46 research outputs found
Allocation of risk capital based on iso-entropic coherent risk measure
No full textJournal of Industrial Engineering and Management
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Home > Vol 8, No 2 (2015) > Zheng
Allocation of risk capital based on iso-entropic coherent risk measure
Chengli Zheng, Yan Chen
Abstract
Purpose: The potential of diversified portfolio leads to the risk capital allocation problem. There are many kinds of methods or rules to allocate risk capital. However, they have flaws, such as non-continuity, unfairness. In order to get a better method, we propose a new risk measure to be the base of risk capital allocation rule.
Design/methodology/approach: We proposed two kinds of allocation methods: one is marginal risk contribution based on iso-entropic coherent risk measure(IE), the other one is to combine the minimal excess allocation(EBA) principle and IE into risk capital allocation. The iso-entropic coherent risk measure has many advantages over others; it is continuous and more powerful in distinguishing risks, consistent with higher-order stochastic dominances than other risk measures. And EBA is consistent with the amount of risk, which means fairness for risk capital allocation.
Findings: Through cases, simulations and empirical application, it shows that these two allocation rules satisfy some good properties, can be more efficient, more precise and fairer. And the EBA based on IE may be the better one.
Research limitations/implications: However, there are some problems still open. One is how to treat the negative value of allocation. Second is that the consistence between the allocated risk capital and the amount of the risk needs to be studied further.
Originality/value: A good risk measure is very important for risk capital allocation. We proposed two methods to deal with risk capital allocation based on a new coherent risk measure called iso-entropic risk measure, which is smooth and consistent with higher-order stochastic dominance and has higher resolution of risk. It shows that the risk capital allocation rules based on iso-entropic risk measure are better than the other rules
Pneumocystis jirovecii dihydropteroate synthase gene mutations in a group of HIV-negative immunocompromised patients with Pneumocystis pneumonia
No full textThe purpose of this study was to investigate dihydropteroate synthase (DHPS) mutations and their clinical context in non-HIV-infected patients with Pneumocystis pneumonia (PCP). DHPS genes in respiratory samples collected from HIV-negative patients with PCP presented between January 2008 and April 2011 were amplified by polymerase chain reaction (PCR) and sequenced. Basic clinical data from the medical records of the patients were also reviewed. The most common point mutations, which result in Thr55Ala and Pro57Ser amino acid Substitutions, were not detected in the Pneumocystis jirovecii sampled from the HIV-negative patients. Two other point mutations, which result in nonsynonymous mutation, Asp90Asn and Glu98Lys, were identified in P. jirovecii from two patients. Among the patients, the levels of lactate dehydrogenase (LDH), C-reactive protein (CRP) and plasma (1-3) beta-D-glucan were elevated in 75, 92.31 and 42.86% of patients, respectively. The percentage of circulating lymphocytes was significantly lower in non-survivors than in survivors [4.2%, interquartile range (IQR) 2.4-5.85 versus 10.1%, IQR 5.65-23.4; P=0.0191. The neutrophil proportion in bronchoalveolar lavage fluid (BALF) was significantly higher in non-survivors than in survivors (49.78 +/- 27.67 versus 21.33 +/- 15.03%; P=0.047). Thirteen patients had received adjunctive corticosteroids (1 mg/kg/day prednisone equivalent) and nine (69.23%) of them eventually experienced treatment failure. No common DHPS gene mutations of P. jirovecii were detected in the HIV-negative PCP patients. However, other mutations did exist, the significance of which remains to be further identified. The elevation of neutrophil counts in BALF and reduction of the number of lymphocytes in peripheral blood may be associated with poor outcome. The efficacy of adjunctive steroid therapy in HIV-negative patients with P. jirovecii infection requires further investigation.Medicine, Research & ExperimentalSCI(E)[email protected]
Preliminary Study of CPET in Patients With Central Airway Obstruction
No full textCPCI-S(ISTP)41116A-1116A15
Allocation of risk capital based on iso-entropic coherent risk measure
No full textJournal of Industrial Engineering and Management
OmniaScience
User
Username
Password
Remember me
Scholar Sponsorship
- UPC BarcelonaTech
- Beijing Jiaotong University
- UPV
- UPCT
Article Tools
Indexing metadata
Supplementary files
Finding References
Review policy
Email this article (Login required)
Email the author (Login required)
Printed Edition
News
Indexing
SJR (Scopus)
SCImago Journal & Country Rank
See more: DOAJ, InRecs...
