Optimal Dynamic Portfolio with Mean-CVaR Criterion

Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of Neyman-Pearson type binary solution. We add a constraint on expected return to investigate the Mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz type of risk reward problem at final horizon where variance as a measure of risk is replaced by CVaR. Based on the complete market assumption, we give an analytical solution in general. The novelty of our solution is that it is no longer Neyman-Pearson type where the final optimal portfolio takes only two values. Instead, in the case where the portfolio value is required to be bounded from above, the optimal solution takes three values; while in the case where there is no upper bound, the optimal investment portfolio does not exist, though a three-level portfolio still provides a sub-optimal solution

Simultaneous Bidirectional Link Selection in Full Duplex MIMO Systems

In this paper, we consider a point to point full duplex (FD) MIMO communication system. We assume that each node is equipped with an arbitrary number of antennas which can be used for transmission or reception. With FD radios, bidirectional information exchange between two nodes can be achieved at the same time. In this paper we design bidirectional link selection schemes by selecting a pair of transmit and receive antenna at both ends for communications in each direction to maximize the weighted sum rate or minimize the weighted sum symbol error rate (SER). The optimal selection schemes require exhaustive search, so they are highly complex. To tackle this problem, we propose a Serial-Max selection algorithm, which approaches the exhaustive search methods with much lower complexity. In the Serial-Max method, the antenna pairs with maximum "obtainable SINR" at both ends are selected in a two-step serial way. The performance of the proposed Serial-Max method is analyzed, and the closed-form expressions of the average weighted sum rate and the weighted sum SER are derived. The analysis is validated by simulations. Both analytical and simulation results show that as the number of antennas increases, the Serial-Max method approaches the performance of the exhaustive-search schemes in terms of sum rate and sum SER

The Mistranslation of James Legge in A Record of Buddhistic Kingdoms from Eco-Environment Translation Theory

Fo Guo Ji, known as A Record of Buddhistic Kingdom, was written by Chinese Monk Fa Xian in the Eastern Jin Dynasty. It is more a travel documentary than an exotic sceneries miracle stories; and place-legends. It has been regarded as one of the most significant classics that probed into the South Asian culture, religion. This paper deals with James Legge’s English translation of Fo Guo Ji from the perspective of translation ecology. Eco-translatology is put forward by Michael Cronin and met with new result when Hong Kong scholar Hu Gengshen put the three properties of language, to be exact, the characteristics of variability of language in both language structure and context is possible, it follows negotiability in the process of using language and the adaptability is required in eco-environment setting. In light of eco-translation theory, this paper aims at exploring the factors influencing James Legge’s English translation by analysizing the text as well as providing a new angle to interpret James Legge’s translation to Chinese classics

Doctor of Philosophy

dissertationTraffic congestion occurs because the available capacity cannot serve the desired demand on a portion of the roadway at a particular time. Major sources of congestion include recurring bottlenecks, incidents, work zones, inclement weather, poor signal timing, and day-to-day fluctuations in normal traffic demand. This dissertation addresses a series of critical and challenging issues in evaluating the benefits of Advanced Traveler Information Strategies under different uncertainty modeling approaches are integrated in this dissertation, namely: mathematical programming, dynamic simulation and analytical approximation. The proposed models aim to 1) represent static-state network user equilibrium conditions, knowledge quality and accessibility of traveler information systems under both stochastic capacity and stochastic demand distributions; 2) characterize day-to-day learning behavior with different information groups under stochastic capacity and 3) quantify travel time variability from stochastic capacity distribution functions on critical bottlenecks. First, a nonlinear optimization-based conceptual framework is proposed for incorporating stochastic capacity, stochastic demand, travel time performance functions and varying degrees of traveler knowledge in an advanced traveler information provision environment. This method categorizes commuters into two classes: (1) those with access to perfect traffic information every day, and (2) those with knowledge of the expected traffic conditions across different days. Using a gap function framework, two mathematical programming models are further formulated to describe the route choice behavior of the perfect information and expected travel time user classes under stochastic day-dependent travel time. This dissertation also presents adaptive day-to-day traveler learning and route choice behavioral models under the travel time variability. To account for different levels of information availability and cognitive limitations of individual travelers, a set of "bounded rationality" rules are adapted to describe route choice rules for a traffic system with inherent process noise and different information provision strategies. In addition, this dissertation investigates a fundamental problem of quantifying travel time variability from its root sources: stochastic capacity and demand variations that follow commonly used log-normal distributions. The proposed models provide theoretically rigorous and practically usefully tools to understand the causes of travel time unreliability and evaluate the system-wide benefit of reducing demand and capacity variability

