投资者预期偏误对投资收益的影响——以风险中性投资者为例

由于市场信息的不完全及投资者认知上的不足,投资者对风险资产的预期收益与实际收益总会存在不同程度的偏离。投资者对风险资产收益的预期偏误往往会影响其在金融市场上的投资决策,并最终影响到投资者实际的投资组合收益。那么,投资者的预期偏误会对投资者实际的投资组合收益产生怎样的影响?本文以风险中性投资者为例,给出投资者预期偏误大小的度量方法,建立出投资者预期偏误与投资收益的回归模型,用模拟论证的方法对二者的关系进行分析。     

投资组合效用问题的研究

每个投资者都有一条无差异曲线来表示他对于预期回报率和标准差的偏好。我们曾研究了风险资产进行投资组合时的效用最大化问题，通过空间变换把Markowitz模型的有效前沿用投资组合的权重向量表示出来，然后将无差异曲线（IDC）也用投资组合的权重向量表示出来，再由风险资产组合的有效选择原则求出了效用最大化的风险资产组合。在本文中，我们进一步研究了含无风险资产时投资组合的效用最大化问题，以及不同借贷利率下投资组合的效用最大化问题。     

证券投资组合风险分析

理性投资者总是选择多样化的资产来尽可能地规避风险,获取更大收益。然而,无论多么精美的模型都不能彻底消除风险。根据自己的风险态度,投资者必须在收益和风险之间寻求一个平衡点。研究证券投资组合的风险,有助于投资者识别和量化风险,进行理性投资;有助于监管机构完善监管手段,提高监管质量;有利于控制金融风险,稳定金融秩序。     

对于个股投资安全盈利模型建立及实证分析

一、理论表述 关于投资安全盈利这个命题,在现代投资组合理论中有相类似的阐述:即投资者通过购买一个无风险资产与一个风险资产有效组合,从而获得一个零风险收益;或者投资者通过有效投资组合的股票权重增减,使投资者获得一个风险较小或接近零风险的有效投资组合收益.现代投资组合理论中对股票投资安全盈利这个命题研究成果,是建立在股票有效投资组合理论基础上的,但并没有对个股投资能否获得投资安全盈利进行研究与实证.     

资本资产订价模型及其应用

资本资产订价模型及其应用哈尔滨工业大学管理学院韩东平投资者同时进行多种证券投资，称为投资组合。投资中由于各种因素影响，使投资结果呈现不确定性，称为投资组合风险。投资者不论敢于冒险，或比较保守，都要求对其所冒风险给予补偿。资本资产订价模型就是研究企业如...     

基于CVaR的投资组合对资产变化的敏感性分析

本文在CVaR风险意义下考察了当投资组合的资产品种数量增加或减少时投资组合前沿曲线的变化特征，得到了与以方差作为风险测度标准的不同的结论。我们发现，使用CVaR作为风险测度标准可以使投资者在资产选择时更加谨慎和稳健，同时也有利于对风险进行分散和监管。     

基于退出期权的项目投资决策模型及运用

投资者实际承受的风险与收益具有依存性,为了实现风险与收益的匹配,投资者根据风险评估与市场机会识别的结果,可以相机选择放弃投资或者进入新的投资领域,以调整资产组合,获得预期收益。那么,如何评估一个投资项目的内在价值,做出科学决策呢?传统的现金流量决策模型(Discounted Cash Flow,简称DCF)以货币的时间价值和风险价值理论为基础,认为投资项目的内在价值取决于未来现金流量和贴现率。     

区间规划在证券投资组合问题中的运用

本文基于区间规划的方法研究了摩擦市场的投资组合选择问题。文中把风险证券的收益率、投资风险及证券的流动性用区间数来描述,并结合绝对偏差风险函数的思想建立了一种关于区间数的证券投资组合选择模型。最后利用区间数的两种序关系将所提出的模糊线性规划问题转化为普通的参数线性规划问题进而求其解。     

基于风险偏好的投资组合效用最大化模型研究

在投资过程中,风险和收益之间存在着一种权衡,这种权衡是根据投资者风险偏好的不同而不同,这就要求我们在构建投资组合时应该充分考虑投资者的风险偏好从而达到投资效用最大化。本文通过建立均值—最大熵优化模型,将风险因子引入所构建的投资组合模型中,通过调整风险因子,得到符合投资者风险偏好的投资组合,并通过汇添富消费混合基金的实证研究,验证了该投资组合效绩明显优于市场组合及样本组合。     

