Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix

This paper studies a robust continuous‐time Markowitz portfolio selection problem where the model uncertainty affects the covariance matrix of multiple risky assets. This problem is formulated into a min–max mean‐variance problem over a set of nondominated probability measures that is solved by a McKean–Vlasov dynamic programming approach, which allows us to characterize the solution in terms of a Bellman–Isaacs equation in the Wasserstein space of probability measures. We provide explicit solutions for the optimal robust portfolio strategies and illustrate our results in the case of uncertain volatilities and ambiguous correlation between two risky assets. We then derive the robust efficient frontier in closed form, and obtain a lower bound for the Sharpe ratio of any robust efficient portfolio strategy. Finally, we compare the performance of Sharpe ratios for a robust investor and for an investor with a misspecified model.     

昆山花桥梦世界飞天影院单层球面网壳结构整体稳定性分析

对于球形单层网壳结构进行考虑初始缺陷的几何非线性的有限元分析即荷载-位移全过程分析。     

Corporate Stock and Bond Return Correlations and Dynamic Adjustments of Capital Structure

This paper analyses the effects of dynamic correlations between stock and bond returns issued by the same firm on the speed of adjustment towards target leverage. The results show that the estimated correlations are time varying, show persistence and differ among firms. Analysis of the potential explanatory variables reveals that the correlations decrease with negative expectations about future aggregate risks, but only for firms with a low default probability. In contrast, correlations are positively associated with specific risk measures, especially idiosyncratic stock risk and financial leverage. The positive relationship between the correlations and the leverage ratio suggests that target leverage can be achieved faster when the stock–bond correlation is high. Our results show that this is the case.     

中国商业银行整体效率研究* ——基于具有中间投入和中间产出的综合网络DEA模型

本文基于对银行业务结构和特征的分析，将银行看做具有中间投入和中间产出的串联两阶段网络生产结构。第一阶段为负债业务和中间业务，第二阶段为资产业务。基于这一网络结构，本文首先建立具有中间投入和中间产出的综合网络DEA模型，并证明在此模型下整体网络DEA有效等价于每个子阶段DEA有效，即此模型是打开黑箱的网络DEA模型，并定义网络决策单元的投影。本文以中国16家上市商业银行为样本，测算了2006-2010年各商业银行的整体效率、子阶段效率、关联指数和每家银行的投影。分析结果显示，大型国有商业银行在负债业务和中间业务阶段具有明显的竞争优势，股份制商业银行在资产业务阶段具有效率优势，城市商业银行的两阶段业务关联性最差。本文计算的投影，给出了银行提高整体效率的改进方向。     

Fluid Spatial Imaginaries: Evolving Estuarial City‐regional Spaces

This article looks at successive attempts to create new spatial imaginaries around three estuary‐based city regions in England: the London–Thames Gateway, the Atlantic Gateway/Mersey Belt (Manchester and Liverpool), and Hull and the Humber ports. We develop a framework of analysis for new planning and regeneration spaces that takes forward debates on relational and territorial geographies, spatial imaginaries and the creation of new regional identities as governance objects. Specifically, we adopt a long‐term and comparative perspective that allows an examination of how successive efforts at regional building are both path‐dependent and context‐specific, as new approaches reflect emerging ideas about how best to construct successful regions in a changing global economy.     

Time-varying inter-urban housing price spillovers in China: Causes and consequences

The spatial spillovers of housing prices across regions are well documented by a large body of previous studies. This paper tries to investigate the dynamic (time-varying) evolution of spatial interactions and their underlying driving factors intensively. Using a recently developed Generalized Autoregressive Score (GAS) model, this paper examines the time-varying spatial spillovers of housing prices in 70 major and median cities of China from 2006 to 2019. We find that the GAS model can well capture the impact of time-varying critical events of Chinese real estate market on the whole. However, different regions display heterogeneous variation patterns over time. Further investigation shows that inter-regional labor mobility and trades are two major channels, accounting for 1.25% and 2.58% of the monthly standard deviations of spatial spillover effects from one city to another, respectively. We also characterize and distinguish between three time-varying patterns of spatial spillovers within different regions of China. Our results shed lights on the understanding of spatial spillovers across regional real estate markets across different city network structures within China.     

Small Area Estimation for Disease Prevalence Mapping

Small area estimation (SAE) entails estimating characteristics of interest for domains, often geographical areas, in which there may be few or no samples available. SAE has a long history and a wide variety of methods have been suggested, from a bewildering range of philosophical standpoints. We describe design-based and model-based approaches and models that are specified at the area level and at the unit level, focusing on health applications and fully Bayesian spatial models. The use of auxiliary information is a key ingredient for successful inference when response data are sparse, and we discuss a number of approaches that allow the inclusion of covariate data. SAE for HIV prevalence, using data collected from a Demographic Health Survey in Malawi in 2015–2016, is used to illustrate a number of techniques. The potential use of SAE techniques for outcomes related to coronavirus disease 2019 is discussed.     

京津冀城市大气环境竞争力评价

从大气环境与城市竞争力的关联性入手,将大气环境风险、现状和治理纳入评价指标体系,基于组合权重的大气环境竞争力评价模型,对2013-2017年京津冀13个城市的大气环境竞争力水平进行了测评,并结合空间自相关分析和障碍度模型揭示了其空间效应及障碍因素。结果显示:京津冀城市大气环境竞争力存在明显的空间差异,呈"北部高、南部低、局部跳跃"格局,城市差距逐渐缩小;京津冀城市大气环境竞争力呈显著的空间集聚效应且存在正向相关性,空间分布格局相对稳定。     

Pricing used books on Amazon.com: a spatial approach to price dispersion

This paper estimates a spatial autoregressive (SAR) model of price dispersion using publicly available internet bookselling data. It uses a semiparametric adaptive estimator that does not require the usual Gaussian assumption of maximum likelihood (ML) estimators. The results suggest that both price competition and seller heterogeneity are key drivers of the observed price dispersion. The paper finds that sellers with large sales volume, newly established sellers and US mainland states-based sellers tend to price lower. The identified significant spatial interaction is evidence of spatial price competition. Controlling for everything else, a seller asks a lower price when large sellers charge relatively high prices, which is also evidence of price-based selling and undercutting.     

STOCK‐BOND CO‐MOVEMENTS AND FLIGHT‐TO‐QUALITY IN G7 COUNTRIES: A TIME‐FREQUENCY ANALYSIS

This paper examines co‐movement between stock returns and changes in 10‐year government bond yields as well as flight‐to‐quality behaviour in G7 countries. We conduct the wavelet squared coherence analysis to explore the dynamics in both time and frequency domain. Our results provide evidence of positive co‐movements, which vary over time and across investment horizon. The higher co‐movement is found to be more concentrated in the lower frequency bands. We further analyse the dynamic nature of the scale‐dependent wavelet correlations and find that the correlations are highly volatile and significantly increase across different time scales during the episodes of equity market turbulence. The increase in correlations reflects flights from stocks to safer bond investments as a result of dramatic changes in investor sentiment and risk aversion at times of market stress.