A Comparative Study on Kung Hungming’s Version and Waley’s Version of the Analects “Lun Yu” from Adaptation Theory

The Analects, Chinese original name Lun Yu, as the most important Confucius book, has enjoyed its powerful vitality with its enduring influence in Sinology home and abroad. People have made many attempts to explore its problems of translations, hoping to account for factors behind individual versions of Lun Yu. However, what the researchers based either on language-oriented or culture-oriented theory, a systematic study is on demand with the development on Confucianism research. This thesis explores two English versions of Lun Yu in light of the adaptation theory of Translational ecology. It provides a new way to interpret Lun Yu as the representative cultural classic. The research objective can be attained as: in light of Verscheren’s adaptation theory, different translations of Lun Yu can be investigated comprehensively at the Language-internal and the language-external levels. The adaptation theory can manifest the translators’ subjectivity according to different eco-translational environment. Moreover, the research focuses on Kung Hung ming’s translation version and Arther Waley’s version with their distinct features which can thrown light on the readers to understand Lun Yu from a new perspective. In this thesis, a descriptive approach is adopted in the comparative analysis on the two versions of Lun Yu. This research can provide an attempting and concept for the broader context of translation study

Intrinsic Modulation Response Modeling and Analysis for Lithographic Vertical-Cavity Surface-Emitting Lasers

Vertical-cavity surface-emitting lasers (VCSELs) have been greatly improved and successfully commercialized over the past few decades owing to their ability to provide both mode and current confinement that enables low energy consumption, high efficiency and high modulation speed. However, further improvement of oxide VCSELs is limited by the nature of the oxide aperture because of self-heating, internal strain and difficulties in precise size control. In this dissertation, VCSELs using lithographic approach are demonstrated to overcome the limitations of oxide VCSELs, in which an intra-cavity phase shifting mesa is applied to define the device size and provide optical mode and electrical current confinement instead of an oxide aperture. A newly developed model of intrinsic modulation response is proposed and analyzed to focus on the thermal limit of the modulation speed of VCSELs. The results show that both the temperature dependent differential gain and stimulated emission rate impact laser speed and the stimulated emission rate dominates the speed limit. Thermal limits of modulation response are compared for oxide and lithographic VCSELs for various sizes. The results predict that the intrinsic modulation response can be significantly increased by using lithographic VCSELs due to low thermal resistance and reduced mode volume while maintaining high efficiency. The intrinsic bandwidth could exceed 100 GHz for a 2-?m-diameter lithographic VCSEL. Combined with low electrical parasitics, it is expected to produce over 100 Gb/s data rate from a single directly modulated laser. VCSELs designed for high speed are discussed and their characteristics are demonstrated

Essays on liquidity and risk management

This thesis consists of three independent essays on stock liquidity, corporate cash holdings, and financial institution earnings risk. The first study examines the relationship between stock liquidity and the difference in domestic and foreign market prices for a sample of 650 international firms cross-listed on a U.S. stock exchange. The study exploits the 2001 change to decimalization pricing and the 2003 U.S. dividend tax cut as quasi-natural experiments and finds that ADR liquidity decreases the absolute value of the ADR premium. The paper documents a positive relationship between liquidity and price discovery as well as a liquidity effect on the price convergence between the ADRs and their underlying shares. The second study focuses on corporate cash holdings as a mechanism of risk management. The paper documents a diversification effect on cash for a large sample of international firms, and examines the impact of agency costs, financial constraints and product market competition on the relationship between diversification and cash holdings. The results show that weak product market competition can weaken or even reverse the negative diversification effect on cash holdings. Weak country-level shareholder protection helps explain the weak diversification effect to a smaller degree, whereas financial constraints strengthen the diversification effect. Further, the competition effect is stronger for innovative, high R&D intensity firms and for firms with high uncertainty of sales and productivity growth. The third study analyzes the impact of deposit insurance design on the earnings uncertainty of financial cooperatives. The 2008 amendment to the Financial Institutions Act in the province of British Columbia resulted in an economically and statistically significant decrease in the credit unions\u27 earnings uncertainties. The policy spurred deposit growth, but instead of an increase in lending, credit unions grew their capital-to-asset ratio. The results support the hypothesis that an unlimited insurance coverage boosts depositors\u27 confidence and increases the flow of funds to the insured cooperatives. The paper does not find support for the moral hazard hypothesis where full deposit insurance increases risk-taking and creates liquidity risk by attracting wholesale funds