切换成本对线性市场投资决策影响的实物期权分析

本文基于Hotelling模型,针对一个企业在线性区域内的投资决策,考虑投资者在采用为自己作为新进入公司,为新客户使用本公司的产品付出切换成本来竞争市场的策略行为,建立需求不确定环境中的连续动态模型,应用实物期权分析方法评价投资者的投资机会价值和最优投资策略,研究切换成本对投资者投资机会的价值和投资决策的影响.本文研究结果给出了投资者在付出切换成本获得市场份额和减少成本增加投资价值之间的权衡.     

调节作用下投资策略的评价

本文用实物期权的方法评价调节作用下的投资策略 ,建立期权定价模型。模型中项目价值遵循均值返回过程 ,项目价值的路径采用数值模拟分析 ,文中运用动态规划方法推出期权定价公式 ,通过数值解法求解和分析数值结果 ,得出调节作用对投资的影响。     

不确定性投资决策中的期权博弈分析

本文应用期权博弈理论方法分析了存在竞争条件下的不确定性投资决策问题.建立了一个对称双寡头模型,用实物期权方法计算了模型中的领先者、跟随者和同时投资者的价值函数和投资临界点.     

PI(Portfolio Insurance)投资者特性研究

根据期权定价理论,分析了投资组合保险策略与期权的关系及投资组合保险策略与凸收益函数的关系,通过建立投资组合保险模型,得出不同条件下购买投资组合保险投资者的特点如下:1)随着财富的增加他们的风险承受能力比市场一般投资者增加的快;2)他们的市场预期比一般市场投资者更乐观,并且受益于投资组合保险.     

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。     

基于实物期权的基础设施项目融资中政府担保价值研究

通过政府担保吸引国内外财团、公司、企业以及个人等非政府投资主体投资基础设施项目是解决我国基础设施建设财政投入不足的有效途径。本文在国内外基础设施项目融资理论基础上，运用实物期权方法引入多变量模型对政府担保进行定价研究，通过实例分析了实物期权模型的有效性，最后给出了政府投资主体在吸引非政府投资主体时政府担保行为的影响因素和对应策略。     

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。     

基于随机模糊投资乘数的离散CPPI资产配置研究

以传统CPPI投资策略的分析框架为基础,在风险资产为连续价格波动的条件下,构建离散投资决策时点的CPPI投资策略。引入模糊决策的分析方法度量投资决策者的心理预期,将传统CPPI投资策略中的投资乘数修正为随机模糊投资乘数,采用马尔科夫链蒙特卡洛模拟风险资产未来市场价格,利用模糊隶属函数描述投资决策者对未来市场运行状况预期的不确定性,保证即使投资决策者预期不精确的条件下,也能保证离散CPPI投资策略获得相对稳定的投资效果。利用中国证券市场上的真实数据进行实证检验,认为:随机模糊投资乘数最大限度地涵盖了投资决策者主观预测的不确定性;基于随机模糊投资乘数的离散CPPI投资策略在不同的市场运行状况中,较传统的CPPI投资策略更具投资的灵活性,可以在保证投资保险的前提下,追求较高的投资收益。     

基于动态非线性损失厌恶的投资组合优化与实证研究

从行为金融学的角度考虑投资者损失厌恶的心理特征,构建了基于线性损失厌恶和非线性损失厌恶行为投资组合模型。利用中国市场数据模拟一种静态情景和四种动态情景,实证研究不同损失厌恶投资组合模型在不同情景下不同损失厌恶程度的最优资产配置策略和投资绩效表现,并将结果与均值方差模型等传统的投资组合模型进行比较。研究发现损失厌恶投资组合模型优于传统投资组合模型,不同情景下不同程度损失厌恶投资者具有不同的资产配置策略,其投资绩效表现也不尽相同。     

