Options on constant proportion portfolio insurance with guaranteed minimum equity exposure

In the present paper we study a new exotic option offering participation in a dynamic asset allocation strategy, which is an extension of the well‐known Constant Proportion Portfolio Insurance (CPPI) strategy. Our novel approach consists in assuming that the percentage of wealth invested in stocks cannot go under a fixed level, called guaranteed minimum equity exposure (GMEE). In particular, our proposal ensures to overcome the so‐called cash‐in risk, typically related to a standard CPPI technique, simultaneously guaranteeing the equity market participation. We look deeper into the valuation of call and put options linked to this new CPPI‐GMEE strategy. A particular attention is devoted to the analysis of key parameters' value as to gain a better understanding of the sensitivities of the option prices, when changing, for example, the embedded guarantee level. To show the effectiveness of our proposal we provide a detailed computational analysis within the Heston‐Vasicek framework, numerically comparing the evaluation of the price of European plain vanilla options when the underlying is either a purely risky asset, a standard CPPI portfolio and a CPPI with GMEE.     

An optimal investment strategy in bank management

This paper considers the application of stochastic optimization theory to asset and capital adequacy management in banking. The Basel II Capital Accord lays down regulations to control bank behaviour, and relies on regulatory ratios such as the capital adequacy ratio (CAR). In an attempt to address the problem of compliance to minimum CAR and under assumptions about retained earnings, loan‐loss reserves, the market and shareholder‐bank owner relationships, we construct a continuous‐time model of the Basel II CAR which is computed from the total risk‐weighted assets (TRWAs) and bank capital in a stochastic setting. In particular, we derive an optimal equity allocation strategy for the bank and monitor the performance of the Basel II CAR under the allocation strategy. Copyright © 2011 John Wiley & Sons, Ltd.     

Students' gendered perceptions of mathematics in middle grades single‐sex and coeducational classrooms

With the introduction of single‐sex classroom settings in coeducational public schools, there is an ongoing debate as to whether single‐sex education may reduce or reinforce traditional stereotypes and gender roles. In this article we present findings from a study that investigated the extent to which mathematics is perceived as a gendered domain among adolescent students enrolled in single‐sex classes and coeducational classes. Further we analyzed the relationships between student characteristics, class‐type, and teacher variables on students' perceptions of gender in mathematics. Findings from this study challenge the traditional view of mathematics as a male domain. Female participants more frequently considered mathematics to be a female domain than the male participants. Male participants, on the other hand, typically did not stereotype the mathematics as a gendered domain. Results from this study do not indicate, for girls at least, that participation in single‐sex classes results in a greater propensity to stereotype mathematics as a gendered domain than would be the case in coeducational classes. This study contributes to the evolving discourse and understanding of adolescents' gendered attitudes and beliefs towards mathematics—especially in light of stereotyped assertions that have a bearing on efforts to promote the learning of mathematics and science.     

高管个人特征对股权激励模式选择的影响研究

上市公司股权激励模式的选择问题一直受社会各界关注。本文利用2006年到2017年期间实施股权激励的上市公司数据,研究了高管个人特征如何对股权激励模式的选择产生影响。结果表明,被激励高管的个人特征如高管年龄、任期、学历与社会资本显著影响公司股权激励模式的选择,年龄越大、任期越久、学历越高、社会资本越丰富的高管,公司更倾向选择限制性股票激励模式;男性高管越多的公司,越倾向选择股票期权激励模式,然而性别对其影响并不显著。本文在经过一系列的稳健性和内生性检验后,研究结论依然成立。本文研究结果丰富了股权激励相关理论,并为上市公司科学合理地选择股权激励模式提供参考。     

基于序关系的竞赛评委评价方法

在特定的一种基于“平均分”的竞赛评阅方案下,对评委的阅卷水平、公正性进行分析,提出若干仅依赖于原始打分数据的量化指标,强调了序关系的重要性,可以较为准确的评价各个评委的水平和公正性.最后,对原评阅方案的优缺点进行定性讨论.     

