Dynamic portfolio optimization across hidden market regimes

Regime-based asset allocation has been shown to add value over rebalancing to static weights and, in particular, reduce potential drawdowns by reacting to changes in market conditions. The predominant approach in previous studies has been to specify in advance a static decision rule for changing the allocation based on the state of financial markets or the economy. In this article, model predictive control (MPC) is used to dynamically optimize a portfolio based on forecasts of the mean and variance of financial returns from a hidden Markov model with time-varying parameters. There are computational advantages to using MPC when estimates of future returns are updated every time a new observation becomes available, since the optimal control actions are reconsidered anyway. MPC outperforms a static decision rule for changing the allocation and realizes both a higher return and a significantly lower risk than a buy-and-hold investment in various major stock market indices. This is after accounting for transaction costs, with a one-day delay in the implementation of allocation changes, and with zero-interest cash as the only alternative to the stock indices. Imposing a trading penalty that reduces the number of trades is found to increase the robustness of the approach.     

Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives

Despite the clear success of forecast combination in many economic environments, several important issues remain incompletely resolved. The issues relate to the selection of the set of forecasts to combine, and whether some form of additional regularization (e.g., shrinkage) is desirable. Against this background, and also considering the frequently-found good performance of simple-average combinations, we propose a LASSO-based procedure that sets some combining weights to zero and shrinks the survivors toward equality (“partially-egalitarian LASSO”). Ex post analysis reveals that the optimal solution has a very simple form: the vast majority of forecasters should be discarded, and the remainder should be averaged. We therefore propose and explore direct subset-averaging procedures that are motivated by the structure of partially-egalitarian LASSO and the lessons learned, which, unlike LASSO, do not require the choice of a tuning parameter. Intriguingly, in an application to the European Central Bank Survey of Professional Forecasters, our procedures outperform simple average and median forecasts; indeed, they perform approximately as well as the ex post best forecaster.     

基于VAR模型的生产性服务业与经济增长动态关系研究

选取1991-2015年中国的年度数据，运用VAR模型分析生产性服务业与经济增长的动态关系，认为我国经济增长与生产性服务业发展之间存在长期稳定的均衡关系。脉冲响应分析表明，无论是给予生产性服务业还是经济增长一个正向冲击，短期中都会引起生产性服务业、经济增长一个大的提高，但长期中回落并稳定发展。方差分解表明，长期经济增长是影响自身发展的决定性因素，影响生产性服务业发展的主要因素是经济增长和生产性服务业自身的发展。     

“一带一路”沿线省份工业环境效率评价及影响因素研究

基于包含非期望产出的SBM模型测度了“一带一路”沿线17个省市区2006-2015年的工业环境效率，通过Tobit模型对工业环境效率的影响因素进行了回归分析。研究结果表明：①“一带一路”倡议的实施提高了沿线省市区经济发展水平，区域平均工业环境效率也略有提升；②“21世纪海上丝绸之路”沿线省市区工业环境效率较高，而 “丝绸之路经济带”工业环境效率普遍偏低；③人均GDP、产业结构、人口密度对“一带一路”沿线省市区工业环境效率有显著正向促进作用，对外贸易水平和环境规制对工业环境效率有显著负向影响，而地区生产总值占比、贸易依存度的影响则不显著。因此，建议通过产业结构优化、能源利用效率提升、“海上丝绸之路”区域科技水平提升、“丝绸之路经济带”经济增长模式转变等措施实现“一带一路”区域经济和环境的协调发展。     

The risk of inappropriateness: An analysis of the hospitalisations in the Italian geriatric wards

In the last years, the issue of health care for the elderly population is becoming increasingly relevant. Italy could be considered one among the oldest countries in Europe: in 2018 the population aged 65 and over is 22.6% of the Italian population with an aging index of 168.7%. Moreover, a high percentage (49.6%) of elderly people shows at least one of chronic/chronic degenerative disease. This situation, considering an increasing 65-year-old life expectancy, will lead the Italian Health System to cope with a significant increase in healthcare consumption. This work will analyse the ordinary acute admissions in the geriatric wards of the Italian hospitals using the Hospital Discharge Data with the aim is to identify the risk of inappropriateness of the hospitalisations.     

Macroeconomic effects of monetary policy in Korea: A time-varying coefficient VAR approach

Using a time-varying coefficient vector autoregressive (TVC-VAR) model, we assess how the efficacy of monetary policy innovations in stimulating real activity has evolved over time in Korea, as an example of emerging market countries, since 2000. We show that the responsiveness of output toward monetary policy innovations has decreased gradually since the early to mid-2000s, but monetary policy remains effective in boosting output even for the most recent sample. In addition, we find that the volatility of exogenous disturbances has decreased dramatically in the post-2000 period, and that this is the main driver of the recent volatility reductions of both output and inflation.     

上海原油期货价格与我国新能源股价的相关性研究

选取上海原油期货和中证新能指数作为研究对象,以VAR模型为基础,分析了原油期货价格对新能源行业股价产生的引导作用,研究了上海原油期货与我国新能源行业股价的相关关系。研究结果表明:①上海原油期货价格的下跌会引起我国新能源行业股价的上涨,两者表现出反向变动;②上海原油期货价格对新能源行业股价的贡献率在不断提高,相互影响程度逐渐增强。     

基于时段偏好的高速铁路列车停站方案双层规划方法

旅客出行需求不断提高,需要同时考虑旅客出行时段选择与运输企业效益,来优化调整高速铁路列车停站方案。针对一条拥挤的高速铁路客运走廊,分时段确定列车停站计划和开行频率,阐述影响旅客出行时段偏好的2个重要因素——吸引度与可达度,据此构建旅客出行阻抗函数,构建双层规划模型,上层规划是以运营成本最小为目标的整数规划模型,用于确定列车停站方案;下层规划是一个用户平衡模型,用于计算客流在停站方案上的分配结果。根据模型特点设计启发式算法,并通过算例对模型和算法进行验证和分析。研究表明,考虑旅客出行时段偏好优化高速铁路列车停站方案的方法,能更好地匹配旅客需求分布,为旅客提供优质服务。     

Network VAR models to measure financial contagion

Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) aris from financial markets, from bank lending, or from both. To achieve this aim we consider a model specification strategy which combines Vector Autoregressive models with network models. The paper contributes to the contagion literature with a model that can consider bank exposures and financial market prices, jointly and not only separately. From an empirical viewpoint, our results show that both bilateral exposures and market prices act as contagion channels in the transmission of shocks arising from a country to other countries.     

Currency returns and downside risk: Debt,volatility, and the gap from benchmark values

The paper considers competing portfolio-balance specifications of currency returns, including one based on expected utility theory and another on prospect theory. The prospect theory specification relates downside risk to the gap between the exchange rate and its benchmark value. The empirical analysis uses survey data on exchange rate expectations to test directly the models’ predictions concerning ex ante excess returns. It also relies on the cointegrated VAR framework, which is well suited for testing competing models and dealing with unit roots. Like earlier studies, we find little support for the expected utility theory model in three major currency markets. By contrast, the prospect theory model’s predictions are largely borne out in the data, including those about sign reversals. We find the strongest support for a hybrid model that incorporates the risk factors of both models.