OPTIMAL INVESTMENT IN THE PROTECTION OF A VULNERABLE BIOLOGICAL RESOURCE

It is assumed that the probability of destruction of a biological asset by natural hazards can be reduced through investment in protection. Specifically a model, in which the hazard rate depends on both the age of the asset and the accumulated invested protection capital, is assumed. The protection capital depreciates through time and its effectiveness in reducing the hazard rate is subject to diminishing returns. It is shown how the investment schedule to maximize the expected net present value of the asset can be determined using the methods of deterministic optimal control, with the survival probability regarded as a state variable. The optimal investment pattern involves “bang-bang-singular” control. A numerical scheme for determining jointly the optimal investment policy and the optimal harvest (or replacement) age is outlined and a numerical example involving forest fire protection is given.     

An Analogue of the Cramér–Lundberg Approximation in the Optimal Investment Case

We consider ruin probabilities for an insurance company, which can also invest in the stock market. The risk process is modeled by a compound Poisson process and the stock price by geometric Brownian motion. We show that if the tails of the claims are light tailed, then the optimal strategy is asymptotically given by holding a constant $-value in the stock position. Furthermore, we show that a kind of Cramér–Lundberg approximation holds for the minimal ruin probability. Everything is shown under assumptions, which are analogous to the assumptions in the case of the classical Cramér–Lundberg approximation without investment.     

性别差异对研发投资决策影响的实验研究

基于Z-Tree实验平台利用研发投资自然博弈实验研究发现风险规避导致女性的研发投入强度低于男性,但女性在研发投资过程中愿意投入的研发努力程度高于男性。随着时间推移,男性的研发努力程度明显下降,但女性的研发努力程度反而上升。男性和女性在决策中均表现出心理账户效应,女性更加愿意通过努力来提高业绩。男性在投资中更多体现期权思想,而女性更多表现出长期倾向下的持续努力。文章在揭示性别因素影响研发投资机理基础上,为董事会性别多样性、分级董事会以及递延薪酬等治理机制发挥作用机理提供了新解释。研究结论可以为企业职位的性别配置、分级董事会以及激励契约设计提供借鉴。     

生产率差异与企业对外直接投资进入模式选择

基于企业异质性视角,借鉴演化博弈理论探究企业通过OFDI“走出去”时的跨国并购方和标的方在全要素生产率上的差异对企业OFDI进入策略选择的影响机制。利用Hotelling模型构造资本密集型企业与劳动密集型企业OFDI进入策略选择博弈模型,讨论两类企业OFDI进入方式决策在并购双方生产率差异变化之下的变迁机理。研究发现:当并购方和被并购方生产率差异较小时,市场达到两类企业都倾向于跨国并购策略的演化稳定状态;当并购双方生产率差异较大时,企业的生产要素密集度及其结构对其OFDI进入模式决策具有重要的作用,知识或技术密集度较高的资本密集型企业与综合实力强势的部分劳动密集型企业采取跨国并购战略,而另一部分劳动密集型企业选择绿地新建方式进入国际市场。即企业OFDI进入策略选择因其所属的行业生产要素密集度及其结构不同而具有差异性。研究结论在一定程度上弥补了现有研究的不足,为以后的研究工作提供一定的理论参考。     

Ash and Slag Waste as a Secondary Raw Material

In the process of industrial corporation activities a lot of waste, which pollutes the atmosphere, is generated, for example ash and slag. In Tomsk region, by estimates, ash stores occupy about 600 hectares, which contain about 25 million tons by weight. In Russian thermal power-stations ash disposal areas there are about 1.3 billion tons of ash, and only 10% of it is used. That is why this problem is topical enough. In this paper the scheme of producing ash ceramic bricks and complex ash and slag waste processing is shown. Besides, profitability of the project is presented.     

动态环境约束下企业的资本积累

本文讨论动态环境约束下企业的动态投资行为,拓广了文献[4]的结果.为了使讨论的问题更符合实际情况,本文假设政府设定的污染排放上限是与企业的规模大小有关,即假设污染排放上限是生产资本的函数,讨论动态环境约束下企业的最佳动态投资行为,并为政府制定污染排放政策提供依据.     

考虑时滞效应与均值-方差效用的非零和投资与再保险博弈

在考虑时滞效应的影响下研究了非零和随机微分投资与再保险博弈问题.以最大化终端绝对财富和相对财富的均值-方差效用为目标,构建了两个相互竞争的保险公司之间的非零和投资与再保险博弈模型,分别在经典风险模型和近似扩散风险模型下探讨了博弈的Nash均衡策略.借助随机控制理论以及相应的广义Hamilton-Jacobi-Bellm...     

Applying Hybrid ARIMA-SGARCH in Algorithmic Investment Strategies on S&P500 Index

This research aims to compare the performance of ARIMA as a linear model with that of the combination of ARIMA and GARCH family models to forecast S&P500 log returns in order to construct algorithmic investment strategies on this index. We used the data collected from Yahoo Finance with daily frequency for the period from 1 January 2000 to 31 December 2019. By using a rolling window approach, we compared ARIMA with the hybrid models to examine whether hybrid ARIMA-SGARCH and ARIMA-EGARCH can really reflect the specific time-series characteristics and have better predictive power than the simple ARIMA model. In order to assess the precision and quality of these models in forecasting, we compared their equity lines, their forecasting error metrics (MAE, MAPE, RMSE, MAPE), and their performance metrics (annualized return compounded, annualized standard deviation, maximum drawdown, information ratio, and adjusted information ratio). The main contribution of this research is to show that the hybrid models outperform ARIMA and the benchmark (Buy&Hold strategy on S&P500 index) over the long term. These results are not sensitive to varying window sizes, the type of distribution, and the type of the GARCH model.     

中国出境旅游的外交效应

2000年以来,中国出境旅游高增长、高消费,影响力不断增大,成为国家外交战略的重要内容,外交效应逐渐显现。通过辨析中国出境旅游外交效应的概念、表现形式和结果,基于10个中国主要出境目的国的旅游互动数据,采用DIF-GMM计量经济模型,实证检验了中国出境旅游外交效应。结果表明,中国通过有序推进ADS协议、加强经济援助、举办“旅游年”活动、实施旅游“制裁”,并积极参与国际制度建设等旅游外交行为,促进了与世界各国的友好交往,维护了自身核心利益,提升了外交软实力和国际影响力。国际旅游反作用于国际关系,对国际关系具有显著的正向促进作用,不仅是国际关系的结果,而且是其重要动因之一。中国出境旅游与政治、经济、社会、文化等联动,多方面提升了中国的国际影响力。     

Omegaģ���´�Ͷ�ʵĺ��������о�

This paper considers a dividend strategy with investment in Omega model. If at a potential dividend-payment time the surplus is above, part of the excess are paid as dividends directly, the other part are used as dynamic investment capital, at a particular time, the sum of profits and investment capital will be paid as another dividend. Under this dividend policy, we get the optimal dividend strategy and the optimal portfolio policy.