There is a common saying in the realm of wealth management in China that the era of global asset allocation is coming.China’s GDP growth rate has slid down to less than 10%in recent years,and it is the first time tha...There is a common saying in the realm of wealth management in China that the era of global asset allocation is coming.China’s GDP growth rate has slid down to less than 10%in recent years,and it is the first time that this has hap-pened since 2008.Unlike the high eco-nomic growth in previous years,the new economic cycle and tightened balancing of monetary policy have made those highly-profitable investment models un-sustainable.The investments in the展开更多
This paper investigates a dynamic asset allocation problem for loss-averse investors in a jumpdiffusion model where there are a riskless asset and N risky assets. Specifically, the prices of risky assets are governed ...This paper investigates a dynamic asset allocation problem for loss-averse investors in a jumpdiffusion model where there are a riskless asset and N risky assets. Specifically, the prices of risky assets are governed by jump-diffusion processes driven by an m-dimensional Brownian motion and a(N- m)-dimensional Poisson process. After converting the dynamic optimal portfolio problem to a static optimization problem in the terminal wealth, the optimal terminal wealth is first solved. Then the optimal wealth process and investment strategy are derived by using the martingale representation approach. The closed-form solutions for them are finally given in a special example.展开更多
In this paper, we study strategic asset allocation for China's foreign reserves using a risk- based approach. Four aspects of the risk management are investigated: an investment universe, dependence structure, alloc...In this paper, we study strategic asset allocation for China's foreign reserves using a risk- based approach. Four aspects of the risk management are investigated: an investment universe, dependence structure, allocation strategies under risk minimization and trade-off between risks and returns. A regime-switching copula model is developed to investigate the dynamic dependence between assets. One regime emphasizes a short-term safe asset and the other regime emphasizes a long-term safe asset. The optimal allocation is derived following two strategies: risk minimization and trade-off between risks and returns in utility maximization with disappointment avoidance, lf the central bank focuses solely on risk minimization, the asymmetries in the asset return dependence encourage the flight to safety. However, if higher risks are allowed in exchange for higher returns, even the exchange is very conservative, and the asymmetries would discourage the flight to safety. Therefore, we suggest that China should mitigate its flight to safety after 2008 and increase holdings of short-term bank deposits, long-term treasury bonds and euro bonds.展开更多
We solve a portfolio selection,problem in which,return predictability,risk predictability and transaction cost are incorporated.In the problem,both expected return,prediction error volatility,and transaction cost are ...We solve a portfolio selection,problem in which,return predictability,risk predictability and transaction cost are incorporated.In the problem,both expected return,prediction error volatility,and transaction cost are time-varying.Our optimal strategy suggests trading partially toward a dynamic aim portfolio,which is a weighted average of expected future tangency portfolio and is highly influenced by the common fluctuation of prediction error volatility(CPE).When CPE is high,the investor would invest less and trade less frequently to avoid risk and transaction cost.Moreover,the investor trades more closely to the aim portfolio with a more persistent CPE signal.We also conduct an empirical analysis based on the commodities futures in Chinese market.The results reveal that by timing prediction error volatility,our strategy outperforms alternative strategies.展开更多
Life-cycle cost(LCC)theory can be effectively applied to improve the efficiency and quality of power plant equipment and asset management.However,specific aspects of the LCC calculation and evaluation model require fu...Life-cycle cost(LCC)theory can be effectively applied to improve the efficiency and quality of power plant equipment and asset management.However,specific aspects of the LCC calculation and evaluation model require further research for practical application.This paper proposes an LCC assessment model for the management of electric power plant equipment during its service life.A membership function method based on fuzzy logic is used to improve the allocation of modernization and overhaul projects to multiple equipment assets.An LCC assessment model and evaluation system for power equipment are proposed and successfully applied to the equipment and project management of a Guangzhou power plant in the China Southern Power Grid,providing a decision-making mechanism that facilitates efficient operation and optimal utilization of power plant equipment and assets.展开更多
文摘There is a common saying in the realm of wealth management in China that the era of global asset allocation is coming.China’s GDP growth rate has slid down to less than 10%in recent years,and it is the first time that this has hap-pened since 2008.Unlike the high eco-nomic growth in previous years,the new economic cycle and tightened balancing of monetary policy have made those highly-profitable investment models un-sustainable.The investments in the
基金Supported by the National Natural Science Foundation of China(No.61304065,11471304,11401556)the Natural Science Foundation of the Jiangsu Higher Education Institutions of China(No.12KJB110011)
文摘This paper investigates a dynamic asset allocation problem for loss-averse investors in a jumpdiffusion model where there are a riskless asset and N risky assets. Specifically, the prices of risky assets are governed by jump-diffusion processes driven by an m-dimensional Brownian motion and a(N- m)-dimensional Poisson process. After converting the dynamic optimal portfolio problem to a static optimization problem in the terminal wealth, the optimal terminal wealth is first solved. Then the optimal wealth process and investment strategy are derived by using the martingale representation approach. The closed-form solutions for them are finally given in a special example.
文摘In this paper, we study strategic asset allocation for China's foreign reserves using a risk- based approach. Four aspects of the risk management are investigated: an investment universe, dependence structure, allocation strategies under risk minimization and trade-off between risks and returns. A regime-switching copula model is developed to investigate the dynamic dependence between assets. One regime emphasizes a short-term safe asset and the other regime emphasizes a long-term safe asset. The optimal allocation is derived following two strategies: risk minimization and trade-off between risks and returns in utility maximization with disappointment avoidance, lf the central bank focuses solely on risk minimization, the asymmetries in the asset return dependence encourage the flight to safety. However, if higher risks are allowed in exchange for higher returns, even the exchange is very conservative, and the asymmetries would discourage the flight to safety. Therefore, we suggest that China should mitigate its flight to safety after 2008 and increase holdings of short-term bank deposits, long-term treasury bonds and euro bonds.
基金This work has been supported in part by the National Natural Science Foundation of China(NSFC),under grant No.71971083by the Key Program of National Natural Science Foundation of China(NSFC),under grant No.71931004by the Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE.
文摘We solve a portfolio selection,problem in which,return predictability,risk predictability and transaction cost are incorporated.In the problem,both expected return,prediction error volatility,and transaction cost are time-varying.Our optimal strategy suggests trading partially toward a dynamic aim portfolio,which is a weighted average of expected future tangency portfolio and is highly influenced by the common fluctuation of prediction error volatility(CPE).When CPE is high,the investor would invest less and trade less frequently to avoid risk and transaction cost.Moreover,the investor trades more closely to the aim portfolio with a more persistent CPE signal.We also conduct an empirical analysis based on the commodities futures in Chinese market.The results reveal that by timing prediction error volatility,our strategy outperforms alternative strategies.
基金the National Natural Science Foundation of China(U1966210).
文摘Life-cycle cost(LCC)theory can be effectively applied to improve the efficiency and quality of power plant equipment and asset management.However,specific aspects of the LCC calculation and evaluation model require further research for practical application.This paper proposes an LCC assessment model for the management of electric power plant equipment during its service life.A membership function method based on fuzzy logic is used to improve the allocation of modernization and overhaul projects to multiple equipment assets.An LCC assessment model and evaluation system for power equipment are proposed and successfully applied to the equipment and project management of a Guangzhou power plant in the China Southern Power Grid,providing a decision-making mechanism that facilitates efficient operation and optimal utilization of power plant equipment and assets.