Saving Accounts versus Stocks and Bonds in Household Portfolio Allocation

We study the structure of household portfolios of financial wealth by analyzing both the determinants of total financial wealth and the choice between risky (stocks and bonds) and riskfree assets (saving accounts). The econometric specification is a generalized trivariate Tobit model, estimated on a cross section of 3,077 households in the Netherlands in 1988. We account for endogeneity of financial wealth and for selectivity due to nonreporting. Results show that the level of financial wealth and the marginal tax rate are major determinants of the allocation between riskfree and risky assets.     

国有银行与股份制银行资产组合配置的差异研究

商业银行国有产权与银行业绩表现的关系,近来成为一个热点话题。但是,很少有文章讨论银行国有产权与银行谨慎经营行为的关系。本文依据银行资产组合配置比率指标,研究了中国国有商业银行与股份制银行在谨慎行为方面的差异。实证结论表明:股份制银行比国有银行经营更为谨慎;国有银行由于管理与经营机制的改革正变得越来越谨慎。     

A Further Comment on the Zero Row-Sum Property of Mean-Variance Portfolio Allocation Models

This note considers the conditions under which asset demand equations arising out of mean-variance portfolio allocation models have symmetric interest rate effects. If these conditions are satisfied, it is also valid to write the asset demand equations as functions of interest rate differentials rather than interest rate levels.
The necessary condition for symmetry is that the 'expected return effect' be equal to zero. This will not always be the case and therefore symmetry of interest rate effects is an hypothesis which should be tested rather than a restriction which can be imposed on estimated asset demand equations. Statistical tests of this restriction often lead to its rejection.     

金融开放中本国银行的信贷安排研究

金融开放必然带来外国银行的进入。与外国银行相比，本国银行所拥有的私人信息可以带来对借款人的有效锁定。我们的模型指出，在这种情况下，（1）本国银行就会对信贷进行重新安排，以使更多的信贷流向那些被锁定的借款人；（2）如果借款人的资质和它的被锁定程度高度相关，不知情银行（外国银行）的竞争会使知情银行（本国银行）的贷款组合趋向恶化。     

商业银行分支机构贷款组合优化配置模型及市场化管理思路

以商业银行的经营性分支机构为研究对象,用信贷客户综合收益和经济资本占用系数确定银行的收益目标和约束条件,建立了基于风险调整后资本收益率(RAROC)最优的贷款组合优化配置模型,改进了以往贷款组合模型需要假设收益目标或风险承受度的缺陷。探讨了综合收益RAROC最大化目标下的贷款组合"软约束"市场化管理方法,有效补充了当前商业银行行政色彩浓厚的规模"硬约束"计划管理方式。     

Portfolio management with tail dependence

Many publications, that treated with Portfolio Management, were devastating for all asset allocation models in the context of portfolios. The elimination of extreme events (asymmetric or tail dependence) during the portfolio construction process can reduce the skills of asset managers to reduce risk through diversification. The copula theory allows us to calculate an alternative to measure the dependence of extreme events in assets through the index lower tail dependence. We check that the strategies with tail dependence overcame Talmud rule, the Markowitz model and the model of Tu and Zhou by simulating 1,000 portfolios with 3, 5, 10 and 20 randomly selected assets from DJIA for the period 03/1990 until 12/2016. We conclude that models of tail dependence and Markowitz had more performance ex-ante than Talmud and the Tu and Zhou model for portfolios with 3, 5, 10 and 20 assets. Tail dependence models overcome Markowitz, in terms of cumulative return, in over 60% of months considered in the analysis. The results indicate that the Talmud rule should be discarded in a context of constructing portfolios with individual stocks ahead strategies with tail dependence.     

Dynamic Equilibrium with Overpriced Put Options

It is a well-known anomaly that prices of put options are too high when options are out-of-the-money. This paper presents a simple general equilibrium model of the market where European put options become substantially overpriced when they are out-of-the-money. Overpricing is due to the presence of short-sale constraints on trading stocks and derivatives, as well as the heterogeneity between investors. We confirm the predicting power of the model by comparing its implications with existing empirical results.     

