RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking Supervision. In contrast to the standard market risk measure based on a 10‐day value‐at‐risk calculated at 99% confidence, the IRC considers more extreme losses and is measured over a 1‐year horizon. More importantly, whereas 10‐day VaR is ordinarily calculated with a portfolio’s holdings held fixed, the IRC assumes a portfolio is managed dynamically to a target level of risk, with constraints on rebalancing frequency. The IRC uses discrete rebalancing intervals (e.g., monthly or quarterly) as a rough measure of potential illiquidity in underlying assets. We analyze the effect of these rebalancing intervals on the portfolio’s profit and loss distribution over a risk‐measurement horizon. We derive limiting results, as the rebalancing frequency increases, for the difference between discretely and continuously rebalanced portfolios; we use these to approximate the loss distribution for the discretely rebalanced portfolio relative to the continuously rebalanced portfolio. Our analysis leads to explicit measures of the impact of discrete rebalancing under a simple model of asset dynamics.     

On-Line Portfolio Selection Using Multiplicative Updates

We present an on-line investment algorithm that achieves almost the same wealth as the best constant-rebalanced portfolio determined in hindsight from the actual market outcomes. The algorithm employs a multiplicative update rule derived using a framework introduced by Kivinen and Warmuth. Our algorithm is very simple to implement and requires only constant storage and computing time per stock in each trading period. We tested the performance of our algorithm on real stock data from the New York Stock Exchange accumulated during a 22-year period. On these data, our algorithm clearly outperforms the best single stock as well as Cover's universal portfolio selection algorithm. We also present results for the situation in which the investor has access to additional side information.     

Efficient Universal Portfolios for Past-Dependent Target Classes

We present a new universal portfolio algorithm that achieves almost the same level of wealth as could be achieved by knowing stock prices ahead of time. Specifically the algorithm tracks the best in hindsight wealth achievable within target classes of linearly parameterized portfolio sequences. The target classes considered are more general than the standard constant rebalanced portfolio class and permit portfolio sequences to exhibit a continuous form of dependence on past prices or other side information. A primary advantage of the algorithm is that it is easily computable in a polynomial number of steps by way of simple closed-form expressions. This provides an edge over other universal algorithms that require both an exponential number of computations and numerical approximation.     

新经济时代下产品设计与国际竞争力

在新经济时代里,“中国制造”面临着前所未有的尴尬。根据波特的价值链理论以及中国的制造业现状,分析我国产品缺乏国际竞争力的原因,可以发现产品设计能力低下是一个至关重要的瓶颈。本文根据目前我国设计行业的现状,对提高我国的产品创新设计能力提出了一些建议。     

销售战略上的有价证券模式的应用

本文认为,销售战略上利用的一般性市场、产品有价证券模式是从财务有价证券模式引用而来的,其特点是只考虑有价证券风险而不考虑市场风险;有价证券模式是把企业的外在要素与企业的内在要素结合起来评价企业的模式,对企业有效利用有限的资源以及针对市场中的各种现象制定战略非常有用,但也存在自己的缺点:一是模型为了简约太注重单一的变数,二是模型的对入与适用很复杂,三是对各产品或事业部门都有独立的战略,产品和事业间有连续性效果。     

不同层次企业竞争优势的品牌竞争力提升策略

任何一家企业要想在风起云涌的市场大潮中搏击风浪,必须具有自己独特的核心竞争力。品牌就是力量,品牌竞争力是企业核心竞争力的外在表现,同时也是企业做大做强的最大源动力。提升品牌竞争力应界定品牌和品牌竞争力的内涵及构成要素,分析企业竞争优势与品牌竞争力之间的关系,针对不同层次的企业竞争优势提出所对应的品牌竞争力提升策略。     

全球化背景下我国物流业竞争策略选择分析

在经济全球化不断深化的背景下,我国物流企业的发展既有前所未有的机遇,也面临激烈的市场竞争。在应对激烈的国际竞争的策略方面不能一概而论,应坚持有所为有所不为的方针,构建起既符合自身特点和优势,又具有一定竞争优势的新的策略体系。     

正确认识价格战本质,规范企业竞争行为和市场竞争秩序

企业之间爆发价格战的表面原因是争夺市场份额,而本质是谋求市场权力以确保在竞争中居于优势地位。我们认为由此对市场竞争机制、竞争秩序市场竞争的力量所造成的损害值得人们重视,有关管理部门应该采取措施规范企业竞争行为,引导企业由价格战转向非价格竞争。     

Competitive analysis

Despite the strategic importance of understanding competitive structure and the dynamics of competitive behavior, there has been almost no empirical study of how managers perform these analyses. We provide a conceptualization of how competitive analyses can be framed by decision makers and for researching how human biases in decision making and corporate culture impact on the nature and use of competitive analysis information.We are grateful for the comments of George Day, Peter Dickson, Pete Fader, Don Lehmann, Rajan Varadarajan, and David Wheaton on an earlier version of this paper.     

产业自生竞争力及其理论来源

在将比较优势理论和竞争优势理论结合的基础上,提出产业自生竞争力的概念及特征。通过绝对优势理论,比较优势理论,竞争优势理论,要素禀赋理论等分析,进一步说明产业自生竞争力的理论来源以及产业自生竞争力的作用。     

VaR的改进方法CVaR在投资组合风险中的应用

VaR(在险价值)理论是当今国际上比较成熟的分析和度量风险的理论,在世界范围内得到广泛应用,但在对风险分布函数的度量中,却常常忽视对函数尾部特殊值的分析和计量,从而影响到风险评估的准确性。CVaR作为投资组合风险度量的指标克服了VaR的不足,是一致性的投资组合风险度量指标,具有很多优良特性。目前CVaR尚未成为金融业的一项公认标准,但因为它有厚实的理论根基和鲜明的可操作性,在投资组合风险控制方面比VaR更为有效合理、更适宜,同时建立CVaR模型可以降低风险,使资源合理配置。     

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.     

提升我国医药制造业国际竞争力的思考

医药制造业是目前世界上发展最快、竞争最激烈的高技术产业之一,近年来我国医药制造业整体水平不断提高,但从具体指标来分析,我国医药制造业国际竞争力偏低,仍需进一步提升。本文分析当前我国医药制造业发展的现状以及国际竞争力的状况,就如何提升我国医药制造业国际竞争力提出了几点建议。