探索企业生命力

在上期《关注过程评价财富》一文中,我们通过分析得出了评价财富增长的公式,即将增长速度及速度稳定性进行加权。本文将进一步论证：财富增长评价公式和活力评价公式是一致的,财富增长能力的评价就是财富的活力评价。     

企业上市三步曲

上市,近年来成为一个非常热门的话题,因为从这里走出了许多身家亿万的富豪,缔造了一个个财富神话。从上市前后的财富对比我们不难发现,上市对于股东个人财富倍数增长有着极大的加成作用,近年来企业控制人上市前后的财富增长倍数基本在10倍左右,甚至更高。荣信股份的实际控制人上市后个人财富就增长了24-38倍。从新财富500富人排行榜中更不难看出,许多富豪的财富增长轨迹与IPO密不可分。     

把握市场节奏——专访北京恒天财富投资管理有限公司研究中心总经理姜丕军

姜丕军是从证券公司转到第三方财富管理机构的,在转身之初,他并没有预计到第三方财富管理机构会像现在这样发展得如火如荼,存在着无可限量的发展空间。事实上,脱胎于中融信托北京第一财富中心的北京恒天财富投资管理有限公司（简称恒天财富）近期发布消息称年度服务资产规模突破400亿元,同比业绩已经翻倍,目前理财累计规模已达到了1500亿元。     

基于CCAPM框架的财富不平等与房价关系研究

运用含有房屋的CCAPM模型,在同时考虑房屋的消费属性与投资属性基础上分析了财富(或收入)分配对房价的影响;并通过数值模拟解释了我国房价高企的根源.结论表明,我国房价高企是财富分配不均所致,财富不均等程度加剧致使房屋从消费属性向投资属性转变进而推高了房价.文章也分析了财富分配对居民消费结构的影响,财富分配不均等程度加剧使得贫穷阶层的房屋消费比重下降而富裕阶层的投资性购房比重增加,进而拉高房价.文章最后指出,要调控我国当前房地产市场价格,必须从财富(或收入)分配入手,明晰产权.     

开环策略下多阶段均值-方差投资组合优化研究

首先研究开环策略下不同财富动态过程的多阶段均值-方差投资组合优化模型,讨论它们的实际意义和计算方法,其中投资比例财富动态过程模型为高度非线性非凸数学规划.进一步研究投资比例财富动态过程模型实际计算问题,并且通过构造辅助模型,给出投资比例两阶段模型的全局解求解方法并通过数值算例和仿真说明该方法的有效性和准确性.最后通过数值算例比较不同财富动态过程在开环策略下和闭环策略下前沿面的关系,结果表明在闭环策略下三种财富过程等价,但是在开环策略下资产财富模型的前沿面最高、资产调整模型的前沿面次之、投资比例多阶段模型的前沿面最低.     

用银行管理企业资产

资产管理,是指委托人将自己的资产交给受托人、由受托人为委托人提供理财服务的行为。后金融危机时代,中国财富与资产管理市场的发展空间巨大,如何有效把握财富与资产管理的机会,提高财富与资产管理的效率,挖掘财富与资产管理的市场潜力,已成为业界普遍关注的话题。而由北京国家会计学院主办的“企业资产管理论坛”,就为企业界、财富与资产管理机构、监管层、专家学者提供了一个前沿、高端、务实的探讨与对话平台。认识中国工商银行北京分行资金部副总经理张耿力,就是在这个论坛上。     

家庭财富是否有助于实现可持续共享?

为实现可持续共享,提高人们获取收入的能力则显得尤为重要,这种提高跨时间跨代际。而家庭财富转移的直接和间接效应是提高这种能力最直接的举措之一。针对家庭财富转移的直接和间接效应,通过构建对数线性模型及其扩展模型和累积Logit模型展开实证分析,结果表明:我国代际收入流动的主要模式为子代收入等级对父代收入等级的继承,以及"向上"或"向下"对称的异质性流动;家庭财富为不同收入水平间的相对距离和可渗透性带来一定的帮助;家庭财富过高,不利于实现全面的可持续共享;在可接受的范围内提升家庭财富存量,有助于加大收入底层向上层流动的机会;家庭财富的增加,有助于收入底层人群子代可持续共享水平大幅提升。     

激励机制和VaR约束下的DC养老金计划的最优投资

研究了DC养老金经理在单一管理费以及混合收费(同时收取管理费与绩效费)这两种不同的薪酬机制和损失厌恶下的最优投资组合问题。利用凹化方法得到了存在终端财富约束下的最优财富过程和最优投资策略的解析表达式。数值结果表明损失厌恶,VaR约束和薪酬机制会极大地影响最优终端财富的分布。特别地,在决策参照点较高时,损失厌恶会导致混合薪酬机制下最优终端财富的尾部风险较低。     

