基于期权博弈的中国风电投资分析

本文运用期权博弈的思想建立模型,将风电特许权投资项目看作不完全信息下的抢滩博弈问题,讨论在现有的特许权机制下,引入碳排放交易机制对风电投资的影响。模型分析了在未来碳价格存在不确定性的情况下,风电投资竞价机制会对投资者的竞价行为会产生什么样的影响,投资者应如何确定自己的最优投标价格,其他竞标者的策略对竞标者的影响将如何体现以及不同因素变化时对投资者投资行为的影响。     

Non-separation in the mean–lower-partial-moment portfolio optimization problem

With a number of advantages, lower partial moments (LPM) serve as alternatives to variance as measures of portfolio risk. For two specific targets, a separation property holds in the context of mean–LPM portfolio optimization that allows investors to separate the decision about investment proportions among risky assets from the decision about how much to invest in risky versus risk-free assets. For other targets, however, separation is not guaranteed, and this case has not received much attention in the literature. We show in the case of non-separation that investment curves are not common to all optimizing investors, but that they are convex in (mean, LPM) space and their lower envelope is the efficient frontier. We consider the interesting behavior of investment curves and optimal risky portfolios. We also show empirically that an investor who mistakenly assumes separation holds will not experience significant excess portfolio risk in all practical cases.     

Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

In this paper, we consider the optimal consumption and investment strategies for households throughout their lifetime. Risks such as the illiquidity of assets, abrupt changes of market states, and lifetime uncertainty are considered. Taking the effects of heritage into account, investors are willing to limit their current consumption in exchange for greater wealth at their death, because they can take advantage of the higher expected returns of illiquid assets. Further, we model the liquidity risks in an illiquid market state by introducing frozen periods with uncertain lengths, during which investors cannot continuously rebalance their portfolios between different types of assets. In liquid market, investors can continuously remix their investment portfolios. In addition, a Markov regime-switching process is introduced to describe the changes in the market’s states. Jumps, classified as either moderate or severe, are jointly investigated with liquidity risks. Explicit forms of the optimal consumption and investment strategies are developed using the dynamic programming principle. Markov chain approximation methods are adopted to obtain the value function. Numerical examples demonstrate that the liquidity of assets and market states have significant effects on optimal consumption and investment strategies in various scenarios.     

考虑保守卖空与财务困境的背景风险投资组合模型

如何合理地考虑投资者所面临的背景风险及现实市场限制来进行有效地投资决策是人们所广泛关注的重要实际管理决策问题。本文研究投资者同时面临加性和乘性两类背景风险的前提下具有保守卖空与财务困境的投资组合选择问题。假定投资者寻求使得投资收益最大、投资风险最小及证券主体财务困境最小的最优投资组合策略,进而提出考虑保守卖空与财务困境的背景风险投资组合模型。然后,利用具有精英策略的非支配排序遗传算法对模型进行求解。最后,通过实例来阐述模型的实用性。研究结果表明：考虑保守卖空能为投资者提供更大的收益;两类背景风险的变化均导致有效前沿面的变化。     

风险收益不对等条件下中国对外直接投资合作模式的优化

针对对外直接投资所面临的资金短缺、进展不顺利的问题,在风险分担理论的基础上构建中国政府、东道国政府和社会资本的投资合作模型。目的在于设计出足够吸引社会资本投入,且保证中国对外直接投资顺利开展的风险分担模式。并通过数值模拟风险分担比例和利润分享比例对投资时机和投资价值的影响,证明了中国政府与社会资本间存在最优的风险分担比例,以及东道国政府与社会资本存在最优利润分享比例。     

R&;D Equilibrium Strategies with Surfers

A typical assumption in the game-theoretic literature on research and development (R&D) is that all firms belonging to the industry under investigation pursue R&D activities. In this paper, we assume that the industry is composed of two groups; the first (the investors) is made of firms that have R&D facilities and are involved in this type of activity. The second group corresponds to firms that are inactive in R&D (the surfers). The latter group benefits from its competitors’ R&D efforts, thanks to involuntary spillovers. This division of the industry is in line with actual practice, where indeed not all firms are engaged in costly and risky R&D. We adopt a two-stage game formalism where, in the first stage investors decide on their levels of investment in R&D, and in the second stage all firms compete à la Cournot in the product market. We characterize and analyze the unique subgame perfect Nash equilibrium. Research supported by NSERC, Canada. F. Ben Abdelaziz is on leave at The College of Engineering, American University of Sharjah, UAE.     

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.     

Loss aversion with multiple investment goals

This paper presents a time-continuous portfolio selection model with loss averse investors, who possess multiple investment goals at different time horizons. The model assumes partial narrow framing. Investors follow a two-step approach. First, they optimally allocate wealth among investment goals. Second, they determine an optimal investment strategy for each investment goal separately. We show that when loss aversion is according to the experimental findings, investors mainly invest their wealth to reach long-term goals and adopt investment strategies with high leverage to reach short-term goals. The overall strategy also display high leverage. The same patterns is observed when loss aversion is extreme and goals are very ambitious. By contrast, when loss aversion is extreme but goals are not too ambitious, investors mainly invest to reach short-term goals and adopt safe investment strategies for this purpose.     

Do investors like to diversify? A study of Markowitz preferences

We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined investors, whose investment strategies have been extensively investigated in the literature. In particular, we observe that for Markowitz investors, preferences toward risk vary depending on their sensitivities toward gains and losses. For example, it turns out that, unlike in the case of risk-averse and risk-inclined investors, Markowitz investors might prefer investing their entire wealth in just one asset. This finding helps us to better understand some financial anomalies and puzzles, such as the well known diversification puzzle, which notes that some investors tend to concentrate on investing in only a few assets instead of choosing the seemingly more attractive complete diversification.     

