医疗健康问题对居民资产配置的影响

健康状态的维持需要医疗健康成本的投入。该成本在政府和个人两者间分担,个人承担份额的多少会影响可供其他消费和投资的财富量,从而影响投资者资产配置决策;另外,医疗健康问题还会通过多个渠道影响其投资决策。本文从医疗健康成本角度分析了成本分担方式,构造了两期资产配置模型并进行求解,在分析了医疗健康问题影响渠道后建立了考虑医疗健康问题的长期资产配置模型。本文的研究表明:随着个人支付成本占工资收入比例的降低,投资者用于医疗健康以外的其他消费相应增加,两者之间为非线性数量关系;政府对医疗体系的稳定投入有助于减少收入波动风险,降低人们的风险对冲需求,从而可能促进投资者对风险资产的投资。本文主要的创新之处在于构造出考虑医疗健康成本因素的资产配置模型,分析了医疗健康成本与个人消费、投资之间的数量关系,并在量化研究基础上提出了稳定增加对医疗卫生体系投入的政策建议。     

Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification

Recent literature suggests that optimal asset‐allocation models struggle to consistently outperform the 1/N naïve diversification strategy, which highlights estimation‐risk concerns. We propose a dichotomous classification of asset‐allocation models based on which elements of the inverse covariance matrix that a model uses: diagonal only versus full matrix. We argue that parsimonious diagonal‐only strategies, which use limited information such as volatility or idiosyncratic volatility, are likely to offer a good tradeoff between incorporating limited information while mitigating estimation risk. Evaluating five sets of portfolios over 1926–2012, we find that 1/N is generally not optimal when compared with these diagonal strategies.     

金融资产配置与违约风险:蓄水池效应,还是逐利效应？

本文以2007—2016年中国A股上市公司为研究对象,检验了企业金融资产配置对违约风险的影响。实证研究发现:金融资产持有量越多,企业的违约风险越低,金融资产配置的“蓄水池效应”显著;在货币政策宽松时期,金融资产配置导致的代理冲突显现,宽松的货币政策会抑制金融资产投资对违约风险的降低作用。政府规制也会有一定的公司治理作用,将产业政策纳入讨论发现:对于产业政策支持的行业来说,企业金融资产配置能够降低违约风险,但是宽松的货币政策会刺激管理层的短视投资行为,抑制政府规制的公司治理作用。进一步地,本文提出会计稳健性的提升是企业金融资产配置降低违约风险的重要路径。本文的研究结论丰富了企业金融资产配置动机和违约风险影响因素的讨论,能够为政府部门防范经济运行中的内在风险提供有益借鉴。     

Dynamic Asset Allocation and the Informational Efficiency of Markets

Markets have an allocational role; even in the absence of news about payoffs, prices change to facilitate trade and allocate resources to their best use. Allocational price changes create noise in the signal extraction process, and markets where such trading is important are markets in which we may expect to find a failure of informational efficiency. An important source of allocational trading is the use of dynamic trading strategies caused by the incomplete equitization of risks. Incomplete equitization causes trade. Trade implies the inefficiency of passive strategies, thus requiring investors to determine whether price changes are informational or allocational.     

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life‐Cycle Model

This article examines the impact of participants’ age distribution on the asset allocation of Dutch pension funds, using a unique data set of pension fund investment plans for 2007. Theory predicts a negative effect of age on (strategic) equity exposures. We observe that a 1‐year higher average age in active participants leads to a significant and robust reduction of the strategic equity exposure by around 0.5 percentage point. Larger pension funds show a stronger age‐equity exposure effect. The average age of active participants influences investment behavior more strongly than the average age of all participants, which is plausible as retirees no longer possess any human capital.     

The Strategic Implications of Asset and Liability Allocation in the Turkish Banking Industry

This study aims to analyze whether banks' deviation from the mainstream in terms of asset and liability allocation enables them to perform better than their competition. Overall, deviation in the liability structure seems to have a significant impact on performance. In a second regression, the results obtained from the analysis of liability allocation are further examined by focusing on the effects of the deposit base on bank performance. Our analysis brings out the significance of liability allocation and of the effect of deposit strategies as a primary source of funding. The major difference of this study from the existing literature is that we focus primarily on both asset and liability allocation strategies of banks, and we further analyze the components of the liability structure to evaluate the impact of liability deviation on the banking strategy.     

Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

This paper examines the effects of uncertainty about the stock return predictability on optimal dynamic portfolio choice in a continuous time setting for a long-horizon investor. Uncertainty about the predictive relation affects the optimal portfolio choice through dynamic learning, and leads to a state-dependent relation between the optimal portfolio choice and the investment horizon. There is substantial market timing in the optimal hedge demands, which is caused by stochastic covariance between stock return and dynamic learning. The opportunity cost of ignoring predictability or learning is found to be quite substantial.     

中国居民资产配置趋势及商业银行对策

从近年来中国居民金融资产变化情况来看,在金融资产总量急剧增加的同时,资产结构也由原来单一的银行资产向多元化方向发展,但储蓄存款仍居主导地位,人均居民金融资产水平也较低。后危机时期居民金融资产总量增长空间仍然较大,资产多元化趋势将更加明显,这意味着储蓄存款将持续减少,而证券、基金、保险、信托、银行理财产品等新型金融产品的投资将日益扩大,居民资产配置以储蓄为主的格局仍将持续较长时间。这为商业银行发展带来两个机遇:一是为商业银行实现经营转型带来了发展机遇;二是为商业银行个人资产管理业务带来了发展机遇。     

基于企业PB差异的无形资产价值分成方法

具有被评估无形资产的企业PB值,与不具有该无形资产、而其他方面都类似的参考企业PB值之间的差异,反映了被评估无形资产的贡献。这是基于企业PB差异的无形资产价值分成方法的基本思路。其中企业PB差异可以分别采用平均值和回归分析。当选择合适的参考企业、控制好差异因素后,可以比较客观、方便地得出被评估无形资产的价值分成率,从而得出其评估价值。     

经济周期视角下全国社会保障基金的战术资产配置

本文按照全国社会保障基金投资管理暂行办法,将社会保障基金的投资组合资产分为银行存款,国债,企业债,金融债,证券投资基金和股票资产6个种类,采用宏观经济的月度指标将我国经济周期划分为4个阶段:衰退阶段、复苏阶段、繁荣阶段和滞涨阶段。根据美林证券的投资时钟理论,统计并分析这6类资产在不同的经济阶段的收益状况。同时,我们在全国社会保障基金投资管理办法的约束条件下,采用均值-方差模型,对全国社会保障基金进行最优资产模拟配置。数据模拟结果表明:在衰退阶段,应尽可能多地配置债券资产;在复苏阶段,应尽量降低现金资产的权重,提高债券资产和委托证券资产的权重;在繁荣阶段,应降低债券资产的配置比重;在滞涨阶段,应尽可能地增加现金持有的权重。并且,本文还针对均值—方差模型固有的缺乏鲁棒性的缺陷,采用Resample方法对模拟结果进行改进,使得资产的配置更加稳健可靠。     

基于CPI与PPI差值的资产配置效果评估：2005-2010

本文在众多的宏观经济指标中合成出反映企业利润变化的关键指标CPI-PPI,分析该指标与股票市场、债券市场波动的相关性,并根据这一指标的变化模拟资产配置的动态调整过程,检验使用该指标进行资产配置的有效性。     

The Interpretation of Cash Flow Reports and the Other Allocation Problem

Allocations continue to be a cause of concern to accountants. Allocations may be distributional (i.e. allocation of resources through budgets) or metrical (e.g. overhead costs to departments). Cash flow accounting is often advocated because it avoids metrical allocations. However, the interaction effects of cash flows may nullify their claimed advantages.     

The Performance,Asset Allocation,and Investment Style of International Equity Managers

This paper evaluates the performance of 114 international equity managers over the January 1988–December 1997 period. Performance tests are conducted using Sharpe (1966) and Jensen (1968) performance methodologies. The managers are divided into mutual fund (n=54) and separately managed fund (n=60) investment management categories. Each management category is further divided by foreign and world (global) investment objectives. Three major findings are reported. First, international equity managers, on average, were unable to outperform the MSCI World market proxy during the sample period. However, world managers did perform better than their foreign counterparts. Second, geographic asset allocation and equity style allocation decisions enhanced the performance of international managers during the sample period. Third, separately managed funds outperformed mutual funds during the period studied when mutual fund returns are measured net of management fees. The apparent managed performance advantage abates, however, when mutual fund returns are adjusted to include management fees. Thus, we find no significant difference in the performance of the management categories when returns are measured gross of fees.     

