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Stochastic Optimal Control Theory Applied in Finance
Ndondo Mboma Apollinaire,
Pandi Ngumba Amanda
Issue:
Volume 7, Issue 4, July 2022
Pages:
59-67
Received:
6 June 2022
Accepted:
4 July 2022
Published:
2 August 2022
DOI:
10.11648/j.mcs.20220704.11
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Abstract: In the field of investment, depending on their structures and in order to make the best decisions that are optimal, some companies are subject to some restrictions on their assets. And generally speaking, these constraints concern assets evolving in uncertainty. This paper focuses on studying a financial continuous-time Merton optimal investment problem in the case where there is a reallocation constraint with regard to the risky asset. Under this constraint, a certain rate is fixed such that the stock asset cannot be liquidated sooner than the rate. It is a stochastic control pure investment case for a large investor who faces a discounted infinite time horizon with utility function of only wealth, subject to a risk aversion coefficient. Our main goal is to characterise an optimal trading strategy for investors expecting high returns for low risks. We propose the dynamic programming method whose value function satisfies a nonlinear partial differential equation. Under homotheticity of the value function, a reduction of dimension is used in order to reduce the original two spatial dimensions problem to one dimension in a bounded domain. Numerical approximations are used to study the dynamic programming by finite difference discretisation and the convergence between the finite and the infinite time horizon problem is presented.
Abstract: In the field of investment, depending on their structures and in order to make the best decisions that are optimal, some companies are subject to some restrictions on their assets. And generally speaking, these constraints concern assets evolving in uncertainty. This paper focuses on studying a financial continuous-time Merton optimal investment pr...
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PolyAQG: An Automated Question Generation Framework Based on a Combination of Four Analytical Approaches
Tee Hean Tan,
Zaharin Yusoff
Issue:
Volume 7, Issue 4, July 2022
Pages:
68-74
Received:
26 July 2022
Accepted:
11 August 2022
Published:
17 August 2022
DOI:
10.11648/j.mcs.20220704.12
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Views:
Abstract: Automated Question Generation (AQG) that automatically generates questions from text effectively reduces the time and effort of educators in preparing and setting assessments questions. Since the 1970s, AQG researchers have proposed and applied a vast range of approaches to generate questions. With that, the PolyAQG Framework is proposed in this paper by combining four analytical AQG approaches into a framework to increase the number, the variety, and the quality of questions. The novelties offered by this PolyAQG Framework are highlighted in this paper. A prototype is developed under JavaFX platform and integrated with the Stanford NLP parser. From the 300 test sentences, the framework has successfully generated ten-times more questions with more than 85% of the generated questions were rated accurate and relevant. This test result revealed that the framework did successfully meet the three research objectives formulated for this study, as follows: First, a framework is developed by combining four analytical AQG techniques. Second, two phases are used to generate new sentences from the input and earlier phases are re-used to develop a new set of questions. Lastly, the generation of ontology-based questions phase does not merely generate distractors (typical in other ontology-based AQGs), but instead generates new sentences with ontology knowledge and uses them to create a new set of questions.
Abstract: Automated Question Generation (AQG) that automatically generates questions from text effectively reduces the time and effort of educators in preparing and setting assessments questions. Since the 1970s, AQG researchers have proposed and applied a vast range of approaches to generate questions. With that, the PolyAQG Framework is proposed in this pa...
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Experience in Creating Computer Training Programs for Metrologists
Issue:
Volume 7, Issue 4, July 2022
Pages:
75-80
Received:
29 April 2022
Accepted:
22 July 2022
Published:
31 August 2022
DOI:
10.11648/j.mcs.20220704.13
Downloads:
Views:
Abstract: In the summer of 2001, a description of the international project COMET (EU) was presented, aimed at developing multimedia for teaching in the field of measurements and metrology. The introduction of multimedia for teaching in the field of metrology and measurements is relevant, as it allows for distance learning for students. Metrology and measurement has a key position in science, research, production, testing and certification. Information and communication technologies make it possible to effectively use both traditional and innovative means and forms of education. The use of information technology makes it possible to create distance learning for students. Modeling of measuring equipment and software development are introduced when creating computer laboratory work, which allows you to get a good result. The article deals with the issue of using computer training programs in the preparation of metrologists at the Department of Information and Measurement Technologies of the National Technical University of Ukraine "Kyiv Polytechnic Institute named after. I. Sikorsky", work started in the early 2000s. A simulation program for computerized laboratory work used in the course "Testing and conformity assessment" in the preparation of bachelors. When studying the discipline, there are difficulties associated with the need to acquire skills to work on real physical devices and layouts. Therefore, simulation models of measuring instruments are as close as possible to real instruments. When verifying multivalued resistance measures, DC bridges and resistance comparators complete with reference resistance measures; DC potentiometers combined with resistance measures. This work is devoted to the verification of a multi-valued resistance measure using a resistance comparator and a set of reference multi-valued resistance measures. The work includes: theoretical information, description of the simulation model, technical and metrological characteristics of measuring instruments used in the measurement; methods for determining the parameters of verification procedures; description of the procedure for conducting measurement experiments.
Abstract: In the summer of 2001, a description of the international project COMET (EU) was presented, aimed at developing multimedia for teaching in the field of measurements and metrology. The introduction of multimedia for teaching in the field of metrology and measurements is relevant, as it allows for distance learning for students. Metrology and measure...
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