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Solving Markov Decision Processes with Downside Risk Adjustment

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International Journal of Automation and computing 2016年第3期13卷 235-245页

作者： Abhijit Gosavi Anish Parulekar 219 Engineering Management Building Department of Engineering Management and Systems Engineering Missouri University of Science and Technology Rolla MO 65409 USA axis bank Mumbai India

Markov decision processes （MDPs） and their variants are widely studied in the theory of controls for stochastic discrete- event systems driven by Markov chains. Much of the literature focusses on the risk-neutral criterion in which the expected rewards, either average or discounted, are maximized. There exists some literature on MDPs that takes risks into account. Much of this addresses the exponential utility （EU） function and mechanisms to penalize different forms of variance of the rewards. EU functions have some numerical deficiencies, while variance measures variability both above and below the mean rewards; the variability above mean rewards is usually beneficial and should not be penalized/avoided. As such, risk metrics that account for pre-specified targets （thresholds） for rewards have been considered in the literature, where the goal is to penalize the risks of revenues falling below those targets. Existing work on MDPs that takes targets into account seeks to minimize risks of this nature. Minimizing risks can lead to poor solutions where the risk is zero or near zero, but the average rewards are also rather low. In this paper, hence, we study a risk-averse criterion, in particular the so-called downside risk, which equals the probability of the revenues falling below a given target, where, in contrast to minimizing such risks, we only reduce this risk at the cost of slightly lowered average rewards. A solution where the risk is low and the average reward is quite high, although not at its maximum attainable value, is very attractive in practice. To be more specific, in our formulation, the objective function is the expected value of the rewards minus a scalar times the downside risk. In this setting, we analyze the infinite horizon MDP, the finite horizon MDP, and the infinite horizon semi-MDP （SMDP）. We develop dynamic programming and reinforcement learning algorithms for the finite and infinite horizon. The algorithms are tested in numerical studies an

关键词： Downside risk Markov decision processes reinforcement learning dynamic programming targets thresholds.

Sharing China’s bank Restructuring Bill

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China & World Economy 2006年第3期14卷 19-37页

作者： Guonan Ma Senior Economist the Representative Office for Asia and the Pacific of Bank for International Settlements （BIS）

This paper addresses the questions related to the cost of China＇s bank restructuring and how it has been financed. We first propose a framework for recognizing losses. Then, we examine the recent major moves by the Chinese Government to repair the country. ＇s bank balance sheets. Finally, we explore the implications of the Chinese Government＇s methods offunding bank restructuring. We find that the Chinese Government has been decisive in confronting the costly task of bank restructuring. So far, Chinese taxpayers have paid most of the bill for bank restructuring.

关键词： China bank restructuring non-performing loans recapitalization

FinTech in Taiwan:a case study of a bank’s strategic planning for an investment in a FinTech company

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Financial Innovation 2016年第1期2卷 186-201页

作者： Jui-Long Hung Binjie Luo Boise State University BoiseUSA Agricultural bank of China SichuanChina

Introduction:Since 2015 is the year of FinTech in Taiwan,it is worth investigating the challenges that emerged when banks were encouraged to invest in FinTech companies for *** study aims to identify the strategic considerations in the process of searching for FinTech investment *** description:This study used a case study investigation of a top-5 bank in *** major data sources include the meeting notes of the FinTech investment task force and interviews with the team ***-opetition theory was adopted as the theoretical framework and interview questions were derived from the PARTS strategies in co-petition *** results relate to:(1)the strategic goals of FinTech investment,(2)the added value from FinTech companies,(3)criteria in selecting candidates in the same FinTech area,(4)choosing to work as either a cooperator or a competitor,and(5)barriers from policies and *** and evaluation:This study has several findings:(1)regulations and policies shape FinTech’s development;(2)banks,technology companies,and customers are not“FinTech ready;”(3)Compare top-down with bottom up strategies;(4)banks and FinTech companies have complex relationships;(5)it is unlikely that Taiwan will produce FinTech disruptors in the near ***:The findings and discussion can benefit researchers and administrators in finance-related *** studies are desired to observe long-term development in terms of how companies collaborate or compete in specific FinTech areas.

关键词： FinTech Taiwan FinTech Industry Investment in FinTech bank 3.0 Taiwan bank industry Co-opetition Theory PARTS

Dynamic system uncertainty propagation using polynomial chaos

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Chinese Journal of Aeronautics 2014年第5期27卷 1156-1170页

作者： Xiong Fenfen Chen Shishi Xiong Ying School of Aerospace Engineering Beijing Institute of Technology bank of America

The classic polynomial chaos method（PCM）, characterized as an intrusive methodology,has been applied to uncertainty propagation（UP） in many dynamic systems. However, the intrusive polynomial chaos method（IPCM） requires tedious modification of the governing equations, which might introduce errors and can be impractical. Alternative to IPCM, the non-intrusive polynomial chaos method（NIPCM） that avoids such modifications has been developed. In spite of the frequent application to dynamic problems, almost all the existing works about NIPCM for dynamic UP fail to elaborate the implementation process in a straightforward way, which is important to readers who are unfamiliar with the mathematics of the polynomial chaos theory. Meanwhile, very few works have compared NIPCM to IPCM in terms of their merits and applicability. Therefore, the mathematic procedure of dynamic UP via both methods considering parametric and initial condition uncertainties are comparatively discussed and studied in the present paper. Comparison of accuracy and efficiency in statistic moment estimation is made by applying the two methods to several dynamic UP problems. The relative merits of both approaches are discussed and summarized. The detailed description and insights gained with the two methods through this work are expected to be helpful to engineering designers in solving dynamic UP problems.

