Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy

We consider the optimal capital injection and dividend control problem for a class of growth restricted diffusions with the possibility of bankruptcy. The surplus process of a company is modeled by a diffusion process with return and volatility being functions of the surplus process. The company can control the dividend payments and capital injections with the goal of maximizing the expectation of the total discounted dividends minus the total cost of capital injections up to the time of bankruptcy. We distinguish three cases and provide optimality results for each case.     

首都师范大学校园植物资源调查

为了丰富我校植物学分类教学材料,更方便的让广大师生了解学校的植物资源情况,我们对校本部内的植物进行了调查.结果显示,校园内共有种子植物180种,其中裸子植物共6科16种,被子植物共58科164种.(其中双子叶植物共52科149种,单子叶植物共6科15种).通过调查,我们更进一步地了解了校园内的植物资源,有利于同学们普及自然科学知识,更为今后校园植物资源的开发与保护提供了参考.     

Empirical analysis on risk of security investment

The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 30 stocks are choosen from Shangzheng 50 stocks and are testified whether the prices of Shanghai stocks conform to the two models. With the technique of time series and panel data analysis, the research on the stock risk and effective portfolio by ORIGIN and MATLAB software is conducted. The result shows that Shanghai stock market conforms to Markowitz Mean-Variance Model to a certain extent and can give investors reliable suggestion to gain higher return, but there is no positive relation between system risk and profit ratio and CAPM doesn＇t function well in China＇s security market.     

基于动态CGE的铁矿砂价格冲击经济效应研究

利用湖南大学—莫纳什大学合作开发的中国动态可计算一般均衡模型—MCHUGE模型,对国际铁矿砂价格冲击的宏观经济影响进行动态的量化分析。模拟结果显示：澳大利亚农业研究署所预测的未来铁矿砂价格年均增长率对中国经济的影响较小,相比于基线预测值,短期里通过增加社会岗位,长期里通过提高资本存量,从而减少了中国经济所受影响的幅度。     

Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?

This paper focuses on inconsistencies arising from the use of NPV and CAPM for capital budgeting. It shows that: (i) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the capital asset pricing model, (ii) the use of the disequilibrium NPV is widespread in finance both as a decision rule and as a valuation tool, (iii) the disequilibrium NPV does not guarantee additivity nor consistency with arbitrage pricing, so that it is unreliable for valuation, (iv) Magni’s [Magni, C.A., 2002. Investment decisions in the theory of finance: Some antinomies and inconsistencies. European Journal of Operational Research 137, 206–217; Magni, C.A., 2007a. Project valuation and investment decisions: CAPM versus arbitrage. Applied Financial Economics Letters 3 (2), 137–140] criticism of the NPV criterion refers to the disequilibrium NPV, and De Reyck’s [De Reyck, B., 2005. On investment decisions in the theory of finance: Some antinomies and inconsistencies. European of Operational Research 161, 499–504] project valuation method, on the basis of which Magni’s criticism to NPV is objected, leaves decision makers open to arbitrage losses and incorrect decisions.     

偏好信息为模糊互反判断矩阵的模糊多属性决策法

研究只有部分权重信息且决策者对方案的偏好信息以模糊互反判断矩阵形式给出的模糊多属性决策问题。提出了一种基于目标规划模型的模糊多属性决策方法。该法首先基于模糊互反判断矩阵，利用转换函数将决策信息一致化，建立了一个目标规划模型．通过求解该模型确定属性的权重，然后运用加性加权法求出各方案的模糊综合属性值，并利用已有的三角模糊数排序公式求得决策方案的排序。文章最后把该法应用于解决风险投资领域中的项目评估问题。     

Heterogeneous Spatial Dynamical Regression in a Hilbert-Valued Context

This article introduces a Hilbert-valued spatially dynamic regression model. The spatially heterogeneous functional trend is modeled by functional multiple regression, with varying regression operators. The spatial autoregressive Hilbertian model of order one (SARH(1) model, see [37 Ruiz-Medina , M.D. 2011 . Spatial autoregressive and moving average Hilbertian processes . J. Multivariate Anal. 102 : 292 – 305 .[Crossref] , [Google Scholar]]) is considered to represent the spatial correlation and dynamics displayed by the functional error term. The RKHS theory is applied in the construction of suitable bases for projection and regularization of the associated estimation problems. The performance of the proposed Hilbert-valued modeling and estimation methodology is illustrated with a real-data example, related to financing decisions from firm panel data.     

Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models

Exponential dispersion models are well used and studied in quantitative risk management and actuarial science. One of the main interests is the risk measurement analysis of such models when facing extreme loss events. In this paper, we propose two multivariate risk measures based on conditional expectation and derive the explicit formulae for exponential dispersion models. In particular, our multivariate risk measures could facilitate a systemic risk measure with explicit expressions for exponential dispersion models subject to any pre-specified “systemic event.” We provide two numerical examples based on practical data to show the advantages of our approach in the context of exponential dispersion models.     

Samsung card lending model

Samsung Card Lending Model (SCLM) analyzes cash flow in individual accounts and measures the level of company-wide risk. Serving as a risk and portfolio management model in the consumer lending business, the main features of SCLM are as follows. Default ratios such as intrinsic balance default probability and annual default ratio are computed using the past, present, and future cash flows of accounts. The provision is shown as the total sum of write-offs. The size of capital required is determined by default probability distribution. The price for new accounts is quoted based on cash flow simulations reflecting future business environments. SCLM has shown good performance in Samsung card consumer lending business since the Korean credit card crisis of 2003.     

Spectrally negative Lévy processes with Parisian reflection below and classical reflection above

We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings, where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at independent Poisson observation times. Namely, we study a version of the reflected process that is pushed up to zero only on Poisson arrival times at which the process is below zero. We also study the case with additional classical reflection above so as to model a company that pays dividends according to a barrier strategy. Focusing on the spectrally negative Lévy case, we compute, using the scale function, various fluctuation identities, including capital injections and dividends.