The family optimal investment strategy for a random household expenditure is investigated. Assume that the family is allowed to invest in a financial market consisting of one risk-free asset and one ...risky asset whose price process satisfies the constant elasticity of variance (CEV) model. The target is to maximize the expected exponential utility of the family terminal wealth and obtain the optimal investment strategy. Employing techniques of stochastic control theory and the dual theory, we derive the Hamilton–Jacobi–Bellman (HJB) equation and obtain an approximate expression for the optimal investment strategy in the slow-fluctuating regime. Numerical examples are presented to illustrate the effects of parameters on the optimal strategies.
In this paper, we study a reflected constant elasticity of variance (RCEV) process with two-sided reflecting barriers for modeling the dynamics of a foreign exchange rate in a target zone. We derive ...a closed form expression for the transition density by using the spectral expansion method. Monte Carlo simulation shows that our method is accurate and efficient when the results are applied to compute the expected value of the process. Finally, we illustrate that ignoring target zones in the CEV model may lead to significant computational errors.
•The dynamics of exchange rates in target zones is modeled by the RCEV process.•Transition density of the process is derived by spectral expansion method.•Monte Carlo simulation shows that our method is accurate and efficient.•Ignoring target zones in the CEV model may lead to significant computational errors.
Due to the simplicity and low cost of attribute inspection, several control charts have been proposed for employing attribute inspection to monitor the mean shifts. But these charts usually require a ...larger sample size to perform well as the
chart. In this paper, a new np
CEV
chart is proposed to monitor process mean shifts based on attribute inspection in which the conditional expected value (CEV) weight method is adopted to take full advantage of the censored observations obtained from attribute inspection. The optimal design of the proposed chart is derived from optimizing average run length (ARL) properties. Several numerical experiments are conducted to investigate the performance of the proposed chart. The results demonstrate that the proposed chart is always superior to np
x
chart by reducing the sample size by 70% to 97% while achieving the same ARL as np
x
chart. In addition, the proposed chart always achieves a smaller ARL
1
than
chart. Furthermore, the proposed chart outperforms
chart as it achieves the same ARL as that of
chart with a lower inspection cost. Finally, an industry example is given to illustrate how to simply apply the proposed chart to the manufacturing process.
This paper studies the optimal vehicle fleet planning and collaboration problem for a fuel vehicle (FV) transport service provider, a commercial electric vehicle (CEV) transport service provider, and ...a carbon emission treatment agency under carbon neutrality. The FV transport service provider pays a fixed fee or a portion of its sales revenue to a carbon emission treatment agency in exchange for technology to reduce its carbon emissions, and it can adopt three strategies (i.e., no emission reduction, purchasing technology for emission reduction, and entrusting a carbon emission treatment agency). We derive each party's optimal fleet size, price, and profit in the three scenarios. Our results suggest that carbon emission reduction strategies may improve the market performance of the FV transport service provider. Then, we find no certain strategy is always preferable to another: the optimal cooperation strategy between the transport service provider and carbon emission treatment agency depends on the fixed technology fee, ratio of revenue sharing, government penalty, the transport service market potential, and consumer green preference, as well as the cost per CEV. This paper gives the transport service provider and carbon emission treatment agency a full picture of whether, when, and how to collaborate in green commerce.
This study presents new analytic approximations of the stochastic-alpha-beta-rho (SABR) model. Unlike existing studies that focus on the equivalent Black–Scholes (BS) volatility, we instead derive ...the equivalent constant-elasticity-of-variance (CEV) volatility. Our approach effectively reduces the approximation error in a way similar to the control variate method because the CEV model is the zero vol-of-vol limit of the SABR model. Moreover, the CEV volatility approximation yields a finite value at a zero strike and thus conveniently leads to a small-time asymptotics for the mass at zero. The numerical results compare favorably with the BS volatility approximations in terms of the approximation accuracy, small-strike volatility asymptotics, and no-arbitrage region.
