Evaluating the impact of inequality constraints and parameter uncertainty on optimal portfolio choice

We present new analytical results for the impact of portfolio weight constraints on an investor’s optimal portfolio when parameter uncertainty is taken into account. While it is well known that parameter uncertainty and imposing weight constraints results in reduced certainty equivalent returns, in the general case, there are no analytical results. In a special case, commonly used in the funds management literature, we derive analytical expression for the certainty equivalent loss that does not depend on the risk aversion parameter. We illustrate our theoretical results using hedge fund data, from the perspective of a fund-of-fund manager. Our contribution is to formalize the framework to investigate this problem, as well as providing tractable analytical solutions that can be implemented using either simulated or asset manager returns.     

利用期货市场套期保值功能为农民增收服务

期货市场作为市场经济的高级形式，是我国市场经济发展到一定程度所必须的，也是农产品规避风险的良好手段。文章在指出农民增收问题迫切性的前提下，详细阐述了利用期货市场对农产品进行套期保值的原理，并对如何做好期货市场的宣传和推广提出了建议。     

基于GARCH—M模型的对冲基金风险评价

与传统理论研究的金融资产高风险高收益的结论不同,利用GARCH—M模型分析各分类对冲基金指数的风险收益状况,发现部分分类对冲基金指数收益表现出高风险低收益的状况。原因在于高杠杆和衍生品的复杂性使得对冲基金的收益与风险更加复杂化,不能简单地认为对冲基金在高风险状况下可以提供更高的收益。国外学者研究发现,对冲基金的解散率比较高的主要原因是由于投资的失败,一般存续时间为3—5年,这提醒投资者选择对冲基金时要更多地考虑风险承受水平。     

国际对冲基金的中国资产配置研究

"热钱"进入的状况和影响目前正在受到国内各界的广泛关注。文章借用以指数收益推算要素敞口的方法,研究了"热钱"的典型代表———国际对冲基金在中国金融市场上的投资活动和资产分布。从全球对冲基金行业来看,尚不存在大规模投资于中国大陆市场的迹象。全球对冲基金业绩仅与中国股票市场存在较微弱的正相关关系。就大中华区而言,大陆股票、香港股票和台湾股票市场是这一地区对冲基金的主要活动场所。没有发现对冲基金在行业意义上进入中国债券、期货和房地产市场的证据。文章还分析了国际对冲基金进入中国的主要渠道和目前国内对对冲基金的监管现状,并提出有关政策建议。     

从美国次级贷危机看国际对冲基金监管的必要性

对冲基金在操作中存在着大量的场外交易,常常脱离监管的控制范围。随着其规模的不断扩大,对冲基金对全球金融稳定的影响与日俱增。本文从对冲基金的发展现状入手,通过分析对冲基金在美国次级贷危机中的作用,尝试对对冲基金监管提出建议。这些建议包括增大对冲基金的透明度,促进资金流动的有序性以及加强国际金融监管合作等。     

Risk minimization in stochastic volatility models: model risk and empirical performance

In this paper the performance of locally risk-minimizing delta hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our simulation results on model risk show that these risk-minimizing hedges are robust with respect to uncertainty and misconceptions about the underlying data generating process. The empirical study, which includes the US sub-prime crisis period, documents that in equity markets risk-minimizing delta hedges consistently outperform usual delta hedges by approximately halving the standard deviation of the profit-and-loss ratio.     

宏观型对冲基金的经营策略分析

投资策略和融资策略共同决定宏观型对冲基金的自身业绩和它对金融市场的宏观影响。交易部署和杠杆比例相互联系并最终决定基金能够取得多少回报。由于市场环境的改变,大量宏观型对冲基金已经从以往的宏观策略和新兴市场策略为主转向更加保守的价值与市场中立策略。宏观型对冲基金的宏观经济效应源于其风险管理行为模式而非其主观意图。     

影响课堂英语模糊限制语使用的因素研究

选用大学英语教师的课堂教学为语料,对比了不同性别、职称和性格的教师所使用的模糊限制语,发现模糊语的使用与师生关系的密切程度显著相关.研究结果还表明,在课堂教学中,性别和职称都是影响教师使用模糊语的因素,但教师的性格跟模糊语的使用相关甚微.     

Quadratic hedging schemes for non-Gaussian GARCH models

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan׳s (1995) delta hedge. Since the minimal martingale measure fails to produce a probability measure in this setting, we construct local risk minimization hedging strategies with respect to a pricing kernel. These approaches are investigated in the context of non-Gaussian driven models. Furthermore, we analyze these methods for non-Gaussian GARCH diffusion limit processes and link them to the corresponding discrete time counterparts. A detailed numerical analysis based on S&P 500 European call options is provided to assess the empirical performance of the proposed schemes. We also test the sensitivity of the hedging strategies with respect to the risk neutral measure used by recomputing some of our results with an exponential affine pricing kernel.