基于行为偏差的投资组合优化模型研究

本文利用效用最大化投资原理,提出了将行为偏差作为投资组合的影响因子,构建新的投资组合优化模型。基于展望理论下的行为偏差,利用构建的概率函数进行模型化,融入到效用最大化投资组合模型中,最终达到不同行为偏差下效用函数的最大化。     

基于沪深300股指期货的投资组合保险策略研究

传统的投资组合保险策略为投资者提供了一种控制系统性风险的有效方法。但该策略有两个缺陷：第一,在风险资产头寸有限的情况下,收益也有限：第二,在市场下跌时难以避免损失。为了改进传统投资组合保险策略的不足,论文将股指期货与传统策略相结合,提出了基于沪深300股指期货的投资组合保险策略,其基本思想是将沪深300股指期货作为风险资产引入到传统的固定比例投资组合保险策略中,在预判市场上涨时买入资产多头,在预判市场下跌时买入资产空头,从而建立起一种既能在多头市场盈利,又能在空头市场盈利的程序化交易策略。利用股指期货的空头交易以及杠杆获取高收益,利用传统组合保险进行保本。此策略的优点是采用沪深300股指期货推出以来的数据,首先验证了策略的有效性,接着通过控制单一变量法,研究了策略中比较窗口长度,投资乘数以及要保额度等投资参数对投资绩效的影响状况,进而得出了各个参数的最优取值区间。实证研究表明,在合理选取参数且风险一定的情况下,该策略能够取得较好的投资回报。     

信贷市场不完善、投资低效率和信贷陷阱

本文采用信贷市场不完善的多部门一般均衡模型分析市场机制下的投资低效问题,并研究政府对于信贷市场干预的作用.部门间不平衡的信贷条件是导致自由市场无法保证资金有效配置的重要因素.这种市场失败不仅会降低投资效率和经济增长率,还可能带来"信贷陷阱".本文给出了政府干预信贷市场提高效率的必要条件.如果政府干预能够降低这种部门间的信贷条件不平衡,投资效率就能得到提高,经济增长率也将上升.反之,政府干预加剧部门间信贷条件的不平衡,将会带来政府失败,投资效率和经济增长降低,甚至会引起经济陷于信贷陷阱.     

房地产市场价格的内生变动特征分析：以住房市场为例

本文从住房资产的消费和投资的二重性出发，分析了住房资产市场内在特征，进而揭示了住房市场价格的内生波动特征。本文的结论是：尽管根据一般衡理论，实现住房市场（或更一般地讲整个房地产市场）竞争性的市场均衡价格意味着效率最大，但是，由住房资产及其市场的内生特征破坏了住房价格趋向均衡的过程，因此住房市场价格的内生波动必然偏离均衡状态。这个结论也很容易推演至整个房地产市场。这一结论的政策含义是：在监测住房市场价格波动时，必须在充分考虑住房市场内在特征的基础上，以一般均衡理论为参照系，寻找能够逐渐接近住房市场一般价格均衡的条件和途径，而不是试图实现住房市场的价格均衡。     

试议高新技术产业化投资保险的主体和对象

怎样降低风险,吸引更多的投资者将资金投向高新技术产业化项目,这是一个非常有意义的注重点、降低投资风险办法种类很多,保险是其中的一种。高新技术产业化投资引进保险机制,与保险相结合,让其风险进行合理的社会转移,降低单个投资者实际承受的风险,进一步完善科技投资市场的环境条件,用保险形式促进高新技术进步,使高新技术产业化投资的安全性与有效性有机的结合。 高新技术产业化是指研究成果走出实验室达到规模经营生产的过程,是其中包括研究成果商品化过程的广义统称,是将实验室的成果转化为现实生产力;成为具有规模生产商品能力产业的过程。作为保险,高新技术产业化投资保险和其他保险的有共同点,同时又有其特点。以下就高新技术产业化投资引入保险机制的保险的主体和对象试作分析。     

