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431.
Portfolio style: Return-based attribution using quantile regression   总被引:1,自引:0,他引:1  
Return-based classification identifies a portfolio's style signature in the time series of its returns. Detection is based on a regression of portfolio returns on returns of factor mimicking indices. The method is easy to apply and does not require information about portfolio composition. Classification using least squares means that style is determined by the way factor exposure influences expected returns. We introduce regression quantiles as a complement to the standard analysis. The regression quantiles extract additional information from the time series of returns by identifying the way style affects returns at places other than the expected value. This allows discrimination among portfolios that would be otherwise judged equivalent based on conditional expectations. It also provides direct information about the impact of style on the tails of the conditional return distribution. Simple examples are presented to illustrate regression quantile classification.  相似文献   
432.
This paper attempts to investigate if adopting accurate forecasts from Neural Network (NN) models can lead to statistical and economically significant benefits in portfolio management decisions. In order to achieve that, three NNs, namely the Multi-Layer Perceptron, Recurrent Neural Network and the Psi Sigma Network (PSN), are applied to the task of forecasting the daily returns of three Exchange Traded Funds (ETFs). The statistical and trading performance of the NNs is benchmarked with the traditional Autoregressive Moving Average models. Next, a novel dynamic asymmetric copula model (NNC) is introduced in order to capture the dependence structure across ETF returns. Based on the above, weekly re-balanced portfolios are obtained and compared using the traditional mean–variance and the mean–CVaR portfolio optimization approach. In terms of the results, PSN outperforms all models in statistical and trading terms. Additionally, the asymmetric skewed t copula statistically outperforms symmetric copulas when it comes to modelling ETF returns dependence. The proposed NNC model leads to significant improvements in the portfolio optimization process, while forecasting covariance accounting for asymmetric dependence between the ETFs also improves the performance of obtained portfolios.  相似文献   
433.
In this paper, we investigate the role of eight commodity futures in asset allocation in China during the period January 2004–December 2015. The Chinese commodities and stocks are moderately correlated. We use quantile regressions based on a value-at-risk model to examine the relation between these two markets. We find no risk spillovers between the markets, suggesting that stocks and commodities in China are exposed to different risks. Using different asset allocation strategies, we show that including soymeal and soybeans in the Chinese stock index can offer some diversification gains. However, other Chinese commodities may not be useful for portfolio diversification.  相似文献   
434.
A long-term investor who ignores variation in volatility gives up the equivalent of 2.4% of wealth per year. This result holds for a wide range of parameters that are consistent with US stock market data, and it is robust to estimation uncertainty. We propose and test a new channel, the volatility composition channel, for how investment horizon interacts with volatility timing. Investors respond substantially less to volatility variation if the amount of mean reversion in returns disproportionally increases with volatility and also if mean reversion happens quickly. We find that these conditions are unlikely to hold in the data.  相似文献   
435.
Liu and Strong (2008) note that researchers often employ a simple (but incorrect) averaging approach that induces significant error into estimated buy‐and‐hold portfolio returns. This study explores the additional challenges that arise when stocks are subject to nontrading. We develop a decomposition of the total bias in estimated return into the components attributable to the stock weighting approach and the treatment of nontrading. While the latter is shown to be negligible, the former can approach 150 basis points per month. Our empirical analysis of Australian equities shows that the simple averaging approach tends to overstate the size and book‐to‐market effects, and understate the momentum effect.  相似文献   
436.
《Finance Research Letters》2014,11(4):429-436
We study optimal investment decisions for long-horizon investors with industry-specific labor income risks. We find that in addition to the volatility of labor income growth, the correlation between labor income and risky asset returns is another important factor that affects the optimal portfolio decisions and may provide a plausible explanation for the mixed empirical evidence of the relationship between labor income risk and portfolio holdings. Depending on its relative covariance with stock and bond returns, labor income may help resolve or deepen the asset allocation puzzle.  相似文献   
437.
《Finance Research Letters》2014,11(2):153-160
Based on a large database of individual investors, I analyze the impact of personal financial goals on portfolio performance. I stress the role played by latent investor aspirations as defined in the Behavioral Portfolio Theory framework. I identify two opposite profiles of investors. High-aspirations investors trade more and hold riskier portfolios than the average investor. By contrast, low-aspirations investors are more diversified than the average investor. I find that when controlling for diversification, turnover and usual risk factors, high-aspiration investors underperform their peers, whereas low-aspirations investors outperform them.  相似文献   
438.
This study examines how the greenness of the firm affects the short- and long-term performance of IPOs. To measure the greenness of the firm, we develop the Greenness Index based on the emissions produced. We find that the greenness of the firms operating in services and financial sectors is higher than in other sectors. To examine the short- and long-run performance of IPOs, we classify our sample into high and low green firms. In the short-run, high green firms obtain a lower return than low green firms. However, high green firms perform better than low green firms in the long-run. This study also determines the factors that cause short- and long-run performance, and the results suggest that the firm’s greenness negatively influences initial returns and underperformance of IPOs. Finally, we develop a theoretical model in terms of the portfolio's allocation and assert that investors participate in high-green firms to optimize their portfolio.  相似文献   
439.
In this paper, we apply the lasso-type regression to solve the index tracking (IT) and the long-short investing strategies. In both cases, our objective is to exploit the mean-reverting properties of prices as reported in the literature. This method is an interesting technique for portfolio selection due to its capacity to perform variable selection in linear regression and to solve high-dimensional problems (which is the case if we consider broader indexes such as the S&P 500 or the Russell 1000). We use lasso to solve IT and long-short with three market benchmarks (S&P 100 and Russell 1000 – US stock market; and Ibovespa – Brazilian market), comprising data from 2010 to 2017. Also, we formed IT portfolios using cointegration (a method widely used for index tracking) to have a basis for comparison of the results using lasso. The findings for IT showed similar overall performance between portfolios using lasso and cointegration, with a slight advantage to cointegration in some cases. Nonetheless, lasso-based IT portfolios presented average monthly turnover at least 40% smaller, indicating that lasso generated portfolios that had not only a consistent tracking performance but also a considerable advantage in terms of transaction costs (represented by the average turnover).  相似文献   
440.
基于产品空间理论,利用1962―2015年128个国家和地区783个产业出口贸易数据,借助最新发展的时间指数随机图模型(TERGM),深度剖析中国优势产业组合的动态演化机制。研究发现,中国优势产业组合存在显著的中心―边缘宏观网络结构特征,且由星型和三角形两种结构依赖所驱动,分别意味着轴式发展路径和链式发展路径。进一步地,动态ERGM研究结果表明,我国实施的渐进式发展战略存在时间依赖,且呈现出较强的“自稳定性”。结论表明,TERGM能够有效解决产品空间中的结构依赖和时间依赖问题,是系统描述和检验网络演化的有力分析工具,并且透过微观网络构局揭示中国优势产业组合的动态演化机制,为更好地分析产业结构的网络互赖性,实现产业转型升级提供指导。  相似文献   
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