Traditional beta, downside risk beta and market risk premiums

The article develops a downside risk asset-pricing model, which is based on Conditional-VaR (Mean-shortfall) risk measure. As in the traditional model the model leads to a monetary separation and yields a CVaR beta analogous to the traditional beta. An empirical study indicates that CVaR beta, which considers also downside risk, has greater explanatory power than the traditional beta. This is especially true in the case of a bearish market. Moreover, a combined model, which uses both betas, outperforms both the traditional and the CVaR models.The results indicate that in a bullish economy, risk premiums may be partially explained by the traditional beta. However, in a depressed economy investors are most likely more concerned about downside risk, which is poorly captured by the traditional beta. This downside risk can best be captured by CVaR beta, which is based on historical data and avoids assuming any prior distribution.     

Differentiability of von Neumann–Morgenstern utility functions

This paper studies necessary and sufficient preference-based conditions for differentiability of risk averse (prudent, or temperate) von Neumann–Morgenstern utility functions. The very idea to devise those conditions is based on the reverse claim of an old observation by Arrow that a risk-averse expected-utility maximizer will always accept a sufficiently small stake in any positive expected-value bet if her von Neumann–Morgenstern utility function is differentiable.     

湘粤桂边瑶区农户的贫困脆弱性:测度与治理

湘粤桂边瑶区是我国典型的集中连片特困民族地区,当前该区域农户贫困状态正由经济性渐趋脆弱性.本文借鉴Chaudhuri的贫困脆弱性测度模型,通过对样本点590户农户的一手数据实施测算,发现该瑶区的农户脆弱性系数明显高于全国平均数,区域内也存在较大的差异.最后,结合该区域实情,提出了变更贫困识别、突出地理区域整体联动、实施资源资本化等脆弱性治理的发展思路.     

Forecasting macroeconomic risks

We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the inflation forecast. Growth vulnerability arises as the conditional mean and conditional variance of GDP growth are negatively correlated: downside risks are driven by lower mean and higher variance when financial conditions tighten. Similarly, employment vulnerability arises as the conditional mean and conditional variance of unemployment are positively correlated, with tighter financial conditions corresponding to higher forecasted unemployment and higher variance around the consensus forecast.     

Fuzzy multicriteria for developing a risk management system in seismically prone areas

Earthquakes pose a predominant risk to cities in seismically prone areas. This paper addresses the need to mitigate the exposure of cities to seismic risk in general and to existing and new build structures in particular. The many and complex factors to be considered require a form of Multi-Criteria Decision making system to be adopted. To cope with the interactions between socio-economic factors and the roles of multiple participants, criteria and alternatives the paper proposes the use of a fuzzy multi-criteria model. The fuzzy methodology forms the basis for the development of a composite fuzzy risk index for prioritizing different regions in Iran. The findings suggest that early risk assessments in seismically prone areas should be conducted in order to determine the multi-dimensional aspects of seismic risk including vulnerability and emergency response management.     

CONCEPTS OF POVERTY AND THE POVERTY LINE

Abstract. Various approaches adopted in developed economies to distinguishing between the poor and non-poor—to setting a poverty line—are reviewed. These include the budget standard, food ratio, 'official', subjective and relative poverty line methods, as well as the analysis of indicators of deprivation. There has been significant progress in recent years in the degree of sophistication involved, and a movement away from approaches with a quasi-absolute background. However, all the methods face formidable problems at conceptual and empirical levels, and no single approach is likely to dominate.     

中国城乡贫困动态演化的实证研究:1990～2005年

本文基于中国营养与健康调查1990～2005年的家庭微观调查数据,采用贫困指标束和转移矩阵的方法,分别考察了中国贫困的整体变动趋势及其动态演化特征。研究显示:中国城乡贫困整体呈现不断上升的趋势,但其各期贫困水平及上升幅度存在差异。城乡总体脱贫返贫概率变动趋势较为一致,但其水平存在差异,且城乡内部各收入组脱贫返贫概率的水平和变动趋势也不尽相同。城乡返贫概率都呈现明显的状态依赖特征,但城市脱贫概率的状态依赖不断加强,而农村脱贫概率的状态依赖有所减弱。大部分脱贫家庭收入变动到中位数收入的75%以上,同时大部分返贫家庭收入变动到贫困群体的较高收入组中。     

Poverty Orderings

This paper reviews the literature of partial poverty orderings. Partial poverty orderings require unanimous poverty rankings for a class of poverty measures or a set of poverty lines. The need to consider multiple poverty measures and multiple poverty lines arises inevitably from the arbitrariness inherent in poverty comparisons. In the paper, we first survey the ordering conditions of various individual poverty measures for a range of poverty lines; for some measures necessary and sufficient conditions are identified while for others only some easily verifiable sufficient conditions are established. These ordering conditions are shown to have a close link with the stochastic dominance relations which are based on the comparisons of cumulative distribution functions. We then survey the ordering conditions for various classes of poverty measures with a single or a set of poverty lines; in all cases necessary and sufficient conditions are established. These conditions again rely on the stochastic dominance relations or their transformations. We also extend the relationship between poverty orderings and stochastic dominance to higher orders and explore the possibility and the conditions of increasing the power of poverty orderings beyond the second degree dominance condition.     

三峡库区移民生态减贫策略的优化仿真研究

研究目标：优化三峡库区移民生态减贫策略。研究方法：运用协整分析探索移民贫困的关键影响因素,构建了库区生态减贫系统动力学模型,并以重庆万州为例进行了仿真模拟。研究发现：地质灾害与土地、降雨、环保投资,脱贫人口与耕地、饮用水、人均纯收入间存在长期协整关系;环境污染和地质灾害治理方案均可减少贫困发生率;协调发展方案减贫效果最佳,万州区有望提前实现减贫目标。研究创新：构建了三峡库区生态减贫的系统动力学理论模型,揭示了地质灾害、生态环境和移民贫困三者之间的复杂生克关系和动态反馈机制。研究价值：提出了三峡库区兼顾生态环境保护和地质灾害减轻的系统性减贫策略。