In hydrogeology, the pressure front diffusion equation is crucial for interpretation of pumping tests. It describes displacement around well generated by a hydraulic disturbance, such as or injection. This serves to physically locate objects (the recharge boundary, impermeable fault and connection) that are able influence hydrodynamic behaviour aquifers during transient test. However, several a...

We propose a new one-parameter family of risk functions defined on portfolio return sample -paths, which is called conditional drawdown-at-risk (CDaR). These risk functions depend on the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α , the CDaR is defined as the mean of the worst % 100 ) 1 ( ∗ − α drawdowns. The CDaR ...

This paper develops a bi-objective portfolio selection problem that maximizes returns and minimizes a risk measure called conditional Drawdown (CDD). The drawdown measures include the maximal Drawdown and Average Drawdown as its limiting case. The CDD family of risk functional is similar to conditional value at Risk (CVaR). In this paper, the fuzzy method has been used to solve the bi-objec...

tunnelling through cities underlain by soft soil, commonly associated with soil movement around the tunnels and subsequent surface settlement. the predication of ground movement during the tunnelling and optimum support pressure could be based on analytical, empirical or the numerical methods. the commonly used earth pressure balance (epb) tunneling machines, uses the excavated soil in a pressu...

The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the average of a specified percentage of the largest drawdowns over an investment horizon and includes maximum and average drawdowns as particular cases. The necessary optimality conditions for a portfolio optimization problem with CDaR yield the capital asset pricing model (CAPM)...

Maximum drawdown is a risk measure that plays an important role in portfolio management. In this paper, we address the question of computing the expected value of the maximum drawdown using a partial differential equation (PDE) approach. First, we derive a two-dimensional convection-diffusion pricing equation for the maximum drawdown in the Black-Scholes framework. Due to the properties of the ...

A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single sample path, drawdown functional is defined as the mean of the worst (1 − α) ∗ 100% drawdowns. The CDD m...

One of the costliest problems facing production hydrocarbons in unconsolidated sandstone reservoirs is sand once hydrocarbon starts. The sanding start prediction model very important to decide on control future, including whether or when should be used. This research developed an easy-to-use Computer program determine beginning sites driven area. based estimating critical pressure drop that occ...

In this article, we study the concept of maximum drawdown and its relevance to the prevention of portfolio losses. Maximum drawdown is defined as the largest market drop during a given time interval. We show that maximum drawdown can serve as an additional tool for portfolio managers on top of already existing contracts, such as put or lookback options.