Forward-looking portfolio selection with multivariate non-Gaussian models

In this study, we suggest a portfolio selection framework based on time series of stock log-returns, option-implied information, and multivariate non-Gaussian processes. We empirically assess a multivariate extension of the normal tempered stable (NTS) model and of the generalized hyperbolic (GH) one by implementing an estimation method that simultaneously calibrates the multivariate time series of log-returns and, for each margin, the univariate observed one-month implied volatility smile. To extract option-implied information, the connection between the historical measure P and the risk-neutral measure Q, needed to price options, is provided by the multivariate Esscher transform. The method is applied to fit a 50-dimensional series of stock returns, to evaluate widely known portfolio risk measures and to perform a forward-looking portfolio selection analysis. The proposed models are able to produce asymmetries, heavy tails, both linear and non-linear dependence and, to calibrate them, there is no need for liquid multivariate derivative quotes.     

新常态下企业包容性创新惯性障碍与逾越机制研究

包容性创新是实现企业可持续发展的重要途径。然而,企业在开展包容性创新时往往受到传统经营惯性、金字塔底层（bottom of the pyramid,BOP）市场缺陷和包容性创新营利阻碍等多方面的惯性障碍,不利于企业创新效率提升。在理论研究的基础上,探究包容性创新的内涵特征,分析形成企业包容性创新惯性障碍的内在原因,构建创新理念转换机制、共益性结构洞桥接机制和包容性创新商业模式探索机制,并提出相关对策与建议。     

The Chenery hypothesis and structural change in Eastern Europe

The Newly Liberalizing Countries (NLCs) in Eastern Europe have to undergo a fundamental structural change. In this paper the Chenery Hypothesis (CH) is employed to make a quantitative assessment of this change. The CH, roughly speaking, relates an economy's sectoral structure to its stage of development, its size, and its endowment with natural resources. The paper tests this hypothesis for a sample of 31 developed and developing economies and finds it still valid. Then it uses the results obtained to measure distortions in the NLCs' existing economic structure and to give a projection of future structural change. The calculations make it evident that the industrial sector in the NLCs will experience a marked downsizing whilst the service sector turns out to be too small. But sectoral patterns are not too uniform for all groups of countries. Thus, all projections depend highly on the reference group used to evaluate a ‘master pattern’.     

Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets

The fundamental rationale for international portfolio diversification is that it expands the opportunities for gains from portfolio diversification beyond those that are available through domestic securities. However, if international stock market correlations are higher than normal in bear markets, then international diversification will fail to yield the promised gains just when they are needed most. We evaluate the extent to which observed correlations to monthly returns in bear, calm and bull markets are captured by three popular bivariate distributions: (1) the normal, (2) the restricted GARCH(1,1) of J. P. Morgan’s RiskMetrics, and (3) the Student-t with four degrees of freedom. Observed correlations during calm and bull markets are unexceptional compared to these models. In contrast, observed correlations during bear markets are significantly higher than predicted. Higher-than-normal correlations during extreme market downturns result in monthly returns to equal-weighted portfolios of domestic and international stocks that are, on average, more than two percent lower than those predicted by the normal distribution. If the extent of non-normality during bear markets persists over time, then a US investor allocating assets into foreign markets might want to allocate more assets into foreign markets with near-normal correlation profiles and avoid markets with higher-than-normal bear market co-movements.     

借鉴美欧经验思考中国的反倾销法

通过比对研究发现，美国、欧盟反倾销法在“非市场经济国家出口产品正常价值的确定”、“公共利益的考虑”、“对出口商替进口商交纳反倾销税的作弊行为的制裁”、“反规避的措施”和“承诺”问题上存在微妙差异，而这几个问题在我国反倾销法中或未涉及，或阐述较为粗略。研究这些差异。将有助于完善我国反倾销法以及更好地应对美国、欧盟反倾销调查。     

Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects

This paper introduces a parameterization of the normal mixture diffusion (NMD) local volatility model that captures only a short-term smile effect, and then extends the model so that it also captures a long-term smile effect. We focus on the ‘binomial’ NMD parameterization, so-called because it is based on simple and intuitive assumptions that imply the mixing law for the normal mixture log price density is binomial. With more than two possible states for volatility, the general parameterization is related to the multinomial mixing law. In this parsimonious class of complete market models, option pricing and hedging is straightforward since model prices and deltas are simple weighted averages of Black–Scholes prices and deltas. But they only capture a short-term smile effect, where leptokurtosis in the log price density decreases with term, in accordance with the ‘stylised facts’ of econometric analysis on ex-post returns of different frequencies and the central limit theorem. However, the last part of the paper shows that longer term smile effects that arise from uncertainty in the local volatility surface can be modeled by a natural extension of the binomial NMD parameterization. Results are illustrated by calibrating the model to several Euro–US dollar currency option smile surfaces.     

倾销概念的发展及其经济理论基础分析

文章把倾销概念的发展分为三个阶段,通过对三阶段的经济理论基础分析,我们认为,经过演化发展了的倾销概念几乎失去了合理的经济理论支撑,成为一个纯法律的术语和贸易保护主义者的一个美丽谎言。因此,在面临这种无端的指控时,积极寻求政治、法律和技术上的对策,是维护我们应得国际利益的最好的方式。     

经济新常态之“新”诠释及其路径选择

继2008年美国出现次贷危机、2009～2010年欧洲出现主权债务危机之后,中国出现与高速增长阶段不同的中高速增长阶段。进入新阶段,从战略上讲,需要我们走绿色低碳循环发展、新型城镇化、自主创新之路,以“一带一路”、京津冀协同发展、长江经济带三大战略为基础,全面优化经济发展空间格局,将战略性新兴产业培育为新的经济增长极,大力发展服务业,将经济稳定在“常态”上。     

税收超常增长的再认识

本文首先对税收超常增长给出一个简要界定,意在从量上对税收的超常增长有一个再认识,以区别"超常增长"和"正常增长".在此基础上对超常的增长从其来源结构上进行分解,以便于更好地对增长的原因和趋势进行分析和预测;其次对超常增长的原因进行分类与概括,并认为应将增长总体区分为实增和虚增两大部分;最后分析各种不同的原因所引致的税收增量的变化规律,并据此对税收超常增长的趋势进行预测.     

“公允价值”的适用性:基于反倾销调查的分析

“公允价值”作为一种新的计量属性具有无比的优越性,在反倾销调查中,“公允价值”的普遍应用对我国现行会计制度提出了挑战,如何在一贯、透明的基础上,正确应用公允价值已成为非常重要的课题。本文从反倾销应诉的角度,解读了“正常价值”的内涵,分析了“公允价值”与“市场价值”的区别与联系以及“公允价值”对反倾销调查的影响,并提出了“公允价值”适用性的要求。