带破产风险控制的投资消费问题

由于投资环境的不确定性，投资者在投资过程中会面临各种风险，有可能在投资还没有结束时就破产了，为了防止这种悲剧的发生，投资者在构造投资组合时应该考虑破产风险的存在。同时，投资者在整个投资期间还要进行消费，其投资收益转化为消费，给他（她）带来效用。因此．我们以投资者的消费效用最大化为目标，同时加入破产风险约束来建立模型，由于模型中的值函数是不可分的。不能直接使用动态规划方法。在文中引入辅助问题从而求出原问题的最优解。得出投资者的最优投资组合与其破产门槛、风险喜好和初始财富量有关的结论。     

Audit risk in a client portfolio context*

Abstract. This paper examines the portfolio problem of an auditor who controls the level of audit quantity and then combines investments in general market securities with investments in risky audits. We note that an auditor cannot simply choose audits to add to the portfolio but, rather, that a portfolio is constructed indirectly through a process of bidding against competitors. Thus, our analysis yields a bidding function that provides an estimate of the minimum fee an auditor is willing to accept to serve a potential new client, given existing investments. We develop propositions concerning the effects of various portfolio characteristics on the fee bid. Finally, we discuss the possible impact of a portfolio view of audit risk upon the structure of the auditing industry.     

Monetary Policy and Risk-Based Asset Allocation

This paper focuses on the effects of the Fed’s monetary policy on stock and bond returns co-movement and their implications to risk-based asset allocation. Using a regime-switching model that controls for the economic effects of monetary policy we identify three co-movement regimes. We document that risk-based portfolio strategies poorly perform in the low correlation regime which features inflation shocks. We find outperformance evidence under the negative correlation regime with a high stock market risk and a very accommodating Fed policy. Less effectiveness is demonstrated under the positive correlation regime where bonds are regarded as risky assets and interest rate volatility is fueled by monetary policy.     

Dynamic Portfolio Adjustment and Capital Controls: A Euler Equation Approach

We present a multiasset dynamic portfolio balance model that is based on the maximization of an intertemporal utility function in consumption when investors operate under uncertainty, quadratic adjustment costs, and capital market regulations. We estimate the model's structural parameters on quarterly portfolio data of the German private sector. Asset demand is insensitive to return changes, although the coefficients are significant. Adjustment costs are low but highly significant, giving rise to moderate lags of adjustment. Still, existing capital controls and adjustment costs cannot explain the currently observed “home bias” in the portfolio. Overall, our results imply a strong rejection of the portfolio model.     

Lévy过程驱动的随机LQ控制在均值-方差投资组合中的应用

文章研究了风险资产价格由Lévy过程和与之独立的多维Brown运动共同驱动的连续时间均值-方差型投资组合选择问题,Lévy过程是由与之相关的Teugles鞅描述。为了求解该问题,首先讨论了由Lévy过程和多维Brown运动共同驱动的非齐次随机系统的线性二次控制问题。借助配方法得到了一个新的随机Riccati方程,若此方程有解,就可以得到系统的最优反馈控制。然后将该理论结果用于求解均值-方差型投资组合问题,在自融资的条件下,得到了最优证券组合的显式表达。最后通过数值算例对比分析有Lévy过程和无Lévy过程情形下投资者的最优投资策略和有效前沿,发现Lévy过程的存在增加了投资者的投资风险,投资者应正确视之。     

Accuracy of Risk Aversion Approximations

This paper investigates the accuracy of a widely used approximation for empirically estimating the coefficients of absolute and relative risk aversion. The size and sign of the approximation errors depend upon the magnitude of the risk, the extent of the skewness in the probability distribution governing risky outcomes, and the concavity of the underlying utility function, as well as the interactions among these factors.     

A note on changes in additive risky benefits and risky costs

We introduce a distinction between additive risky benefits and additive risky costs, showing that it is relevant in determining decision maker choices in the presence of changes in risk. Results obtained show the specific role of the order of risk change when facing the two types of risk. Similarities and differences with the case of multiplicative risks are discussed. Moreover, the analysis is performed in two models studying respectively saving and self-protection and provides new applied results for both, some with reference to background risks.     

