我国证券投资基金资产组合管理合理性的实证研究

本文基于风险与收益相匹配的综合评价标准,对我国35支股票型开放式证券投资基金近五年来的组合管理能力进行了研究,并进而分析了基金组合管理合理性对于基金绩效的影响。研究结果进一步证明了我国证券投资基金合理性对于绩效存在显著影响,并据此提出相关的启示和建议。     

多元资产组合中的收益与风险

人们在进行资产投资时为规避风险通常是将自己的资产投资于几项资产而不是将所有投资都投入某一单项资产,此所谓不把鸡蛋放在一个篮子里。那为什么多元化的投资组合能规避风险呢?本文予以分析说明。     

On pricing and hedging options in regime-switching models with feedback effect

We study the pricing and hedging of European-style derivative securities in a Markov, regime-switching, model with a feedback effect depending on the economic condition. We adopt a pricing kernel which prices both financial and economic risks explicitly in a dynamically incomplete market and we provide an equilibrium analysis. A martingale representation for a European-style index option's price is established based on the price kernel. The martingale representation is then used to construct the local risk-minimizing strategy explicitly and to characterize the corresponding pricing measure.     

衍生工具使用行为对公司价值影响实证研究

文章选取机械、设备、仪表行业2008-2010年数据作为研究样本,研究我国衍生工具使用行为对公司价值影响,实证结果显示：在我国,使用衍生工具对代表公司价值的净资产收益率,总资产收益率及托宾Q均有显著提升效应。     

基于西尔斯案例的零售商业模式要素组合创新

本研究尝试用扎根理论的方法,对西尔斯这家在零售业具有代表性的国外企业的历史性资料进行分析,探索西尔斯主要的商业模式要素,并将各阶段的商业模式要素变化进行比较,总结出这家企业在其发展历史中商业模式要素组合演化过程。     

Labor income dynamics at business-cycle frequencies: Implications for portfolio choice

Young agents with low wealth-income ratios counter factually hold more stock than young, rich agents and old agents using the standard portfolio choice model with i.i.d. stock returns and labor income. This paper matches the countercyclical volatility and procyclical mean of U.S. labor income and finds that, consistent with U.S. data, young, poor agents now hold less stock than both young, rich agents and old agents, and no stock a large fraction of the time. Our results suggest that the predictability of labor income growth at a business-cycle frequency, particularly the countercyclical variation in volatility, plays an important role in a young agent's decision making about her portfolio's stock holding.     

两类银行组合型汇率避险产品应引起关注

随着企业对汇率风险关注度的提高,企业对汇率避险产品的需求日趋旺盛。文章以江苏省为例,重点考察了两类组合型汇率避险产品的运作模式及其对外汇管理和跨境资金流动的相关影响,并从加强对外债和银行综合头寸管理、鼓励银行合理创新产品和构建完善的汇率避险产品统计监测体系等方面,就规范汇率避险产品发展提出建议。     

Corporate Innovation Culture and Dimensions of Project Portfolio Success: The Moderating Role of National Culture

This study examines the relationships between corporate innovation culture (analysis/practices) and dimensions of project portfolio success (strategic fit/portfolio balance) as well as national‐level culture practices as moderators. Data (N = 165) were collected in four countries differing in cultural practices. Analysis and practices were identified as positive, significant, and complementary predictors of both dimensions. As hypothesized, the corporate variables related more strongly and positively to the success dimensions when assertiveness was high rather than low. The findings, thus, suggest that corporate factors should be compatible with national culture to elevate the fit and balance of project portfolios.     

HEDGING UNDER ARBITRAGE

It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous‐time Markovian context. This holds true in market models in which no equivalent local martingale measure exists but only a square‐integrable market price of risk. A new probability measure is constructed, which takes the place of an equivalent local martingale measure. To ensure the existence of the delta hedge, sufficient conditions are derived for the necessary differentiability of expectations indexed over the initial market configuration. The phenomenon of “bubbles,” which has recently been frequently discussed in the academic literature, is a special case of the setting in this paper. Several examples at the end illustrate the techniques described in this work.     

Weather risk management in ski resorts: Financial hedging and geographical diversification

As weather volatility increases, weather risk has become a critical management issue in weather sensitive industries. This study uses ski resorts as an example to examine two promising weather risk management strategies: geographical diversification and financial hedging. The empirical analysis results suggest that financial hedging might be a more effective strategy for ski conglomerates. Guidelines for ski conglomerates to achieve better weather risk management outcomes are provided based on simulating the interactions between geographical diversification and financial hedging. Although based on ski resorts and snowfall risk, the methodology is also applicable to other weather sensitive hospitality businesses.