Rise of the gold market in China: liberalisation and market development

The Chinese gold market is rapidly rising to global prominence in the recent decades. The paper reviews the history of the gold market in China and its liberalisation process amid the country’s opening to the outside world. Details of the current market structure and its main business are presented. Global impacts of the rise of the Chinese gold market are discussed.     

互联网金融的信用风险评估与预警研究

随着互联网金融的蓬勃发展，用户对消费金融的需求也越来越丰富多样。满足用户的多样化需求与建立健全风险监管体系成为互联网金融发展的重中之重。如何实现数据驱动服务升级、技术辅助市场监管成为研究的热点问题。本文通过数据处理与特征工程实现用户认证信息、金融信息、行为信息的融合，利用深度森林算法建立模型进行信用风险评估。结果表明，该方法能有效挖掘数据潜在价值，提高信用风险评估与预警效果。最后，本文针对互联网金融的信用风险预警与市场监管提出了建议。     

Optimal insurance in the presence of reinsurance

This paper studies an optimal insurance and reinsurance design problem among three agents: policyholder, insurer, and reinsurer. We assume that the preferences of the parties are given by distortion risk measures, which are equivalent to dual utilities. By maximizing the dual utility of the insurer and jointly solving the optimal insurance and reinsurance contracts, it is found that a layering insurance is optimal, with every layer being borne by one of the three agents. We also show that reinsurance encourages more insurance, and is welfare improving for the economy. Furthermore, it is optimal for the insurer to charge the maximum acceptable insurance premium to the policyholder. This paper also considers three other variants of the optimal insurance/reinsurance models. The first two variants impose a limit on the reinsurance premium so as to prevent insurer to reinsure all its risk. An optimal solution is still layering insurance, though the insurer will have to retain higher risk. Finally, we study the effect of competition by permitting the policyholder to insure its risk with an insurer, a reinsurer, or both. The competition from the reinsurer dampens the price at which an insurer could charge to the policyholder, although the optimal indemnities remain the same as the baseline model. The reinsurer will however not trade with the policyholder in this optimal solution.     

互联网能力与知识能力交互效应对知识创造绩效的传导机制:一个被中介的调节效应模型

整合资源基础观、知识基础观和动态能力理论，探讨互联网背景下互联网能力、知识能力两种企业内部因素交互作用对知识创造绩效的影响过程，尤其关注了具有前瞻性与反应性特征的战略柔性在这一过程中的重要作用，从而构建了一个被中介的调节效应模型。基于我国399家企业调研数据发现，互联网能力、知识能力均对战略柔性有显著正向影响；互联网能力与知识能力的交互作用通过战略柔性的中介机制促进企业知识创造绩效提升，即存在被中介的调节效应。在理论上，丰富了资源基础观和知识基础观在组织竞争优势构建方面的前因研究，在实践上，为处于互联网背景下的企业有效提升知识创造绩效提供了实践参考。     

冲泡条件对辣木茶中稀土浸出率的影响研究

本文采用ICP-MS方法测定辣木茶的稀土总量,以及不同冲泡条件下稀土的浸出率。实验结果表明,辣木茶的稀土浸出率随冲泡时间的延长而升高,且增长逐渐趋于平缓。此外,随冲泡次数的增加,样品的稀土浸出率基本上呈减小趋势。五次冲泡后辣木茶中稀土的累计浸出率为18.15%。虽然原茶中稀土含量较高,但由于稀土氧化物主要残留于茶渣中,总体上处于比较低的暴露水平,对饮茶人群的健康影响较低。     

基于电子鼻技术对调味品中非法添加罂粟壳的检测

采用便携式PEN3电子鼻检测调味品中非法添加罂粟壳。分别对非法添加有不同比例罂粟壳的花椒粉、孜然粉、烧烤粉进行辨别,用线性判别式(LDA)与多层感知器(MLP)两种方法对数据进行分析。结果表明:电子鼻能够较好的识别调味品中非法添加不同比例的罂粟壳,多层感知器相较于线性判别具有更好的区分效果,并且对未知样品进行准确预测。     

Value of hedge and expected returns

We demonstrate how it is possible to generate value for an investor with a hedge attached to the buy-and-hold strategy of an S&P 500 index fund. We study the S&P 500 index portfolio (not including dividends) and the value-weighted S&P 500 index portfolio (including dividends) of the Center for Research in Securities Prices for 1967:01–2011:12, using the capacity utilization and the unemployment rates in real time to determine if a hedge position should be initiated or closed. A hedge is initiated if the capacity utilization, the unemployment rate or a combination of the two signals a contraction in the real economy. The hedge position is closed if it signals otherwise an expansion. We use utility gains (Campbell and Thompson 2008), the manipulation-proof performance measure (MPPM) statistics (Ingersoll et al. 2007) and the P-Sharpe ratio (Bailey and López de Prado 2012) to evaluate the performance of a particular hedge strategy. The empirical results show that there are infinitely many hedges that can generate positive utility gains, higher MPPM statistics and higher P-Sharpe ratios.     

Optimal insurance under rank‐dependent utility and incentive compatibility

Bernard, He, Yan, and Zhou (Mathematical Finance, 25(1), 154–186) studied an optimal insurance design problem where an individual's preference is of the rank‐dependent utility (RDU) type, and show that in general an optimal contract covers both large and small losses. However, their results suffer from the unrealistic assumption that the random loss has no atom, as well as a problem of moral hazard that provides incentives for the insured to falsely report the actual loss. This paper addresses these setbacks by removing the nonatomic assumption, and by exogenously imposing the “incentive compatibility” constraint that both indemnity function and insured's retention function are increasing with respect to the loss. We characterize the optimal solutions via calculus of variations, and then apply the result to obtain explicitly expressed contracts for problems with Yaari's dual criterion and general RDU. Finally, we use numerical examples to compare the results between ours and Bernard et al.     

Management earnings forecasts and the quality of analysts’ forecasts: The moderating effect of audit committees

This study investigates whether effective audit committees influence the association between management earnings forecasts and the properties of analysts’ forecasts. We posit that this influence on the part of an audit committee would likely result from increased responsibility for monitoring voluntary disclosure. Using the four attributes that the Blue Ribbon Committee (1999) and prior research suggest as being indicative of audit committee effectiveness, we find that analysts’ forecasts exhibit higher accuracy and lower dispersion with the issuance of management forecasts for those firms employing audit committees that are composed exclusively of independent directors, include an accounting expert, and act with due diligence. We also find that effective audit committees strengthen the association between management and analyst forecast accuracy. Our evidence, therefore, supports the notion that effective corporate governance influences the reliability of voluntary disclosure, and thereby benefits the users of financial information.     

先进材料领域关键技术预见的研究

坚持创新在我国现代化建设全局中的核心地位，把科技自立自强作为国家发展的战略支撑，需要通过开展技术预见科学判断和前瞻把握先进材料领域的“卡脖子”问题、关键核心技术和未来发展趋势，回答先进材料如何保障国家经济建设、国防安全和人民群众对美好生活向往的一些关键性问题。本研究旨在综合利用无监督机器学习方法、复杂网络理论以及链路预测算法，开展先进材料领域的热点和前沿识别和技术预见，探索性识别出先进材料9个子领域的56个技术方向课题。同时组织开展德尔菲调查，依靠专家智慧，综合考量未来愿景、经济发展、国防建设和民生需求，遴选出面向2035年的10项优先发展技术方向，为党和政府科学决策服务、为推动创新驱动转型和国防安全提供重要的战略支撑。