VaR约束与资产配置优化——基于中国证券市场的经验数据分析

VaR模型是一种有效的风险计量和管理工具。在假设组合收益服从正态分布的条件下,分析了引入VaR约束的均值一方差模型及有效边界;考虑在一定置信水平下。结合组合收益的实际分布,给出了满足投资者VaR约束下期望收益最大化的计量模型及投资策略选择,并利用中国证券市场数据进行了实证研究。     

Optimizing the capital rationing decision with uncertain returns

In this article, we develop a new optimization model for capital rationing with uncertain project returns. Our model maximizes the probability of meeting a predefined target return by selecting a feasible set of projects subject to budget constraints in multiple time periods. We employ a mixed-integer nonlinear algorithm recently developed in the optimization field to solve the resulting nonconvex optimization problem to optimality. Our model and solution methods are tested and validated through a comprehensive computational experiment. Several managerial insights are obtained about the impact of available budget and target return on the optimal solutions. Notably, we have found that increasing target return may not necessarily result in an increase in optimal total expected return of the selected projects. Our model and solution method offer a unified and computationally tractable approach to precisely quantify the tradeoff between project returned and risk.     

REIT Leverage and Return Performance: Keep Your Eye on the Target

This article examines U.S. REIT leverage decisions and their effects on risk and return. We find that the speed at which REITs close the gap between current debt levels and target leverage levels is 17% annually. REITs that are highly levered relative to the average REIT tend to underperform REITs with less debt in their capital structure. However, REITs that are highly levered relative to their target leverage tend to perform better on a risk‐adjusted basis than under‐levered REITs. Taken together, our results show that REIT leverage has significant return performance effects conditional on deviations from target leverage.     

Using simulated mergers to evaluate corporate diversification strategies

This study suggests that simulated mergers can be used to help evaluate the effects of diversification on corporate performance. The results, which are consistent with a risk-reduction motive for conglomerate diversification, imply that conglomerate strategies focused on fewer and larger units may be advantageous in terms of certain measures of risk and return. Forecast error is used here to measure strategic risk, and return on equity is used to measure return.     

Some evidence on the gains from international diversification for Canadian investors

It is easily demonstrated ex post that international portfolio diversification results in increased returns and reduced risk. However, to determine the value of international diversification as an effective portfolio management strategy, it is necessary to form portfolios based on information available at the time of their composition, and then evaluate the performance of the portfolio in the following months. This is the main focus of our study, which adds several innovations to past research. First, we use daily rates of return on 23 national indices to evaluate the value of international diversification for a Canadian investor. Second, we evaluate the predictive value of the historical variance-covariance matrix vis-à-vis alternative models. Third, we use the Bayes-Stein correction to reduce errors in the historical return vector. Finally, we use a quadratic programming model in order to introduce the effects of constraints on the optimisation process. The results, obtained over the 1986–1989 period, are not in favour of international diversification. Returns on diversified portfolios were often lower than returns on the low-risk Canada market during the low-performance portfolio test periods. In other cases, higher returns on diversified portfolios could not be justified by their higher volatility. It is possible that these results may be partially due to the effects of the market crash in October 1987. Nevertheless, our study brings up many directions for future research. Is international diversification in fact profitable? Is portfolio optimisation appropriate in an international context? Finally, what is the best way to estimate the expected return vector in various markets?     

Multi-product newsvendor problem with value-at-risk considerations

We consider the single period stochastic inventory (newsvendor) problem with downside risk constraints. The aim in the classical newsvendor problem is maximizing the expected profit. This formulation does not take into account the risk of earning less than a desired target profit or losing more than an acceptable level due to the randomness of demand. We utilize Value at Risk (VaR) as the risk measure in a newsvendor framework and investigate the multi-product newsvendor problem under a VaR constraint. To this end, we first derive the exact distribution function for the two-product newsvendor problem and develop an approximation method for the profit distribution of the N-product case (N>2). A mathematical programming approach is used to determine the solution of the newsvendor problem with a VaR constraint. This approach allows us to handle a wide range of cases including the correlated demand case that yields new results and insights. The accuracy of the approximation method and the effects of the system parameters on the solution are investigated numerically.     

