基于藤结构 Copula 模型的中国股市风格资产相依结构研究

首先采用AR（1）-GJR（1,1）-SkT（73,A）模型来刻画中国股市风格资产（大盘成长、大盘价值、中盘成长、中盘价值、小盘成长、小盘价值）的边缘分布,接着结合各边缘分布的残差,引入C—VineCop—ula和r）IVineCopula模型来描述这六种风格资产之间的相依结构,然后对基于CVineCopula和I）IVineCopula模型的拟合效果进行综合比较．研究结果表明：中国股市各风格资产之间的相依性存在结构性差异,最适合用I）IVineCopula模型来刻画各风格资产之间的相依结构．同类型的风格资产之间的相依程度比不同类型风格资产之间的相依程度要高;在同一类型的风格资产中,资产规模差距越大的风格资产之间的相依系数就越小．无条件的风格资产收益系列之间的相关性要显著大于有条件的风格资产收益系列之间的相关性;最后根据研究结论提出了降低风格资产组合风险的资产配置建议．     

B股相对于A股的市场投资价值研究——基于均值-方差张成与Block-Bootstrap模拟的分析

本文采用均值-方差张成的方法研究B股相对于A股的市场投资价值。首先,通过MonteCarlo模拟研究了均值-方差张成检验的小样本性质,发现模型的GMM-Wald检验存在显著的小样本偏倚,故采用基于残差再抽样的Block-Bootstrap方法模拟Wald统计量的分布以克服小样本偏倚的影响;接着分别对A、B股构造规模资产组合作为其资产的代理变量,利用模拟的Wald统计量进行实证研究,结果发现:B股未向国内居民开放前,相对于A股具有投资价值,向国内居民开放后,相对于A股不再具有投资价值。文章最后对B股投资价值的这种变化作出了经济解释,并提出相应的政策建议。     

Multivariate time changes for Lévy asset models: Characterization and calibration

We build a theoretical framework for multivariate subordination of Brownian motions, with a common and an idiosyncratic component. This follows economic intuition and introduces generalizations of some well known multivariate Lévy processes for financial applications: the compound Poisson, NIG, Variance Gamma and CGMY. In most cases we obtain the characteristic function in closed form. The extension is first kept parsimonious, by adding one parameter only. The empirical fit of (linear) dependence is then increased, by allowing for dependent Brownian motions.     

Multi‐asset barrier options and occupation time derivatives

A general framework is formulated to price various forms of European style multi‐asset barrier options and occupation time derivatives with one state variable having the barrier feature. Based on the lognormal assumption of asset price processes, the splitting direction technique is developed for deriving the joint density functions of multi‐variate terminal asset prices with provision for single or double barriers on one of the state variables. A systematic procedure is illustrated whereby multi‐asset option price formulas can be deduced in a systematic manner as extensions from those of their one‐asset counterparts. The formulation has been applied successfully to derive the analytic price formulas of multi‐asset options with external two‐sided barriers and sequential barriers, multi‐asset step options and delayed barrier options. The successful numerical implementation of these price formulas is demonstrated.     

Student-like models for risky asset with dependence

We present a new construction of the Student and Student-like fractal activity time model for risky asset. The construction uses the diffusion processes and their superpositions and allows for specified exact Student or Student-like marginal distributions of the returns and for flexible and tractable dependence structure. The fractal activity time is asymptotically self-similar, which is a desired feature seen in practice.     

Deep learning for finance: deep portfolios

We explore the use of deep learning hierarchical models for problems in financial prediction and classification. Financial prediction problems – such as those presented in designing and pricing securities, constructing portfolios, and risk management – often involve large data sets with complex data interactions that currently are difficult or impossible to specify in a full economic model. Applying deep learning methods to these problems can produce more useful results than standard methods in finance. In particular, deep learning can detect and exploit interactions in the data that are, at least currently, invisible to any existing financial economic theory. Copyright © 2016 John Wiley & Sons, Ltd.     

真实利率波动对长期资产配置的影响(英文)

对于单期的投资者而言,无违约风险的固定收益证券被视为无风险资产.这是因为固定收益证券的收益率在投资的初期就能确定.然而在考虑长期的投资时,投资者可以调整资产配置,固定收益证券也将面临再投资的利率波动风险,因此不能再被视为无风险资产.本文在一类特殊的"习惯形成"效用函数的框架下讨论长期资产配置.在一系列为简化问题而作的假设之下,本文推导出了真实利率波动对风险资产配置权重的影响,并且为计算实际长期资产配置的最优比例提供了理论依据和算法.     

Optimal dynamic asset allocation of pension fund in mortality and salary risks framework

In this paper, we consider the optimal dynamic asset allocation of pension fund with mortality risk and salary risk. The managers of the pension fund try to find the optimal investment policy (optimal asset allocation) to maximize the expected utility of terminal wealth. The market is a combination of financial market and insurance market. The financial market consists of three assets: cashes with stochastic interest rate, stocks and rolling bonds, while the insurance market consists of mortality risk and salary risk. These two non-hedging risks cause incompleteness of the market. By martingale method and dynamic programming principle we first derive the approximate optimal investment policy to overcome the difficulty, then investigate the efficiency of the approximation. Finally, we solve an optimal assets liabilities management(ALM) problem with mortality risk and salary risk under CRRA utility, and reveal the influence of these two risks on the optimal investment policy by numerical illustration.     

自由现金流、公司治理与财务性投资——基于2011-2013年A股上市公司的实证研究

本文基于预期效用和控股权利益理论,运用数理分析方法,通过构造公司价值的V-N-M效用函数,对影响我国上市公司财务性投资行为的因素及其机理进行分析,并以2008-2011年沪深两市A股上市公司为样本进行实证检验。研究发现:(1)公司自由现金流越多,越有可能进行财务性投资;(2)在自由现金流一定条件下,资产负债率越高,上市公司越不可能进行财务性投资;(3)控股股东持股比例与财务性投资存在倒U型的关系。