最优投资组合问题的数学模型

本文研究的是投资者在1年内,不考虑交易费的情况下,对市场资产(如股票、债券、……)进行选择,并优化所选投资,从而获得最优投资组合,以实现投资目标的问题。首先,运用马柯维茨均值-方差模型建立针对市场上n种资产的最优投资组合模型。其次,运用Excel对所给股票数据进行随机抽样,根据在问题1给出的最优投资组合模型,求解出投资组合的有效前沿。最后确定最优投资组合的投资项目数与风险的变化之间的关系。     

Development in Information and Communications Technology (ICT) Statistics at the Australian Bureau of Statistics

This paper outlines the ICT statistical developments that the ABS has undertaken over recent years. These developments have been on both the supply side (ICT industry) and the demand side (use of IT by sector). The content of ABS ICT surveys has changed significantly over the last few years and are expected to develop further in line with industry changes and emerging policy needs.
Recent developments in household collections have been the inclusion of IT use questions in the 2001 Census of Population and Housing and in various ABS social surveys such as Children's Participation in Culture and Leisure Activities. Annual business IT use surveys are now conducted and include topics such as Internet commerce and IT security. Biennial ICT industry surveys are conducted to provide data on ICT production, imports and exports, ICT industry employment, performance and structure information. An Internet activity survey is run every six months and provides regional Internet access details and infrastructure details on Internet service providers.
A major development for 2002–03 will be the compilation of an ICT satellite account. ABS intends to produce an ICT Information Development Plan to guide its future statistical development work in the ICT field.     

Incumplimiento del salario mínimo en Europa central y oriental

En este estudio se analiza el incumplimiento del salario mínimo durante el periodo 2003–2012 en diez países de Europa central y oriental con salario mínimo obligatorio nacional. A partir de los datos de EU‐SILC y la metodología propuesta por Bhorat, Kanbur y Mayet (2013), se cuantifica la incidencia y magnitud del incumplimiento. Se realizan análisis de regresión sobre determinantes individuales, laborales y macroeconómicos. Aunque la incidencia permanece relativamente baja, los trabajadores a los que se dirigen las políticas de salario mínimo parecen los más expuestos a su incumplimiento. Con el tiempo, una mayor incidencia se asocia a una razón más alta entre salario mínimo y salario medio.     

Value at Risk in the Suburbs: Eminent Domain and the Geographical Politics of the US Foreclosure Crisis

Several US counties and local governments have recently considered a novel solution to the foreclosure crisis. They plan to use eminent domain to compel the owners of mortgage debt—and specifically of private‐label mortgage‐backed securities—to sell the debt to the government at a price reflecting the loan's market value. The government would then restructure the debt and resell it to new investors. The plans are striking because—in contrast to both development‐driven eminent domain and the federal subprime bank bailout—they would force investors to assume asset devaluation and increased long‐term risk. Notably, the plans have emerged as an instance of financialization‐focused politics in suburbs and suburban cities of color, specifically majority‐black and ‐Latino/a suburbs. Local support for the plans, we argue, is rooted in the long‐term disinvestment of these ‘suburbs of exception', which became targets of subprime lending and eventually sites where the ‘financial exception' has been localized. But these demographic shifts, fragmentation and fiscal pressures have at the same time created a suburban political terrain in which the plans have gained their strongest political support.     

Towards a Theory of Serendipity: A Systematic Review and Conceptualization

Serendipity – the notion of making surprising and valuable discoveries – plays a major role in the success of individuals and organizations alike. Previous research has established the importance of serendipity and identified important individual- and organizational-level antecedents. However, the literature has been dispersed and the boundaries of the concept have been blurry, leading to a lack of conceptual clarity and structure, and thus limiting validity and managerial actionability. Based on a systematic literature review, I synthesize existing management-related research on serendipity and explicate the emergence and composition of serendipity in the organizational context. I first identify three necessary conditions that differentiate serendipity from related concepts such as luck or targeted innovation: agency, surprise, and value. Then, I draw from the literature on sensemaking, event-based theorizing, and quantum-based approaches to management to conceptualize the process of cultivating serendipity in the organizational context as a process of enabling potentiality and materialization, and develop a multi-level theory of (cultivating) serendipity. This conceptualization contributes to our collective understanding of how, why, and when (i.e., under what conditions) organizations can leverage the value in the unexpected, which opens up fruitful avenues for further research.     

Accountability of NGOs in Bangladesh A critical overview

NGOs in Bangladesh have been recognized as effective change agents in the socio-economic arena throughout the world. Their contributions in micro credit, non-formal education and primary health care are widely known. NGOs play a significant role in society. NGO accountability, as a result, has become a critical issue. NGO accountability in Bangladesh has been examined here in relation to patrons, clients and themselves. Of the three relationships only accountability to patrons is in a near satisfactory state. Accountability to clients is handicapped by lack of opportunities of beneficiaries to participate meaningfully in NGO policy making. Accountability to themselves is adversely affected due to the adherence to a strictly hierarchical system and the influence of founding and charismatic NGO leaders.     

