On methods of optimal portfolio construction

The transition from a centrally planned economy to a market economy in Poland has caused dynamic changes in the number and structure of potential investors of the stock exchange market. This phenomenon, unknown in the past, needs a new approach to statistical methods of stock market analysis. The paper presents two methods of optimal portfolio construction. The first one leads to the square programming problem. Applying the Lagrange multipliers, we obtain a system of algebraic equations which can be solved by the special algorithm proposed in the paper. The second method reduces the mentioned above square program to the linear programming problem which can be solved using the simplex method.     

On the convexity of the portfolio choice set

This paper studies the convexity of the set of optimal portfolios in asset space. Recently Dybvig and Ross (1982) have shown by counter example that the optimal set is not always convex. In this letter I provide a necessary condition for convexity and discuss the problem from a geometric point of view.     

浅谈建筑工程造价的工程量清单计价法

随着我国市场经济体制的逐步完善,预算定额计价与市场经济已不相适应,激烈的市场竞争要求有一种能够体现建筑产品市场价格的计价方法来确定工程造价.实行工程量清单计价是一种新的市场定价,这种计价方式要求企业自主报价,由市场交易形成建筑产品的价格,能适应市场经济发展的要求,为建设市场主体创造一个与国际管理接轨的市场竞争环境.     

资本账户开放后的居民资产组合问题

资产组合理论强调投资者应将资产分散于不同形式以降低整体风险,资本账户开放可以使居民在国际范围内调整自己的投资组合.中国目前面临着资本账户开放,在资本账户开放后我国居民的资产组合也会发生较大的变化.因此,讨论中国在资本账户开放后的居民资产组合问题具有重要的现实意义.本文就一国居民在开放资本账户后可能发生的资产组合调整进行分析,并探讨资本账户开放对中国居民的投资组合收益与风险的影响.     

On mean-variance portfolio selection under a hidden Markovian regime-switching model

We study a mean-variance portfolio selection problem under a hidden Markovian regime-switching Black–Scholes–Merton economy. Under this model, the appreciation rate of a risky share is modulated by a continuous-time, finite-state hidden Markov chain whose states represent different states of an economy. We consider the general situation where an economic agent cannot observe the “true” state of the underlying economy and wishes to minimize the variance of the terminal wealth for a fixed level of expected terminal wealth with access only to information about the price processes. By exploiting the separation principle, we discuss the mean-variance portfolio selection problem and the filtering-estimation problem separately. We determine an explicit solution to the mean-variance problem using the stochastic maximum principle so that we do not need the assumption of Markovian controls. We also provide robust estimates of the hidden state of the chain and develop a robust filter-based EM algorithm for online recursive estimates of the unknown parameters in the model. This simplifies the filtering-estimation problem.     

Delegated portfolio management and optimal allocation of portfolio managers

In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naïve strategy of equal weighting. Based on an exclusive data-set of high-net-worth (HNW) investors, we utilize a wide variety of methodologies to estimate the input parameters including exponentially weighted moving average (EWMA), generalized autoregressive conditional heteroscedasticity (GARCH) and Bayes–Stein shrinkage estimation. We apply nine different mean-variance models, but find that none of these present any consistent benefit over a naïve strategy of equal weighting.     

浅议建设工程招投标评标办法

本文通过对三种招投标报价模式的分析,指出各自的优缺点和适用要求,旨在为当前积极推行工程量清单模式下提供选用评标办法的参考.     

On the temporary and permanent components of global construction

This letter applies unobserved components models to decompose global construction series. By examining the temporary and permanent trends in a structural time-series framework, the uninterpretable difficulties inherent in bandpass filters are overcome and the trend–cycle decomposition of the construction series is treated as a special case. Overall global construction mimic patterns in the global economy: falling with recessions and rising with upturns. Understanding the cyclical behaviour of global construction output and its long run trend holds important lessons for smoothing the construction cycle.     

论政府与企业信用建设

企业信用建设，是一项系统工程，我国企业信用建设是在计划经济体制向市场经济体制转轨的背景下进行的。市场经济多年的实践表明，市场竞争不能自发地为企业提供一套完整的信用规则与制度，政府对企业信用建设的介入是必不可少的。本文从企业信用建设中政府自身的角色定位、职能转变和对企业信用建设的引导、监管两方面探讨了政府与企业信用相互间的关系。     

Towards a re-interpretation of the economics of feasible socialism

This paper re-examines the debate on whether socialism is feasiblefrom the perspective of the literature on the division of labourand organisational forms. The central argument is twofold. First,each of the major protagonists in the debate provide a partialexplanation as to when market socialism, planned socialism andparticipatory socialism are feasible. Second, the differentperspectives on when socialism is feasible can be reconciledthrough seeing the arguments in terms of specific techno-economicparadigms, which are underpinned by their own concepts of thedivision of labour and efficiency attributes. The authors showthat theories on the economics of socialism reflect differenttechno-economic paradigms and that when, and whether, the variousviews on socialism are appropriate depend on the prevailingexternal conditions, economic growth path and mode of institutionalarrangement.     

