一个证券投资风险计量的优化模型

2008年美国爆发的次贷危机,不仅给美国经济带来了极大的破坏,也给全球经济带来了极大的不稳定。由此,国内外许多学者更加关注可能引发金融海啸的因素分析。在经济金融化的当今时代,证券投资风险的计量无疑是理论和实务工作者关注的焦点。本文对比了Markowitz的均值方差模型(Mean-Variance Model)、Sharpe资本资产定价模型(CAPM)、Harlow下偏矩风险计量优化模型等,充分考虑收益和风险的计量指标,根据双目标规划求解过程得到一个证券投资风险计量的优化模型。     

Dynamic,Interactive Survey Questions Can Increase Survey Data Quality

Survey research is critical to the development of knowledge and market insight in hospitality and tourism. Survey research quality depends on the willingness of respondents to participate, and this is decreasing. The recent development of dynamic, interactive online survey question formats may contribute to solving this problem by making surveys more engaging for respondents. To the best of the authors' knowledge, this is the first study which compares traditional and dynamic interactive answer formats using objective and subjective assessment criteria. Results indicate that using a simple dynamic, interactive question in a study on tourism and quality of life improved the objective quality of the data and made the survey experience easier and more fun for respondents, thus leading to higher quality data for users of market research on this topic. Given the wide variety of dynamic question formats, users of market research data need to, however, assess on a case-by-case basis if survey questions are merely more entertaining or whether they indeed increase the validity of data.     

Intangible Economy and its Implications for Statistics and Statisticians*

This paper presents an interpretation of major changes affecting the modern economy. Our postulate is that the defining trend is the shift to the intangible. The source of economic value and wealth is no longer the production of material goods but the creation and manipulation of dematerialised content. The logic of dematerialisation is pervasive and ubiquitous and affects all sectors and activities. It profoundly transforms economic relationships and interactions, the ways firms and markets are organised and transactions are carried out. It is also unsettling, to the extent that it runs squarely against some of the key tenets of the conventional logic of economics. The intangible economy raises a whde series of measurement issues. More fundamentally, it changes the role, the function, and the perception of economic measurement data. Official agencies no longer have the monopoly of economic data: a lively and diversified measurement and monitoring industry has emerged. Statisticians need to undertake a comprehensive appraisal of their business. Adaptingto the new environment will require major changes in three key areas: conceptual foundations, modus operandi and temporal outlook. If measurement systems are to capture the essence of the economy of today and tomorrow, intangibles have to move from the periphery to the core of these systems.     

Estimation in Two-Stage Models with Heteroscedasticity

A surprising number of important problems can be cast in the framework of estimating a mean and variance using data arising from a two-stage structure. The first stage is a random sampling of "units" with some quantity of interest associated with the unit. The second stage produces an estimate of that quantity and usually, but not always, an estimated standard error, which may change considerably across units. Heteroscedasticity in the estimates over different units can arise for a number of reasons, including variation associated with the unit and changing sampling effort over units. This paper presents a broad discussion of the problem of making inferences for the population mean and variance associated with the unobserved true values at the first stage of sampling. A careful discussion of the causes of heteroscedasticity is given, followed by an examination of ways in which inferences can be carried out in a manner that is robust to the nature of the within unit heteroscedasticity. Among the conclusions are that under any type of heteroscedasticity, an unbiased estimate of the mean and the variance of the estimated mean can be obtained by using the estimates as if they were true unobserved values from the first stage. The issue of using the mean versus a weighted average which tries to account for the heteroscedasticity is also discussed. An unbiased estimate of the population variance is given and the variance of this estimate and its covariance with the estimated mean is provided under various types of heteroscedasticity. The two-stage setting arises in many contexts including the one-way random effects models with replication, meta-analysis, multi-stage sampling from finite populations and random coefficients models. We will motivate and illustrate the problem with data arising from these various contexts with the goal of providing a unified framework for addressing such problems.     

混合DS／SFH扩频通信技术在多目标测量中的应用

本文阐述了混合ＤＳ／ＳＦＨ扩频通信技术在多目标测量中的应用，分析了发送，包络平方接收，给出了距离及其分辨率的表达式。     

HP8410S网络分析仪测量材料的介电常数和导磁率

本文介绍HP8410S刚络分析仪测量介电常数和导磁率的一种应用,所述方法可对介电常数ε~r和导磁率μ_r进行比较高速和高精度的测量,并且方法经济、实用.     

日本基础设施产业市场化改革的模式及绩效评价

在全球范围内的基础设施产业市场化改革浪潮中，日本政府为了减少财政赤字，对基础设施产业进行了以分拆民营化为主要方式的市场化改革，笔者通过对NTT、JR东日本国铁公司的考察发现，虽然民营化没有实现减少财政赤字的初衷，但是提高了劳动生产率，这与英美等国家的改革经验是相同的。     

信息价值及效益的计量

现代管理会计作为一个信息系统,必须彻底改变传统的不计信息成本、不考虑信息效益的情况,要求管理会计信息的形成和使用以信息经济学原理为指导,使信息的效果及其经济性两个方面统一起来,在创建一个管理信息系统、获取一项经济信息时,要按其"效益"(价值减成本后的余额)的大小来比较和选择不同的管理会计信息系统和信息来源渠道。那么,什么是信息成本、信息价值,信息效益又应如何计量呢?本文试对此作一浅述。     

PERFORMANCE MEASUREMENT: MEASURE SELECTION BASED UPON FIRM GOALS AND INFORMATION REPORTING NEEDS

Performance measurement is critically important to business success. Collecting and responding to information that does not provide management with guidance to meet established goals is counterproductive and potentially injurious to the success of the firm. This research develops a framework that allows individual firms to assess unique measurement needs in light of their stated goals, and to select performance measures most suited to addressing those measurement needs.     

Measurement Matters—Alternative Input Price Proxies for Bank Efficiency Analyses

Most bank efficiency studies that use stochastic frontier analysis (SFA) employ each bank’s own implicit input price when estimating efficient frontiers. But at the same time, most studies are based on cost and/or profit models that assume perfect input markets. Traditional input price proxies therefore contain at least substantial measurement error. We suggest here two alternative input market definitions to approximate exogenous input prices. We have access to Bundesbank data, which allows us to cover virtually all German universal banks between 1993 and 2003. The use of alternative input price proxies leads to mean cost efficiency that is significantly five percentage points lower compared to traditional input prices. Mean profit efficiency is hardly affected. Across models, small cooperative banks located in large western states perform best while large banks and those located in eastern states rank lowest. This paper is the result of a research cooperation between the Utrecht School of Economics and Deutsche Bundesbank. It represents the author’s personal opinions and does not reflect the views of the Deutsche Bundesbank.