电网建设项目投资优化方法研究

文章探讨了电网公司在市场环境下,如何将有限的资金在不同的电网建设项目分配上作出合理安排的问题。在对电网建设项目投资优化问题研究的基础上,基于层次分析法的设计思想,综合考虑多方面因素设立电网投资项目评价的指标体系,构建电网建设项目投资的综合评价模型,进一步在有资金约束条件下,引入投资组合理论,建立投资组合优化模型。在此基础上,进行算例研究,验证电网投资项目评价的指标体系和投资组合优化模型的合理性和可操作性。     

谱风险预算投资组合保险模型研究

文章基于谱风险测度的风险预算和资产价格运动的双指数跳跃扩散过程,建立谱风险预算投资组合保险模型。案例模拟结果表明该模型能有效规避下方风险,并随着投资者风险厌恶程度的增加,投资组合的绩效下降;对于具有一般风险厌恶的投资者,该模型绩效与CPPI、OBPI策略的绩效接近,当投资者的风险厌恶程度较低时,其绩效优于CPPI、OBPI策略。     

贝叶斯博弈框架下期权组合套利研究：理论模型与市场数据验证

期权市场中存在大量的套利手段，现有理论模型多基于完全信息市场假设对套利行为的机理进行描述，且在预测套利利润分布上存在一定不足。为刻画不完全信息市场中期权组合套利行为，文章将传统贝叶斯博弈框架推广为更一般的形式，构建了多个期权组合的贝叶斯博弈模型，探究交易者均衡策略下的套利空间，并分析该套利空间的特征。依照模型，文章证明了在一定参数条件下，即使在参与者各方达到最优策略的条件下，市场上仍然存在套利机会；市场上存在无风险博取超额收益的投资机会；这种机会的利润分布近似帕累托分布。最后，文章用市场数据检验了这些结论。     

资本约束弱化、价格竞争舆物价水平下降

本文力图将资本容量、市场价格竞争与一般物价水平的变化联系起来，以探求90年代末我国物价水平持续下降的微观原因。作者认为除总量方面的原因外，90年代以来我国工业部门各个产业以企业数量的减少和资本容量的扩大为特徵的市场结构的演变导致了市场均衡价格的降低，并因其普遍性引起物价水平的持续降低。因此，在本文中作者给出了一个揭示资本容量与市场均衡价格水平因果联系的理论框架和经验描述。在这个框架中，一般物价水平的降低可以从工业部门各产业资本约束弱化所引起的市场均衡价格的下降中得到解释。     

我国主权养老基金投资风险与绩效评估

通过CAPM模型对我国主权养老基金股票投资组合的风险进行测算分析,并用三大经典指数模型对投资绩效进行评估。得出,大部分投资组合的系统性风险和非系统性风险都高于市场基准组合,说明风险未被充分分散。各个投资组合的总风险差异也较大。从投资绩效评估结果看,大部分投资组合业绩是优于市场基准组合,基本实现了基金保值增值的投资目标。     

A view from behavioral political economy on China's institutional change

A behavioral political economy framework is built on the basis of prospect theory to explain the induced and imposed institutional changes during China's market reform, giving special attention to the integrated effects of economic and political institutions. According to prospect theory, how rulers frame their decisions — in the prospects of gains or losses, influences how much risk they will take. China's market reform has been largely framed in the prospects of economic gains, for which the continuously growing private sector is the driving force. China's central government adopts a growth-oriented incremental reform that coincides with the prediction of prospect theory.     

Vent for Surplus: A Case of Mistaken Identity

Adam Smith's theory of the gains from trade has caused a great deal of controversy among economic theorists. Throughout much of his work Smith argues that markets efficiently allocate resources. Smith's treatment of the gains from trade, however, is considered inconsistent with his system of natural liberty. This paper offers a new interpretation of the vent-for-surplus model. It is argued that Smith's theory of trade should be considered as an extension of his domestic theory of markets and his theory of productive and unproductive labor. Once interpreted in this light, no inconsistency is found between Smith's theory of trade and his system of natural liberty.     

Capitalizing on prospect theory value: The Asian developed stock markets

This study shows that a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return in the stock markets in Hong Kong and Singapore as well as in Japan. In addition, it investigates whether appropriate components of the value function and the probability weighting function that capitalize on prospect theory value are different across countries due to the different risk attitudes of investors. The parameter estimates show that each stock market has different cumulative prospect theory parameters for better performance, and the level of loss aversion for each market is lower than the original values offered by Tversky and Kahneman (1992).     

