跳扩散环境下考虑红利支付的动态资产配置问题研究

研究资产价格带跳环境下红利支付对投资者资产配置的影响,投资者将其财富在风险资产和无风险资产中进行分配,在终端财富预期效用最大化标准下,利用动态规划原理建立的HJB方程推导最优配置策略,并得到最优动态资产配置策略的近似解.最后通过数值模拟,分析了跳和红利支付对投资者最优配置策略的影响.结果表明在跳发生的情况下,不管跳的大小和方向如何,投资者都会减少其在风险资产中的配置头寸,同时带有红利支付的资产比不带红利支付的资产对投资者更具吸引力.     

Optimal Selling of an Asset with Jumps Under Incomplete Information

ABSTRACT

We study the optimal liquidation strategy of an asset with price process satisfying a jump diffusion model with unknown jump intensity. It is assumed that the intensity takes one of two given values, and we have an initial estimate for the probability of both of them. As time goes by, by observing the price fluctuations, we can thus update our beliefs about the probabilities for the intensity distribution. We formulate an optimal stopping problem describing the optimal liquidation problem. It is shown that the optimal strategy is to liquidate the first time the point process falls below (goes above) a certain time-dependent boundary.     

我国上市公司审计费用率模型研究

通过研究2001年、2002年我国证券市场A股年度财务报告审计费用、审计费用率得出:年报审计费用与资产规模显著正相关,审计费用率与资产规模显著负相关;资产规模对审计费用率的解释度在71%以上。建立的审计费用率与资产规模的关系模型ROF=αAsset-β,为物价部门制定审计服务价格提供了客观依据,也为证券监管部门、行业主管部门和学术界进行行业监管或审计独立性研究具有参考价值。     

基于神经网络的股票收益率预测研究

在金融领域的资产定价模型修正过程中,股市的非线性现象往往被选择性忽视,未纳入模型框架,现有模型亦无法刻画因子之间的非线性定价结构。为解决上述问题,引入了机器学习领域中的神经网络模型,以捕获市场组合收益率、市值、账面市值比三因子间的非线性定价结构,并对股票收益率进行预测。将该模型与经典Fama-French三因子模型在样本外拟合优度、多空策略业绩表现上做了对比,结果表明：神经网络模型能精准捕获市场组合收益率、市值、账面市值比3个因子之间的非线性关系,且在样本外拟合优度、多空策略业绩表现上均要优于传统三因子线性定价模型。     

有交易费的未定权益无套利定价区间

本文首先给出了有交易费资产模型下套利机会的定义,利用辅助鞅和资产折算函数等方法,讨论了该模型下未定权益无套利定价问题,得到的结果是有交易费的未定权益无套利定价区间.     

Product safety for a monopolist under strict liability

This paper views strict producer liability as essentially requiring the producer to provide a tie-in sale of full coverage insurance to its customers. The output and safety levels under strict producer liability are compared to those that would exist when the consumer retains all liability. The risk averseness of the producer and the availability of commercial liability coverage are shown to affect the producer's output and safety decision. In general, a shift from consumer to producer liability might not encourage the production of safer products, either with or without the availability of commercial liability insurance to the producer.     

Embedded options in commercial banking and their impact on asset liability management

Commercial bankers sell—more often give away—options to their clients like the prepayment facility attached to a mortgage or the right to obtain a credit at a prespecified interest rate which is associated in France with specific term deposits. This paper aims to present the financial consequences of these options from a microeconomic point of view and on the scale of the French banking system. We first example our valuation techniques and then analyse the impact on the balance sheet of a typical commercial bank, both in terms of value and sensitivity. Securitization is presented in this context as a way to monitor risk exposure. Finally the global impact of these embedded options in the French banking system is estimated and briefly discussed.     

吸湿预氧化对提质褐煤自燃倾向性的影响

为探究提质褐煤露天储存仍易自燃的规律和机制,选用自燃倾向性测定装置测定交叉点温度(CPT)等参数求得FCC,判定105-900℃提质褐煤在空气中吸湿预氧化前后的自燃倾向性变化;采用红外光谱仪、氮吸附仪、微量热仪等测定了各样品的化学结构变化、孔结构及吸湿性差异。结果表明,随提质温度的升高,提质新鲜样的自燃倾向性降低,但吸湿预氧化使200-500℃提质煤的自燃倾向性比其新鲜样显著增加,甚至接近原煤。预氧化增加了表面氧元素含量和氧化活性基团数量;脂肪侧链、含氧官能团和(提质后产生的)新自由基等氧化活性基团的存在及比表面积的增大,共同强化了提质样品的预氧化和自燃。吸湿不仅产生润湿热进一步加深预氧化,而且吸湿程度越大的提质样品,其自燃倾向性增强越显著。