The impact of liberalization on the scope of efficiency improvement in electricity-generating portfolios for the United States and Switzerland

In this study, Markowitz mean-variance portfolio theory is applied to electricity-generating technologies of the United States and Switzerland. Both an investor (focused on changes in return) and a current user (focused on return in levels) view are adopted to determine efficient frontiers of electricity generation technologies in terms of expected return and risk as of 2003. Since shocks in generation costs per kWh (the inverse of returns) are correlated, Seemingly Unrelated Regression Estimation (SURE) is used to filter out the systematic components of the covariance matrix. Results suggest that risk-averse investors and risk-neutral current users in the United States are considerably closer to their efficiency frontier than their Swiss counterparts. This may be due to earlier and more thorough deregulation of electricity markets in the United States.     

Industrial tail exposure risk and asset price: Evidence from US REITs

In this study, we investigate the impact of industry-based tail dependence risk on the cross-section of stock returns. To this end, we propose a novel tail risk dependence measure (industrial tail exposure risk [ITER]), which captures the tail risk exposure of individual stocks to multiple industries. Using US equity real estate investment trusts (REITs) data from 1993 to 2020, we document that stocks in the highest ITER portfolio outperform stocks in the lowest ITER portfolio by 8.40% per annum. This positive return spread is significant even after controlling for well-known firm characteristics. The return premium of ITER is stronger for small, value, and highly levered stocks and is substantially high during recession periods. Finally, the effects of ITER are cross-sectionally more associated with REITs that have greater degrees of the following factors: bivariate tail exposure risks of major industries, exposure to local industry tail risk, geographical concentration, and ownership of home-biased investors. Overall, our results suggest that REIT investors are indeed averse to tail risks that are associated with various sectors.     

On the present worth of multivariate quality loss

Quality loss function has been introduced, by Taguchi, to be a quality performance measure for products since the 1980s. In this paper, we extend the work of Teran et al. [The Engineering Economist 42 (1) (1996) 39–52] and incorporate the concept of time value of money into the multivariate loss function. First, the model for the present worth of the expected multivariate quality loss (PWML) is established and its solution procedure is developed. Then, an example is provided to illustrate how the model can be applied. Some sensitivity analyses are conducted to study the effects of planning horizon, customer discount rate and coefficients of parameter drift on the optimal means at production time and the associated quality loss. From the results of analysis, the longer the planning horizon of the product is, the farther the means should be set relative to the targets at production time. Also, as the customer discount rate increases, the mean should be set closer to the target at production time.     

Mean-downside-risk and mean-variance newsvendor models: Implications for sustainable fashion retailing

Newsvendor models have been well-established for studying supply chain management problems with fashionable products. In this paper, we explore the mean-downside-risk (MDR) and mean-variance (MV) newsvendor models under both the exogenous and endogenous retail price decision cases. We first construct analytical models with the MDR and MV objectives. We then show that the analytical solution schemes for both the MDR and MV problems are the same. With the measures for sustainability such as the expected quantity of goods leftover, the expected sales to expected goods leftover ratio, the rate of return on investment, and the probability of achieving a pre-determined profit target, we proceed to compare the levels of sustainability by the fashion retailers which employ the mean-risk and the risk neutral models. Insights are generated.     

ENGINEERING ECONOMY CASES

This note extends the Initial partial-mean concept for present worth analysis of risk by Buck and Askin (1986) to a two random variable case where the magnitude of a single cash flow Is a random variable, and the time duration is a random variable with uniform distribution. This extension leads to the calculation of the expected magnitude of a project loss given that the loss occurs. Computational formulas and numerical Illustrations are presented.     

基于贝叶斯理论的供电公司购电风险决策研究

将“供电公司如何从合约市场和实时市场中购买电力,以使自己的收益最大,风险最小”理解为一个风险型决策问题,应用贝叶斯分析理论,求得已知先验概率情况下供电公司的最小期望损失,改进了供电公司设定的先验概率,减少了期望损失,给出了供电公司应选择的决策方案,可供供电公司根据自身实际情况和电力市场相关信息做出正确的估计,保证供电公司做出正确的决策,从而实现收益最大化的目标。     

Risk,standard deviation,and expected value: when should an individual start social security?

In choosing when to start collecting Social Security, the differences in expected net present values (NPVs) are small—but the corresponding standard deviations are not. Starting earlier is less risky. The case analyzed is single individuals in the U.S. system, but the methodology can be applied to couples and to the systems of other nations. Considering risk and return together places Social Security in the same risk/return framework as other capital investments. Behavioral, situational, and qualitative factors that often dominate decisions on when to start are linked with quantitative approaches to longevity risk and mortality risk.     