APPLYING A GENETIC ALGORITHM TO INTERNATIONAL DIVERSIFICATION OF EQUITY PORTFOLIOS: A SOUTH AFRICAN INVESTOR PERSPECTIVE

This paper uses the genetic algorithm (GA) approach to generate a portfolio optimisation scenario of a South African investor who seeks to maximise return from investing in S&P500, FTSE100, NASDAQ, DOWJONES, CAC40 and the DAX from January 1, 2005, to January 31, 2008, but facing exchange rate risk. The GA searches for the optimal solution in the entire set of financial constraints without looking for partial derivatives of the utility function. Whereas most financial problems require a non‐linear and time‐varying model, the GA, with its survival principle of offspring chromosomes, is better suited to this type of problem than local optimisation methods. The performance of the GA is compared with two non‐linear models, namely the quadratic mean‐variance (QMV), which maximises the portfolio mean‐variance, and the quadratic variance minimisation (QVM), which minimises the portfolio variance. The results show that neither the QMV nor the QVM takes into account the domestic investors' risk attitude towards investing in foreign equities and therefore does not provide any international diversification benefits. In addition, the bootstrapping scenario of 10,000 simulations reveals that neither the QMV nor the QVM outperforms the GA in terms of Sharpe ratio and flexibility in dealing with investors' risk attitude towards investing in foreign equities denominated in foreign currencies.     

Habit persistence in assets demand

Habit persistence is examined for six asset demand categories using U.S. data and a dynamic forward-looking model. We find habit persistence is greater for more liquid assets compared to riskier assets and may in part explain low holdings of riskier assets. Cash assets are found to be substitutes with other liquid assets under habit formation. Consistent with portfolio analysis, the riskier asset categories of money market mutual funds and bonds are found to be complements in use. The three more risky asset categories have budget elasticities greater than unity indicating that in the long run consumers are more likely to turn to these assets as their wealth increases.     

中国会计师事务所内部治理:客户组合风险管理决策的实证检验

文章运用1998—2007年上市公司及会计师事务所的数据,首次实证检验了会计师事务所客户组合风险管理的最优策略,结果发现：就整体而言,事务所接受的新客户的风险最大值与诉讼损失显著正相关,2002年、2003年先后实施民事赔偿机制后依然正相关。但对审计阅历较长的审计师和上市年龄较长的客户而言,二者却显著负相关;与国外学者的发现不一致,事务所新客户数量与诉讼损失显著负相关,即事务所对客户取舍的依据是风险最大值而非均值。这说明,我国的民事赔偿机制亟待完善。     

On the validity of the quadratic utility approach in mean-variance portfolio analysis: An empirical test

Summary This paper empirically compares the quadratic utility approach and the negative exponential utility approach within the framework of portfolio analysis. Estimates for the subjective variance-covariance matrix are obtained using the two models under consideration. The two approaches have been compared through these estimates and also by their forecasting ability. The quadratic utility approach appears to be inferior. This paper relies heavily on parts of my University of Essex Ph.D. thesis (Bhattacharyya, 1975). I am grateful to Professors Bergstrom and Parkin for their help, comments and encouragement. Mr. R. E. Bailey's help and advice is also gratefully acknowledged. In addition, the comments of the referee of this journal helped me to improve on my earlier draft. Any error remaining is mine.     

Risks and returns in international currency futures

Conclusion This paper analyzed the risk/return level of international currency futures traded on International Monetary Market of Chicago during 1972–1977 period. The empirical results indicate that relative risk and returns for each currency future studied are both close to zero during the sample period. The fact that the beta value for currency futures is close to zero implies its returns are uncorrelated with the market portfolio. Therefore, investors can reduce the risk level of their total portfolio significantly by adding currency futures.     

商业银行风险控制之贷款组合优化决策模型

商业银行贷款不能如期收回的风险是商业银行经营风险中最重要的一种风险,从组合的角度来考虑贷款风险的控制是一种行之有效的方法。贷款组合优化,是在综合考虑贷款收益和风险的前提下,从贷款对象中选择其中一组受益最高和风险最小的组合的过程。本文综合考虑商业银行已有的存量贷款和新增贷款,利用存量贷款和增量贷款的有机结合,构建贷款组合优化控制的0-1规划模型,用以控制商业银行贷款组合的总体风险。     

The Role of Happiness in Financial Decisions: Evidence from Financial Portfolio Choice and Five European Countries

This paper investigates the role of happiness in portfolio choices. Previous literature has only emphasized the reverse association. An additional novelty of the paper is that the analysis focuses on a wider country sample, while the literature has mainly focused on the U.S. and U.K. economies. Based on micro data from five European countries, i.e., France, Germany, Italy, the Netherlands, and the U.K., spanning the period 2009–2014, the results show that higher levels of happiness lead to higher shares of risky assets in financial portfolios. The findings survive a number of robustness tests. When asset holdings are disaggregated by the extent of the risk associated with them, this effect remains only for safe and low-risk assets, whereas the effect for assets with higher risks is the reverse.