Koi sleepy disease (KSD) is a high mortality and infection viral disease caused by carp edema virus (CEV), which was a serious threat to aquaculture of common carp and export trade of Koi worldwide. ...Asymptomatic infection is an important cause of the difficulty in preventing KSD and its worldwide spread, because asymptomatic infection can be activated under appropriate condition. However, the understanding of the molecular correlates of these infections is still unknown. The purpose of this study was to compare the pathology change, enzyme activity, immunoglobulin activity, host and viral gene expression differences in acutely infected and cohabiting asymptomatic Koi infected with CEV. Healthy Koi were used as a control. The gross pathology, histopathology and ultrastructural pathology showed the difference and characteristics damage to the tissues of Koi under different infection conditions. Periodic Acid-Schiff stain (PAS), enzyme activity and immunoglobulin activity revealed changes in the immune response of gill tissue between acutely infected, asymptomatic infected and healthy Koi. A total of 111 and 2484 upregulated genes and 257 and 4940 downregulated genes were founded in healthy Koi vs asymptomatic infected Koi and healthy Koi vs acutely infected Koi, respectively. Additionally, 878 upregulated genes and 1089 downregulated genes were identified in asymptomatic vs. acutely infected Koi. Immune gene categories and their corresponding genes in different comparison groups were revealed. A total of 3, 59 and 28 immune-related genes were identified in the group of healthy Koi vs asymptomatic infected Koi, healthy Koi vs acutely infected Koi and asymptomatic infected Koi vs acutely infected Koi, respectively. Nineteen immune-related genes have the same expression manner both in healthy Koi vs acutely infected Koi and asymptomatic Koi vs acutely infected Koi, while 9 immune-related genes were differentially expressed only in asymptomatic Koi vs acutely infected Koi, which may play a role in viral reactivation. In addition, 8 differentially expressed genes (DEGs) were validated by quantitative reverse transcription PCR (RT-qPCR), and the results were consistent with the RNA-Seq results. In conclusion, the data obtained in this study provide new evidence for further elucidating CEV-host interactions and the CEV infection mechanism and will facilitate the implementation of integrated strategies for controlling CEV infection and spread.
Carp edema virus (CEV) is a fish poxvirus that primarily infects the gills of common carp. CEV causes koi sleepy disease (KSD), which is highly contagious and can result in mortality of up to 100%.
...In the present study, we analyzed the stress and immune responses during KSD in two strains of common carp with different resistance to CEV: susceptible koi and resistant Amur sazan. Experiments were performed at two temperatures: 12°C and 18°C. In the case of koi carp, we also analyzed the effect of supplementation of 0.6% NaCl into tank water, which prevents mortality of the CEV-infected fish (salt rescue model).
We found that CEV-infected koi kept at 18°C had the highest viral load, which correlated with the most severe histopathological changes in the gills. CEV infection resulted in the activation of stress response reflected by the upregulated expression of genes involved in stress response in the stress axis organs and increased levels of cortisol and glucose in the blood plasma. These changes were the most pronounced in CEV-infected koi kept at 18°C. At both temperatures, the activation of antiviral immune response was observed in koi kept under freshwater and NaCl conditions upon CEV infection. Interestingly, a clear downregulation of the expression of adaptive immune genes was observed in CEV-infected koi kept under freshwater at 18°C.
CEV induces a stress response and modulates adaptive immune response in koi, and this is correlated with the level of viral load and disease development.
Carp edema virus (CEV) is a poxvirus infecting gills of common carp (Cyprinus carpio) and causes a deadly disease called koi sleepy disease (KSD). Currently thanks to higher vigilance and screening ...for its presence the virus was confirmed to be widespread on the European continent and affects both ornamental koi, farmed and feral common carp. Phylogenetic research of CEV is however in its infancy. Until recently due to the lack of available sequence information, the phylogenetic analysis was limited to a p4a gene. Based on this gene two main clades were established. The genogroup I clade is of European origin and can be found in farmed or feral common carp in Europe. However, the eastern border of the geographic range of CEV from genogroup I is not yet established, therefore we decided to obtain samples from clinically affected carp from Ukraine. Furthermore, we used sequences of the DNA binding viral core protein 8 (VP8) and of the uracil DNA glycosylase (UDGS) to confirm the existence of the genogroups I and II. The results indicate that CEV is highly prevalent in Ukraine. Phylogenetic analysis using the p4a gene showed that common carps in Ukraine are infected with CEV genogroup I. The two additional genes used for the phylogenetic analysis supported the phylogenetic findings. This confirms that common carps in continental Europe are hosts for CEV from the genogroup I and the geographic range for this virus is reaching to the most eastern parts of Ukraine.
•CEV is highly prevalent in common carp aquaculture in Ukraine.•Most of the common carps in Ukraine are infected with CEV genogroup I.•The geographic range for CEV genogroup I is reaching to the most eastern parts of Ukraine.•Sequencing of VP8 and UDGS can help in CEV phylogeny.
This paper considers an insurer with constant absolute risk aversion (CARA) preference and explores a reinsurance-investment optimisation problem where the insurer income is related to the historical ...wealth performance. The insurer can purchase proportional reinsurance contracts to transfer the claim risk and allocate the remaining liquid wealth in a savings account, a defaultable corporate zero-coupon bond and a risky asset with constant elasticity of variance (CEV) stochastic volatility. The problem is modelled using a stochastic system with delay. Under certain conditions, the analytic optimal reinsurance-investment policy is derived, and the corresponding verification theorem is provided. Finally, a sensitivity analysis is conducted on the optimal reinsurance-investment policies over different memory parameters. The results show that longer memory leads to more prudent reinsurance and investment decisions for the insurer.
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