Journal Content Search
Browse
By Issue
By Author
By Title
Information
For Readers
For Authors
For Librarians
Visitors
Locations of visitors to this page
Home About Log In Archives Submissions Publication fee Indexing & Statistics
Home > Vol 8, No 2 (2015) > Zheng
Allocation of risk capital based on iso-entropic coherent risk measure
Chengli Zheng, Yan Chen
Abstract
Purpose: The potential of diversified portfolio leads to the risk capital allocation problem. There are many kinds of methods or rules to allocate risk capital. However, they have flaws, such as non-continuity, unfairness. In order to get a better method, we propose a new risk measure to be the base of risk capital allocation rule.
Design/methodology/approach: We proposed two kinds of allocation methods: one is marginal risk contribution based on iso-entropic coherent risk measure(IE), the other one is to combine the minimal excess allocation(EBA) principle and IE into risk capital allocation. The iso-entropic coherent risk measure has many advantages over others; it is continuous and more powerful in distinguishing risks, consistent with higher-order stochastic dominances than other risk measures. And EBA is consistent with the amount of risk, which means fairness for risk capital allocation.
Findings: Through cases, simulations and empirical application, it shows that these two allocation rules satisfy some good properties, can be more efficient, more precise and fairer. And the EBA based on IE may be the better one.
Research limitations/implications: However, there are some problems still open. One is how to treat the negative value of allocation. Second is that the consistence between the allocated risk capital and the amount of the risk needs to be studied further.
Originality/value: A good risk measure is very important for risk capital allocation. We proposed two methods to deal with risk capital allocation based on a new coherent risk measure called iso-entropic risk measure, which is smooth and consistent with higher-order stochastic dominance and has higher resolution of risk. It shows that the risk capital allocation rules based on iso-entropic risk measure are better than the other rules.Peer Reviewe
Erratum
No full textIn the article by Chengli Tien, Huai-Chun Lo, and Hsiou-Wei Lin titled “The Economic Benefits of Mega Events: A Myth or a Realty? A Longitudinal Study on the Olympic Games” appearing in JSM 25(1) January 2011, the author addresses should have been identified in the footnote as Taipei, Republic of China (Taiwan). We regret the error.</jats:p
p<sup>+</sup> poly-Si(O<sub>x</sub>) passivating contacts for double-side textured c-Si solar cell
No full textSilicon solar cells account for about 95% of the total photovoltaic market share. Poly-Si passivating contacts are promising techniques enabling high performance c-Si solar cells with conversion efficiency over 26.0%. The highly absorptive nature of poly-Si materials makes the transparent passivating contacts attractive, such as poly-Si(Ox). However, the research of p+ poly-Si(Ox) passivating contacts on a textured surface with an in-situ doping nature is still missing. Therefore, in this thesis, the optimization of p+ poly-Si(Ox) carrier selective passivating contacts on double side textured wafers are given and the application in solar cells is demonstrated.Firstly, the influences of different interfacial tunnelling oxides fabrication methods, nitric acid oxidation of silicon (NAOS-SiOx), plasma assisted N2O oxidation (PANO-SiOx), and thermal oxidation (t-SiOx) on the passivation of p+ poly-Si(Ox) passivating contacts are explored. It is found that Si4+ stoichiometry in the tunnelling oxide layer is an indicator for its quality. There is a positive correlation between Si4+ and SiOx density. The t-SiOx can be denser with higher Si4+ compared to its counterparts NAOS-SiOx and PANO-SiOx. And fewer boron dopants in-diffuse phenomenon can be observed in the t-SiOx samples. Then, different intrinsic layer deposition approaches are explored. The intrinsic layer deposited by LPCVD results in higher iVoc compared to PECVD counterpart. The enhanced iVoc is given by suppressing the blistering which is caused by hydrogen accumulation at the interface between intrinsic layer and SiOx. It is assumed that less hydrogen accumulation exists in intrinsic layer deposited by LPCVD. Next, p+ doping layer thickness is changed from 0 nm to 200 nm to observe its effect on the passivation quality. The optimum p+ doping layer thickness is found to be 100 nm with the highest iVoc. After that, the hydrogenation process is introduced to enhance chemical passivation by coating SiNx:H and performing forming gas annealing. The highest iVoc with the standard hydrogenation process is 674 mV. In order to improve the hydrogen level of p+ poly-Si(Ox) passivating contacts, AlOx:H inserted layer is used for the hydrogen