投资组合VaR分解的应用研究

针对VaR的不足,Garman M．于1997年提出了成分VaR和边际VaR。采用德尔塔——正态法度量投资组合的VaR、边际VaR和成分VaR,使用假设检验法对模型进行回测的研究结果表明,该计算方法下的VaR模型有效,边际VaR和成分VaR能为资产管理者提供更多有关投资组合风险的信息。     

论政府与企业信用建设

企业信用建设,是一项系统工程,我国企业信用建设是在计划经济体制向市场经济体制转轨的背景下进行的.市场经济多年的实践表明,市场竞争不能自发地为企业提供一套完整的信用规则与制度,政府对企业信用建设的介入是必不可少的.本文从企业信用建设中政府自身的角色定位、职能转变和对企业信用建设的引导、监管两方面探讨了政府与企业信用相互间的关系.     

略论高等职业院校的质量文化建设

教育质量是提升高职院校公信力和美誉度的有力途径,本文系统阐述了高职院校质量文化的历史溯源和内涵界定,深入分析了高职院校质量文化建设的重大意义,明确提出了高职院校质量文化建设的基本实施策略,旨在为推动高职院校又好又快发展提供可资借鉴的理论参照和实践模式.     

Fiat money and the value of binding portfolio constraints

We establish necessary and sufficient conditions for the individual optimality of a consumption-portfolio plan in an infinite horizon economy where agents are uniformly impatient and fiat money is the only asset available for intertemporal transfers of wealth. Next, we show that fiat money has a positive equilibrium price if and only if for some agent the zero short sale constraint is binding and has a positive shadow price (now or in the future). As there is always an agent that is long, it follows that marginal rates of intertemporal substitution never coincide across agents. That is, monetary equilibria are never full Pareto efficient. We also give a counter-example illustrating the occurrence of monetary bubbles under incomplete markets in the absence of uniform impatience.     

A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions

This paper proposes a novel nonlinear model for calculating Value-at-Risk (VaR) when the market risk factors of an option portfolio are heavy-tailed. A multivariate mixture of normal distributions is used to depict the heavy-tailed market risk factors and accordingly a closed form expression for the moment generating function that can reflect the change in option portfolio value can be derived. Moreover, in order to make use of the correlation between the characteristic function and the moment generating function, Fourier-Inversion method and adaptive Simpson rule with iterative algorithm of numerical integration into the nonlinear VaR model for option portfolio are applied for calculation of VaR values of option portfolio. VaR values of option portfolio obtained from different methods are compared. Numerical results of Fourier-Inversion method and Monte Carlo simulation method show that high accuracy VaR values can be obtained when risk factors have multivariate mixture of normal distributions than when they have normal distributions. Moreover, VaR values obtained by using the Fourier-Inversion method are not obviously different from VaR values obtained by using Monte Carlo simulation when market risk factors have normal distributions or multivariate mixture of normal distributions. However, the speed of computation is obviously faster when using Fourier-Inversion method, than when using Monte Carlo simulation method. Besides, Cornish Fisher method is faster and simpler than Monte Carlo simulation method or Fourier-Inversion method. However, this method does not offer high accuracy and cannot be used to calculate VaR values of option portfolio when market risk factors have heavy-tailed distributions.     

Symmetry and order in the portfolio allocation problem

Summary. This research studies the role of multivariate distribution structures on random asset returns in determining the optimal allocation vector for an expected utility maximizer. All our conclusions pertain for the set of risk averters. By carefully disturbing symmetry in the distribution of the, possibly covarying, returns, we ascertain the ordinal structure of the optimized allocation vector. Rank order of allocations is also established when a permutation symmetric random vector is mapped into the returns vector through location and scale shifts. It is shown that increased dispersion in the vectors of location and scale parameters benefit, ex-ante, investors as does a decrease in the rank correlation coefficient between the location and scale parameter vectors. Revealed preference comparative static results are identified for the location and scale vectors of asset returns. For most issues addressed, we arrive at much stronger inferences when a safe asset is available. Received: August 8, 2000; revised version: January 8, 2001     

An algebraic theory of portfolio allocation

Summary. Using group and majorization theory, we explore what can be established about allocation of funds among assets when asymmetries in the returns vector are carefully controlled. The key insight is that preferences over allocations can be partially ordered via majorized convex hulls that have been generated by a permutation group. Group transitivity suffices to ensure complete portfolio diversification. Point-wise stabilizer subgroups admit sectoral separability in fund allocations. We also bound the admissible allocation vector by a set of linear constraints the coefficients of which are determined by group operations on location and scale asymmetries in the rate of returns vector. For a distribution that is symmetric under a reflection group, the linear constraints may be further strengthened whenever there exists an hyperplane that separates convex sets. Received: May 15, 2001; revised version: March 20, 2002 RID="*" ID="*" Journal paper No. J-19797 of the Iowa Agriculture and Home Economics Experiment Station, Ames, Iowa. Project No. 3463, and supported by Hatch Act and State of Iowa funds. Correspondence to: D. A. Hennessy     

Bilateral portfolio dynamics during the global financial crisis

There has been considerable bilateral variation in the pattern of portfolio capital flows during the global financial crisis: for a given destination, investors from different countries adjusted their holdings to different degrees. We show that the size of the initial bilateral holding, geographical distance, common language, the level of trade and common institutional linkages help to explain the pattern of adjustment. These bilateral factors are more important for equities than for bonds and for investors from developing countries than for investors from advanced countries.