基于对冲基金的投资组合新架构研究

本文在分析传统的投资对冲基金组合架构存在不足的基础上,提出了新的资产组合构架模型,并通过美国市场的数据论证了对冲基金为何不是一个纯粹超额收益的制造者而更多是一个风险溢价的提供者以及将对冲基金与传统资产有机整合到一起的好处,为投资者优化资产投资组合提供了新的方法。     

Disorder in the Risk Order

Abstract

This paper studies the difference in global equity portfolios allocated by the criterion of minimizing the risk by using two different risk measures, the standard deviation and the conditional value at risk. An empirical analysis is performed on a comprehensive stock exchange database. The main hypothesis of the present work is that the choice of risk measure has crucial importance in portfolio optimisation, especially in those situations when the stock markets are extremely volatile and the return distributions are non-normal. The rationale behind establishing minimum-risk portfolios is to keep track of the highest possible risk reduction benefits from international diversification.     

The spillover effects of biofuel policy on participation in the conservation reserve program

This paper studies the spillover effects of rising biofuel production on participation in the Conservation Reserve Program. Landowner participation decisions are modeled using a real options framework. We develop a land use decision model that captures biofuel-driven structural changes in market demand and derive threshold conditions that trigger participation in the program. We then quantify the impacts of biofuel production on participation at both the national and state levels using Monte Carlo simulations. The model is also used to analyze how changes in the persistence of the biofuel production boom and in the volatility of farming returns affect conservation participation decisions. Policy implications of the results are discussed.     

Long-term interest rates,risk premia and unconventional monetary policy

We study two kinds of unconventional monetary policies: announcements about the future path of the short-term rate and long-term nominal interest rates as operating instruments of monetary policy. We do so in a model where the risk premium on long-term debt is, in part, endogenously determined. We find that both policies are consistent with unique equilibria, that, at the zero lower bound, announcements about the future path of the short-term rate can lower long-term interest rates through their impact both on expectations and on the risk premium and that long-term interest rate rules perform as well as, and at times better than, conventional Taylor rules. With simulations, we show that long-term interest rate rules generate sensible dynamics both when in operation and when expected to be applied.     

New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation

This paper decomposes the break-even inflation rates derived from inflation-indexed bonds into inflation risk premia, liquidity risk premia, and inflation expectations. I estimate a common factor model with autoregressive conditionally heteroscedastic (ARCH) errors that extracts co-movements from twenty-two monthly and quarterly indicators to identify these three components. The results indicate that the sharp declines in the 10-year and 5-year break-even inflation rates in 2009 reflect a substantial increase in liquidity risk rather than a decrease in inflation expectations. Break-even inflation rates underestimate inflation expectations over nearly the entire sample due to the liquidity risk premia carried by the inflation indexed bond yields. Also, the model-implied inflation expectations show better forecast performance for the average annual inflation rates than raw break-even inflation rates, the Survey of Professional Forecasters, and the Surveys of Consumers inflation forecasts.     

中国影子银行部门系统性风险的形成、影响与应对

本文分析了影子银行风险传染机制及其影响,在违约风险基于会计账户传染的马尔科夫过程假设下,运用投入产出法构建影子银行系统性风险测度模型,以2007-2012年中国影子银行业务数据进行检验,结果显示：信托公司部门是主要的风险源,银行部门是系统性风险最主要的承担者,观测期内影子银行部门系统性风险整体呈现上升趋势。防控系统性风险应从影子银行业务风险隔离机制、资本与杠杆率监管、信息透明度、宏观审慎框架和风险应急机制等建设着手。     

Testing assumptions underlying economic research on transgenic food crops for Third World farmers: Evidence from Cuba, Guatemala and Mexico

Transgenic crop varieties (TGVs) are being promoted as essential for improving small-scale Third World (SSTW) agriculture. Most economic research on this topic makes critical, untested assumptions, including that farmers will choose TGVs over other varieties because TGVs are economically optimal and because farmers are risk neutral profit maximizers. We tested these assumptions using data from a survey of 334 farmers in 6 communities in Cuba, Guatemala and Mexico in which farmers ranked 4 real and hypothetical maize varieties for eating and sowing. Our results did not support these assumptions. Most farmers preferred farmer varieties for sowing and especially for eating, avoiding TGVs, a preference associated with being risk averse and with non-monetary preferences. Farmers more integrated into modern agriculture were more likely to choose TGVs. These results suggest that farmers most in need of support and most important for conserving genetic diversity are least favorable toward TGVs, and that alternative ways of improving SSTW agriculture should receive more attention.     

Uncertainty and the size distribution of rewards from innovation

 Previous research has shown that the distribution of profit outcomes from technological innovations is highly skew. This paper builds upon those detailed findings to ask: what stochastic processes can plausibly be inferred to have generated the observed distributions? After reviewing the evidence, this paper reports on several stochastic model simulations, including a pure Gibrat random walk with monthly changes approximating those observed for high-technology startup company stocks and a more richly specified model blending internal and external market uncertainties. The most highly specified simulations suggest that the set of profit potentials tapped by innovators is itself skew-distributed and that the number of entrants into innovation races is more likely to be independent of market size than stochastically dependent upon it.     

论美国风险投资维护金融安全的经验及启示

风险投资对于维护金融安全而言有利也有弊,而美国风险投资却趋利避害,不仅促进了美国实体经济的发展,也为稳定美国金融安全作出了贡献。究其原因,美国风险投资有科学的组织模式、广泛的资金来源、谨慎的投资方式的选择、健全的服务与监管体系,而且还有美国政府的大力支持。本文以美国的成功经验为鉴提出了发展我国风险投资的一些看法。     

论企业竞争风险

本文探讨了市场经济条件下企业竞争风险的内涵、生成机理及其竞争风险管理的基本原理。