MODELLING THE TRANSITION TOWARDS THE RENMINBI'S FULL CONVERTIBILITY: IMPLICATIONS FOR CHINA'S GROWTH

There is a widespread consensus that China needs to rebalance its export‐driven growth paradigm towards a more consumption‐based one and that such process is to be accompanied by the transition towards the renminbi's full convertibility. However, the Chinese authorities have so far acted with great caution because this transition cannot but accelerate the slowdown of China's growth which will likely occur because of other structural factors. We address these issues by means of a two‐country two‐stage (before and after the renminbi's full convertibility) model, which reproduces some qualitative features of China's growth pattern and its relationship with the United States. We analyse the extent to which altering the Chinese exchange rate regime, as well as other policies affecting sensitive social and economic issues, may impact on the short‐, medium‐ and long‐term evolution of the Chinese economy. The paper shows that by lifting the controls on the capital account and letting the currency float, the Chinese authorities will renounce those policy instruments for controlling the allocation of the national resources and the dynamics of China's economy.     

ASYMPTOTICALLY OPTIMAL PORTFOLIOS

This paper extends to continuous time the concept of universal portfolio introduced by Cover (1991). Being a performance weighted average of constant rebalanced portfolios, the universal portfolio outperforms constant rebalanced and buy-and-hold portfolios exponentially over the long run. an asymptotic formula summarizing its long-term performance is reported that supplements the one given by Cover. A criterion in terms of long-term averages of instantaneous stock drifts and covariances is found which determines the particular form of the asymptotic growth. A formula for the expected universal wealth is given.     

Proactive vehicle routing with inferred demand to solve the bikesharing rebalancing problem

Bikesharing suffers from the effects of fluctuating demand that leads to system inefficiencies. We propose a framework to solve the dynamic bikesharing repositioning problem based on four core models: a demand forecasting model, a station inventory model, a redistribution needs model, and a vehicle-routing model. The approach is proactive instead of reactive, as bike repositioning occurs before inefficiencies are observed. The framework is tested using data from the Hubway Bikesharing system. Simulation results indicate that system performance improvements of 7% are achieved reducing the number of empty and full events by 57% and 76%, respectively, during PM peaks.     

Rebalancing China＇s Economic Growth： Some Insights from Japan＇s Experience

One of the greatest challenges China faces is reshaping its heavily investment-driven mode of economic growth.By investigating how the rebalancing of Japan’s economic growth mode was realized in the 1970s,we indicate that it is essential in rebalancing to correct the distortions in factor cost(labor cost and capital cost) in a harmonious way.In addition,we refer to Japan’s experience to indicate that rebalancing of domestic growth does not necessarily lead to external rebalancing.     

China's Overinvestment and International Trade Conflicts

For a long time, China's impressive growth performance has been driven by investment and high productivity gains. Based on a discussion of possible overcapacities and overinvestment in China, this paper investigates the sustainability of China's investment and export‐driven growth model. Since the turn of the millennium, buoyant capital inflows and low interest rates have been at the root of overinvestment and misallocation of capital, which necessitated export subsidies to clear markets. The overinvestment boom is argued to have ended around 2014. Since then, the overcapacities have weakened China's bargaining position in the US–Chinese trade conflict and have tempted Chinese authorities to postpone the restructuring of the Chinese economy by providing low‐interest credit. The gradual reemergence of quasi‐soft budget constraints is seen to undermine China's long‐term growth potential.     

Computing optimal rebalance frequency for log-optimal portfolios

Log-optimal investment portfolio is deemed to be impractical and cost-prohibitive due to inherent need for continuous rebalancing and significant overhead of trading cost. We study the question of how often a log-optimal portfolio should be rebalanced for any given finite investment horizon. We develop an analytical framework to compute the expected log of portfolio growth when a given discrete-time periodic rebalance frequency is used. For a certain class of portfolio assets, we compute the optimal rebalance frequency. We show that it is possible to improve investor log utility using this quasi-passive or hybrid rebalancing strategy. Simulation studies show that an investor shall gain significantly by rebalancing periodically in discrete time, overcoming the limitations of continuous rebalancing.     

后危机时代世界经济再平衡及其挑战

基于对世界经济失衡问题的基本判断,本文分析了世界经济相对均衡发展的图景、全球经济的需求结构、虚拟经济与实体经济适度发展以及国际货币体系重构等世界经济再平衡过程中必须面对的突出问题。本文指出,世界各国尤其是中美等主要经济体的国内均衡将是实现世界经济再平衡的前提和基础。本文最后探讨了美国、日欧、石油出口国与中国等国家的经济发展模式转变及其面临的挑战。     

Basis risk in static versus dynamic longevity-risk hedging

This paper provides a tractable, parsimonious model for assessing basis risk in longevity and its effect on the hedging strategies of Pension Funds and annuity providers. Basis risk is captured by a single parameter, that measures the co-movement between the portfolio and the reference population’s longevity. The paper sets out the static, full and customized swap-hedge for an annuity, and compares it with a dynamic, partial, and index-based hedge. We calibrate our model to the UK and Scottish populations. The effectiveness of static versus dynamic strategies depends on the rebalancing frequency of the second, on the relative costs, and on basis risk, which does not affect fully-customized, static hedges. We show that appropriately calibrated dynamic hedging strategies can still be reasonably effective, even at low rebalancing frequencies.     

Analytical solutions of optimal portfolio rebalancing

We study optimal portfolio rebalancing in a mean-variance type framework and present new analytical results for the general case of multiple risky assets. We first derive the equation of the no-trade region, and then provide analytical solutions and conditions for the optimal portfolio under several simplifying yet important models of asset covariance matrix: uncorrelated returns, same non-zero pairwise correlation, and a one-factor model. In some cases, the analytical conditions involve one or two parameters whose values are determined by combinatorial, rather than numerical, algorithms. Our results provide useful and interesting insights on portfolio rebalancing, and sharpen our understanding of the optimal portfolio.     

Who gains and who loses on stock markets? Risk preferences and timing matter

This paper uses an agent-based multi-asset model to examine the effect of risk preferences and optimal rebalancing frequency on performance measures while tracking profit and risk-adjusted return. We focus on the evolution of portfolios managed by heterogeneous mean-variance optimizers with a quadratic utility function under different market conditions. We show that patient and risk-averse agents are able to outperform aggressive risk-takers in the long-run. Our findings also suggest that the trading frequency determined by the optimal tolerance for the deviation from portfolio targets should be derived from a tradeoff between rebalancing benefits and rebalancing costs. In a relatively calm market, the absolute range of 6% to 8% and the complete-way back rebalancing technique outperforms others. During particular turbulent periods, however, none of the existing rebalancing techniques improves tax-adjusted profits and risk-adjusted returns simultaneously.