Browsing by Author "Jiang, Y."

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Open Access
Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market
(Elsevier, 2021-07-31) Ali, F.; Jiang, Y.; Şensoy, Ahmet
Besides great turmoil in financial markets, the COVID-19 pandemic also disrupted the global supply chain, putting the precious metal market into great uncertainty. In this study, we revisit the diversifying role of precious metals – gold, silver, and platinum – for six Dow Jones Islamic (DJI) equity index portfolios using a battery of tests: dynamic conditional correlations (DCCs), four-moment modified value at risk (VaR) and conditional VaR, and global minimum-variance (GMV) portfolio approach. Our empirical results exhibit drastically increased DCCs between sample assets during the COVID period; however, pairing gold with any of the DJI equity indices (except for the Asia-Pacific region) decreases the downside risk of these portfolios. Other precious metals (silver and platinum) do not provide such benefits. Furthermore, we find that a higher allocation of wealth in DJI Japanese equities and gold is required to achieve a GMV portfolio in the post-COVID-19 era, implying higher transaction (hedging) costs to rebalance portfolios (weights) accordingly. Our out-of-sample tests examining the global financial crisis, European debt crisis, and extended sample (2000–2020) periods yield similar findings as gold glitters across all market conditions. Overall, our findings provide notable practical implications for both domestic and international investors.
Open Access
An efficient optimal solution to the two-hoist no-wait cyclic scheduling problem
(Institute for Operations Research and the Management Sciences (I N F O R M S), 2005) Liu, J.; Jiang, Y.
Hoist scheduling is a typical problem in the operation of electroplating systems. The cyclic scheduling policy is widely used in these systems in industry. Research on hoist scheduling has focused on the cyclic problem to minimize the cycle length. Most previous studies consider the single-hoist case. In practice, however, more than one hoist is often used in an electroplating line. This paper addresses the two-hoist, no-wait cyclic scheduling problem, in which the tank-processing times are constants and, upon completion of processing in a tank, the parts have to be moved to the next tank immediately. Based on the analysis of the problem properties, a polynomial algorithm is developed to obtain an optimal schedule. This algorithm first identifies a set of thresholds, which are special values of the cycle length, so that the feasibility property may change only at these thresholds. Feasibility checking is then carried out on each individual threshold in ascending order. The first feasible threshold found will be the optimal cycle length, and the corresponding feasible schedule is an optimal hoist schedule.
Open Access
Multihoist cyclic scheduling with fixed processing and transfer times
(Institute of Electrical and Electronics Engineers, 2007-07) Jiang, Y.; Liu, J.
In this paper, we study the no-wait multihoist cyclic scheduling problem, in which the processing times in the tanks and the transfer times between tanks are constant parameters, and develop a polynomial optimal solution to minimize the production cycle length.We first analyze the problem with a fixed cycle length and identify a group of hoist assignment constraints based on the positions of and the relationships among the part moves in the cycle.We show that the feasibility of the hoist scheduling problem with fixed cycle length is consistent with the feasibility of this group of constraints which can be solved efficiently. We then identify all of the special values of the cycle length at which the feasibility property of the problem may change. Finally, the whole problem is solved optimally by considering the fixed-cycle-length problems at these special values.
Open Access
A statistical framework for mapping risk genes from de novo mutations in whole-genome-sequencing studies
(Cell Press, 2018) Liu, Y.; Liang, Y.; Çiçek, A. Ercüment; Li, Z.; Li, J.; Muhle, R. A.; Krenzer, M.; Mei, Y.; Wang Y.; Knoblauch, N.; Morrison, J.; Zhao, S.; Jiang, Y.; Geller, E.; Ionita-Laza, I.; Wu, J.; Xia, K.; Noonan, J. P.; Sun, Z. S.; He, X.
Analysis of de novo mutations (DNMs) from sequencing data of nuclear families has identified risk genes for many complex diseases, including multiple neurodevelopmental and psychiatric disorders. Most of these efforts have focused on mutations in protein-coding sequences. Evidence from genome-wide association studies (GWASs) strongly suggests that variants important to human diseases often lie in non-coding regions. Extending DNM-based approaches to non-coding sequences is challenging, however, because the functional significance of non-coding mutations is difficult to predict. We propose a statistical framework for analyzing DNMs from whole-genome sequencing (WGS) data. This method, TADA-Annotations (TADA-A), is a major advance of the TADA method we developed earlier for DNM analysis in coding regions. TADA-A is able to incorporate many functional annotations such as conservation and enhancer marks, to learn from data which annotations are informative of pathogenic mutations, and to combine both coding and non-coding mutations at the gene level to detect risk genes. It also supports meta-analysis of multiple DNM studies, while adjusting for study-specific technical effects. We applied TADA-A to WGS data of ∼300 autism-affected family trios across five studies and discovered several autism risk genes. The software is freely available for all research uses.