Equally Weighted Portfolios of Randomly Selected Stocks and the Individual Investor

The article contrasts 500 randomly formed equally weighted portfolios (1/N) to 221 actively managed stock funds, individual stocks, and the IBrX-50 index, representing indexed stock funds, considering transaction costs. The sample are the 50 stocks in IBrX-50 index in January 2007 throughout 60 months. Investors are likely to achieve greater returns and return-to-risk ratios with a randomly formed 1/N portfolio than with a stock fund, particularly those targeting retail investors, or one of the 50 stocks also randomly drawn. These portfolios would also outperform the IBrX-50. Robustness tests with variations in size and frequency of rebalancing do not change conclusions.     

Approximating Large Diversified Portfolios

This paper considers a financial market with asset price dynamics modeled by a system of lognormal stochastic differential equations. A one‐dimensional stochastic differential equation for the approximate evolution of a large diversified portfolio formed by these assets is derived. This identifies the asymptotic dynamics of the portfolio as being a lognormal diffusion. Consequentially an efficient way for computing probabilities, derivative prices, and other quantities for the portfolio are obtained. Additionally, the asymptotic strong and weak orders of convergence with respect to the number of assets in the portfolio are determined.     

现代资产组合理论的一个拓展:出口市场组合模型——关于我国出口市场多元化的理论思考

出口多元化战略实施十多年以来,我国出口市场仍较为集中。出口多元化战略包括两层含义:产品的多元化和市场的多元化。国内理论界关于多元化战略的研究主要集中在前者,关于后者的研究则比较罕见。本文试图借鉴现代资产组合理论的思想,运用相对方差来衡量风险,构造了出口市场组合模型,用于定量分析多元化战略中的“市场多元化”问题,为降低我国产品出口所面临的市场风险提供理论指导。     

Trading Portfolios Electronically – An Experimental Approach

This paper focuses on a simple axiom – investors prefer to hold diversified combinations of assets. Arguing that pooling vehicles like mutual funds offer approximate solutions, we propose a portfolio trading mechanism that allows individuals to trade diverse combinations of assets through a single order. Given the complexity of the market mechanism, we construct a prototype of this trading system and test it through a series of laboratory experiments with student subjects. We address the quality of the price discovery process, quality of allocations, and efficiency of the market mechanism. Results from a set of laboratory experiments indicate that the performance of such systems is sensitive to design aspects as well as relative experience of participants.     

NONPARAMETRIC KERNEL-BASED SEQUENTIAL INVESTMENT STRATEGIES

The purpose of this paper is to introduce sequential investment strategies that guarantee an optimal rate of growth of the capital, under minimal assumptions on the behavior of the market. The new strategies are analyzed both theoretically and empirically. The theoretical results show that the asymptotic rate of growth matches the optimal one that one could achieve with a full knowledge of the statistical properties of the underlying process generating the market, under the only assumption that the market is stationary and ergodic. The empirical results show that the performance of the proposed investment strategies measured on past nyse and currency exchange data is solid, and sometimes even spectacular.     

Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs

We consider the problem of computing hedging portfolios for options that may have discontinuous payoffs, in the framework of diffusion models in which the number of factors may be larger than the number of Brownian motions driving the model. Extending the work of Fournié et al. (1999) , as well as Ma and Zhang (2000) , using integration by parts of Malliavin calculus, we find two representations of the hedging portfolio in terms of expected values of random variables that do not involve differentiating the payoff function. Once this has been accomplished, the hedging portfolio can be computed by simple Monte Carlo. We find the theoretical bound for the error of the two methods. We also perform numerical experiments in order to compare these methods to two existing methods, and find that no method is clearly superior to others.     

Equally Weighted Strategic Allocation and Balanced Funds in Brazil

This article analyzes equally weighted strategic asset allocation portfolios in Brazil between 2004 and 2016 and shows that their average returns are not always statistically greater than those of balanced funds, with significance changing in sub-periods. Fixed-income portfolios frequently outperform balanced funds, whose active management underperforms their declared benchmark portfolios. Balanced funds underperformed probably because they deviated from their investment policy. Transaction costs and other rebalancing frequencies do not change the conclusions. Robustness tests indicate that this evidence is valid out-of-the-sample. Investors can mimic balanced-fund policy and possibly do better by means of indexing according to this policy.     

