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151.
基于Black-Litterman框架的资产配置策略研究 总被引:1,自引:0,他引:1
本文基于Black-Litterman框架提出了中国股票市场投资中行业间资产配置的策略。因为宏观经济指标对于股票收益率有一定的解释能力,本文通过宏观经济变量对收益率序列建模并且用GJR-GARCH模型捕捉资产收益率变化的特征,得出的预测资产收益率及其方差作为Black-Litterman框架下的输入。最后通过实证结果表明,基于这种策略构建的投资组合收益率在一定条件下会优于基于市场均衡权重或者传统Markowitz框架下的投资策略。 相似文献
152.
Oliver Grothe 《Physica A》2010,389(7):1455-2045
Student’s t-distributions are widely used in financial studies as heavy-tailed alternatives to normal distributions. As these distributions are not closed under convolution, there exist no Lévy processes with Student’s t-marginals at all points in time. In this article we show that a Student’s t-approximation of these marginals is still suitable, while not exact. Using this approximation, we are able to describe the scaling behavior of such Lévy-Student processes and the parameters of its marginal distributions by a simple analytical scaling law. This scaling law drastically simplifies the use of Lévy-Student processes as a general diffusion process in various interdisciplinary applications. We explicitly provide an application in the context of modelling high-frequency price returns. 相似文献
153.
Motivated by the computation of equilibria in economic models with incomplete asset markets, a cellation of the Grassmann
manifold is constructed by restricting a common atlas. The Grassmann manifold ofm-planes inn-dimensional space is shown to be a union ofn choosem congruentm(n−m)-dimensional topological disks whose interiors are disjoint. 相似文献
154.
Martin Schulz 《Computational & Mathematical Organization Theory》1998,4(3):241-266
The phenomenon of obsolescence has found little attention in past research on organizational change. Most research on organizational
change has instead been concerned with the opposite of obsolescence, that is, with mechanisms which render organizational
structures increasingly persistent. However, everyday experience teaches that organizational structures become outdated as
surrounding conditions shift. This article explores obsolescence by means of mathematical modeling and empirical analysis.
Obsolescence is conceptualized as a result of flows of conditions in, out, and between two states: consistent conditions and
inconsistent conditions. The model predicts that the obsoleteness curve rises with decreasing increments over time. This is
tested with empirical data on organizational rule change. The results confirm the obsolescence model.
This revised version was published online in August 2006 with corrections to the Cover Date. 相似文献
155.
156.
李国安 《宁波大学学报(理工版)》1996,(2)
用严格的数学推导揭示了还原利率与使用权年限之间存在的关系。设qi(i=1,2,…,n,…)为i年期的存款利率,设pi(i=1,…,n,…)表示使用权年限为i年的无风险还原利率,在可允许性条件q1<q2≤…≤qn≤…,在其他条件都相等的情况下,成立严格的不等式:p1<p2<…<pn<…,其中pn是方程在区间(p(n-1),qn)上的唯一解。这里,p1=q1,(n=1,2,…)。应用到中国现阶段的土地估价及其他资产估价方面,得到一些有意义的结果:①导出了有限年期资产评估时折现率(还原利率)确定的一般化公式;②证明了土地使用权年限大于一年的土地还原利率必须严格大于一年期存款利率;③证明了剩余使用年限土地使用权价格评估时所选取的土地还原率rm严格小于法定最高年限土地使用权价格评估时用的还原利率rn;④导出了每年末付息,到期还本,期限为n年的债券的发行价格计算的一般公式;⑤导出了每年末付息,到期还本,期限为n年的债券在以收益折现原则下的评估价格计算的一般公式。 相似文献
157.
158.
张顺明 《高校应用数学学报(英文版)》2001,16(2):203-218
Abstract. This paper examines the existence of general equilibrium in a discrete time economywith the infinite horizon incomplete markets. There is a single good at each node in the eventtree. The existence of general equilibrium for the infinite horizon economy is proved by takinglimit of equilibria in truncated economies in which trade stops at a sequence of dates. 相似文献
159.
资产剥离会通过改变在位资产的构成而影响总资产风险收益特征。区别于已有研究将资产剥离看作看跌期权的通常做法,本文考虑企业剥离非核心资产并将资源重新聚焦于核心资产的一般情形,将资产剥离决策视作一种交换期权。运用实物期权方法和定价核技术,本文在连续时间框架下分析了资产剥离影响资产风险溢价的理论机理,并利用沪深A股上市公司数据进行实证检验。研究结果表明:资产剥离对资产风险溢价的影响方向取决于非核心和核心两类资产风险溢价的相对大小,影响程度则由两类资产价值占比的差异和交换期权的价值占比共同决定;进一步,等待剥离的决策灵活性会削弱资产剥离的影响;年轻阶段的资产剥离更加可能对风险溢价具有提升作用。 相似文献
160.
We consider optimal asset allocation for an investor saving for retirement. The portfolio contains a bond index and a stock index. We use multi-period criteria and explore two types of strategies: deterministic strategies are based only on the time remaining until the anticipated retirement date, while adaptive strategies also consider the investor’s accumulated wealth. The vast majority of financial products designed for retirement saving use deterministic strategies (e.g., target date funds). In the deterministic case, we determine an optimal open loop control using mean-variance criteria. In the adaptive case, we use time consistent mean-variance and quadratic shortfall objectives. Tests based on both a synthetic market where the stock index is modelled by a jump-diffusion process and also on bootstrap resampling of long-term historical data show that the optimal adaptive strategies significantly outperform the optimal deterministic strategy. This suggests that investors are not being well served by the strategies currently dominating the marketplace. 相似文献