study also seeks to examine whether the psychological adjustment of Spanish emigrants was similar to Spanish non-emigrants. The sample was made up of a group of Spanish emigrants to Germany and England (n = 858) and an equivalent control group of Spanish non-emigrants (n = 328). The results show that fulfilment of expectations, emotional support and job quality are the best predictors of perceived stress and psychological adjustment. These factors are confirmed to have indirect effects on psychological adjustment through perceived stress. Finally, the mental health of emigrants and non-emigrants was similar, and the implications of these findings are discussed.     

Efficient heterogeneous sampling for stochastic simulation with an illustration in health care applications

In modeling disease transmission, contacts are assumed to have different infection rates. A proper simulation must model the heterogeneity in the transmission rates. In this article, we present a computationally efficient algorithm that can be applied to a population with heterogeneous transmission rates. We conducted a simulation study to show that the algorithm is more efficient than other algorithms for sampling the disease transmission in a subset of the heterogeneous population. We use a valid stochastic model of pandemic influenza to illustrate the algorithm and to estimate the overall infection attack rates of influenza A (H1N1) in a Canadian city.     

Scanner Data and the Treatment of Quality Change in Nonrevisable Price Indexes

The recently developed rolling year GEKS procedure makes maximum use of all matches in the data to construct nonrevisable price indexes that are approximately free from chain drift. A potential weakness is that unmatched items are ignored. In this article we use imputation Törnqvist price indexes as inputs into the rolling year GEKS procedure. These indexes account for quality changes by imputing the “missing prices” associated with new and disappearing items. Three imputation methods are discussed. The first method makes explicit imputations using a hedonic regression model which is estimated for each time period. The other two methods make implicit imputations; they are based on time dummy hedonic and time-product dummy regression models and are estimated on bilateral pooled data. We present empirical evidence for New Zealand from scanner data on eight consumer electronics products and find that accounting for quality change can make a substantial difference.     

孔子的心理调适策略及对教师的启示

孔子以丰厚的学识修养锻炼出成熟丰富的心理调适策略:树立崇高的价值取向;构建学习型生活方式;培养高雅的生活情趣;固守正确的交友观念;保持幽默的人生态度。这些策略对当代教师具有重要的借鉴意义。     

邓小平社会主义核心价值观教育思想探析

以泰州某大跨度连续梁桥的静动载试验为例，建立ANSYS和桥梁博士模型进行静动力有限元数值计算。将试验结果与模型计算值进行比较，试验结果表明,该桥结构刚度和承载能力满足设计要求。