随机利率下的PPP项目实物期权评价研究

PPP项目通常实施周期长,风险突出。传统的实物期权评价方法考虑了未来的不确定性和管理者柔性的价值,但是一般假设无风险利率是固定的,不符合利率长期内波动的特点,会造成投资者决策失误。本文考虑了未来无风险利率波动条件下,PPP项目中实物期权的价值。首先分析了PPP项目中通常存在的期权形式,其次研究了无风险利率三角逆变函数以及在此基础上得出模拟实物期权模型,并用案例对比分析固定利率和随机利率下的期权价值。结果显示,随机利率比固定利率下的期权价值更高,研究结论可以为PPP项目的投资者进行决策提供重要依据。     

The impact of delaying an investment decision on R&D projects in real option game

In a research and development (R&D) investment, the cost and the project value of such an investment are usually uncertain, which thus increases its complexity. Correspondingly, the NPV (Net Present Value) rule fails to evaluate the value of this project exactly, because this method does not take into account the market uncertainty, irreversibility of investment and ability of delay entry. In this paper, we employ the real option theory to evaluate the project value of a R&D investment. Since the cost of a R&D investment is very high and the flow of the information is crowded, an investor cannot make an immediate decision every time. So, the proposed real option model is an exchange option. At the same time, combining the real option and the game theory, we can find the Nash equilibrium which is the optimal strategy. Moreover, we also study how the delayed time influences the price of the project investment and how the different delayed times effect the choice of the optimal strategies.     

Heston随机波动率模型下带负债的投资组合博弈

本文研究了Heston随机波动模型下两个投资人之间的随机微分投资组合博弈问题。假设金融市场上存在价格过程服从常微分方程的无风险资产和价格过程服从Heston随机波动率模型的风险资产。该博弈问题被构造成两个效用最大化问题,每个投资者的目标是最大化终止时刻个人财富与竞争对手财富差的效用。首先,我们应用动态规划原理,得出了相应值函数所满足的HJB方程。然后,得到了在幂期望效用框架下非零和博弈的均衡投资策略和值函数的显式表达。最后,借助数值模拟,分析了模型中的参数对均衡投资策略和值函数的影响,从而为资产负债管理提供一定的理论指导。     

An examination of HMM‐based investment strategies for asset allocation

We develop and analyse investment strategies relying on hidden Markov model approaches. In particular, we use filtering techniques to aid an investor in his decision to allocate all of his investment fund to either growth or value stocks at a given time. As this allows the investor to switch between growth and value stocks, we call this first strategy a switching investment strategy. This switching strategy is compared with the strategies of purely investing in growth or value stocks by tracking the quarterly terminal wealth of a hypothetical portfolio for each strategy. Using the data sets on Russell 3000 growth index and Russell 3000 value index compiled by Russell Investment Services for the period 1995–2008, we find that the overall risk‐adjusted performance of the switching strategy is better than that of solely investing in either one of the indices. We also consider a second strategy referred to as a mixed investment strategy which enables the investor to allocate an optimal proportion of his investment between growth and value stocks given a level of risk aversion. Numerical demonstrations are provided using the same data sets on Russell 3000 growth and value indices. The switching investment strategy yields the best or second best Sharpe ratio as compared with those obtained from the pure index strategies and mixed strategy in 14 intervals. The performance of the mixed investment strategy under the HMM setting is also compared with that of the classical mean–variance approach. To make the comparison valid, we choose the same level of risk aversion for each set‐up. Our findings show that the mixed investment strategy within the HMM framework gives higher Sharpe ratios in 5 intervals of the time series than that given by the standard mean–variance approach. The calculated weights through time from the strategy incorporating the HMM set‐up are more stable. A simulation analysis further shows a higher performance stability of the HMM strategies compared with the pure strategies and the mean–variance strategy. Copyright © 2009 John Wiley & Sons, Ltd.     

