PORTFOLIO CHOICE VIA QUANTILES

A portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law‐invariant preference measures, including expected utility maximization, mean–variance, goal reaching, Yaari's dual model, Lopes' SP/A model, behavioral model under prospect theory, as well as those explicitly involving VaR and CVaR in objectives and/or constraints. A solution scheme to this quantile model is proposed, and then demonstrated by solving analytically the goal‐reaching model and Yaari's dual model. A general property derived for the quantile model is that the optimal terminal payment is anticomonotonic with the pricing kernel (or with the minimal pricing kernel in the case of an incomplete market if the investment opportunity set is deterministic). As a consequence, the mutual fund theorem still holds in a market where rational and irrational agents co‐exist.     

MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

We examine the performances of several popular Lévy jump models and some of the most sophisticated affine jump‐diffusion models in capturing the joint dynamics of stock and option prices. We develop efficient Markov chain Monte Carlo methods for estimating parameters and latent volatility/jump variables of the Lévy jump models using stock and option prices. We show that models with infinite‐activity Lévy jumps in returns significantly outperform affine jump‐diffusion models with compound Poisson jumps in returns and volatility in capturing both the physical and risk‐neutral dynamics of the S&P 500 index. We also find that the variance gamma model of Madan, Carr, and Chang with stochastic volatility has the best performance among all the models we consider.     

由广州亚运会中标识语的英文翻译错误引起的反思

本文分析了广州亚运期间公共场所标识语翻译中存在的问题,查找错误产生的原因,并提出了规范标识语翻译的对策.     

创新是规范工程建设招投标市场的不竭动力

随着招投标制度的不断完善,市场各方主体行为的不断规范,构建统一规范、竞争有序的监管体制必将会为经济发展提供优质、高效、廉洁的市场环境.     

浅谈网络教育开发与应用

本文概括网络课程开发的一般步骤,包括设计、开发、评价、发布和维护四个环节;并结合技术特点和开发者实际情况,提出了主要技术方法.     

浅谈网络教育开发与应用

本文概括网络课程开发的一般步骤,包括设计、开发、评价、发布和维护四个环节;并结合技术特点和开发者实际情况,提出了主要技术方法.     

社会养老保险制度的困境与抉择

自80年代中期开始,我国开始对单位养老保险制度进行改革,政府相继出台了一系列有关政策,逐步确立了现行的社会统筹与个人账户相结合的社会养老保险制度.社会养老保险制度基本目标的确定适合我国社会经济条件,反映了社会的实际需求,理应在实施中取得较好的效果.然而,大量的实地调研及政府有关资料表明,政策的实施并不令人满意.     

实施企业价值最大化管理目标探究

随着市场经济环境和科学技术的发展,竞争、经济的全球化趋势加强,企业竞争的环境也在悄然改变,全球化竞争已成为一个不争的事实.从而研究企业价值的最大化以及其实现的途径有着很重要的意义.     

营销传播视角下的角色分离机理研究

在购买者和使用者角色分离的情境下,企业的营销说服投入往往转变为沉默成本,由于目标市场不能精确锁定以及角色分离导致的传播鸿沟,使得企业推销产品或服务的理念难以写进消费者的认知结构,也就难以取得预期的营销说服效果。本文从营销传播视角出发,从消费者学习、反馈联结、营销传播信息的错位阐释等角度来深入探析角色分离机理,以期有助于企业的营销传播效果。     

非对称信息下供应链回购策略的研究

为了解决供应链中下游零售商的成本和需求预测信息是私有信息的情况下,上游供应商的回购决策问题,运用委托-代理模型研究了供应商的最优回购策略,得到了供应商的最优决策方案。利用最小承诺驱使零售商传递真实的需求预测信息,并证明零售商总是传递真实的成本信息。在此基础上进行公式的推导,并进行数值分析与模型验证,得出最终结论。