Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging

Based on the Partial Distribution (Feng Dai, 2001), a new model to price an asset (MPA) is given. Going a step further, this paper puts forward the Multivariate Partial Distribution (MPD) for the first time. By use of MPD, we could gain a new kind of model for pricing the group assets (MPGA), in which the competition and cooperation are considered. Based on MPGA, the integrated risk of group assets can be divided to hedging risk and independent risk, and the corresponding models are given. So we could analyze the price risk of group assets in more particular way. The conclusions show that assets are hedged in simple way of one to one can not eliminates completely their market risk in many cases. So there should be an optimal ratio between underlying asset and its derivative in hedging. The approach to determine the optimal ratio in hedging is offered in this paper. By the MPA and MPGA, we also could interpret five of interesting economic propositions in analytic way.multivariate Partial Distribution; pricing assets; group assets; risk analysis; optimal hedging

Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging

Based on the Partial Distribution (Feng Dai, 2001), a new model to price an asset (MPA) is given. Going a step further, this paper puts forward the Multivariate Partial Distribution (MPD) for the first time. By use of MPD, we could gain a new kind of model for pricing the group assets (MPGA), in which the competition and cooperation are considered. Based on MPGA, the integrated risk of group assets can be divided to hedging risk and independent risk, and the corresponding models are given. So we could analyze the price risk of group assets in more particular way. The conclusions show that assets are hedged in simple way of one to one can not eliminates completely their market risk in many cases. So there should be an optimal ratio between underlying asset and its derivative in hedging. The approach to determine the optimal ratio in hedging is offered in this paper. By the MPA and MPGA, we also could interpret five of interesting economic propositions in analytic way.Multivariate Partial Distribution pricing assets group assets risk analysis optimal hedging

Creep fatigue life assessment of a pipe intersection with dissimilar material joint by linear matching method

As the energy demand increases the power industry has to enhance both efficiency and environmental sustainability of power plants by increasing the operating temperature. The accurate creep fatigue life assessment is important for the safe operation and design of current and future power plant stations. This paper proposes a practical creep fatigue life assessment case of study by the Linear Matching Method (LMM) framework. The LMM for extended Direct Steady Cycle Analysis (eDSCA) has been adopted to calculate the creep fatigue responses due to the cyclic loading under high temperature conditions. A pipe intersection with dissimilar material joint, subjected to high cycling temperature and constant pressure steam, is used as an example. The closed end condition is considered at both ends of main and branch pipes. The impact of the material mismatch, transitional thermal load, and creep dwell on the failure mechanism and location within the intersection is investigated. All the results demonstrate the capability of the method, and how a direct method is able to support engineers in the assessment and design of high temperature component in a complex loading scenario