35 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
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
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By Issue
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By Title
Information
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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
Cytochrome b5 null mouse: a new model for studying inherited skin disorders and the role of unsaturated fatty acids in normal homeostasis
No full textMicrosomal cytochrome b (5) is a ubiquitous, 15.2 kDa haemoprotein implicated in a number of cellular processes such as fatty acid desaturation, drug metabolism, steroid hormone biosynthesis and methaemoglobin reduction. As a consequence of these functions this protein has been considered essential for life. Most of the ascribed functions of cytochrome b (5), however, stem from in vitro studies and for this reason we have carried out a germline deletion of this enzyme. We have unexpectedly found that cytochrome b (5) null mice were viable and fertile, with pups being born at expected Mendelian ratios. However, a number of intriguing phenotypes were identified, including altered drug metabolism, methaemoglobinemia and disrupted steroid hormone homeostasis. In addition to these previously identified roles for this protein, cytochrome b (5) null mice displayed skin defects closely resembling those observed in autosomal recessive congenital ichthyosis and retardation of neonatal development, indicating that this protein, possibly as a consequence of its role in the de novo biosynthesis of unsaturated fatty acids, plays a central role in skin development and neonatal nutrition. Results from fatty acid profile analysis of several tissues suggest that cytochrome b (5) plays a role controlling saturated/unsaturated homeostasis. These data demonstrate that regional concentrations of unsaturated fatty acids are controlled by endogenous metabolic pathways and not by diet alone
Effect of pulse voltage amplitude on electrohydrodynamic cone jetting behavior of non particle nano Ag conductive ink
No full textInvestor sentiment and stock index: A test of causality based on vector error correction model
No full text
