The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

In contrast to single-period mean-variance (MV) portfolio allocation, multi-period MV optimal portfolio allocation can be modified slightly to be effectively a down-side risk measure. With this in mind, we consider multi-period MV optimal portfolio allocation in the presence of periodic withdrawals. The investment portfolio can be allocated between a risk-free investment and a risky asset, the price of which is assumed to follow a jump diffusion process. We consider two wealth management applications: optimal de-accumulation rates for a defined contribution pension plan and sustainable withdrawal rates for an endowment. Several numerical illustrations are provided, with some interesting implications. In the pension de-accumulation context, Bengen (1994)’s [J. Financial Planning, 1994, 7, 171–180], historical analysis indicated that a retiree could safely withdraw 4% of her initial retirement savings annually (in real terms), provided that her portfolio maintained an even balance between diversified equities and U.S. Treasury bonds. Our analysis does support 4% as a sustainable withdrawal rate in the pension de-accumulation context (and a somewhat lower rate for an endowment), but only if the investor follows an MV optimal portfolio allocation, not a fixed proportion strategy. Compared with a constant proportion strategy, the MV optimal policy achieves the same expected wealth at the end of the investment horizon, while significantly reducing the standard deviation of wealth and the probability of shortfall. We also explore the effects of suppressing jumps so as to have a pure diffusion process, but assuming a correspondingly larger volatility for the latter process. Surprisingly, it turns out that the MV optimal strategy is more effective when there are large downward jumps compared to having a high volatility diffusion process. Finally, tests based on historical data demonstrate that the MV optimal policy is quite robust to uncertainty about parameter estimates.     

市场风险资本监管框架演进过程分析

本文梳理了巴塞尔委员会关于市场风险监管框架的演进历史,将其分为三个阶段:将市场风险纳入监管框架、关注特定风险及处理新增风险和证券化产品.市场风险监管框架演进呈现三个特点:风险头寸划分更细,风险认识更清晰,风险管理技术逐渐提高.随着市场环境变化、技术和实践的发展,市场风险监管将更臻成熟.     

标准孔板流量计测量天然气流量计量附加误差分析

对标准孔板流量计安装、使用过程中因没有严格按标准进行安装施工所引起的计量附加误差进行分析,找出产生误差的根源,并结合实际工作条件,提出减少误差的措施,以提高标准孔板流量计的计量稳定性和准确性。     

Rating Migrations: The Effect of History and Time

We examine the effect of rating history and the passage of time on the rating migration hazard for corporate debt issuers. Controlling for industry effects and the evolution of business and political cycles, the results consistently show that the next change of rating depends more strongly on rating history than it does on the current rating. However, there are significant interactions between the main effects of rating history and the duration of the current rating. The result is substantial decay in the effects of rating history the longer a rating remains unchanged. This decay effect is stronger for downgrades and for ratings in the speculative category.     

The choice between rights and underwritten equity offerings: Evidence from Chinese stock markets

We study the choice and valuation effects of alternative flotation methods using a sample of Chinese firms that must meet the return on equity (ROE) thresholds set by the government to raise equity capital. The ROE requirement, although changed over time, seems to play an important role on the valuation and performance of seasoned equity offerings. The analysis of 219 rights and 75 underwritten offerings between 2000 and 2004 shows that Chinese firms that are not qualified for the flotation method with a higher ROE requirement suffer the most at announcement and experience significantly lower buy-and-hold abnormal returns than those that are qualified. Our results suggest that the freedom to choose their preferred flotation method may be valuable to firms that meet the higher ROE requirement. Finally, our probit models identify several determinants of the choice of flotation methods.     

构建和谐社会的经济因素分析

改革开放20多年来，我国经济社会获得了巨大发展，特别是经济上的成就举世瞩目。但随着经济的发展，社会和谐方面的问题也越来越突出。如城乡之间、地区之间、阶层之间的经济收入差距拉大等问题，直接影响到我国社会的和谐发展。因此，党的十六届四中全会提出了构建和谐社会的目标，明确提出“要适应我国社会的深刻变化，把和谐社会建设摆在重要位置，注重激发社会活力，促进社会公平和正义。”     

保荐人责任问题法律研究

保荐人责任是保荐人制度的核心，直接关系到保荐人制度实际效能的发挥。但有关保荐人责任的规定存在一些问题，主要表现在责任定位不准、责任划分不明、责任负担过重。我们必须科学定位保荐人的责任范围，进一步明确和细化保荐人责任，将一些本不该由保荐人承担的责任分离出去，厘清保荐人与相关主体的关系，强化保荐人在证券发行和承销阶段方面的专业努力。     

表面活性剂对牙齿的溶蚀作用

人体牙齿中含有大量的钙离子,而表面活性剂具有溶蚀钙离子的作用.笔者通过EDTA滴定法,在模拟人体口腔温度的条件下,利用不同的表面活性剂溶液浸泡牙齿,研究不同的表面活性剂对牙齿中钙离子的溶蚀程度.从而评价表面活性剂对人体牙齿的长期影响.     

论应对污染转移中付费措施的合理采用

传统的环境管制性手段存在诸多漏洞,且容易因管理者的自利而呈现软化,不足以应对复杂的污染转移形势。要从源头上预防污染转移,就应让污染者承担污染防治和控制措施的合理成本,消除污染转移的可能经济利益。环境保护的经济手段会避免传统的命令加控制管理方法的一些弊病,能使污染者付费落到实处。因而,面对愈演愈烈的污染转移,我国应妥善采用环境税、生态补偿等环保经济措施,并采取一些手段抑制其可能带来的不公平影响。     

河北省农业财政补贴政策分析

农业补贴政策是各国家和地区普遍采取的旨在保护和发展农业的重要政策。河北省农业补贴政策成效显著,但还存在很多问题,迫切需要调整农业补贴政策和采取相关措施,使"补贴"真正起到加快现代农业建设、促进农业发展、增加农民收入的作用。