关注过程 评价财富

实现财富增长，是公司理财的目标。现有的公司评价项目更多关注财富增长的结果，而我们认为，过程应该比结果更重要。《新理财》推出活力评价体系，旨在对中国公司现有财富和发展前景做出更加全面的评判。     

我国房地产财富效应分析——基于非平稳面板计量

90年代住房商品化改革以来,我国房地产市场迅速发展.十二五规划明确提出要提高我国居民消费率.研究房地产市场的财富效应为我国房地产市场政策调控提供有效的参考,具有重要的现实意义.在对我国房地产财富效应传导机制进行研究的基础上,利用2003-2011年我国3个省市自治区的季度面板数据,采用非平稳面板计量方法对我国房地产市场财富效应进行了分析.研究结果表明:我国房地产财富效应存在明显的地区性差异.房地产市场调控政策应当实行有针对性的差异化调控.     

Less is more: Increasing retirement gains by using an upside terminal wealth constraint

We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement.By constraining the investor to have no more than the target wealth at retirement, we find that the lower quantiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth is eliminated.     

Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint

In this article, we analyze the optimal consumption and investment policy of an agent who has a quadratic felicity function and faces a subsistence consumption constraint. The agent's optimal investment in the risky asset increases linearly for low wealth levels. Risk taking continues to increase at a decreasing rate for wealth levels higher than subsistence wealth until it hits a maximum at a certain wealth level, and declines for wealth levels above this threshold. Further, the agent has a bliss level of consumption, since if an agent consumes more than this level she will suffer utility loss. Eventually her risk taking becomes zero at a wealth level which supports her bliss consumption.     

A dynamic model of the distribution of wealth among households and nations

Stiglitz once showed that, in general, aggregate wealth is asymptotically uniformally distributed among individuals. However, in his formulation household saving is not the outcome of utility maximization over time. Constructing a simple dynamic general equilibrium model in which household saving is choice-theoretically determined, we show that given initial holdings of wealth there is a unique and stable steady state distribution of wealth and that the distribution of wealth becomes more even (resp. uneven) as time goes by if the total wealth is initially greater (resp. smaller) than its steady state level. We also study the response of the steady state equilibrium to the changes in initial distribution of wealth and the rate of time preference, and to several types of technological improvements.     

The participation puzzle with reference-dependent expected utility preferences

Expected utility theory with a smooth utility function predicts that, when allocating wealth between a risky and a riskless asset, investors allocate a positive amount to the risky asset whenever its expected return exceeds the riskless rate of return. A large number of people invest none of their wealth in risky assets, though, leading to the ”participation puzzle.” This paper explores whether the participation puzzle can be addressed when the utility function has a kink at the reference wealth level. It shows that when the reference wealth level is initial wealth increased by the riskless rate of return, there exists a range of expected excess returns for the risky asset for which the investor takes no position. Moreover, this range of expected excess returns is described by comparing a common performance measure of stock returns, the Omega Function, to a function of preference parameters. However, if the reference wealth level is any other constant, the usual expected utility prediction holds and investors allocate at least some of their wealth to the risky asset whenever it has a positive expected excess return.     

Convergence to an exponential wealth distribution in a random market model

We study the discrete-time model of López-Ruiz, López and Calbet, describing the evolution of a wealth distribution under random pairwise exchanges of wealth among agents. This requires the analysis of the behaviour of iterations of a non-linear operator defined on a space of probability distributions. We prove that, as conjectured by López-Ruiz, López and Calbet, starting from a general wealth distribution, the wealth distribution converges to the exponential equilibrium distribution. The proof employs a special metric defined on spaces of probability distributions through their Laplace transforms.     

Relative deprivation as a cause of risky behaviors

ABSTRACT

Combining a standard measure of concern about low relative wealth and a standard measure of relative risk aversion leads to a novel explanation of variation in risk-taking behavior identified and documented by social psychologists and economists. We obtain two results: (1) Holding individual i’s wealth and his rank in the wealth distribution constant, the individual’s relative risk aversion decreases when he becomes more relatively deprived as a result of an increase in the average wealth of the individuals who are wealthier than he is. (2) If relative deprivation enters the individual’s utility function approximately linearly then, holding constant individual i’s wealth and the average wealth of the individuals who are wealthier than he is, the individual’s relative risk aversion decreases when he becomes more relatively deprived as a result of a decline in his rank. Our findings provide a theoretical support for evidence about the propensity of relatively deprived individuals to gamble and resort to other risky behaviors.     

Dual method for continuous-time Markowitz's problems with nonlinear wealth equations

Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal wealth and portfolio is the solution of a forward-backward stochastic differential equation with constraints.     

Characterizing demand functions with price dependent income

We consider the demand function of consumer whose wealth depends on prices. This extends the two traditional cases when the consumer holds a goods bundle, so that his wealth depends linearly on prices, and when his wealth is prescribed, independently of prices. We extend the Slutsky relations to this general case, and we show that they fully characterize the demand functions, as in the traditional cases.