崛起的印度经济对中国与亚洲地区的影响——基于CGE的视角

本研究利用了GTAP模型来分析印度经济的增长对于中国乃至亚洲其它地区的影响。研究发现,印度要素的增长必定给印度自身经济带来福利的增加,但绝大多数情况下给中国和亚洲其它地区带来的却是福利的损失;印度产品部门的技术进步给中国及亚洲其它国家相应部门的福利带来的影响各不相同。然而从影响的绝对程度而言,印度经济的增长对中国和亚洲其它国家影响并不是十分大。     

图景动态博弈分析法在中外资银行网上人民币业务竞争战略选择中的应用

将图景分析思维模式和动态博弈模型理论结合分析竞争双方在战略制定过程中的博弈过程和可能性结论的这一方法目前成为国外战略管理领域新兴出现的热点。由于网上银行和人民币业务将成为入世后中外资银行的主要金融营运手段和竞争业务 ,因此本文选取中外资银行入世后网上人民币     

Synergy among Seemingly Independent Activities*

“Synergy” implies that the value of activities undertaken jointly is greater than the sum of the values of the individual activities. Reasons cited for synergy include economies of scale, benefits due to vertical integration, and efficiency gains from shared inputs and skills. This paper shows that incentive (control) reasons alone can make activities synergistic. The result is derived in a model of adverse selection with risk‐neutral participants and linear technology. The linearity in the setting removes any obvious benefits to undertaking activities in tandem. Synergy gains are attributed to a convexity in the principal's payoff introduced by the activities' impact on the production versus rents trade‐off.     

On the optimal external tariff of a free trade area with internal market integration

Previous analyses of free trade areas suggest that member countries reduce external tariffs to the level that improves welfare of non-member countries. Using an oligopoly model with product differentiation, this paper shows that when a free trade area entails endogenous change from segmented to integrated markets for internally produced goods, external tariffs become strategic complements and their equilibrium level is higher than in the market segmentation case. In this case, the non-member may lose from the formation of free trade area whereas each member gains more.     

成长企业面临并购威胁的动态模型

以Shleifer与Vishny股市推动型并购理论为基础,本文提出了成长企业面临随机并购威胁的动态新模型．具体分析了在随机的股票市场产生定价错误和收购者预期有协同效应收益的情况下,利润最大化企业面对并购威胁所采取的防御性红利支付策略。本模型运用可靠性理论的“风险率”概念。不但解释了并购活动和观察到的成长型企业的红利支付行为,还导出了关于反并购成本影响目标企业价值的可验证性推论。     

我国贸易条件与贸易利益增长关系的研究

长期以来,贸易条件被认为是衡量一国获取贸易利益大小的一项重要指标。文章从价格贸易条件、收入贸易条件及单要素贸易条件的涵义出发,进行了贸易奈件和贸易利益的相关关系分析。分析表明,要全面准确衡量一国的贸易利益必须把价格贸易条件、收入贸易条件和单要素贸易条件这几者结合起来综合考虑,并通过实证研究揭示了我国贸易条件下的静态贸易利益和动态贸易利益现状及制约贸易利益增加的因素。在分析基础上,提出进一步改善我国贸易条件,更多地分享国际贸易利益的措施和建议。     

International trade and net investment: theory and evidence

The theory of welfare accounting shows that comprehensive measures of net investment can be used to test whether an economy is following unsustainable paths of consumption. However, the notion of net investment used in most applied studies rules out technological progress and terms-of-trade gains from international trade. This paper considers an augmented expression of net investment derived from a dynamic growth model featuring international trade in different types of resource inputs, exogenous productivity growth in final sectors, and cost-reducing progress in resource extraction. Calculating augmented net investment for the world’s top twenty oil producers, we show that the difference with standard non-augmented measures can be large and may even revert some established conclusions regarding sustainability: prospects are more favorable than previously thought in oil-exporting countries endowed with large reserves like Angola, Azerbaijan, Kuwait, Saudi Arabia and Venezuela. In oil-importing economies, future consumption possibilities are limited by the lack of expected rental incomes from future resource exports.