一种增强型指数追踪模型设计及应用

研究目标：构建了可以调节追踪误差和超额收益的增强型指数追踪模型,并给出了广义最小角度回归算法（GLARS）,用以计算调节参数作用下模型解的折中路径。研究方法：通过模拟数据和五组世界主要股票市场指数的历史数据,对本文提出的模型和算法与同类模型和算法进行了性能比较;同时追踪上证50指数构建若干稀疏且稳定的资产组合模型,通过信息比率等指标对投资组合进行评价。研究发现：本文构建的模型可用以构造权衡追踪效果和超额收益,且稀疏的资产组合,GLARS算法相对传统预设参数的算法具有良好的求解能力和计算速度。研究创新：引入调节参数平衡追踪效果和超额收益,并针对中国股票市场的特点,在增强型指数追踪模型施加非负约束;GLARS算法可遍历所有折中意义下的最优解。研究价值：本文提出的增强型指数追踪模型在国内具有较强适用性,在保证资产稀疏性的前提下可以得到超额收益,同时丰富了目前投资组合中的方法论研究。     

知识农业国际发展前沿及中国发展知识农业的政策耦合

伴随知识经济时代的到来及经济国际化的发展,中国作为一个传统的农业大国,应加快由传统农业向现代农业的转变过程。通过借鉴发达国家知识农业发展的成功经验,并结合中国农业经济发展的基本国情,中国应走出一条具有中国特色的知识农业发展之路。     

银行业类型结构与中国商业银行竞争力

银行业类型结构的多元化是银行业提供专业服务、形成优势互补的保证。中国商业银行的同质化严重、行间差距不明显是影响竞争力提升的一大障碍。本文依据产业细分理论,针对商业银行作为服务性行业的特点,从需求和供给两方面展开差异性研究,试图建立多元化类型结构的理念,并在此理念的指导下发展优势互补、强调特色的中国商业银行,以实现在开放环境下的生存与成长。     

Robust pricing and hedging under trading restrictions and the emergence of local martingale models

We pursue the robust approach to pricing and hedging in which no probability measure is fixed, but call or put options with different maturities and strikes can be traded initially at their market prices. We allow the inclusion of robust modelling assumptions by specifying a set of feasible paths on which (super)hedging arguments are required to work. In a discrete-time setup with no short selling, we characterise absence of arbitrage and show that if call options are traded, then the usual pricing–hedging duality is preserved. In contrast, if only put options are traded, a duality gap may appear. Embedding the results into a continuous-time framework, we show that the duality gap may be interpreted as a financial bubble and link it to strict local martingales. This provides an intrinsic justification of strict local martingales as models for financial bubbles arising from a combination of trading restrictions and current market prices.     

Information acquisition,referral, and organization

Each of two experts may provide a service to a client. Experts' cost comparative advantage depends on an unknown state, but an expert may exert effort to get a private signal about it. In a market, an expert may refer the client to the other for a fee. In equilibrium, only one expert exerts effort and refers, and the equilibrium allocation is inefficient. Referral efficiency can be restored when experts form an organization, in which a referring expert must bear the referred expert's cost. However, the referred expert shirks from work effort because of the lack of cost responsibility.     

Cross-country linkages as determinants of procyclicality of loan loss provisions

Procyclicality in banking may result in financial instability and therefore be destructive to economic growth. The sensitivity of different banking balance sheet and income statement variables to the business cycle is diversified and may be prone to increasing integration of financial markets. In this paper, we address the problem of the influence of financial integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss provisions (LLPs) to the business cycle. The application of the seemingly unrelated regression equations (SURE) approach to 13 OECD countries in 1995–2009 shows that the procyclicality of LLPs is statistically significant almost in the whole sample of countries. Regardless of the econometric specification, the income-smoothing, capital management and risk management hypotheses are hardly supported by the data. However, in SURE specification, the relationship of bank-specific variables is of higher statistical significance than in the country regression approach. Hence, cross-country interconnectedness is not only economically, but also empirically important when analyzing cross-country diversifications of LLPs.     

Economic transition and the determinants of self-employment in urban China: 2007–2013

Abstract

Why was there a large growth in self-employment in urban China during the economic transition period? There are two hypotheses proposed to answer this: the disguised unemployment hypothesis that there is no opportunity to access the formal sector to gain better work, and the business creation hypothesis that successful business owners create new jobs for others, new business opportunities, and many innovative new products for society, as pointed out in previous studies. Using CHIP2007 and CHIP2013, this paper tests the two hypotheses. The main conclusions are as follows: First, generally, utilizing the imputed wage premiums, which were used in previous studies, the business creation hypothesis is rejected; the disguised unemployment hypothesis is supported for both the local urban resident and the migrant groups in 2007 and 2013. Second, the results that utilized the new wage premiums based on the imputed employee wages in the private sector show that the business creation hypothesis is supported when a worker chose to become an employer for both the migrant group and the local urban resident group in 2013. Third, the business creation hypothesis is relevant for the older generation group of local urban residents in 2013.     

考虑买方议价能力的双寡头供应商技术创新决策

在大型零售商的买方议价能力不断增强的背景下,研究了竞争供应商的技术创新决策问题。构建了由异质双寡头供应商、大型零售商组成的纵向市场结构模型,并将大型零售商的议价能力引入模型,考察了大型零售商议价能力条件下供应商的最优技术创新决策,分析了零售商议价能力的变化对不同供应商的技术创新决策的影响。研究发现:大型零售商议价能力的增强促进了小型供应商的技术创新、抑制了大型供应商的技术创新;当零售商的议价能力大于某一临界值时,小型供应商的技术创新水平会高于大型供应商。最后通过具体算例验证了研究结论,分析了参数变化对研究结论的影响。     

协同视角下我国县乡电子商务与物流发展研究

在国家、地方、行业与企业推动下,我国县乡电商与物流增速明显,逐渐成为拉动县乡经济与流通的新增长点。县乡电商与物流在我国起步较晚,仍处于初级发展阶段。与城市相比,在硬件与软件上,县乡电商与物流整体水平偏低,差距较大,且相关理论缺失。通过梳理我国县乡电商与物流发展现状,认为县乡电商与物流缺乏协同,并以协同学理论为指导,对阻碍县乡电商与物流发展的问题与障碍进行剖析,提出一系列具体措施,以期能够实现我国县乡电商与物流协同发展的目的。     

The Translation of English News Headlines

News headline translation is one of the most important types of news transhtion. As news headline is strongly purposeful, the tramhtion of it must be achieved by some special methods, The history of news headline tramlation is almost as long as that of newspapers, but it has not been attached enough attention to. In the last twenty years, Chinese scholars of this field have paid much greater attention to news headline transhtion. Concerned studies of principles of news headline translation have also been made remarkable progress.