Comparison of Mean-Risk Efficient Portfolios in Asia-Pacific Capital Markets

In order to analyze the performance of mean-risk efficient portfolios, several methods of portfolio comparison have been developed. In this paper we analyze the second-order stochastic dominance efficiency of portfolios on the mean-risk efficient frontier assuming that the risk is represented by standard deviations and concordance matrices set up on the basis of Pearson's linear correlation, Spearman's rho, or Kendall's tau. Empirical analysis of the market returns of selected Asia-Pacific stock markets is carried out considering both the U.S. dollar and euro as reference currencies, and different periods: before and during the subprime crisis. Measures and portfolios on the mean-risk efficiency frontier that should be of interest to at least one risk-averse investor are empirically documented.     

Equity culture development in Central and Eastern Europe: The role of institutional and managerial factors

In this paper we argue that the development of equity culture in the CEECs is dependent on the presence of a combination of factors stemming from the external institutional and internal managerial environments of the firm. We adopt an inductive approach by firstly analysing two levels of data followed by a conceptualisation based on gained results. We examine data for ten CEECs (all current EU members) for four years 1996, 2000, 2004, and 2008. To examine the characteristics of the institutional and managerial environments of the CEECs and assess their similarities to four benchmarks (UK, USA, Germany, and Japan) we apply a Co-Plot methodology. We find that the presence of an advanced and well developed institutional framework together with the existence of specific managerial conditions is a necessary condition for equity culture development. One could argue that in the CEECs the transition process of institutional conditions necessary for the development of a sound financial system is in place but with some limitations. Furthermore, we find that managers in countries with the best potential for equity culture development are highly motivated, high-skilled people with international corporate experience.     

基于累积Logistic模型的居民通货膨胀异质性感受的因素研究

通过调查问卷获取居民的通货膨胀感受及相关的个人特征等数据,运用累积 Logistic 模型,从心理层面和外部信息层面考量影响居民通货膨胀感受异质性的因素。结果表明,收入满意程度、食品价格、房租价格以及促销手段等是导致我国居民通胀感受异质性的主要因素。鉴此,政府应该提高收入满意度、稳定物价以及调节房价,以期降低通货膨胀感受的异质性。     

Testing for Volatility Jumps in the Stochastic Volatility Process

This paper considers the stochastic volatility process with contemporaneous and correlated jumps in returns and volatility, which was proposed by Eraker, B., Johannes, M. and Poison, N. G. (Journal of Finance 53, 2003, 1269--1300) and proposes the Lagrange multiplier test for the presence of jumps in volatility. The test statistic is derived by regarding the degenerate density of volatility jumps with zero variance under the null as Dirac's delta function. The correlation parameter between jumps, which is a nuisance parameter unidentified under the null, is cancelled out in this test statistic and hence the test is free from the Davies problem (Davies, R. B., Biometrika 64, 1977, 247–254).     

On the pricing of forward starting options in Heston’s model on stochastic volatility

We consider the problem of pricing European forward starting options in the presence of stochastic volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution within Hestons stochastic volatility framework applying distribution properties of the volatility process. In this paper we develop a new and more suitable formula for pricing forward starting options. This formula allows to cover the smile effects observed in a Black-Scholes environment, in which the extreme exposure of forward starting options to volatility changes is ignored.Received: July 2004, Mathematics Subject Classification (2000): 91B28, 60G44, 60H30, 60E10JEL Classification: G13It is a pleasure to thank the anonymous referee for his valuable comments and suggestions on this paper. Furthermore, we would like to thank Holger Kraft, University of Kaiserslautern, and Alexander Giese, HypoVereinsbank AG Munich, for fruitful discussions and suggestions.     

人寿保险行业市场结构及影响因素研究

准入退出壁垒、市场集中度、规模经济和范围经济以及产品差异化等是影响人寿保险业市场结构的主要因素。中国保险市场准入、退出的行政性政策壁垒较高,市场集中度较高,属于寡占 III 型市场结构;寿险业保费规模、保险密度、保险深度、保险资产总额占 GDP 的比重、保险资产总额占整个金融资产的比重较低;寿险产品同质化现象较严重。鉴此,应降低市场进入壁垒,建立市场退出机制,达到优化市场结构,提高资源配置效率目的。     

The impact of multiple structural changes on mortality predictions

Most mortality models proposed in recent literature rely on the standard ARIMA framework (in particular: a random walk with drift) to project mortality rates. As a result the projections are highly sensitive to the calibration period. We therefore analyse the impact of allowing for multiple structural changes on a large collection of mortality models. We find that this may lead to more robust projections for the period effect but that there is only a limited effect on the ranking of the models based on backtesting criteria, since there is often not yet sufficient statistical evidence for structural changes. However, there are cases for which we do find improvements in estimates and we therefore conclude that one should not exclude on beforehand that structural changes may have occurred.     

Optimal transit fare and service frequency of a nonlinear origin-destination based fare structure

This paper proposes a new nonlinear distance-based transit fare structure, which is measured by a function of the Euclidean distance between the origin and destination stations, termed as Origin-Destination (OD)-based fare. The novel fare structure encourages passengers to freely choose the most efficient trip plan. An optimization model is formulated based on a three-party game (involving the transport authority, transit company, and passenger) to determine the optimal fare function and frequency. An artificial bee colony algorithm is adopted to solve the model. Finally, a numerical example is provided to verify the proposed method.     

基于随机动态规划法的IT项目经济评价

传统的项目经济评价方法--TOC和ROI法不能有效地分析IT项目的投资价值,还可能导致错误的投资决策.通过引入随机动态规划法,可导出两类IT项目(购置型项目和自主开发项目)的经济评价模型,给出项目的投资决策临界值解,并进行详细的影响因素敏感性分析.该评价模型放松了金融期权定价模型的假设前提,更符合IT项目的实际情况,从而能准确地评估IT项目中内含的期权价值和投资机会价值.     

女性的自我意识及其影响因素——以福建省为例

在揭示自我意识概念及其内涵的基础上,利用第二期中国女性社会地位调查福建样本的数据,描述和分析女性自我意识的特征及其影响因素。经多元线性回归分析,工作的满意度对女性自我意识产生最显著的影响;从事非农职业的女性自我意识较强,女性的受教育年限、法制政治观念、母亲受教育程度与其自我意识成正相关关系,而年龄、父亲的受教育程度对女性自我意识呈反比关系。城镇女性较农村女性的自我意识较弱。提出加强女性自我意识的对策。