Size,value, and momentum in developed country equity returns: Macroeconomic and liquidity exposures

The paper investigates value and momentum factors in 23 developed international stock markets. We find that typically value and momentum premia are smaller and more negatively correlated for large market capitalization stocks relative to small. Momentum factors are more highly correlated internationally relative to value. We provide international evidence on three sets of risk exposures of value and momentum returns: macroeconomic risk, funding liquidity risk, and stock market liquidity risk. We find that value returns are typically lower prior to a recession while momentum returns often exhibit little sensitivity. Value returns are typically lower in times of poor funding liquidity, whereas, with notable exceptions, momentum returns are typically unaffected. Lastly, for almost all countries, value returns are high in poor stock market liquidity conditions.     

A model of medium term exchange rate forecast in an open economy The case of the mexican peso

Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a rational manner but not randomly. Models of exchange rate by term based on asset valuation suggest that the inclusion of risk in the spot rate increases the degree of predictability. The results show that after incorporating an accurate measure of risk, predictability of medium term foreign exchange rate increases.     

原油采购风险控制研究

本文将条件风险价值理论用于原油采购中,通过构建线性规划模型,达到在满足收益要求的条件下控制潜在风险的目的,最后进行了算例分析,结果对企业原油采购有一定指导意义。     

2011-2012年中国宏观经济分析与预测——复苏放缓、风险上扬与结构刚性冲击下的中国宏观经济

本文通过全面总结2011年中国宏观经济的3大表现,利用中国人民大学宏观经济预测模型,指出2012年中国将面临外部经济放缓、内部房地产市场深度调整、泡沫经济逆转以及金融风险加剧的冲击,但在结构刚性的约束下,政府将全面转变政策定位,从而保证中国经济在加速回落中实现反弹,全年经济增长呈现“前低后缓”的模式.     

供应链合作伙伴选择的风险识别与防范

对供应商选择过程中存在的风险进行正确有效的识别和防范,对于提升供应链整体的效率有着重大意义。在对供应链环境下供应商选择中的风险因素进行了识别的基础上,认为在供应链合作伙伴选择中存在环境风险、合作风险和能力风险三种风险,最后提出了相应的具体的风险防范措施,为企业有效地规避和减少供应商选择的风险提供了切实可行的策略,以期对企业有所借鉴意义。     

基于VaR修正理论的投资组合优化模型

根据风险价值VaR的计算思路,本文提出了基于GARCH理论的风险计量投资组合优化模型;同时在修正的VaR——尾条件期望的基础上对证券组合投资的优化模型做了进一步的改进。     

我国创业板市场的风险研究及对策探讨

本文对创业板在中国的设立背景以及在中国的现状进行了分析,针对创业板存在的风险进行了系统的探讨,从而能够正确认识创业板市场当中存在的风险因素,以探寻降低创业板市场风险的手段和措施,促进创业板市场良性运行。     

浅议对安全生产风险管理体系建设的认识

本文主要是认识安全生产风险管理体系建设工作的必要性和重要性,落实责任与资源。旨在交流探讨如何抓住关键环节,推动体系工作,如何结合实际,全员参与,不断总结、持续改进进一步提高电力建设安全生产管理水平。     

APPLYING A GENETIC ALGORITHM TO INTERNATIONAL DIVERSIFICATION OF EQUITY PORTFOLIOS: A SOUTH AFRICAN INVESTOR PERSPECTIVE

This paper uses the genetic algorithm (GA) approach to generate a portfolio optimisation scenario of a South African investor who seeks to maximise return from investing in S&P500, FTSE100, NASDAQ, DOWJONES, CAC40 and the DAX from January 1, 2005, to January 31, 2008, but facing exchange rate risk. The GA searches for the optimal solution in the entire set of financial constraints without looking for partial derivatives of the utility function. Whereas most financial problems require a non‐linear and time‐varying model, the GA, with its survival principle of offspring chromosomes, is better suited to this type of problem than local optimisation methods. The performance of the GA is compared with two non‐linear models, namely the quadratic mean‐variance (QMV), which maximises the portfolio mean‐variance, and the quadratic variance minimisation (QVM), which minimises the portfolio variance. The results show that neither the QMV nor the QVM takes into account the domestic investors' risk attitude towards investing in foreign equities and therefore does not provide any international diversification benefits. In addition, the bootstrapping scenario of 10,000 simulations reveals that neither the QMV nor the QVM outperforms the GA in terms of Sharpe ratio and flexibility in dealing with investors' risk attitude towards investing in foreign equities denominated in foreign currencies.