PORTFOLIO CHOICE VIA QUANTILES

A portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law‐invariant preference measures, including expected utility maximization, mean–variance, goal reaching, Yaari's dual model, Lopes' SP/A model, behavioral model under prospect theory, as well as those explicitly involving VaR and CVaR in objectives and/or constraints. A solution scheme to this quantile model is proposed, and then demonstrated by solving analytically the goal‐reaching model and Yaari's dual model. A general property derived for the quantile model is that the optimal terminal payment is anticomonotonic with the pricing kernel (or with the minimal pricing kernel in the case of an incomplete market if the investment opportunity set is deterministic). As a consequence, the mutual fund theorem still holds in a market where rational and irrational agents co‐exist.     

STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS

We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well posed, in the sense that the optimal wealth and the marginal utility‐based prices are continuous functionals of preferences and probabilistic views.     

我国中小企业应对金融危机的对策研究

由美国次贷危机引发的金融危机席卷全球,对我国中小企业的影响尤其明显。中小企业的应对措施是：积极承接产业转移,加快结构调整;优化出口产品结构,提高竞争力;提高自主创新能力;培养特色产业集群;拓展融资方式,改善融资环境。     

专一化生产型企业在不同周期的财务分析

企业和生命体一样具有生命周期,企业的生命周期一般包括创业期、成长期、成熟期、衰退期。企业在生命周期的不同阶段面临的市场环境和经营风险不同,因此企业在不同生命周期下具有不同的财务特征,且有与之相适应的财务战略。受企业生命周期和企业财务战略选择的影响,在企业生命周期的不同阶段,企业的固定资产、应收账款、流动资产和流动负债也具有不同的变化趋势。对企业在不同周期的财务分析,可以更好促进企业健康可持续发展。     

上海航运金融存在的问题研究

国际航运中心和国际金融中心一向是世界经济发展讨论的热点,目前,上海正着力建设国际金融与航运双中心,但是与其他国际航运中心以及金融中心相比,差距仍然明显,在建设中仍存在多方面的不足。本文对上海航运金融的发展现状及存在的问题进行了分析。针对这些问题,本文对上海航运金融提出了关于政策、人才等方面的建议。     

浅析企业集团财务管理

跨入新世纪以来,经济环境的变化对全球企业财务管理都提出了新的要求,尤其是对我国企业财务管理而言。目前,我国企业财务管理还存在着管理者财务管理知识不足、财务管理预警机制缺乏等问题,急需采取相应措施进行补救和完善。     

浅议德国的关系型融资

近年来,银行与企业之间的关系型融资在世界范围内得到广泛运用。在美、日、德等发达国家,关系型融资已成为企业外部融资的一条有效途径,并对企业的经营管理产生着重要的影响。本文总结分析了德国关系型融资模式的特点,希望能够对我国企业的外部融资有一定的指导意义。     

国际金融合作的理论与实践

在经济全球化的今天,金融合作成为各国谋求经济发展,共同应对危机的必然选择。本文首先对国际金融合作的理论进行了论述,然后分别对欧洲、东亚、拉美和中亚等地区的金融合作实践进行了分析。     

Does the law and finance hypothesis pass the test of history?

For the body of work known as the law and finance literature, the development of financial markets and the concentration of ownership across countries is to a large extent the consequence of the legal system nations created or inherited decades or hundreds of years ago. Despite the seemingly historical nature of this explanation, most of the body of work supporting the law and finance hypothesis has been ahistorical. This paper summarises the business history literature and provides evidence on investor protection and financial development over the long run that challenges the main tenets of the law and finance literature.