政府投资工程总承包项目设计优化认定与收益归属研究

工程总承包模式以设计与施工的高度融合,日益在建筑业受到青睐。但由于政府投资项目中存在有关结余资金上缴国库等规定,容易导致政府投资工程总承包项目下设计优化产生的成果是进行分成或作为结余资金上缴界定不清。鉴于此,本文通过政策文件,并结合政府投资项目特点,分析政府投资工程总承包项目设计优化的情形认定以及在不同结算依据和合同计价方式下设计优化收益归属的界定,为有效激励总承包单位积极进行设计优化奠定基础。     

航班计划优化研究概述

从航班计划优化的不同时间阶段分析,可以将航班计划优化分为航班计划静态编排优化、基于航班延误预测的航班计划动态反馈优化和基于机场协同决策(A-CDM)的航班计划动态调整角度三类;进而从航班时刻、机型指派、航班频率等编制环节分析了航班计划静态编排优化;随后利用延误波及预测与数据挖掘预测的优化方法分析了基于航班延误预测的航班计划动态反馈优化的相关研究。最后,根据航班计划优化复杂性分析,给出了航班计划优化的发展趋势和未来研究方向。     

Which institutional investor types are the most informed?

We examine the informativeness of quarterly disclosed portfolio holdings across four institutional investor types: hedge funds, mutual funds, pension funds and private banking firms. Overweight positions outperform underweight positions only for hedge funds. By decomposing holdings and stock returns, we find that hedge funds are superior to other institutional investors both at picking industries and stocks and that they are better at forecasting long‐term as well as short‐term returns. Furthermore, our results show that hedge funds, mutual funds and pension funds are able to successfully time the market. The outperformance of hedge funds is not explained by a liquidity premium.     

Linear programing models for portfolio optimization using a benchmark

We consider the problem of constructing a perturbed portfolio by utilizing a benchmark portfolio. We propose two computationally efficient portfolio optimization models, the mean-absolute deviation risk and the Dantzig-type, which can be solved using linear programing. These portfolio models push the existing benchmark toward the efficient frontier through sparse and stable asset selection. We implement these models on two benchmarks, a market index and the equally-weighted portfolio. We carry out an extensive out-of-sample analysis with 11 empirical datasets and simulated data. The proposed portfolios outperform the benchmark portfolio in various performance measures, including the mean return and Sharpe ratio.     

海南岛休闲农业布局现状的实证分析

[目的]全面分析海南岛休闲农业布局现状,为海南岛休闲农业科学合理规划和均衡协调发展提供决策参考。[方法]文章利用海南岛259家休闲农业企业的地理数据,采用比较、缓冲、密度分析工具,从数量、类型、密度、距离衰减方面实证分析海南岛休闲农业的布局特征,并提出相应的优化对策。[结果](1)海南岛东部、中部和西部休闲农业数量分布比重分别为51%、29%和20%,其中国家级示范点数量分布比重分别为83%、17%和0%;(2)休闲农业主要类型有休闲农庄、观光农园、市民农园和农家乐,除休闲农庄在东部、中部、西部分布较均匀外,其他类型分布较不均衡;(3)距离市县中心越远,休闲农业分布密度越小,95%的休闲农业分布在距离市县中心30km以内,距离市县中心10~15km是休闲农业的高峰集聚区;(4)海南岛休闲农业已在海口、保亭、三亚、澄迈、琼中、琼海、定安、儋州形成8个高度集聚带。[结论]海南岛休闲农业无论在数量、类型和密度上都是东部地区最多,中部次之,西部最少。应积极推进具有农业发展优势的地区,因地制宜拓展产业休闲功能;休闲农业产品类型单一的地区,深度挖掘特色资源和文化内涵;加强休闲农业点与旅游景区、生活服务中心之间的跨区域联系,形成和谐发展的有机旅游整体,使休闲农业真正成为农业转型、农民增收的引擎。     

Is there a diversification “cost” of Shari’ah compliance? Empirical evidence from Malaysian equities

Islamic equity portfolios work with a smaller investment universe given the filtering of non-Shari’ah compliant stocks. It has been theoretically argued that this culminates in suboptimal portfolio diversification, which in turn adversely affects risk-adjusted returns. We offer empirical evidence that such a conceived portfolio diversification “penalty” is far from a foregone conclusion, at least empirically. Our results tend to indicate that Islamic portfolios are not invariably handicapped in terms of portfolio diversification. We also explored dimensions that may account for differences in the relative investment performance between Islamic and conventional portfolios, such as portfolio constraints, short selling and market conditions. We believe this paper is among the first to apply substantial empirical analysis specifically with respect to the portfolio diversification perspective on Islamic equity investments.     

Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

基于运行规划的能源综合服务系统能效管理研究

以浙江电网企业转型现代能源综合服务的具体战略与发展规划为研究背景，针对能源综合服务系统的运行规划目标，开展基于运行规划的能源综合服务系统能效管理研究。从系统工程的视角出发，以能源流为纽带，基于多尺度能源系统建模方法，构建了能源综合服务系统模型，并结合系统综合能效，采用粒子群优化算法来优化系统各设备单元的运行策略，以实现基于运行规划的最优能效管理。通过能源综合服务系统模型计算表明，大规模清洁能源和可再生能源的接入，可以明显提高系统综合能效；随着区域用户总冷量和/或总热量需求占总电力需求的比值增大，系统最优综合能效逐渐增大；与使用内燃机、燃气轮机及汽轮机为原动机的热电联产系统相比，使用燃料电池为原动机的热电联产系统可以使能源综合服务系统综合能效更优。     

Tracing VARDI coefficients: a proposal

ABSTRACT

We propose a new approach for tracing the so-called ‘value-added-(re)distribution-important coefficients’ (in short the VARDI coefficients) in a world input–output model. From the perspective of a selected group of economies, VARDI coefficients may be defined as those elements in world input–output matrix in the case of which a small change in their levels leads to the maximization of a share of this group of economies in value added in global value chains. Due to the rapid development of the World Input Output Database, this approach may be easily applied in empirical research to different groups of countries and sectors in world IO models. In an illustrative empirical case study, we use the new approach in order to answer a question regarding what the main directions of the future macroeconomic policy of the U.S. could be in order to ensure the maximization of the country’s share in global value added.     

Network structure,portfolio diversification and systemic risk

We investigate the effect of portfolio diversification on banking systemic risk, where the network effect is incorporated. We analyze three kinds of interbank networks, namely, random networks, small-world networks and scale-free networks. We show that the effect of portfolio diversification on banking systemic risk depends on interbank network structures and shock types. First, systemic risk increases first and then reduces with the increase of the level of portfolio diversification in the case of the individual shock. Second, in the case of the systemic shock, systemic risk reduces with the increases of the level of portfolio diversification. Third, banking systems with scale-free network structures are the most stable, and those with small-world network structures are the most vulnerable.