reservoir together with SiNx:H. It results in an improved iVoc of 685 mV. It is assumed that the hydrogen in AlOx:H diffuses into c-Si/p+ poly-Si(Ox) interface and enhances the chemical passivation.Besides, metallization methods of p+ poly-Si(Ox) passivity contacts are also studied. There are two approaches to complete the metallization process. Firstly, with thin p+ poly-Si(Ox) passivating contacts, TCO is required to provide with the lateral and vertical carrier transport as respect to the carrier collection. However, it commonly brings with the TCO introduced sputtering damage. The iVoc losses are 70-90 mV when TCO is sputtered on p+ poly-Si(Ox) passivating contacts. When the thickness of p+ doping layer is over 50 nm, sufficient lateral conductivity can be provided with thick p+ poly-Si(Ox) passivating contacts. Therefore, it can directly contact with metal which is the second method of metallization. However, when utilizing this metallization method, the metal induced recombinations need to be taken into consideration when contacting with p+ poly-Si(Ox) passivating contacts. Thus, the plot of Jo,total along with different metal fractions is fitted to extract Jo,metal of p+ poly-Si(Ox) passivating contacts with 100 nm p+ doping layer. When contacting with evaporated aluminum, the measured Jo,metal is around 91 fA/cm2. In addition, after calculating, there is 24 mV iVoc loss when p+ poly-Si(Ox) passivating contacts contacting with metal. It is smaller than the loss induced by TCO sputtering. Therefore, the thick p+ poly-Si(Ox) passivating contacts with 100 nm p+ doping layer directly contacting with metal is used as metallization method for the application in c-Si solar cell. In addition, after linear fitting and calculating, ρc between p+ poly-Si(Ox) passivating contacts with 100 nm boron doped layer and c-Si is about 23 mΩ· cm2.Finally, p+ poly-Si(Ox) passivating contact is applied in c-Si solar cells together with n+ poly-Si(Ox) passivating contact as front surface field. The poly-poly solar cell of the highest quality has the following electrical performance: Voc is 648 mV, Jsc is 35.9 mA/cm2, FF is 73.1% and η is 17.0%. A roadmap to realize 22% is given by addressing the bottlenecks of poly-Si(Ox) passivating contacts based c-Si solar cells.Electrical Engineering | Sustainable Energy Technolog
Identification of Velcro rales based on Hilbert-Huang transform
No full textVelcro rales, as a kind of crackles, are relatively specific for lung fibrosis and usually the first clinical clue of interstitial lung disease (ILD). We proposed an automatic analytic tool based on Hilbert-Huang transform (HHT) for the computerized identification of Velcro rales. In particular, HHT was utilized to extract the energy weight in various frequency bands (EWFB) of crackles and to calculate the portion of crackles during late inspiration. Support vector machine (SVM) based on the HHT-derived measures was used to differentiate Velcro rales from other crackles. We found that there were significant differences in the extracted parameters between Velcro rales and other crackles, including EW75-200, EW500-1000 and the proportion of crackles that appeared during the late inspiration. The discrimination results obtained from SVM achieved a concordance rate up to 92.20% +/- 1.80% as confirmed by the diagnosis from experienced physicians. For practical purpose, the proposed approach may have potential applications to improve the sensitivity and accuracy of auscultation and conduct automatic ILD diagnose system. (C) 2014 Elsevier B.V. All rights reserved.Physics, MultidisciplinarySCI(E)[email protected]; [email protected]
Effect of pulse voltage amplitude on electrohydrodynamic cone jetting behavior of non particle nano Ag conductive ink
No full textA Case of Pulmonary Nocardiosis Presenting with Multiple Cavitary Nodules in a Patient with Thrombocytopenia
No full textNocardiosis is an infrequent opportunistic infection that deserves more attention because of its increasing morbidity and high rate of misdiagnosis. Clinical and radiological manifestations as well as antibiograms of pulmonary nocardiosis are diverse. Herein, we report a patient with idiopathic thrombocytopenia treated with glucocorticoids, which later presented with severe pulmonary infection with widely distributed nodules on chest computed tomography. Fungal infection or tuberculosis was under initial suspicion and microbiological tests of bronchoalveolar lavage fluid eventually yielded an affirmative result of Nocardia cyriacigeorgica. The patient responded in the beginning; however, therapeutic strategies had to be altered several times due to adverse events. The patient eventually ended up with radiographic resolution at the end of six months. We wish to share some experience in dealing with this disease especially recognizing pulmonary nocardiosis in computed tomography imaging
