长三角地区居家养老的现状、问题及对策研究——以嘉兴市为例

通过实证分析法说明,嘉兴市是长三角地区人口老龄化程度较高的城市之一,居家养老是养老服务的基本模式。目前居家养老存在小区养老服务设施缺乏、社区主动性不够、社区医院医疗器械和药品不全、家政服务尚未有组织地开展等问题。要区分不同老年人提供针对性服务;提供功能齐全的居家养老服务站及小区露天服务设施;要加强社区医院医生的主动性,提高老年人大病医疗费报销比例;支持成立为养老服务的家政服务企业,推广服务银行模式,丰富精神文化生活。     

三率变动对外贸影响的分析

人民币不断升值、外贸出口造成的巨大顺差以及预期人民币长期升值不断涌入我国的热钱,是造成我国当前通货膨胀的重要原因.中国人民银行近些年不断调整利率和法定准备金率试图应对通胀.在此背景下,以三率变动的数据以及东莞外贸的实际情况为研究对象,利用计量方法对三率变动对东莞外贸的影响进行分析,具有现实意义.     

新资本监管标准下我国中小银行的资本约束与资本管理

2013年1月1日起开始实施的《商业银行资本管理办法(试行)》在Basel III的基础上提高了商业银行的资本监管标准。尽管我国大部分中小银行的资本充足率达标,但在外部融资渠道狭窄、内部资产规模扩张冲动,以及治理结构和管理水平相对落后的情况下,仍然面临潜在的资本约束。除了不断开拓资本来源以外,通过深挖内部潜力、提高资本管理效率,成为中小银行应对新资本监管标准的有效途径。     

A cost-effectiveness analysis of celecoxib compared with diclofenac in the treatment of pain in osteoarthritis (OA) within the Swedish health system using an adaptation of the NICE OA model

Objectives:

Celecoxib for the treatment of pain resulting from osteoarthritis (OA) was reviewed by the Tandvårds- och läkemedelsförmånsverket–Dental and Pharmaceutical Benefits Board (TLV) in Sweden in late 2010. This study aimed to evaluate the incremental cost-effectiveness ratio (ICER) of celecoxib plus a proton pump inhibitor (PPI) compared to diclofenac plus a PPI in a Swedish setting.

Methods:

The National Institute for Health and Care Excellence (NICE) in the UK developed a health economic model as part of their 2008 assessment of treatments for OA. In this analysis, the model was reconstructed and adapted to a Swedish perspective. Drug costs were updated using the TLV database. Adverse event costs were calculated using the regional price list of Southern Sweden and the standard treatment guidelines from the county council of Stockholm. Costs for treating cardiovascular (CV) events were taken from the Swedish DRG codes and the literature.

Results:

Over a patient’s lifetime treatment with celecoxib plus a PPI was associated with a quality-adjusted life year (QALY) gain of 0.006 per patient when compared to diclofenac plus a PPI. There was an increase in discounted costs of 529kr per patient, which resulted in an incremental cost-effectiveness ratio (ICER) of 82,313kr ($12,141). Sensitivity analysis showed that treatment was more cost effective in patients with an increased risk of bleeding or gastrointestinal (GI) complications.

Conclusions:

The results suggest that celecoxib plus a PPI is a cost effective treatment for OA when compared to diclofenac plus a PPI. Treatment is shown to be more cost effective in Sweden for patients with a high risk of bleeding or GI complications. It was in this population that the TLV gave a positive recommendation. There are known limitations on efficacy in the original NICE model.     

沪深300股指期货套期保值效率度量研究——基于沪深300ETF的实证分析

基于沪深300股指期货真实交易数据,选取对指数拟合程度高且可交易的沪深300ETF为现货研究对象,运用静态套期保值比率估计模型（OLS、B-VAR、VECM）和动态套期保值比率估计模型（VECMBGARCH、DBEKK-GARCH、DCC-GARCH、NormCopula-GARCH、tCopula-GARCH）对最优套期保值比率进行估计,并对规避风险效果进行比较。结果表明：无论在样本内期间和样本外期间中,各模型反映出的沪深300股指期货套期保值效率都较高,考虑期货与现货市场动态相关性的NormCopula-GARCH模型套期保值效果最优。     

我国股票资产价格与通货膨胀关系的研究

货币政策是否应该干预股票资产价格的波动,这是一个广受关注且富有争议的问题.这一问题的关键因素在于正确判断通货膨胀与股票资产价格的关联性.目前,股票收益率与通货膨胀之间存在四种相关关系,即正相关、负相关、不确定以及不相关.我国的资本市场成立较晚,研究股票收益率与通胀率之间关系的成果非常少.所以从我国沪深两市股指与通货膨胀走势、沪深两市股指波动区间、波动频率与通货膨胀间的关系,以及我国沪深两市股票市盈率与通货膨胀关系描述等三方面来揭示股票资产定价与通货膨胀间的关系,为全面认识我国证券市场与通胀间的关系提供实事依据.     

Return Predictability of Turkish Stocks: An Empirical Investigation

Employing the portfolio method and cross-sectional regressions, this paper provides a comprehensive analysis of stock return predictability in Turkey from January 1997 to July 2011. In the risk-related predictors, we found predictive power for beta, total volatility, and idiosyncratic volatility. The "cheapness" variable, book-to-market ratio, is the most important return predictor for the stocks traded on the Istanbul Stock Exchange (now part of the Borsa Istanbul). Grouping the stocks as small and large according to the median value of the market capitalization of the stocks adds important insights to the analysis. Our results show the set of large stocks on the Istanbul Stock Exchange to be the least predictable set of stocks.     

Detailed study of a moving average trading rule

We present a detailed study of the performance of a trading rule that uses moving averages of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our study reports short-, medium- and long-term effects by looking at the Sharpe ratio (SR). We calculate the Sharpe ratio of our trading rule as a function of the probability distribution function of the underlying traded asset and compare it with data. We show that if the performance is mainly due to presence of autocorrelation in the returns of the traded assets, the SR as a function of the portfolio formation period (look-back) is very different from performance due to the drift (average return). The SR shows that for look-back periods of a few months the investor is more likely to tap into autocorrelation. However, for look-back larger than few months, the drift of the asset becomes progressively more important. Finally, our empirical work reports a new long-term effect, namely oscillation of the SR and proposes a non-stationary model to account for such oscillations.     

Semimartingale theory of monotone mean–variance portfolio allocation

We study dynamic optimal portfolio allocation for monotone mean–variance preferences in a general semimartingale model. Armed with new results in this area, we revisit the work of Cui et al. and fully characterize the circumstances under which one can set aside a nonnegative cash flow while simultaneously improving the mean–variance efficiency of the left‐over wealth. The paper analyzes, for the first time, the monotone hull of the Sharpe ratio and highlights its relevance to the problem at hand.     

The limits of leverage

When trading incurs proportional costs, leverage can scale an asset's return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one safe and one risky asset, with constant investment opportunities and proportional costs, we find strategies that maximize long‐term returns given average volatility. As leverage increases, rising rebalancing costs imply declining Sharpe ratios. Beyond a critical level, even returns decline. Holding the Sharpe ratio constant, higher asset volatility leads to superior returns through lower costs.