Diamonds and precious metals for reduction of portfolio tail risk

ABSTRACT

We study the performance of diamonds compared to gold and other precious metals in mitigating the tail risk of a diversified equity market portfolio over the period June 2007 to October 2018. Our results display a diversification benefit of some diamond indices, which also improve the portfolio reward-to-risk ratio. To corroborate this evidence, we study the dependence structure and tail dependence of diamonds and a broad equity market portfolio and compare it to the dependence obtained with gold and other precious metals. Results from fitting a bivariate copula show that the average left tail dependence reaches its minimum when diamonds are used. We also show that using shares of diamond-mining companies does not provide the same benefits.     

湖南省有色金属工业场地时空演变及其预测

通过收集大量湖南省有色金属工业场地的最新数据,从省级尺度进行分析,反映有色金属行业演变历程,为未来产业布局提供参考。以湖南省有色金属工业场地为研究对象,通过核密度分析方法和多变量自回归模型,揭示其时空分布规律,并预测其未来发展状况。研究结果表明：①1990—2019年有色金属工业场地数量明显增加,形成了以郴州为“核心集聚区”,多城市为“次核心集聚区”,并从集聚区中心不断向边缘扩散的空间演化格局;②多变量自回归模型能够很好地表达主控因子与场地数量的时序关联,模拟精度较高;③模型预测显示,在经济社会持续稳定发展的情景下,2020—2025年湖南省各市州有色金属工业场地的数量呈增长趋势,郴州、衡阳的采选和冶炼场地的增量和数量均较大,湘西的采选场地增量和数量较大,益阳、娄底的冶炼场地增量和数量较大。研究思路及方法对大区域范围内的工业或第三产业运营场所数量或规模的时空模拟及预测有借鉴意义。     

The World Production and Trade of Rare Earth Elements： The Position of the Pacific Area

In this paper we analyze the characteristics of the so-called rare earth elements （REEs） and its industrial applications. We present the policy, or lack thereof, in the countries in the Pacific Rim for its mining and commerce, and the current and future weight that rare earth minerals will have in international trade. The technological revolution experienced over the last 25 years, has brought the REEs to the public＇s attention for being instrumental in obtaining catalysts, lasers and optical fiber, luminescent substances and LEDs, superconductors, permanent magnets, batteries and ultra-capacitors. China＇s leading position as the supplier of these minerals worldwide, and its recent export restriction policy for domestic industrial activities have driven up international prices. Price increase for REEs is leading to the need for both recycling and its replacement. It has also led other countries in the Asia Pacific Rim to prospect new potential sites on their own territories, or even to restart operations in deposits that had been previously abandoned. Those strategies will likely gain greater importance as environmental pollution problems associated with the exploitation, processing, and recovery of REEs increase.     

基于微生物视角的耕地土壤质量综合评价 ——以A县土地整治区为例

研究目的:为全面真实地反映耕地土壤质量水平,构建涵盖土壤理化性质、微生物特征以及重金属污染等指标的综合评价模型,以实现土地整治区耕地土壤质量的科学评估。研究方法:最小数据集(MDS)、土壤实验以及DNA高通量测序技术。研究结果:(1)研究区内耕地土壤质量水平不是很高(SQ0.6),并受到不同程度的重金属污染,尤其是Cr污染(GI3);(2)土地整治可以显著提高土壤微生物特征指标和土壤有机质含量,并有效降低重金属污染水平;(3)综合整治和传统耕作下的耕地分别具有最高(SQave=0.53)和最低(SQave=0.41)的土壤质量水平。研究结论:从微生物视角构建耕地土壤质量评价模型,有助于提高耕地资源的生态保护意识,可以为耕地综合效益评估和土地整治技术创新提供参考。     

低温等离子体在材料表面改性中的应用

介绍了低温等离子体在材料表面改性方面的应用情况:用低温等离子体处理羊毛、棉、涤纶等纺织纤维材料,可提高纤维的吸附性、可染性、可纺性,并可结合各种功能整理剂赋予纤维以特殊的性能;金属材料表面经等离子体处理后,可提高耐磨性、抗腐蚀性、光滑度和装饰性;对塑料橡胶材料表面的等离子体处理可改善材料的粘结性、亲水性和电学性能;生物医用材料表面经等离子体处理可有效地改善血液相容性和组织相容性。     

基于TVP VAR模型的有色金属价格时变相关性研究

基于TVP-VAR模型,考量有色金属价格时变相关性.结果显示,铜价、铝价及锌价之间存在显著的正向相关关系;一种有色金属价格发生变化,其他两种有色金属的价格通常出现正向响应,并且这种响应的强度是时变的.时点脉冲函数结果表明,不同时点下有色金属价格之间的相关关系是不同的,但大多时点下表现为正相关关系.     

石墨炉原子吸收萃取法测定纺织品中重金属铜、铅、铬含量

根据纺织品重金属检测标准（GB／T17953．1—2006）纺织品重金属的测定第1部分：原子吸收分光光度法操作规程．在人造酸性汗液条件下萃取出7种游离重金属,在原子分光光度仪石墨炉上分别测定其含量。研究了具有代表性的Cu、Pb和Cr3种重金属的灰化温度和原子化温度曲线,实验表明,该方法的检出限为0．08--0．25pg,加标回收率93％-106．4％,RSD1．0％-4．2％。     

Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees

We use Bayesian additive regression trees to reexamine whether investments in precious metals are a hedge against exchange-rate movements. We quantify the relative importance of several major exchange rates, and we study how the marginal effects differ across times of appreciations/depreciations and across times of small/large exchange-rate fluctuations. Results show that investments in gold and silver are strong hedges against depreciations of major exchange rates. The hedging properties of palladium and platinum are mainly confined to the Australian dollar and Canadian dollar. We also study whether precious metals investments are a safe-haven in times of large exchange-rate movements.     

中国有色金属行业的地理分布——基于空间杜宾模型的实证分析

使用2004—2013年中国有色金属冶炼及压延加工业的用电数据,应用克鲁格曼G指数探讨了该行业的产业空间布局,并基于空间杜宾面板模型分析了有色金属冶炼及压延加工业区位布局的影响因素。结果表明:2009年以后该行业整体上出现转移扩散现象;中、西部地区是该行业的主要集中地;资源禀赋是影响该行业产业布局的主要因素;临近省份有色金属行业发展的溢出效应也有效地促进了本地该行业的发展。     

How predictable are precious metal returns?

This paper provides strong evidence of time-varying return predictability of three precious metals from January 1987 to September 2014. We use three variations of the variance ratio test, the nonlinear Brock, Dechert and Schieinkman test as well as the Hurst exponent to evaluate the time-varying return predictability of precious metals to reduce the risk of spurious results. Our full sample results report mixed findings where some tests indicate significant predictability while some suggest no predictability. However through a time-varying procedure, we show that each precious metal market goes through periods of significant predictability as well as periods of unpredictability. Therefore this finding suggests that return predictability does vary over time and is not a static, all-or-nothing condition and therefore is consistent with the adaptive market hypothesis. We also show that platinum is the most predictable of the three precious metals and silver the least predictable, which may be of great to investors who include precious metals in their investment portfolios.