异质预期下双寡头企业碳减排决策的复杂性分析

针对碳减排环境下的政府碳配额分配和企业产量与减排研发决策问题,基于古诺双寡头垄断模型,建立了考虑有限理性和异质性预期的碳排放依赖型企业碳减排决策模型,从市场复杂性演化的内部视角出发,分析市场竞争波动的内在机制;并通过非线性动力学理论探讨企业不同的响应速度对于市场稳定性的影响。结果表明,技术减排成本系数、碳交易价格对低碳产品的偏好系数是影响两企业竞争策略的关键因素,两个因素的取值不同甚至会彻底改变均衡状态下两企业相对的减排投资力度和相对的盈利能力及市场的稳定性。针对市场竞争出现的波动现象,通过时滞反馈控制方法高效、快速的控制动力系统的不稳定行为,使得市场迅速恢复稳定、有序的状态,为决策者有效解决市场不稳定现象提供了科学依据。     

Timing and eco(nomic) efficiency of climate-friendly investments in supply chains

Emission trading schemes such as the European Union Emissions Trading System (EUETS) attempt to reconcile economic efficiency with ecological efficiency by creating financial incentives for companies to invest in climate-friendly innovations. Using real options methodology, we demonstrate that under uncertainty, economic and ecological efficiency continue to be mutually exclusive. This problem is even worse if a climate-friendly project depends on investing in of a whole supply chain. We model a sequential bargaining game in a supply chain where the parties negotiate over implementation of a carbon dioxide (CO₂) saving investment project. We show that the outcome of their bargaining is not economically efficient and even less ecologically efficient. Furthermore, we show that a supply chain becomes less economically efficient and less ecologically efficient with every additional chain link. Finally, we make recommendations for how managers or politicians can improve the situation and thereby increase economic as well as ecological efficiency and thus also the eco-efficiency of supply chains.     

MARKET FORCES AND DYNAMIC ASSET PRICING

We study a dynamic model of asset pricing which is driven by two characteristic market features: the law of investor demand (e.g., “buy low, sell high”) and the law of the market institution (which codifies the trading rules under which the market operates). We demonstrate in a simple investor–specialist trading market that these features are sufficient to guarantee an equilibrium where investors' trading strategies and the specialist's rule of price adjustments are best responses to each other. The drift term appearing in the resulting equation of the asset price process may be interpreted using Newtonian mechanics as the acceleration of a “market force.” If either of the market participants is risk-neutral, the result leads to risk-neutral asset pricing (e.g., the Black and Scholes option pricing formula).     

Optimal Execution in a Market with Small Investors

Abstract

The author considers the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods. In this model, the market impact function that yields the execution prices for individual trades is endogeneously determined. This analysis is novel in that it introduces small investors, who do not affect the price flow, and a noise trader as market participants other than the institutional investors into a general equilibrium model. It is found that the institutional investor takes a rather complicated strategy to make use of its private information. As a result, the price impact not only changes over time but also depends on the trade history. Although there are several studies that deal with this topic in the recent empirical literature, it has remained unnoticed in the context of the theoretical optimal execution model.     

投资者情绪对科创板市场收益率的影响——基于文本数据挖掘视角

本文以科创板市场为主要研究对象,基于文本数据挖掘方法探究了新冠疫情发生前和疫情期间投资者情绪对市场收益率的影响及其作用机制。利用东方财富股吧2019年7月至2020年3月的日度科创板股票评论数据,基于Bi-LSTM深度学习技术对文本数据情感倾向进行分类,建立投资者情绪指数。通过构建双向固定效应的联立方程模型,采用2SLS方法估计投资者情绪对科创板市场收益率的作用,并检验在经济平稳运行和受新冠疫情冲击期间该作用的差异性。实证分析及稳健性检验的结果均表明,投资者情绪通过影响交易量进而影响科创板股票市场收益率,这种正向作用在1%的置信水平下显著。此外,投资者情绪对科创板收益率的影响在经济平稳运行和受新冠疫情冲击期间均保持稳健,且在新冠疫情期间作用更强。本研究成果对于新冠疫情期间我国证券市场监管层完善科创板交易机制,以及对中小投资者优化投资战略具有重要意义。