     

Experiments on risk attitude: The case of Chinese students

This paper examines Chinese students' risk attitudes using selling and buying experiments with lotteries. We found that subjects were more risk averse during the buying experiment than during the selling experiment, suggesting an endowment effect. In the selling experiment, subjects were risk loving when there was a low win probability and risk averse with a high win probability, whereas they were risk averse in the buying experiment. Using the prize money won during the experiment as a measure of wealth, we found decreasing absolute risk aversion. Subjects' risk attitudes as revealed in the experiments explain their risky asset holding behavior.     

基于价值投资理论的最优证券投资组合探讨

文章分析了现代证券投资组合理论与价值投资理论的对立以及各自优缺点,并根据价值投资理论对风险的度量进行重新定义,借用现代证券投资组合的思想构建基于价值投资理论的最优证券投资组合。     

ETFs的套期保值研究

有关文献只提及ETFs的套期保值功能,并未深入研究。本文将重点探讨ETFs产品为什么能够用以套期保值,并讨论其套期保值操作的应用:①在规避个股系统性风险的情况下如何进行个股的非系统性风险投机;②分散化投资组合利用ETFs进行套期保值的策略定位。     

直觉模糊多目标证券投资组合决策

针对证券投资产品收益的直觉模糊不确定性,运用直觉模糊数来弹性评估投资产品预期收益,并通过直觉模糊可能性均值和方差来度量投资组合收益和风险。接着基于投资组合收益最大和风险最小及信息熵最小等多个目标构建一个新的直觉模糊投资组合决策模型,进而再运用线性加权方法将其转化为单目标模型来快速获取最优投资组合策略。最后通过真实股票投资实例表明该投资组合模型方法的有效性,且投资者可根据不同目标偏好适时调整优化投资策略。     

Accounting Choices and Risk Management: SFAS No. 115 and U.S. Bank Holding Companies*

This paper provides evidence that regulatory contracts affect firms' accounting choices and risk‐management decisions. Specifically, we investigate whether an exogenous shock to regulatory risk induced by Statement of Financial Accounting Standards No. 115, “Accounting for Certain Investments in Debt and Equity Securities” (SFAS 1993), encouraged U.S. banks to deviate from portfolio and risk benchmarks when they adopted the standard. Because we cannot observe relevant benchmarks, we model portfolio and risk decisions as functions of macroeconomic and firm‐specific factors using data from a period when regulatory capital was immune to SFAS No. 115 accounting. We examine a sample of 230 publicly traded banks and find that (1) irrespective of adoption timing, banks classified too few securities available for sale (AFS) relative to estimated benchmarks; (2) weaker banks that adopted the standard early classified far more securities as AFS relative to benchmarks; (3) banks altered the size of their securities portfolios along with the levels of interest‐rate risk and credit risk as regulatory capital decreased; and (4) the level of interest‐rate risk on banks' loan portfolios increased at the time of SFAS No. 115 adoption. We also explore the 1995 Financial Accounting Standards Board (FASB) amnesty when firms could “readopt” SFAS No. 115. We find that banks used the 1995 FASB amnesty to undo strategic initial SFAS No. 115 adoption decisions. Taken together, our findings suggest that SFAS No. 115 caused some of the accounting and economic consequences predicted by bankers, analysts, and academics.     

Comment on "Ellsberg's two-color experiment, portfolio inertia and ambiguity"

In the setting of Ellsberg's two-color experiment, Mukerji and Tallon (2003) claim, without relying on particular representations, that ambiguity-averse behavior implies subjective portfolio inertia. In this note, we point out using a counterexample that their axioms are not enough to establish the result. We fill in the gap in their argument using additional axioms and argue that these axioms are of their own interest in that they behaviorally separate two prominent models of ambiguity: the maximin expected utility and smooth ambiguity models.