证券投资基金收益概率密度预测——基于神经网络分位数回归模型

证券投资基金收益往往具有更高的峰度与更大的偏度,建立在古典假定基础上的均值回归分析难以给出准确预测结果。考虑到证券投资基金收益中的高峰、非对称等典型特征与各因素对收益序列的非线性影响模式,建立神经网络分位数回归模型,一方面,可以通过分位数回归功能,揭示各因素对证券投资收益整个条件分布的影响规律;另一方面,可以通过神经网络结构,模拟金融系统中的非线性关系。在神经网络分位数回归模型基础上,对证券投资基金收益整个条件密度函数进行预测,提供比点预测更多的有用信息,便于进行科学决策。     

Contribution to the study of grouped observation. II. Loss of information caused by grouping of normally distributed observations

Abstract

1. Introduction

(a) Maximum Likelihood.—In a previous paper (THIS JOURNAL, vol. XXXII, 1949, pp. 135–159) the author gave tables of the functions and where ?(x) denotes the normal law of distribution, φ(x) its integral and ?′(x) its first derivative. With the aid of these tables it is practicable to solve the maximum likelihood equations for coarsely grouped normal observations. The procedure was illustrated by examples.     

基于可保风险泛化的风暴潮灾害保险定价研究

提高海洋灾害的风险管理能力、降低灾害损失,是海洋强国战略实施的重要保障。在依照可保风险泛化条件辨识风暴潮灾害风险可保性的基础上,本文创新并完善了一套基于非参数估计模型的海洋灾害保险定价方法,并通过构建信度保费厘定模型计算了风暴潮灾害综合险纯费率,从费率厘定的动态调整、灾害保险体系建设等方面提出了对策建议,以期为完善海洋灾害风险管理体制提供参考。     

纱线线密度测试中问题的探讨

纱线线密度的传统测试方法是缕纱测长称重法。在线密度检测过程中,某些操作过程存在着导致测量结果出现误差的问题,分析这些问题,找出解决的方法,可以提高纱线线密度测试结果的精确度。     

香蒲叶保暖性能的初步研究

香蒲植株是水边生长的一种湿地植物,叶子细长、中空,叶子密度小,经测试仅为0.073g/ml,叶子中有大量分隔开的室腔,其保暖性能优良,在不易制取纤维的情况下,可以利用其质轻、保暖的特点进行合理应用。     

Improving the productivity of vertisols in the Accra plains of Ghana using leguminous cover crops

The productivity of the Vertisols of the Accra plains is low, in spite of its high potential fertility. This could be attributed to physical constraints and low organic matter content. A study was conducted at the Agricultural Research Centre, Kpong, to assess the suitability of Mucuna pruriens, Mimosa invisa and Stylosanthes guianensis, in short fallows, for improving the fertility, physical properties, moisture conservation and weed control in the case of these soils. Mucuna had the highest biomass of 5.3tha^?1, as opposed to 4.1tha^?1 under natural fallow. The mucuna and stylosanthes biomass had comparatively higher total N values (240.75 and 203.51kgha^?1, respectively) than mimosa and natural fallow (152.46 and 162.74kgha^?1, respectively). Soil organic carbon, one year after the incorporation of cover crops, was found to be relatively higher under the cover crops (mucuna, stylosanthes and mimosa) than it was under natural fallow. Bulk densities were thus lower under the cover crops than they were under natural fallow. Also, soils under the cover crops had higher total porosity, water infiltration rates and moisture storage than they did under natural fallow. Weed cover, 115 days after planting maize, was significantly lower in plots previously under Mucuna pruriens than it was under natural fallow, Stylosanthes guianensis and Mimosa invisa. There was a negative linear correlation between cover crop biomass and weed density (R ² = 0.593–0.805). Grain and stover yields of maize were higher under Mucuna pruriens than they were under natural fallow (138 and 70 per cent higher, respectively). Burning of the natural fallow resulted in greater weed growth than when the material was worked into the soil (41 and 8 per cent, respectively). Grain yield was significantly greater under mucuna than it was under natural fallow (3.1 and 1.3tha^?1, respectively).     

Option smiling when investors’ estimates of asset volatility disagree

This study sheds light on why heterogeneous beliefs in volatility manifest the smile effect of options and how the degree of belief disagreement influences option-implied volatility. It is found that when investors’ level of heterogeneous beliefs increases, agents who over estimate volatility raise their subjective probability about those outer dividend states and hence increase more consumption to those states. As a result, an increase of consumption causes a decrease of their marginal rate of transformation in outer states. The raising subjective probability increases the prices of outer states, while the lower marginal rate of transformation decreases the prices of that. However, the influence of the former dominates the latter, causing a fatter tail of the state-price density. As a consequence, the values increase for those call options with high strike prices and put options with low strike prices, leading to a U-shaped implied volatility and hence causes a smell effect.     

对外直接投资与国际经济合作的宏观动力与惯性假说及在中国的检验

一国对外直接投资与国际经济合作的动力来自于一国的人均GDP与宏观金融环境(用保险密度来简化与量化),一国对外直接投资与国际经济合作的惯性来自于一国对外直接投资量与国际经济合作完成额的滞后期的值与对滞后期变量敏感度系数的大小。本文使用中国1991年至2003年的数据,对对外投资与国际经济合作的宏观动力与惯性假说做了经验检验,该组数据很好地证明了对外投资与国际经济合作的宏观动力与惯性假说。     

Estimating the Derivative of a Convex Density

We obtain a relation between the time between two bird-catchings and the total resting period of a bird, leading to the problem of estimating the derivative of a convex density. We state a fundamental result on the nonparametric maximum likelihood estimator of a convex density. Further, we derive the optimal rate in the minimax risk sense for estimating the derivative of a convex density.