Towards an Asian model of human resource management? A comparative analysis of China,Japan and South Korea

There has been much discussion regarding the possible decline and weakening of national systems of human resource management (HRM). Yet, culture and institutions are often cited as the major stumbling blocks to this outcome. Such constraints may dissipate in the analysis, particularly if ‘regional clusters’ are considered where geographic and cultural closeness and ‘openness’ to similar economic pressures exist. In such cases, it might be postulated that convergence in HRM will occur. We argue that China, Japan and South Korea represent such a cluster. This article examines these countries, to see if a degree of convergence is taking place and if it is towards an identifiable ‘Asian’ model of HRM. A model of change is presented that distinguishes between levels of occurrence and acceptance. Details of the development and practice of HRM in each country are then set out. The article ends with a discussion and implications section and a brief conclusion.     

Cultural Economy Planning in Creative Cities: Discourse and Practice

While a growing body of research analyses the functional mechanisms of the cultural or creative economy, there has been little attention devoted to understanding how local governments translate this work into policy. Moreover, research in this vein focuses predominately on Richard Florida's creative class thesis rather than considering the wider body of work that may influence policy. This article seeks to develop a deeper understanding of how municipalities conceptualize and plan for the cultural economy through the lens of two cities held up as model ‘creative cities’ — Austin, Texas and Toronto, Ontario. The work pays particular attention to how the cities adopt and adapt leading theories, strategies and discourses of the cultural economy. While policy documents indicate that the cities embrace the creative city model, in practice agencies tend to adapt conventional economic development strategies for cultural economy activity and appropriate the language of the creative city for multiple purposes.     

Input/output ranges and performance: an examination of US machine tool producers

Despite the establishment of high-tech multinational enterprises (MNEs) in Ireland since the late 1950s, the country did not succeed in closing the technological gap with most of its EU counterparts. The weak National System of Innovation (NSI), and in particular low business and government R&D levels, combined with a lack of research and technology linkages between MNEs and indigenous firms, explain these poor results. However, the Shannon region in the West of the country presents some specific institutional characteristics that could theoretically make the region a strong technological enclave. The various actors in the region - i.e. the administrative, financial, political and research institutions, as well as the business organizations - have indeed infused a new type of economic development. After a brief review of the available concepts and models articulated around these actors and their interrelationships, the paper analyses whether the Shannon region, taken as an illustrative example, mirrors a specific economic and technological localized setting. The study is based on a survey of indigenous and foreign firms.     

Sixty years of discrimination and diversity research in human resource management: A review with suggestions for future research directions

This article reviews discrimination and diversity research published in Human Resource Management (HRM) over the past 60 years. While discrimination and diversity are very different constructs, it is often informative to study them together, because when people recognize each other's diversity, this can result in bias, stereotyping, and discrimination. We conducted bibliographic searches for terms related to discrimination and diversity as well as a manual search through every title and abstract published in HRM over the last 60 years to assess article relevance. The search resulted in 135 research articles with 136 unique studies (i.e., samples) which are reviewed in this article. Sex and race are the demographics that have been examined the most in HRM, while religion has been examined the least. Moreover, the number of studies examining lesbian, gay, bisexual, transgender, and queer (LGBTQ) employees in the workplace in HRM has grown quickly within the past 10 years, culminating in a recent meta‐analysis. Our review looks at some of the earliest research published, the most recent research published, and the overall trends we identified in the research over the years for both discrimination and diversity articles. We then make future research suggestions and recommendations to advance the study of discrimination and diversity in the coming years.     

Multinomial distributions applied to random sampling of particulate materials

When sampling a batch consisting of particulate material, the distribution of a sample estimator can be characterized using knowledge about the sample drawing process. With Bernoulli sampling, the number of particles in the sample is binomially distributed. Because this is rarely realized in practice, we propose a sampling design in which the possible samples have a nearly equal mass. Expected values and variances of the sample estimator are calculated. It is shown that the sample estimator becomes identical to the Horvitz–Thompson estimator in the case of a large batch-to-sample mass ratio and a large sample mass. Simulations and experiments were performed to test the theory. Simulations confirm that the round-off error due to the discrete nature of particles is negligible for large sample sizes. Sampling experiments were carried out with a mixture of PolyPropylene (PP) and PolyTetraFluorEthylene (PTFE) spheres suspended in a viscous medium. The measured and theoretical variations are in good agreement.