THE SQUARED ORNSTEIN-UHLENBECK MARKET

We study a complete market containing J assets, each asset contributing to the production of a single commodity at a rate that is a solution to the squared Ornstein-Uhlenbeck (Cox-Ingersoll-Ross) SDE. The assets are owned by K agents with CRRA utility functions, who follow feasible consumption/investment regimes so as to maximize their expected time-additive utility from consumption. We compute the equilibrium for this economy and determine the state-price density process from market clearing. Reducing to a single (representative) agent, and exploiting the relation between the squared-OU and squared-Bessel SDEs, we obtain closed-form expressions for the values of bonds, assets, and options on the total asset value. Typical model parameters are estimated by fitting bond price data, and we use these parameters to price the assets and options numerically. Implications for the total asset price itself as a diffusion are discussed. We also estimate implied volatility surfaces for options and bond yields.     

Operations of a Pension Fund after the Asian Crisis: The Thai Experience*

During and after the Asian crisis, institutional investors and pension funds in Asian financial markets have been confronted with a number of difficulties effecting their performance and the way they carry out their role within the national pension system. We analyze these problems by comparing the actual investment policy of an institutional investor with an optimal investment strategy derived from the insights of modern portfolio theory. We also analyze whether the organizational set‐up of a pension fund allows it to adequately perform its role within the pension system. As an example, we examine the operations of the Thai Government Pension Fund (GPF). We find that allowing international investments and reducing restrictions on equity investments while lowering the implicit requirements for investments in government debt would allow the GPF to further diversify its investment risk and to increase its risk‐adjusted return. We also show that some changes in the governance structure of the GPF would lower the occurrence of conflicts of interest for the management and increase the efficiency of the GPF operations.     

国际资本流动的新特点与我国利用外资的基本思路

中国正式加入WTO，标志着中国对外开放进入了一个新的阶段，本文试图在分析国际资本流动的新特点的基础上，从完善市场经济制度和投资环境，引资方式创新，发挥利用外资对结构调整战略的配合作用，以及利用外资与宏观经济目标的相互协调等方面，提出中国利用外资的基本思路。     

浅析体质投资对旅游院校的重要性

旅游业的日益兴旺大大提升了社会对高质量旅游人才的渴求，然而，目前中国大学生的体育教育不尽如人意，如何加强对学生健康第一教育，体质的投入，在一定程度上决定了培养高质量旅游人才的大问题。     

投资资本权利扩张与管制的辩证法--FTAA投资规则的规范分析

文章对FTAA有关投资规则进行了规范分析,并在与NAFTA有关规定进行比较的基础上,对FTAA投资规则草案所反映的投资资本权利扩张和东道国对其的管制之间的博弈关系进行了思考.     

The mean-variance investment problem in a constrained financial market

This paper extends the mean-variance analysis and the two-fund separation theorem to a market with some constraints, such as, the incompleteness, prohibition of short-selling, and partial information, with stochastic interest rate, and with stochastic volatility for risky assets. By maximizing a quadratic utility of terminal wealth, we show that the efficient frontier for the problem is a straight line in the mean-standard-deviation diagram. The quadratic utility function exhibits mean-variance efficiency. Our results apply to portfolios of claims in a single period, multiperiod, and continuous time.     

Vertical intra-industry trade and foreign direct investment in East Asia

As economic integration in East Asia progresses, trade patterns within the region are displaying an ever-greater complexity: Though inter-industry trade still accounts for the majority, its share in overall trade is declining. Instead, intra-industry trade (IIT), which can be further divided into horizontal IIT (HIIT) and vertical IIT (VIIT), is growing in importance.In this paper, we set out to measure and examine vertical intra-industry trade patterns in the East Asian region and compare these with the results of previous studies focusing on the EU, to which such analyses so far have been confined. Based on the supposition that VIIT is closely related to offshore production by multinational enterprises, we then develop a model to capture the main determinants of VIIT that explicitly includes the role of FDI. The model is tested empirically using data from the electrical machinery industry. The findings support our hypothesis, showing that FDI plays a significant role in the rapid increase in VIIT in East Asia seen in recent years. J. Japanese Int. Economies 17 (4) (2003) 468–506.     

论制度支持下的我国港口投融资模式转变

文章着重从制度方面分析了我国港口投融资的法律及相关政策，通过回顾《中华人民共和国港口法》颁布前后我国港口投融资相关法律的发展历程和具体实践，梳理了现阶段我国港口投融资的宏观法律环境。文章通过分析，对建立政府在投融资制度中的角色转换以及促进投融资模式的转变提出了建议。     

新会计准则影响股东权益变化因素的分析

文章针对新会计准则的颁布对股东所有者权益的变化各影响因素进行分析，选取巨潮资讯网、上海证券交易所网站、深圳证券交易所网站等公开披露的国内A股上市公司2006年的年度报告数据，对影响所有者权益变化的15个因素进行了描述性统计、单因素敏感性分析和回归分析，得出在所有的影响因素当中，长期股东权益投资差额对股东权益的变化的影响是显著的。     

Spatial determinants of Japanese FDI in China

Research on foreign direct investment in China has spawned an increasingly large literature. Whilst regional cleavages with respect to the distribution of foreign direct investment (FDI) are acknowledged, empirical research on the spatial determinants of FDI in China has been limited. Furthermore, research on the spatial determinants of home country FDI in China has thus far been neglected due to difficulties in accessing the appropriate data. The objective of this paper is to examine the spatial determinants of Japanese direct investment in China by using an econometric model. To that purpose, a dataset is created from the Toyo Keizai directory on the overseas activities of Japanese companies. The results show that tertiary education, inland waterways, as well as coastal location are positive and significant determinants of Japanese investment in China.