宏观经济不确定性视角下实体企业金融资产配置动机

近年来,金融与实体经济发展相背离引发的资金"脱实向虚"问题引起高度关注。微观层面,实体企业参与金融资产配置的动机和所产生的经济效果差异显著。就此,本文以2007—2017年上市非金融企业为研究样本,运用固定效应模型和工具变量法进行了实证分析。研究结论表明:我国实体企业进行金融资产配置具有投资获利和缓解融资约束的双重动机,但宏观经济不确定性上升会使逐利动机占据主导,并相对弱化融资约束缓释效果;从企业的异质性角度来看,宏观经济不确定性上升会推动国有企业增加金融投资,这也是我国金融资源配置效率低下的具体表征;相较于其他投资工具,长期股权投资是平滑经济发展中的不确定性影响、缓解融资约束的有效方式。     

上海市居民家庭资产配置现状及对策分析

通过设计涵盖家庭基本信息、风险偏好、理财现状及未来理财期望等内容的调查问卷,随机对680户不同收入水平的上海居民家庭的资产配置状况进行数据采集与分析,对比不同收入家庭的风险偏好测试结果,我们发现上海居民家庭整体上都是风险厌恶的,但低收入家庭的风险偏好往往强于高收入家庭,同时不同收入家庭在资产配置时都存在着行为金融学上的非理性行为。结合家庭未来的期望理财计划和国外发达国家家庭金融资产配置的状况,我们认为:居民家庭应当结合自身家庭收入及风险承受能力来选择资产配置的策略,转变观念,优化资产配置;而对于政府,应加快完善市场制度以降低居民预期的不确定性,同时鼓励、监督、引导金融部门开发适合居民需求的金融产品。     

On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

Recent studies in the empirical finance literature have reportedevidence of two types of asymmetries in the joint distributionof stock returns. The first is skewness in the distributionof individual stock returns. The second is an asymmetry in thedependence between stocks: stock returns appear to be more highlycorrelated during market downturns than during market upturns.In this article we examine the economic and statistical significanceof these asymmetries for asset allocation decisions in an out-of-samplesetting. We consider the problem of a constant relative riskaversion (CRRA) investor allocating wealth between the risk-freeasset, a small-cap portfolio, and a large-cap portfolio. Weuse models that can capture time-varying moments up to the fourthorder, and we use copula theory to construct models of the time-varyingdependence structure that allow for different dependence duringbear markets than bull markets. The importance of these twoasymmetries for asset allocation is assessed by comparing theperformance of a portfolio based on a normal distribution modelwith a portfolio based on a more flexible distribution model.For investors with no short-sales constraints, we find thatknowledge of higher moments and asymmetric dependence leadsto gains that are economically significant and statisticallysignificant in some cases. For short sales-constrained investorsthe gains are limited.     

切实解决外汇资源不合理配置问题

我国已经摆脱外汇短缺,进入外汇资源相对充裕阶段,但资源配置不合理:外汇资源向储备集中,资本流出入不合理,外汇存贷比不合理。原因在于本外币利率差距过大,人民币升值预期和资本管制。文章最后提出了解决外汇资源合理配置的新思路。     

The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements

We examine the impact of changes in equity-option margin requirements on the liquidity of options and underlying stock markets. We find that the decrease in margin was associated with an increase in spreads and trade informativeness, and a decrease in depth for the underlying stocks. In contrast, option spreads decreased indicating a change in the relative allocation of informed traders between the two markets. When the required margin was increased, no significant change was observed in the underlying stocks, but option spreads increased. Overall, our results indicate that uninformed traders are more sensitive to the margin dimension of trading costs.     

偿二代与资产负债匹配约束下寿险公司最优资产配置

保险公司资产配置需要同时考虑资产负债匹配和风险-收益均衡.本文在偿二代对保险资产负债匹配的隐性要求和保险资产负债管理监管规则对资产负债匹配的显性要求下,考察了资本占用和久期匹配约束下的险资投资策略,研究了保险公司的最优资产配置问题.结果 显示:负债久期较长的寿险公司很难同时满足偿二代资本要求和资产负债久期匹配要求;保险...