Portfolio Fishing

The optimal fishing pattern in a multi-cohort fishery is determined using risk theory.Portfolio theory becomes applicable by treating different age groups of fish as different assets. A possibility set is derived using data on Icelandic cod fisheries. In the presence of risk aversion, it is shown that the abrupt behavior found in deterministic models is changed towards a smoother fishing pattern. The historical selection pattern for the Icelandic cod stock is shown to be near optimal using a maximal effort-type cost function, but historical levels of effort are inefficient and lead to less profit and greater fluctuations than implied by profit or utility maximization.     

House Allocation with Transfers

We consider the Shapley–Scarf house allocation problem where monetary transfers are allowed. We characterize the class of mechanisms that are strategy-proof, ex post individually rational, ex post budget-balanced, and “collusion-proof.” In these mechanisms, the price of each object is fixed in advance, and the objects are reallocated according to the (unique) core assignment of the Shapley–Scarf economy associated with the prices. The special case in which all prices are zero is the core mechanism studied by Shapley and Scarf. Our mechanisms are compelling alternatives to the Groves mechanisms, which satisfy neither budget balance nor our condition of collusion-proofness. Journal of Economic Literature Classification Numbers: C71, C78, D71, D78, D89.     

考虑基准资产的动态投资组合选取

职业基金经理的目标经常是希望自己的投资组合以稳定的表现能够超越所某一基准资产或组合。因此本文给出一个考虑基准资产的动态均值——方差投资组合选取模型。假设状态之间的转移遵循马氏过程,给定状态转移矩阵,可以得到对风险资产最优投入的解析表达式。此表达式表明对风险资产的投入由三项构成,前两项是不考虑基准资产时对风险资产的投入,最后一项与基准资产有关;在基准资产上的权重由基准资产收益的大小来决定,与积极投资组合管理者的风险厌恶程度无关;随着风险厌恶程度的增加,管理者会减少在风险资产上的投入。数值分析显示考虑基准资产的投资组合是一个积极的投资组合。     

基于Levy Copula的组合信用衍生品定价模型

信用衍生品是有效分散、转移以及对冲信用风险的重要工具.2007年以来,全面爆发的美国金融危机导致了金融资产价格的急剧下跌,致使现有的信用衍生品定价模型面临极大的挑战,因此,如何假设基础金融资产价格的变动过程,进而对信用衍生品进行准确定价成为学者们研究的焦点.本文假设资产服从Variance Gamma过程,利用Levy Copula直接将资产的跳跃进行关联,对组合信用衍生品进行定价.蒙特卡罗模拟结果显示,本文模型可以很好地对不同的参数设置下的组合信用衍生品进行定价.     

基于核心能力的公司业务组合

本文指出基于核心能力的公司业务组合才能使企业保持持续的竞争优势,并分析了在核心能力的导向下,企业如何进行公司业务组合。     

Bargaining and Search with Incomplete Information about Outside Options

This paper considers a model of bargaining in which the seller makes offers and the buyer can search (at a cost) for an outside option; the outside option cannot be credibly communicated, and the seller's offer is recallable by the buyer for one period. There are essentially two equilibrium regimes. For sufficiently high search cost, the game ends immediately; otherwise the search occurs in equilibrium. Compared to the case where the buyer can communicate his outside option, the seller is worse off, and the game results in search for a smaller set of values of the search cost, i.e., less equilibrium delay.C72.     

Portfolio performance with controlled variables in the Singapore Stock Market

Recently, many stock return ‘anomalies’ have been identified. This leads to increasing agreement among researchers that these anomalies are relevant to enhancing investment performance. This study examines the existence of stock return anomalies on the Stock Exchange of Singapore in the period 1979–87, using a behavioural approach. The results reveal that the impact of anomalies on stock returns is unstable, with the direction of the impact determined by the strength of the stock market. This phenomenon and other observed anomalies may be partially explained by investors' psychology.     

基于三角模糊数的贷款组合优化模型比较分析

随着中国利率市场化的进程,贷款利率呈现出更大的不确定性,商业银行间的竞争也越来越激烈,在新的行业特点和经营形势下,商业银行需要结合研究贷款资源的配置方式,为商业银行管理层的决策提供有力的支撑。引入三角模糊数来刻画商业银行的收益率,并利用其可能性均值来构建三类贷款组合优化模型进行分析,结果显示模型的有效边界都符合均值方差模型有效边界的变化趋势,且得到的贷款权重配置可以更好地体现贷款利用效率。