Optimal Portfolios with Bounded Capital at Risk

We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the capital at risk. In a Black–Scholes setting we obtain closed-form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes that allow for larger fluctuations in the returns.     

Universal Moral Values for Corporate Codes of Ethics

How can one establish if a corporate code of ethics is ethical in terms of its content? One important first step might be the establishment of core universal moral values by which corporate codes of ethics can be ethically constructed and evaluated. Following a review of normative research on corporate codes of ethics, a set of universal moral values is generated by considering three sources: (1) corporate codes of ethics; (2) global codes of ethics; and (3) the business ethics literature. Based on the convergence of the three sources of standards, six universal moral values for corporate codes of ethics are proposed including: (1) trustworthiness; (2) respect; (3) responsibility; (4) fairness; (5) caring; and (6) citizenship. Relying on the proposed set of universal moral values, implications are discussed as to what the content of corporate codes of ethics should consist of. The paper concludes with its limitations.     

Text Services and Universal Service Obligations

NETNOMICS: Economic Research and Electronic Networking -     

基于泛资源视角的产业集群竞争力提升研究

文章从产业集群竞争力的概念分析入手,提出了产业集群泛资源的概念,并进而提出了泛资源整合的概念及其与产业集群竞争力的关系。具体论述了基于泛资源整合提升产业集群竞争力的途径。认为应通过加强信用资源整合、加强区域资源整合等途径进行企业外部资源整合;通过加强企业科技资源整合、实施集群品牌聚合等途径实施企业内部资源整合。     

关于中国邮政普遍服务义务与赢利冲突的探究

邮政普遍服务义务与竞争性业务分离的邮政规制改革,即竞争性业务可通过引入竞争机制改善经营绩效,普遍服务义务则可在成本核算的基础上通过普遍服务基金、政策补贴等补偿机制提供资金。     

论企业战略和薪酬战略的关系——“普遍性视角”观

薪酬是人力资源管理的重要内容,薪酬战略能否与企业战略相匹配,关系到能否提升公司的竞争优势。受环境影响中国变量间接决定企业战略的机制,并从“普遍性视角”的观点出发,指出企业战略决定薪酬战略、薪酬战略应支持和匹配企业战略。     

刍论中国金融模式下的分业与混业

金融业从分业向混业发展乃大势所趋，分业利于安全，混业利于效率。然而在中国金融模式下，由于制度前提、金融职能、产权结构的特殊性，使分业和混业都有防范金融风险和提高金融效率的双重要求。明确混业的基本目的、结合一系列金融制度改革、进行金融监管创新等，是分业平稳走向混业的基本条件。     

全能银行范围经济的实证分析

从实证角度分析全能银行范围经济的存在。通过收入增长模型实证并回归检验了全能银行的范围经济特性,并计量出其范围经济系数,得到全能银行存在范围经济的有力证据。实践中对全球著名五家全能银行进行回归分析,并拟合中国自己的全能银行进行回归验证,得到拟合程度非常高的回归检验结果。由此得出结论:中国是可以发展自己的全能银行的,不仅具有现实基础且可产生显著的范围经济。     

What Drives Micro-Angel Investments?

Despite of the significant role of informal venture capital in the financing of new entrepreneurial ventures, there is little research explaining the factors determining the propensity of individuals to make microangel investments. Building on two theoretical frameworks, a social psychological theory of planned behavior and an economic theory on the determinants of demand for risky assets in household portfolios, we develop a set of hypotheses predicting the propensity of individuals to make informal investments in new businesses owned by others. In our analysis we test whether the determinants of micro-angel investments are similar when investing in a business owned by a close family member versus more distant business. The hypotheses are tested using data from 6007 interviews of Finnish adults carried out in the Global Entrepreneurship Monitor program in 2000–2002. The findings show that the theoretical frameworks have more power in explaining investments in firms not owned by close family members. The study provides new understanding of the differences in the drivers of different types of micro-angel investments.