The return of financial asset usually has a characteristic of fluctuation clustering with sharp peaks and fat tails,not complying with the normal distribution.Therefore,the nonlinear correlation should be considered when measuring the risk of an investment portfolio.In this respect,copula functions provide a fairly new approach for connecting the marginal distributions of nonlinear series in the high-dimensional risk assessment of portfolio.However,it is noteworthy that two challenging problems exist in this field:one is how to choose or construct an appropriate copula function,the other is how to estimate model parameters.To address these issues,a novel M-Copula-SV-t model is proposed in this paper.Specifically,SV-t model is first employed to fit the marginal distributions of financial time series,where MCMC method with Gibbs sampling are used to estimate marginal parameters;then an M-Copula function consisted of linearly combined Archimedean Copulas is designed to jointly connect these marginals,where joint model parameters are estimated by MLE and BFGS algorithm;afterwards Monte Carlo technique is adopted to simulate optimal portfolios under minimal values of VaR and CVaR.The model feasibility and effectiveness is fruther vertified by taking an example of four exchange rates,where the empirical results indicate that our mixture modeling outperforms other individual Archimedean Copula modeling in dealing with the issue of dimensionality curse,and capturing asymmetry and tailed fatness of portfolio analysis.Therefore,our proposed model contributes to the literature of intra-market portfolio management,and provides valuable suggestions for international investors with respect to short-term decisions.

通过对2010年至2012年在创业板上市的268家企业进行实证分析,发现我国创业板IPO抑价率在逐年下降,由2010年的42.98%下降到2012年的21.62%;创业板上市企业中的风险投资参与度超过70%,持股比例超过15%,并且二者都有逐年上升的趋势;风险投资由于处在初级阶段,对企业影响力较弱,导致对创业板IPO抑价率的影响较小;同时风险投资对创业板IPO抑价率的影响发生了由正到负的方向性转变,二者之间的影响机制由逐名效应转变为认证和监督效应,这种机制的转变可能是由风险投资机构的发展以及政策法规的合理引导所促成的.最后针对风险投资如何积极地降低创业板IPO抑价率,提出了建议.

本文就膜-生物反应器中溶解性微生物产物的生成特性及其影响的研究进展进行了总结.在膜生物反应器中,膜的高效固液分离作用在提高系统容积负荷和出水水质的同时,也使生物反应器成为一个相对封闭的系统.以腐殖质、多糖、蛋白质等物质为主要成分的溶解性微生物产物是生物处理出水中溶解性TOC或COD的主要组成部分,主要产生于微生物的基质分解过程和内源呼吸过程,其高分子物质的含量较多且可生物降解性较差,因此,在膜-生物反应器中会出现积累.溶解性微生物产物的过高积累不仅有可能降低膜过滤出水的水质稳定性,而且有可能影响污泥活性,并引起膜污染.进水浓度和污泥浓度是影响溶解性微生物产物产生量的重要因素.目前有关膜-生物反应器中溶解性微生物产物的研究还很不完善,有很多问题需进一步研究.

综述了地下水中的硝酸盐采用化学反硝化方法进行处理的最新研究进展.与生物反硝化法相比,化学反硝化法具有潜在的经济优势和对小型及分散给水处理的适应性.以铁为代表的活泼金属还原法的特点是还原剂价格低廉、来源广泛,但反硝化的产物主要是氨氮.化学催化反硝化方法被认为是最有应用前景的脱除地下水中硝酸盐的方法,但受反应过程中传质因素的限制,目前在催化活性和选择性方面还不够理想.