Real effects of financial market integration: does lower home bias lead to welfare benefits?

This paper proposes equity home bias as a proxy for financial integration in the ongoing empirical debate on the impact of financial integration on economic growth. In integrated markets, investors are expected to take full advantage of the potential for international diversification. The extent of equity home bias (i.e. overinvesting in domestic stocks and foregoing gains from international diversification) provides a relevant quantity-based measure of financial integration. Using different techniques to compute home bias, this paper investigates whether countries with lower home bias experience faster economic growth. Additionally, the analysis extends to the link between (decreasing) home bias and international risk sharing and income inequality. The results suggest that financial integration, proxied by the decreasing equity home bias, is positively associated with economic growth and international risk sharing. At the same time, it appears that higher financial integration pairs with higher income inequality.     

供应链契约柔性研究

柔性契约的目标是为了应对需求的不确定变化,其形式和内容都具有一定的弹性,提供了许多根据市场变化情况和合同进展情况而定的灵活性选择条款。与传统的确定性契约有很大的不同,柔怀契约主要体现在契约参数设置、契约模型形式、不同契约模型组合以及契约激励机制设计等方面的灵活、多样性。     

PORTFOLIO MANAGEMENT WITH CONSTRAINTS

The traditional portfolio selection problem concerns an agent whose objective is to maximize the expected utility of terminal wealth over some horizon. This basic problem can be modified by adding constraints. In this paper we investigate the portfolio selection problem for an investor who desires to outperform some benchmark index with a certain confidence level. The benchmark is chosen to reflect some particular investment objective and it can be either deterministic or stochastic. The optimal strategy for this class of problems can lead to nonconvex constraints raising issues of existence and uniqueness. We solve this optimal portfolio selection problem and investigate the procedure for both deterministic and stochastic benchmarks.     

An information-based trade off between foreign direct investment and foreign portfolio investment

The paper develops a model of foreign direct investments (FDI) and foreign portfolio investments (FPI). FDI enables the owner to obtain refined information about the firm. This superiority, relative to FPI, comes with a cost: a firm owned by the FDI investor has a low resale price because of asymmetric information between the owner and potential buyers. The model can explain several stylized facts regarding foreign equity flows, such as the larger ratio of FDI to FPI inflows in developing countries relative to developed countries, and the greater volatility of FDI net inflows relative to FPI net inflows.     

OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS

We analyze the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time. In particular, if M _t is the maximum level of wealth W attained on or before time t , then the constraint imposed on his portfolio choice is that W_tα M _t, where α is an exogenous number betweenα O and 1. We show that, for constant relative risk aversion utility functions, the optimal policy involves an investment in risky assets at time t in proportion to the "surplus" W _t - α M _t. the optimal policy may appear similar to the constant-proportion portfolio insurance policy analyzed in Black and Perold (1987) and Grossman and Vila (1989). However, in those papers, the investor keeps his wealth above a nonstochastic floor F instead of a stochastic floor α M _t. the stochastic character of the floor studied here has interesting effects on the investment policy in states of nature when wealth is at an all-time high; i.e., when Wt = M _t. It can be shown that at W _t= M _t, α M _t is expected to grow at a faster rate than W _t, and therefore the investment in the risky asset can be expected to fall. We also show that the investment in the risky asset can be expected to rise when W _t is close to α M _t. We conjecture that in an equilibrium model the stochastic character of the floor creates "resistance" levels as the market approaches an all-time high (because of the reluctance of investors to take more risk when W _t= M _t).     

信息化组合环境下的企业绩效评价体系研究

现代企业都处在信息化组合环境之中,因而探讨信息化给企业带来的绩效可以转化成信息化组合环境下企业绩效的改善。为此,引入企业绩效评价体系框架,以平衡记分卡为组织评价指标,通过增量公式来计算信息化组合给企业带来的收益,以便企业在评价中发现不足,为企业绩效的改进提供决策支持。     

布莱克—斯科尔斯期权定价公式的推导及推广

Black-Scholes期权定价模型是金融学中广泛应用的模型之一,该模型的提出是金融理论界和实践界的一场革命。Black、Scholes和Merton引入了动态套期保值组合的概念,期权的支付可以通过基础资产的动态组合策略复制。通过对期权定价理论的历史介绍及对该公式的几种推导方法进行分析,说明在其他金融衍生产品定价中的推广应用。     

基于三角模糊数的贷款组合优化模型比较分析

随着中国利率市场化的进程,贷款利率呈现出更大的不确定性,商业银行间的竞争也越来越激烈,在新的行业特点和经营形势下,商业银行需要结合研究贷款资源的配置方式,为商业银行管理层的决策提供有力的支撑。引入三角模糊数来刻画商业银行的收益率,并利用其可能性均值来构建三类贷款组合优化模型进行分析,结果显示模型的有效边界都符合均值方差模型有效边界的变化趋势,且得到的贷款权重配置可以更好地体现贷款利用效率。     

Returns to alliance portfolio diversity: The relative effects of partner diversity on firm's innovative performance and productivity

This study considers the impact of diversification in types of technological alliances, resulting in alliance portfolio diversity, on various dimensions of a firm's performance, as they relate to exploration and exploitation. Using a large panel of innovative firms in the Netherlands, this study shows that partner type diversity in a firm's alliance portfolio has an inverted U-shaped relationship with productivity and radical innovative performance and a positive relationship with incremental innovative performance. Moreover, the results suggest that a lower level of diversity is needed to achieve an optimal level of productivity compared to radical innovative performance, whereas for incremental innovative performance a higher level of portfolio diversity appears to give the best performance.