股指期货的套期保值问题

中国金融市场即将推出股票指数期货。本文吸收和借鉴了国外的研究成果,对股指期货的套期保值问题进行了系统研究,采用方差法和β系数法对风险最小化的套期保值比率进行了充分论证,并结合案例进行了模拟计算。本文根据资本资产定价模型,建立了一元线性回归方程,对流行的β系数法进行了检验和重要修正,对套期保值实践具有重要的指导意义。     

中国绿色创新指数的分布动态演进与区域差异

研究目标:编制中国绿色创新指数,考察各区域指数的分布动态、区域差异及空间收敛特征。研究方法:建立绿色创新指数评价体系、采用时空极差熵权法赋权指标,利用世界知识产权组织绿色专利清单在线检索工具和采用爬虫技术检索、匹配、汇总国家知识产权局绿色专利数据,采用社会网络分析法(Social Network Analysis, SNA)测度绿色技术创新辐射力,采用Kernel估计分析绿色创新分布动态演进,采用Dagum基尼系数分解东中西绿色创新空间差距来源,采用空间杜宾模型考察绿色创新空间β条件收敛特征。研究发现:我国整体及东中西各地区绿色创新水平均呈总体上升趋势,源于绿色技术创新能力、绿色技术创新辐射力与绿色创新制度支撑力三者“携手并进”;绿色创新水平较高的城市集中分布于经济发达地区并具有较高行政级别特征,北京、深圳、上海、广州及主要省会城市稳居前列;我国整体及东中西地区核密度图均呈现“曲线右移、峰值先升后降、宽度收窄后扩大”的特征;东中西区域内部及区域间差异均呈逐渐下降趋势;绿色创新存在空间β条件收敛效应,且俱乐部收敛特征也较为显著,但在不同空间权重矩阵、不同地区样本中收敛速度存在差异。研究创...     

一种改进的不完全指数复制方法

本文在考虑交易成本和投资组合动态调整的基础上,建立混合整数线性规划模型,引入内核搜索分析框架进行近似求解,并利用沪深300进行实证研究。研究发现,一是相比于基本内核搜索法,增强型内核搜索法仅在基准指数成分股数量很大时才会较大幅度提高求解质量;二是考虑投资组合动态调整的模型不仅更稳健,而且跟踪的继承性和保持性更好,尤其适用于单边市场;三是过度刻画现实交易特征一定程度上会降低不完全指数复制模型的复制和预测效果。     

协同推进四川灾后重建与主体功能区建设的发展路径

主体功能区建设是优化空间结构的重要途径,四川地震灾后重建是一次强制性的空间结构变迁。四川主体功能区建设和地震灾后重建具有内在的统一性。论文在分析四川地震灾后对主体功能区建设的影响的基础上,重点对主体功能区建设促进灾后重建的路径进行了探索。     

Econometric analysis of price index for home video cassette recorders in the U.S., 1978-1987

This paper conducts an empirical analysis on the U.S. VCR market using a hedonic approach. The paper finds that quality-adjusted price indices decline at 11-12% per year, with a large annual drop of about 18% from 1982-85. Estimation and data analysis reveal interesting aspects of the evolution of quality and price in the VCR market. As a result of the exclusion of the VCR category until 1986, the paper estimates a bias of 2.4% per year in the CPI electronics subindex.     

Validation of the Bowel Function Index to detect clinically meaningful changes in opioid-induced constipation

Abstract

Objective: The Bowel Function Index (BFI) is a clinician-administered, patient-reported, 3-item questionnaire to evaluate opioid-induced constipation in cancer and non-cancer chronic pain patients. The objective of the present analysis was to evaluate the psychometric characteristics of the BFI using data from clinical studies of oral prolonged release (PR) oxycodone/naloxone.

Methods: OXN2401 was a multicenter, controlled, randomized, double-blind, parallel-group study including oral PR oxycodone combined with oral PR naloxone as well as oral PR oxycodone combined with corresponding naloxone placebo. OXN3401 and OXN3001 were 12-week multicenter, controlled, randomized, double-blind, parallel-group studies of a fixed combination of oral PR oxycodone/naloxone versus PR oxycodone. In addition, a placebo group was included in study OXN3401. BFI psychometric characteristics (reliability, reproducibility, convergent/known groups validity, and responsiveness) were evaluated.

Results: Demographic data (n=985) were comparable and analyses indicated a high degree of internal consistency (Cronbach's alpha >0.7). Change of less than 5 points in BFI was indicative of high reproducibility. Correlations between BFI item and total scores to stool frequency were statistically significant and in the low-to-moderate range (OXN2401 –0.23 to –0.29, p < 0.001; OXN3401 range –0.26 to –0.40, p < 0.001; OXN3001 –0.14 to –0.15, p < 0.05). Data indicate that a BFI score change of ≥12 points represents a clinically meaningful change in constipation.

Limitations: This publication for validation of BFI only includes data from three clinical trials. However, another publication of an additional specifically designed cross-sectional validation study is in preparation.

Conclusion: The BFI is a valid and reliable instrument for the assessment of opioid-induced constipation in chronic pain patients. Psychometric analyses from clinical trials support the BFI's psychometric properties.     

Individual investor’s limited attention and IPO performance

The paper models and verifies the spread and decay of investor’s attention before listing on the stock market by using the Baidu Index as a proxy for investor attention of the frequency of searches. We find that individual investor’s attention has a significant influence on the first-day IPO return. We empirically study the allocation of investor attention among several stocks and discover that the more stocks going public on the same day, the milder and more similar their performance tends to be. This paper is the first to research IPO performance and individual attention.     

Measuring Socio-Economic GENDER Inequality: Toward an Alternative to the UNDP Gender-Related Development Index

This paper assesses the United Nations Development Program’s (UNDP) Gender-Related Development Index (GDI). Although the GDI has increased attention on gender equality in human development, it suffers from several limitations. A major problem is that it conflates relative gender equality with absolute levels of human development and thus gives no information on comparative gender inequality among countries. Using the same indicators as the GDI, the paper constructs a Relative Status of Women (RSW) index, which demonstrates how using a measure of gender equality that abstracts from levels of development results in very different country rankings. However, the RSW is not an ideal measure of gender inequality. The GDI indicators are not the most appropriate ones for measuring gender inequality and hence both the RSW and the GDI have limited validity. The paper concludes by offering a conceptual framework that provides the basis for an alternative measure of gender inequality.     

Analysing The Evolution Of Industry: The Relevance Of The Telecommunications Industry

This paper analyses the fundamental forces involved in the evolution of the telecommunications industry. It is suggested that there are five major forces that together drive the evolution of this industry: specialisation, competition, financial markets. endogenous consumer demand and permeable industry boundaries. An important research task is to further elaborate on the boundaries of not only the industry but of the industrial system taken as a whole.     

基于群组决策特征根法的高技术企业知识产权开发评价指标识别

由于高技术企业知识产权开发评价影响因素多,涉及内容广,因此评价指标识别是高技术企业知识产权开发水平评价的关键环节。通过对当前高技术企业知识产权开发影响因素的分析,建立了高技术企业知识产权开发评价初选指标。运用群组决策特征根法对高技术企业知识产权开发评价初选指标的关键性和重要性进行识别,构建了高技术企业知识产权开发评价指标体系,为高技术企业知识产权开发水平的测度和评价提供了科学的方法和新的思路。