Model-free portfolio theory: A rough path approach

Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on Föllmer integration. Without the assumption of any underlying probabilistic model, we prove a pathwise formula for the relative wealth process, which reduces in the special case of functionally generated portfolios to a pathwise version of the so-called master formula of classical SPT. We show that the appropriately scaled asymptotic growth rate of a far reaching generalization of Cover's universal portfolio based on controlled paths coincides with that of the best retrospectively chosen portfolio within this class. We provide several novel results concerning rough integration, and highlight the advantages of the rough path approach by showing that (nonfunctionally generated) log-optimal portfolios in an ergodic Itô diffusion setting have the same asymptotic growth rate as Cover's universal portfolio and the best retrospectively chosen one.     

Will elders provide for their grandchildren? Unconditional cash transfers and educational expenditures in Bolivia

We take advantage of repeated cross‐sectional household surveys and a sharp discontinuity created by the introduction of an unconditional cash transfer to elders in Bolivia, to evaluate its impact on educational expenditures on children within a household. We find positive and significant impacts of the program at the aggregate level. We also find that the program has stronger effects on indigenous populations as well as on female and rural populations. Our results are robust to a series of falsification tests, survey structure, model specification, and estimation methods.     

基于知识产权的组织间关系网络的演化特征

分析了基于知识产权的组织间关系网络的基本内涵和构成要素,将基于知识产权的组织间关系网络的生命周期划分为5个阶段——创立阶段、成长阶段、成熟阶段、衰退阶段和解散阶段,具体论述了各阶段的组织间关系网络的演化特征。以对450家企业的深度访谈和问卷调查为基础,通过描述性统计分析、因子分析以及多元方差分析来实证研究目标一致性、信息沟通以及信任等关系属性在各阶段的传递规律。研究结果表明,基于知识产权的组织间关系属性的顶峰阶段并非都出现在关系生命周期的成熟阶段。     

整合与超越:新全球化时代经济学范式探微

世界正发生着从"旧全球化时代"向"新全球化时代"的重大转变.伴随这一时代转折,建立在传统工业文明基础上的经济学正面临着研究范式的挑战,因为它已经不能适应以高科技为先导,以科技成果的商品化、产业化、国际化为特征的新时代所遇到的各种复杂问题.其研究范式急需进行整合与超越,交往实践观为其提供了新的视域和新的理论范式.     

内蒙古黄河干流跨盟市水权试点研究

为了全面总结内蒙古自治区水权试点工作,介绍了内蒙古黄河干流跨盟市水权试点过程中强化行业监管方面的一些做法,总结了试点过程中坚持问题导向、坚持两手发力、强化节水管理、创新体制机制的一些重要经验。     

农村金融发展与农村经济增长——一个动态演化分析视角

农村金融发展对于农村经济增长具有重要的推动作用.运用1978-2010年的相关数据和时变参数模型估计方法,就我国农村金融发展与农村经济增长之间的动态关系进行探寻.首先,协整检验与误差修正模型的估计结果显示:无论是长期还是短期,农村金融发展规模对于农村经济增长具有正向促进作用,而农村金融中介效率却对农村经济增长起到了负向抑制作用.时变参数模型的估计结果则进一步发现:农村金融发展规模对农村经济增长的促进作用在整体上呈现弱化趋势,当前的正向作用机制比较微弱;而农村金融中介效率对农村经济增长的抑制作用经历了一个先减弱后增强的“倒V”型变化过程.     

关于巴塞尔协议规避银行系统危机的有效性研究

对银行实施监管是银行界的共识,最近几十年来,全球最核心的监管条例无疑就是巴塞尔协议。从巴塞尔委员会成立起,协议的修改和完善就从未停止,但即便如此,世界上两大经济体美国和欧盟都发生了足以载入史册的金融危机。那么,以巴塞尔协议为代表的规制能否彻底解决银行系统危机问题呢?本文以巴塞尔协议作为主要的研究对象,论证仅仅用规制的方式难以避免系统性风险,银行不仅需要市场化的资源配置手段,同时也需要直接的计划调控手段规避系统性风险。     

外部研发合作广度与新产品开发绩效：一个有调节的中介模型

基于企业外部合作伙伴分布广泛的特点,从外部研发合作广度的两个维度（市场广度和研究广度）出发,选取2010—2018年160家中国制造业上市企业数据,运用多元回归分析法探讨外部研发合作广度对企业新产品开发绩效的影响。结果表明,外部研发合作的市场广度和研究广度正向影响新产品开发绩效,其中,研究广度的作用更为显著;网络学习在外部研发合作广度对新产品开发绩效的影响机制中存在部分中介作用;知识库同质性正向调节外部研发合作广度与网络学习的关系。结论丰富了新产品开发绩效前因变量研究,对企业制定外部研发合作战略,提升新产品开发绩效具有重要管理启示。     

Fiscal Stimulus and Endogenous Firm Entry in a Monopolistic Competition Macroeconomic Model

This paper sets up a monopolistic competition model featuring the returns to production specialization. Some novel results are derived from the analysis. First, the effect of a fiscal stimulus on consumption may be positive or negative, depending crucially upon whether the production function is characterized by increasing or decreasing returns to production specialization. Second, following a fiscal expansion, increasing returns to specialization lead to a positive linkage between real wages and aggregate output, while decreasing returns to specialization result in a negative relationship between real wages and aggregate output. Third, a fiscal expansion may raise social welfare, provided that the degree of increasing returns to production specialization is sufficiently large.     

同辈群体对大学生学习心理的影响--以南昌高校为例

从同辈群体的基本特征出发,通过问卷调查与访谈,研究大学生同辈群体之间的学习心理特点,论述了同辈群体对大学生在认知、情绪、行为等方面的影响力,以期高校教育工作者积极引导这种影响力,正确发挥同辈群体的作用,进一步提升大学生的学习心理素质。