On the strategic value of risk management

This article examines how firms facing volatile input prices and holding some degree of market power in their product market link their risk management and their production or pricing strategies. This issue is relevant in many industries ranging from manufacturing to energy retailing, where firms that are rendered “risk averse” by financial frictions decide on and commit to their hedging strategies before their product market strategies. We find that commitment to hedging modifies the pricing and production strategies of firms. This strategic effect is channeled through the risk-adjusted expected cost, i.e., the expected marginal cost under the probability measure induced by shareholders' “risk aversion”. It has opposite effects depending on the nature of product market competition: commitment to hedging toughens quantity competition while it softens price competition. Finally, not committing to the hedging position can never be an equilibrium outcome: committing is always a best response to non-committing. In the Hotelling model, committing is a dominant strategy for all firms.     

The risk‐return paradox for strategic management: disentangling true and spurious effects

The concept of risk is central to strategy research and practice. Yet, the expected positive association between risk and return, familiar from financial markets, is elusive. Measuring risk as the variance of a series of accounting‐based returns, Bowman obtained the puzzling result of a negative association between risk and mean return. This finding, known as the Bowman paradox, has spawned a remarkable number of publications, and various explanations have been suggested. The present study contributes to this literature by showing that skewness of individual firm' return distributions has a considerable spurious effect on the empirically estimated mean‐variance relationship. I devise a method to disentangle true and spurious effects, illustrate it using simulations, and apply it to empirical data. It turns out that the size of the spurious effect is such that, on average, it explains the larger part of the observed negative relationship. My results might thus help to reconcile mean‐variance approaches to risk‐return analysis with other, ex‐ante, approaches. In concluding, I show that the analysis of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox. Copyright © 2008 John Wiley & Sons, Ltd.     

A TECHNICAL NOTE ON THE MATHEMATICS OF NON-ANNUAL COMPOUNDING

An expected return-systematic risk (r,β) criterion is used to develop a decision framework for investing in inventory. The direct incorporation of risk in the model in the context of the Capital Asset Pricing Model avoids the shortcoming of exogenous risk specification, which is inherent in both the return on investment and cost minimization criteria commonly employed in inventory management.     

2006 IIE-EED Business Meeting Minutes

The duration measure of weighted average life has been applied in the capital budgeting literature as a measure of project liquidity. Duration is superior to payback methods because it considers both the timing and present value of the entire cash flow stream. However, the literature is ambivalent on the choice of discount rate in calculating project duration. For duration to properly serve as a project liquidity measure, the internal rate of return should be used to discount future cash flows. Examples show that using the firm's cost of capital to calculate duration fails to measure the time to recover initial project outlays in present value dollars.     

Measuring technological capability and performance

The relation between technological capability and firm performance is more complex than what is generally assumed. Researchers have not been able to consistently find empirical support for this apparently 'simple' relation. The objective of this study is to illustrate the theoretical and empirical complexity of this relation and explain why the use of different measures can lead to dramatically different results. In this study, we analyse the technological capability–performance relation in 201 large US public manufacturing companies. A variety of patent statistics and a measure of research & development (R&D) intensity are used as indicators for technological capability. The following six measures of performance are used as dependent variables: return on assets, return on equity, return on sales, market value, market value added, and economic value added. The results vary substantially, depending on which measures are used for the independent and dependent variables. A detailed understanding of precisely what each measure represents and the shortcomings of each measure is needed to explain why these differences exist. We conclude by discussing the effectiveness of a variety of technological capability measures using patent citations, and illustrate why a measure of R&D spending and the total number of patents are usually not valid measures of a firm's technological capability.     

Duration and the Risk Adjustment of Discount Rates for Capital Budgeting

Capital budgeting applications frequently necessitate the use of a discounting methodology to allow for time value of money, supplemented by payback calculation to assess liquidity risk. This paper explains how both concerns can be addressed in a single process by using duration measure in making discount rate adjustments which allow for the timing of the expected cash flows.     

Risk Aversion and Technology Portfolios

This paper analyzes the choice of a technology portfolio by risk-averse firms. Two technologies with random marginal costs are available to produce a homogeneous good. If the risks that are associated with the technologies are correlated, then the firms might invest in a technology with a negative expected return or, conversely, might not invest in a technology with a positive expected return. If the technology with the lower expected cost is riskier than the other technology, then this “low-cost” technology will be eliminated from the firm’s portfolio if the risks are highly correlated. With imperfect competition, the portfolios of firms are different, and the difference in risk tolerance can explain the full specialization of the industry: The less risk-averse firms use the low-cost technology, and the more risk-averse firms use the less risky, higher-cost technology.