Interactive decisions and potential games

The aim of this contribution is an overview on Potential Games. This class of games is special, in fact we can investigate their properties by a unique function: the potential function. We consider several types of potential games: exact, ordinal, bayesian and hierarchical. Some results are generalized to multicriteria decisions.      

Developing real option game models

By mixing concepts from both game theoretic analysis and real options theory, an investment decision in a competitive market can be seen as a “game” between firms, as firms implicitly take into account other firms’ reactions to their own investment actions. We review two decades of real option game models, suggesting which critical problems have been “solved” by considering game theory, and which significant problems have not been yet adequately addressed. We provide some insights on the plausible empirical applications, or shortfalls in applications to date, and suggest some promising avenues for future research.     

Cost allocation in a bank ATM network

We consider a situation in which a group of banks consider connecting their Automated Teller Machines (ATMs) in a network, so that the banks customers may use ATMs of any bank in the network. The problem studied is that of allocating the total transaction costs arising in the network, among the participating banks. The situation is modeled as a cooperative game with transferable utility. We propose two allocations, and discuss their relation to the core and other well-known solution concepts, as well as to population monotonicity.Endre Bjørndal has enjoyed the hospitality of Tilburg University, and has also received financial support from Telenor AS and the Norwegian School of Economics and Business Administration.     

Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis

We extend the classic mean-variance framework to a broad class of investment decisions under risk where investors select optimal portfolios of risky assets that include perfectly divisible as well as perfectly indivisible assets. We develop an algorithm for solving the associated mixed-integer nonlinear program and report on the results of a computational study. We then study the mean-variance structure of the investment frontier facing an individual investor in the presence of investment opportunities in both risky divisible and indivisible assets. Finally, we analyze the economic implications of the presence of investment opportunities in risky indivisible assets on the investor’s investment strategy and on his risk evaluation.     

The Optimal Interaction between a Hedge Fund Manager and Investor

ABSTRACT

This study explores hedge funds from the perspective of investors and the motivation behind their investments. We model a typical hedge fund contract between an investor and a manager, which includes the manager’s special reward scheme, i.e., partial ownership, incentives and early closure conditions. We present a continuous stochastic control problem for the manager’s wealth on a hedge fund comprising one risky asset and one riskless bond as a basis to calculate the investors’ wealth. Then we derive partial differential equations (PDEs) for each agent and numerically obtain the unique viscosity solution for these problems. Our model shows that the manager’s incentives are very high and therefore investors are not receiving profit compared to a riskless investment. We investigate a new type of hedge fund contract where the investor has the option to deposit additional money to the fund at half maturity time. Results show that investors’ inflow increases proportionally with the expected rate of return of the risky asset, but even in low rates of return, investors inflow money to keep the fund open. Finally, comparing the contracts with and without the option, we spot that investors are sometimes better off without the option to inflow money, thus creating a negative value of the option.     

鲁棒均值-CVaR投资组合模型及实证:基于安全准则的视角

考虑证券市场的不确定性,将资产的收益率看成区间随机变量。利用鲁棒优化方法,构建鲁棒均值-CVaR投资组合模型。采用对偶理论,将鲁棒均值-CVaR投资组合模型转换为线性规划问题,降低了模型的求解难度,有助于计算大规模的资产组合。进一步地,考虑投资者的安全性需求,在模型中引入最大违反概率,控制模型的保守程度,并直观反映投资者的安全性要求。采用实证的方法,研究模型的有效性。结果表明:鲁棒均值-CVaR投资组合模型具有较好的稳健性,且满足投资者的安全性要求,在实际的投资决策中具有可行性。     

考虑投资者异质信念和目标优先级的投资组合问题研究

考虑证券市场的模糊不确定性及投资者的模糊决策特征,以资产收益、下方风险及流动性为模糊投资目标,构建考虑投资者异质信念和目标优先级的多目标投资组合模型。进一步,以我国主板、中小板和创业板市场为背景,采用CPT-TOPSIS交互式算法进行实证分析。研究发现:乐观、理性和悲观投资者权衡收益、风险和流动性目标时偏好的优先顺序不同,导致资产配置结构、最优决策和绩效表现存在差别。结果表明模糊多目标模型能够满足不同投资者权衡多目标的差异化投资需求,取得优于基准随机投资组合的投资效果,可作为投资者投资决策的参考依据。     

No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach

We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.     

Dual role of price and myopia in a marketing channel

In this paper we study a dynamic two-player channel where the manufacturer controls the wholesale price and the investment in quality and the retailer chooses the retail price. We consider that the retail price affects both the demand and the perceived quality of the brand and that its variations contribute to the building of an internal reference price. One of the model’s distinctive features is that it accounts for the two meanings of price, i.e., its classical objective measure of the cost of acquiring a particular quantity of the product, and its subjective roles as an assessment of the quality of the product and an evaluation of gains or losses (deal vs. sacrifice) resulting from buying a “cheap” or an “expensive” product. This dual computation is done with respect to the internal reference price.     

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through a marginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in a parametric setting assuming a Student’s t or a stable distribution for portfolio returns. We also carry out an empirical study with the constituents of DAX30, CAC40, and SMI. Our analysis leads to practical implications for institutional investors and regulators.     

具有随机工资的养老金最优投资问题

在三种目标函数下, 研究了具有随机工资的养老金最优投资问题. 第一种是均值-方差准则, 第二种基于效用的随机微分博弈, 第三种基于均值-方差准则的随机微分博弈. 随机微分博弈问题中博弈的双方为养老金计划投资者和金融市场, 金融市场是博弈的虚拟手. 应用线性二次控制理论求得了三种目标函数下的最优策略和值函数的显式解.