基于信息不对称考量的我国上市公司融资优序及探因

资本结构啄序理论认为,为了减少信息不对称导致的股权价值低估所引起的投资不足等问题,公司的融资优序应为内部融资—债务融资—股权融资。基于有序probit模型和似然比检验的实证结果表明,我国上市公司的融资优序表现为内部融资-股权融资-债务融资,资本成本在这种融资优序中所起的作用大于信息不对称的不利影响。     

Informed aspirations in science and engineering with upper elementary students after 1 year of a STEM intensive university-school district partnership

This article reports findings from a study of an integrated science, technology, engineering, and mathematics (STEM) education program on student interest and awareness in science and engineering. The analysis features grade 3–5 students from a high-poverty, urban school system in the Mid-Atlantic region. Through the quantitative analysis of closed ended survey responses and the qualitative analysis of an open-ended query, we describe how the adoption of an intensive STEM-focused partnership could influence students’ early interest in and awareness of science and engineering as disciplines and careers. The analysis of the student responses revealed that after 1 year of the project, the students enrolled in the program demonstrated developing interest in science and engineering and were better able to articulate a greater understanding of engineering as a discipline. These findings have implications for the effectiveness of an integrated STEM approach for upper elementary students participating and succeeding in the STEM fields.     

Conservation science and technology identity instrument: Empirically measuring STEM identities in informal science learning programs

Our research centered on developing the Conservation Science and Technology Identity (CSTI) instruments as an empirical way to measure STEM identities and the intersection of identity constructs such as competence, performance, recognition, and ways of seeing and being. The surveys were used in a large funded multi-year project for teens and adults learning geospatial technologies and conservation science to use in intergenerational community conservation projects. We investigated whether an informal STEM learning program was developing new STEM identities or advancing well-developed identities. The instruments’ content validity was determined through a vetting process from national STEM identity research experts. Reliability was estimated with Cronbach coefficient alpha. Mann-Whitney and Wilcoxon Signed Rank tests were used to determine participants’ STEM identities and the workshop’s effect on specific identity constructs. We found teens and adults had historically similar STEM identities, with stronger conservation science than technology. Both science and technology competences, as well as technology ways of seeing and being, significantly increased, suggesting CSTI can be a valuable instrument in empirically assessing STEM identities.     

决策层背景多样性何以影响企业技术创新投资导向？——股权结构的调节效应检验

本文以深圳证券交易所2013~2017年创业板313家上市企业为样本,实证分析了决策层背景多样性对企业技术创新投资导向的影响以及股权结构(股权集中度和股权制衡度)的调节效应。研究表明:决策层背景多样性的三个分维度(决策层受教育程度、行业经验和任职经历的技术性背景)均对企业技术创新投资导向有显著正影响;股权集中度对决策层行业经验和任职经历的技术性背景均有显著负影响;股权集中度在决策层背景多样性与企业技术创新投资导向之间有负向调节效应;股权制衡度在决策层背景多样性与企业技术创新投资导向之间有正向调节效应。研究结论对于企业在股权结构优化、决策层建设以及技术创新投资导向的设计等方面具有积极的借鉴意义和启示。     

金融控股集团内部风险传染研究

金融控股集团特有的经济关系形成集团内部错综复杂的经济网络,本文基于集团内部的股权结构和关联交易形成有向网络,构建金融控股集团内部风险传染的模型。研究结果表明:持股对手数量超过某一临界值时,风险被集团成员共同分担,成员仅需承担较小的破产成本,集团稳定;持股对手数量固定时,集团内部风险传染情况与持股比重之间不存在单调关系。集团在持股对手数量和持股比重之间存在权衡,以此减小集团内部风险传播的可能性。此外,当集团成员爆发危机后,关联交易将增大集团成员的损失,从而扩大风险以及风险传播范围。本文为金融控股集团股权分配和关联交易规模提供了理论指导。