共查询到20条相似文献,搜索用时 46 毫秒
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资产计量属性的评析与选择 总被引:1,自引:0,他引:1
资产计量属性既要反映资产能够创造未来经济利益这一本质特征,在现实中又要满足客观性与可靠性的计量要求。考察改善的重置成本计量属性,类似于在资产本质特征和资产计量属性的客观性要求之间搭建了一座桥梁,可以给我们一些启示。 相似文献
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Copula—CVaR资产组合选择模型分析 总被引:1,自引:0,他引:1
采用基于MonteCarlo数值模拟技术的Copula—CVaR风险评估模型讨论Copula函数的选择对投资决策的影响,度量资产组合的集成风险,总结出了资产组合风险度量的一般步骤。通过计算资产组合的VaR和CvaR值,实证检验说明:ClaytonCopula由于能更好地刻画尾部特征,从而在危机时期准确度更高。根据该模型进行资产选择可以使投资者的选择更加稳健。 相似文献
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Portfolio Selection and Asset Pricing Models 总被引:11,自引:0,他引:11
ubo Pástor 《The Journal of Finance》2000,55(1):179-223
Finance theory can be used to form informative prior beliefs in financial decision making. This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset-allocation perspective. U.S. investors' belief in the domestic CAPM must be very strong to justify the home bias observed in their equity holdings. The same strong prior belief results in large and stable optimal positions in the Fama–French book-to-market portfolio in combination with the market since the 1940s. 相似文献
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银行不良资产定价模式研究 总被引:1,自引:0,他引:1
资产出售是现阶段银行不良资产处置的主要手段,在实施中存在的主要问题是资产合理定价问题。银行不良资产现行的定价方式存在明显缺陷,只有对银行不良资产的价值决定及价格的宏观、中观、微观影响因素进行详细分析,才能构造我国银行不良资产定价模型。 相似文献
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本文基于我国六大城市1170户家庭的调查数据,采用Probit和Tobit模型对城镇居民家庭股票市场参与和投资组合的影响因素进行了分析,主要有以下实证发现:首先,我国家庭资产结构仍是一种低层次和粗放的结构,资产结构内部仍存在着较严重的失衡现象;第二,家庭的资产选择行为并不是完全理性的,而是呈现出有限理性的特征,认知偏差和投资者情绪都对其产生重要的正向影响;第三,房产投资显著影响了家庭股票市场参与和投资组合,"替代"或者"挤出"效应明显;第四,家庭极少利用股票市场对其未来现金流所承担的风险进行对冲,且其"生命周期效应"不明显. 相似文献
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基于概率收益率与概率风险的定义,建立基于风险与收益率的投资组合模型,为了更好拟合联合分布,在具体解法中采用Copula函数来构造多个资产收益率的联合分布。由于不要求收益率服从维纳过程,因此基于Copula的Markowitz投资组合选择模型具有更广的适用性。通过对上证领先指数与深证领先指数收盘数据实证分析发现,在收益率(基于概率ρ0的收益率)一定的情况下,通过投资组合可以降低风险。 相似文献
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Dynamic Portfolio Selection by Augmenting the Asset Space 总被引:1,自引:0,他引:1
We present a novel approach to dynamic portfolio selection that is as easy to implement as the static Markowitz paradigm. We expand the set of assets to include mechanically managed portfolios and optimize statically in this extended asset space. We consider “conditional” portfolios, which invest in each asset an amount proportional to conditioning variables, and “timing” portfolios, which invest in each asset for a single period and in the risk‐free asset for all other periods. The static choice of these managed portfolios represents a dynamic strategy that closely approximates the optimal dynamic strategy for horizons up to 5 years. 相似文献
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We show that labor search frictions are an important determinant of the cross‐section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment decisions under labor search frictions. In the model, loadings on labor market tightness proxy for priced time‐variation in the efficiency of the aggregate matching technology. Firms with low loadings are more exposed to adverse matching efficiency shocks and require higher expected stock returns. 相似文献
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Robert J. Hodrick David Tat-Chee Ng Paul Sengmueller 《International Tax and Public Finance》1999,6(4):597-620
We examine the ability of a dynamic asset-pricing model to explain the returns on G7-country stock market indices. We extend Campbell's (1996) asset-pricing model to investigate international equity returns. We also utilize and evaluate recent evidence on the predictability of stock returns. We find some evidence for the role of hedging demands in explaining stock returns and compare the predictions of the dynamic model to those from the static CAPM. Both models fail in their predictions of average returns on portfolios of high book-to-market stocks across countries. 相似文献
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康秀梅 《内蒙古财经学院学报》2014,(1):92-97
随着市场经济的发展,中小企业已成为我国成长最快的主要企业形态,而集群化发展则成为其创业发展的必经之路。作为创业的天然孵化器,产业集群已成为中小企业创业和发展的重要推动力,成为提升区域核心竞争力和实现快速城镇化的重要途径。因此,在产业集群中,如何挖掘和整合好优质创业要素,如何选择创业模式,对于中小企业创业具有重要参考意义。本文在分析了产业集群对创业活动的积极影响基础之上,归纳出了中小企业的关键创业要素,并基于创业过程的分析框架,研究了产业集群作用下中小企业创业模式的影响因素和选择路径。 相似文献