where X ( t ) represents the equity curve of the trading system or fund. The maximum drawdown MDD is the most widespread risk measure among money managers and hedge funds. It is often preferred over some of the other risk measures because of the tight relationship between large drawdowns and fund redemptions. Also, a large drawdown can even indicate the start of a deterioration of an otherwise ...

To protect the security of energy supplies, China is building a national strategic petroleum reserve (SPR). Here we present a dynamic programming model to determine the optimal drawdown strategies for SPR under various scenarios, focusing on minimizing cost. In a natural disaster scenario, the optimal strategy is rapid drawdown of ~10% of the reserve to stabilize oil prices and ease supply shor...

The relationship between production rates of large diameter geothermal production wells, and slimholes, is studied. The analysis is based on wells completed in liquid-dominated geothermal fields, where flashing occurs either in the wellbore or at the surface. Effects of drawdown in the reservoir, and pressure drop in the wellbore, are included; heat losses from the wellbore to the formation are...

Consider an insurance company whose surplus is modelled by arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has possibility to invest in a stock geometric independent surplus. Our key variable (absolute) drawdown ? X, defined as distance its running maximum X¯. Large, long-lasting drawdowns are unfavourable for company. We consider stochastic optimisation ...

The axially compressed buckling of a double-walled carbon nanotabe surrounded by an elastic medium using the energy and the Rayleigh-Ritz methods is investigated in this paper. In this research, based on the elastic shell models at nano scale, the effects of the van der Waals forces between the inner and the outer tubes, the small scale and the surrounding elastic medium on the critical bucklin...

abstract weirs are the most common structures for discharge measurement in engineering research. streamline curvature, non hydrostatic pressure distribution on weir and nappe adherence to the weir lead to differences between calculated and measured discharges. thus discharge coefficient, which is the ratio of real and theoretic discharges, is usually less than unity. in circular weirs the press...

the ground reaction curve (grc) is a vital component of the convergence-confinement method, which possesses many applications in the underground space designs. it defines a relation between the tunnel wall deformations and the ground pressure acting on the tunnel walls. generally, grc includes descending and ascending branches. according to many researchers, the descending branch trend for the ...