投资组合理论中的组合选择问题研究

经典的Markowitz投资组合理论在选择最优投资组合时,没有考虑到投资实践中大量存在的委托代理关系,从而使得最优投资组合的选择可能会偏离投资者的利益。本文对这一问题做了详细的描述,并对目前解决此问题的方法,即委耗投资组合管理的原理进行了分析。     

市场结构、意外利润税与可耗竭资源的最优开采——以我国原油特别收益金为例

本文以我国原油特别收益金政策为例,分析了意外利润税在不同市场结构下对可耗竭资源开采的价格路径、最初价格和社会福利的影响。以Hotelling的社会福利最大化的可耗竭资源价格路径作为评价基准,分析说明通过合理设定基准价格和税率水平,能保证在不同市场结构中实现社会福利最大化,据此作为我国原油特别收益金政策效果的理论依据。     

流动性在组合投资管理中的认识

在传统的均值-方差模型中,“市场流动性是充分的”假设使投资者忽略了流动性在组合投资管理中的重要性。流动性作为金融资产的三大属性之一,体现并作用于组合投资管理整个过程中。本文从流动性的内涵、流动性的股票交易特征、流动性与均值-方差模型的结合及行业流动性对组合投资的影响等角度探讨了流动性在组合投资管理中的作用,将组合投资的思维从二维空间拓展至三维空间,丰富了现代资产组合选择理论。     

高校岗位设置工作中人员流动问题的研究

本文通过对高校岗位设置工作中人员流动原因、类型及存在问题的分析研究,提出建立高校人员内部流动机制,人员退出机制和高校人才环境培育等方面措施,促进高校人力资源的优化配置和满足高校人员自我发展的需求。     

The 4% rule: Does real estate make a difference?

This paper examines the wealth maximisation and preservation effects of including commercial real estate in retirement-phase portfolio management. Prior research addresses the role of real estate during the wealth-accumulation phase of the investor lifecycle; however, little is known about the contribution of real estate during the invest-and-spend, or decumulation, phase. To address this issue, we estimate short-fall risk based on the widely known 4% Rule. We use pricing data for multiple asset classes and simulation techniques, combined with a robust correlation structure, to examine: short-fall risk sensitivity to alternative spending rules; the impact of public vs. private real estate allocations; wealth preservation as an investment objective; and the effect of real estate on upside, or wealth maximisation, potential. We find short-fall risk in a decumulation portfolio decreases with substantial allocations to real estate. This result holds for a portfolio including either public or private real estate. Additionally, and under most conditions, the best performing decumulation-phase portfolios include a real estate allocation with both public and private real estate exposure. These results have significant implications for investors, whether they be retirees, plan administrators or endowments, as well as financial economists studying the lifecycle of investment decisions.     

Tuition fees and social segregation: lessons from a natural experiment at the University of Paris 9-Dauphine

Using a natural experiment, a sharp rise in tuition fees in some of the programmes at the University of Paris 9-Dauphine, we study the impact of tuition fees on students’ pathways, and outcomes. We apply an optimal matching method to the national database of students’ registrations (SISE) to define a typology of pathways. We then use a nonordered multinomial logit model to evaluate the impact of the rise in tuition fees on the types of pathways selected by the university. We show that there is a significant impact on these pathways. The increase in tuition fees reduces geographic and social mobility, thereby accentuating the phenomena of social segregation. Furthermore, contrary to what some of the studies assert, the rise does not appear to encourage greater effort: we find no impact on the graduation success rate.     

基于偏度的多期证券投资组合模型研究

在考虑资产收益率分布中正的偏度水平前提下,以风险价值VaR为约束条件,并引入非线性交易费用、税收等市场摩擦因素,建立以累积偏度最大为目标函数的多期投资组合优化模型,用罚函数法和PSO算法结合求解此模型,并给出实证分析。考虑到在买卖资产风险时交易费用等对投资收益的影响,投资者应该在每一期都对其资产组合进行调整分析,确保在每一期的开始都建立起符合需要的最优资产组合,这对投资者的连续投资行为具有一定的指导意义。     

Optimal Portfolios with Bounded Capital at Risk

We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the capital at risk. In a Black–Scholes setting we obtain closed-form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes that allow for larger fluctuations in the returns.     

Modelling interactions among the housing market and key US sectors

This study evaluates the dynamic interactions among the housing market and ten key US sectors including: consumer discretionary, consumer staples, energy, financials, industrial, technology, health care, materials, utility and telecommunications. Long-run results indicate that the housing market is integrated with each of the ten sector and that the degree of convergence has increased over time and especially after the onset of the most recent housing crisis. Moreover, the housing market contributes most heavily to the common trends indicating that the housing market is the ‘leader’ market that drives each sector towards the long-run equilibrium relationships. Short-run analyses indicate causal linkages emanating from the housing market to each sector with reciprocal feedback. Finally, impulse response function analysis reveal that shocks from each sector affect the housing market but that shocks from the housing market have a (comparatively) more profound and persistent impact on each sector.     

基于DPSIR模型的土地生态安全评价研究——以广东省佛冈县为例

针对佛冈县的土地生态的实际状况,基于"驱动力-压力-状态-影响-响应"(DPSIR)模型,构建土地生态安全评价指标体系,运用最优组合赋权法确定指标权重及土地生态安全综合评价模型对该区域进行评价。结果表明:1998—2008年佛冈县土地生态安全整体状况不断改善,生态安全综合指数从1998年的0.2567增至2008年的0.5858,生态安全水平处在从"风险级"状态转向"比较安全"状态的过程;从相关性分析来看,响应指标对土地生态安全水平的提高起主要的作用,但随着社会经济的加速发展,需要协调好各方面的矛盾,缓解资源环境的压力,使得土地生态环境朝着更好的方向迈进。