关键词： Dynamic system Gliding trajectory Intrusive polynomial chaos Non-intrusive polynomial chaos Uncertainty propagation Uncertainty quantification

A New Approach for Global Economic Governance:The New Development bank’s Role

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Contemporary World 2023年第5期 22-27页

作者： [Brazil]Dilma Rousseff New Development bank

THE GLOBAL ECONOMIC DYNAMICS AND ITS CHALLENGES,In our contemporary era,the world grapples with a profound sense of uncertainty,marked by a confluence of crises:a severe climate crisis,a stark surge in inequality,sluggish economic growth,and the rise of trade *** challenges intertwine with the disruption of global value chains,geopolitical turbulence and multifaceted conflicts,collectively fostering an environment where instability and insecurity have become the norm.

关键词： collective inequality turbulence

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A Buffer Management Scheme for Packet Queues in MANET

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Tsinghua Science and Technology 2013年第6期18卷 543-553页

作者： Muhammad Aamir Mustafa A.Zaidi Department of Technology Support National Bank Department of Computing SZABIST

We introduce a new scheme of buffer management to handle packet queues in Mobile Ad hoc Networks （MANETs） for fixed and mobile nodes. In this scheme, we try to achieve efficient queuing in the buffer of a centrally communicating MANET node through an active queue management strategy by assigning dynamic buffer space to all neighboring nodes in proportion to the number of packets received from neighbors and hence controlling packet drop probabilities. Our simulation study reveals that the proposed scheme is a way to improve the buffer management for packet queues in MANET nodes in terms of packet loss ratio, transmission efficiency, and some other important system parameters.

关键词： Active Queue Management (AQM) Mobile Ad hoc Network (MANET) queue management packet drop

Transforming Central bank Liabilities into Government Debt： The Case of China

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China & World Economy 2015年第4期23卷 1-18页

作者： Robert McCauley Guonan Ma Monetary and Economic Department Bank for International Settlements Basel Switzerland Fung Global Institute Hong Kong SAR

Where policy has substantially increased central bank assets, the corresponding liabilities present an opportunity to increase the breadth, depth and liquidity of the government bond market. In China＇s case, transformed illiquid central bank liabilities couM double or triple the stock of government bonds. Central bank liabilities can be transformed into government bonds either through the government ＂s purchase of foreign exchange reserves held by the central bank or by the government overfunding its borrowing requirement and depositing the proceeds in the central bank. The overfunding approach is preferred if, for financial stability reasons, it is judged prudent to leave the central bank with sufficient resources to serve itself as lender of last resort in foreign currency to the banking system. In the case of China, public debt consolidation could also contribute to further liberalizing the Chinese banking system, wider international use of the renminbi and more balanced holdings of key currency government bonds.

关键词： debt management foreign exchange reserves government bond market renminbi internationalization

Impacts of financial decentralization on economic growth and inflation in China

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China Finance and Economic Review 2017年第2期6卷 69-93页

作者： Fu Yong Li Liangsong the People’s bank of China Shanghai Head Office of the People’s bank of China

Fiscal decentralization and promotion incentives are main elements that inspire local governments in China to compete for economic growth with each other;but this regime is only part of reason that local governments in China have more effects on economic cycle than their counterparts in other *** authors think that financial decentralization should be taken into *** results indicate that excess financial decentralization would cause high risk of inflation and economic *** tax-sharing reform in 1994,the central government could adjust the boundary of financial decentralization and the local governments may borrow more money during the economic *** authors suggest that a two-tiered financial supervisory system should be set up in the new round of financial reform and financial decentralization should be adjusted to the changing market economy in China.

关键词： financial decentralization fiscal decentralization economic growth inflation

The Agricultural-Industrial Partnership for Eliminating Micronutrient Malnutrition: The Investment Bargain of the Decade

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Biomedical and Environmental Sciences 2001年第1期14卷 104-123页

作者： JOSEPH MICHAEL HUNT Senior Health and Nutrition Economist Asian Development Bank Manila Philippines

The limitations of conventional approaches to eliminating micronutrient deficiencies drives the search for a sustainable paradigm. This manuscript argues that the public and private sectors must embark on modernization of the Asian food industry and reorientation of the international agricultural research complex so that nutritionally enriched essential foods will be affordable and accessible to the poor. It is recommended that this partnership take special care of the needs of Asian children. The costs of chronic undernutrition, availability of cost effective strategies, and benefits of sustained nutrition improvement to individuals, families and nations are reviewed. The roles of food fortification, plant breeding and biotechnology, both actual and imminent, are described. The paper concludes that a recast Green Revolution directed to dietary quality may be the key to enhancing the learning and earning capacity of young Asians of the new millenium. “No other technology offers as large an opportunity to improve lives\{…\}at such a low cost and in such a short time\{…\}” World bank [1] .

关键词： Agriculture Child Welfare Industry Micronutrients Nutrition Policy Biotechnology Child Food Industry Food Fortified Humans Interprofessional Relations Nutrition Disorders Policy Making