最小风险组合证券非负投资比例系数的确定

研究非负投资比例系数约束条件下,实现风险最小化的组合证券投资问题.应用罚函数法,对最小风险组合证券的非负投资比例系数进行研究.实例表明:这一方法是可行的、有效的.     

Detecting and Analyzing Politically-Themed Stocks Using Text Mining Techniques and Transfer Entropy—Focus on the Republic of Korea’s Case

Politically-themed stocks mainly refer to stocks that benefit from the policies of politicians. This study gave the empirical analysis of the politically-themed stocks in the Republic of Korea and constructed politically-themed stock networks based on the Republic of Korea’s politically-themed stocks, derived mainly from politicians. To select politically-themed stocks, we calculated the daily politician sentiment index (PSI), which means politicians’ daily reputation using politicians’ search volume data and sentiment analysis results from politician-related text data. Additionally, we selected politically-themed stock candidates from politician-related search volume data. To measure causal relationships, we adopted entropy-based measures. We determined politically-themed stocks based on causal relationships from the rates of change of the PSI to their abnormal returns. To illustrate causal relationships between politically-themed stocks, we constructed politically-themed stock networks based on causal relationships using entropy-based approaches. Moreover, we experimented using politically-themed stocks in real-world situations from the schematized networks, focusing on politically-themed stock networks’ dynamic changes. We verified that the investment strategy using the PSI and politically-themed stocks that we selected could benchmark the main stock market indices such as the KOSPI and KOSDAQ around political events.     

Input/output selection in DEA under expert information,with application to financial markets

Data envelopment analysis (DEA), as generally used, assumes precise knowledge regarding which variables are inputs and outputs; however, in many applications, there exists only partial knowledge. This paper presents a new methodology for selecting input/output variables endogenously to the DEA model in the presence of partial (or expert’s) knowledge by employing a reward variable observed exogenous to the operation of the DMUs. The reward is an allocation of a limited resource by an external agency, e.g. capital allocation by a market, based on the perceived internal managerial efficiencies. We present an iterative two-stage optimization model which addresses the benefit of possibly violating the expert information to determine an optimal internal performance evaluation of the DMUs for maximizing its correlation with the reward metric. Theoretical properties of the model are analyzed and statistical significance tests are developed for the marginal value of expert violation. The methodology is applied in Fundamental Analysis of publicly-traded firms, using quarterly financial data, to determine an optimized DEA-based fundamental strength indicator. More than 800 firms covering all major sectors of the US stock market are used in the empirical evaluation of the model. The firms so-screened by the model are used within out-of-sample mean-variance long-portfolio allocation to demonstrate the superiority of the methodology as an investment decision tool.     

台商投资大陆区位选择影响因素的实证分析

台商对大陆投资区位选择受地区市场因素、集聚因素、劳动力因素及基础设施基本政策等因素的影响.研究利用1995年至2007年台商投资区位选择的面板数据,首先验证了台商投资区位选择受到经济规模、区域开放程度、台商集聚度、劳动成本等关键因素的影响;并在此基础上,采用变系数面板数据模型重点分析了影响因素的时变特征.主要结论包括:外贸依存度指标的变化表现了台商投资由向外出口产品的模式逐渐转向在国内市场销售的模式;区域资金配套能力表明台商企业近些年呈现了对当地资金配套的需求;集聚因素影响显著性极高,说明台资企业的集聚现象非常显著,这与当前实际发展情况相似;劳动力因素结果说明台商对于劳动力的关注已从劳动力成本向劳动力质量转变等等.这些因素的时变特征,对台商投资大陆区位选择的行为是具有较强的解释力度.     

The periodic risk model with investment

We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model and is constant over time. Thus maximizing the adjustment coefficient is a very weak optimization criterion.     

基于模糊集合论的实物期权定价方法

实物期权的定价在风险投资决策过程中具有重要意义.传统的实物期权定价方法忽略标的资产价值和投资成本的模糊性,从而可能导致错误的投资决策.本文主要研究了具有模糊标的的资产价值和投资成本情形时的实物期权定价模型.文中将这些模糊因素分别视为模糊数和模糊变量,然后运用模糊集合论,结合B-S期权定价理论,对实物期权进行定价,得到了基于模糊集合论的实物期权定价模型.     

Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control

This paper presents a method for solving multiperiod investment models with downside risk control characterized by the portfolio’s worst outcome. The stochastic programming problem is decomposed into two subproblems: a nonlinear optimization model identifying the optimal terminal wealth distribution and a stochastic linear programming model replicating the identified optimal portfolio wealth. The replicating portfolio coincides with the optimal solution to the investor’s problem if the market is frictionless. The multiperiod stochastic linear programming model tests for the absence of arbitrage opportunities and its dual feasible solutions generate all risk neutral probability measures. When there are constraints such as liquidity or position requirements, the method yields approximate portfolio policies by minimizing the initial cost of the replication portfolio. A numerical example illustrates the difference between the replicating result and the optimal unconstrained portfolio.     

Contrarian investment strategy with data envelopment analysis concept

One of the typical issues in financial literature is that the market tends to be overly pessimistic about value stocks, many of which are past losers. Therefore, over-reactions might capture by measuring earnings surprise vary with past return levels. In this paper, we propose a new index for an effective investment strategy to capture the return-reversal effect using both Data Envelopment Analysis (DEA) and Inverted DEA in order to consider the above characteristics of the market. Our investment strategy using the new index exhibits better performance than the naive return-reversal strategy that only uses past returns or earnings surprise. In addition, the correlations between our new index and commonly used value indices are insignificant, and the value indices cannot represent the over-valued (under-valued) situations perfectly. Hence, considering both proposed and value indices like book-to-price one, we could select value stocks more effectively than by using only one of these indices.     

Estimation of investment project profitability in the modified Cantor-Lipman model

The profitability of investment projects in the modified Cantor-Lipman model is analyzed. The possibility of making lower estimates of the investment project profitability by searching for periodic trajectories is studied. The necessary and sufficient conditions for the existence of a trajectory with the period 2 are derived. The sufficient conditions ensuring the existence of a certain trajectory with the period 2 are derived in the form of explicit requirements on the investment project structure.     

基金与基金组合投资

本根据组合证券投资理论了基金的投资原理,建立了基金管理决策模型与基金组合投资决策模型,并进行了静态分析和动态分析。