中证开放式基金指数和GARCH-M模型

基于开放式基金指数周收益率时间序列的非正态性和厚尾特性,以中证开放式基金指数为例,运用GARCH-M模型进行研究,系统地分析我国不同类型的开放式基金的投资风险.实证分析表明:GARCH-M模型对中证开放式基金指数周收益率的拟合效果较好,并为预测我国开放式基金的投资风险提供了科学依据.     

Data envelopment analysis models of investment funds

This paper develops theory missing in the sizable literature that uses data envelopment analysis to construct return-risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks, and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification, coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference using monthly returns of 30 hedge funds over the same time period. It discusses possible shortcomings of the procedure and offers directions for future research.     

基于半参数多元Copula-GARCH模型的开放式基金投资组合风险分析

利用Copula技术对我国开放式基金市场的投资组合进行了风险分析。为克服传统Copula模型对金融尾部数据刻画能力的不足,建立了半参数的多元Copula-GARCH模型,灵活地对各支基金的边缘分布进行拟合,刻画了开放式基金投资组合的相依结构。并利用基于Copula技术的蒙特卡洛模拟,对投资组合进行了VaR分析,结果证实了所建立模型的可行性和有效性。     

自然灾害恢复重建的联盟博弈分析

自然灾害恢复重建的关键之一,是救济基金的筹集.论文基于联盟博弈的理论分析了国家财政拨款、地方财政拨款、红十字会等社会机构募捐三条途径,对国家财政、地方财政、社会募捐机构三方, 应筹集救济基金的比例进行了论证.使全社会对恢复重建救济基金筹集的满意度最大.     

Handling of Environmental and Biological Samples via Pre-Column Technologies

Abstract

Sample handling is still a weak point in chromatography and in analytical chemisty in general. One consideration is the automation potential of new procedures. Solid-liquid extraction techniques in combination with pre-column technology are particularly promising in this regards. The construction and geometry of pre-columns both for conventional and narrow-bore HPLC are of major importance, since band broadening should be kept at a minimum for an optimal functioning of the analytical system. The various operations that can be carried out with such a pre-column are trace-enrichment, clean-up of the sample which depends on the type of adsorbents used in the precolumn, i.e., polar or apolar materials, ion exchangers or metal covered surfaces, etc., protection of the analytical column, field sampling and storage of samples and as a substrate for on-column chemical derivatizations. These various operations are demonstrated with practical examples from the fields of environmental and biological analysis. The selectivity can be further enhanced by coupling precolumn technology with selective detection modes such as diode array UV, electrochemical or fluorescence detection. This enables the construction of optimal and integrated analysis sytems which are fully automated and microprocessor controlled. They can also be made compatible with miniaturized LC-technology.     

自然科学基金资助计划和支出预算的平衡

在政府推进部门预算制度和财政拨款管理制度改革的大环境下,国家自然科学基金逐渐采用预算管理制度,因此需要平衡资助计划和支出预算．本文在建立科学基金计划和预算的协调模型中,提出计划批准对年度支出敏感度的概念,设计了对经费使用的计划和支出纵横两维拨付的动态监控方法．并且通过模型的计算,可以快速给出综合考虑资助计划发展和使用经费有效两个方面因素的多种方案,供决策者参考．     

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. JEL: G23, G11 MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20     

基于期权思想的封闭式基金管理费率的设计研究

针对目前我国证券投资基金单一的管理费率结构,以封闭式基金为研究对象,根据基金投资者的需求不同提出了在不同收益率目标下的管理费率结构,并借用B-S期权定价模型,计算出封闭式基金的管理费率.     

基于POT方法的极值理论在基金净值预测中的应用

为对基金净值数据进行建模,根据基金净值样本数据的尾部特点,建立极大,极小值分布的GPD模型,运用POT方法确定临界值,进而对参数进行估计,并对模型进行检验.最后,运用建立的模型对一些极值点进行预测.所得结果很好地描述了数据特点,对极值点的预测符合实际.