This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper genera...This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper generalizes Markowitz’s portfolio selection theory and Sharpe’s rule for investment decision. An analytical solution is presented to show how an institu- tional or individual investor can combine Markowitz’s portfolio selection theory, generalized Sharpe’s rule and Value-at-Risk (VaR) to find candidate assets and optimal level of position sizes for investment (dis-investment). The result shows that the gen- eralized Markowitz’s portfolio selection theory and generalized Sharpe’s rule improve decision making for investment.展开更多
This paper uses the input-output tables from 2007 to estimate the exchangerate risk exposure of all 42 sectors of the Chinese economy. It then demonstrates a new quantitative approach for examining the differential im...This paper uses the input-output tables from 2007 to estimate the exchangerate risk exposure of all 42 sectors of the Chinese economy. It then demonstrates a new quantitative approach for examining the differential impacts of Renminbi appreciation on the export of finished goods and the import of intermediate inputs in each sector, and estimates the changes in profitability of each sector under different degrees of Renminbi appreciation. The results indicate that appreciation of the Renminbi will increase the profitability of 22 sectors, which are generally monopolistic, capital-intensive, and reliant on R＆D, and reduce the profitability of 20 sectors, which are generally competitive, labor-intensive, and less reliant on R＆D. This suggests that the degree and pace of Renminbi appreciation must be coordinated with industrial and employment policies in order to reduce exchange-rate risk exposure through trade restructuring, to improve economic structure, to promote competition and employment, and to maintain steady and sustainable economic growth.展开更多
The emergence of Yu＇E Bao and the like provides Chinese investors with a new and flexible investment option. Such new investment instrument forces up the cost of capital of local banks and also takes away the market ...The emergence of Yu＇E Bao and the like provides Chinese investors with a new and flexible investment option. Such new investment instrument forces up the cost of capital of local banks and also takes away the market share from them. Yu＇E Bao has allocated most investments in inter-bank money market due to the liquidity concerns. This study investigates Yu＇E Bao＇s portfolio allocation and potential risk, and also provides policy implications for regulators. The research findings suggest that regulators should issue more provisions to further regulate the operation of online investment products and keep the liquidity risk under control, i.e. require money market funds to hold more capital in reserve on a gradual basis. By examining the case of Yu＇E Bao, a new online investment product in China, this study sheds light on the recent financial development and reform of China.展开更多
Two important issues in exit of venture capital, exit timing and exit approaches, are analyzed. Based on the real options theory and the contingent claims analysis, it develops approach-selecting models in terms of Tr...Two important issues in exit of venture capital, exit timing and exit approaches, are analyzed. Based on the real options theory and the contingent claims analysis, it develops approach-selecting models in terms of Trade-sales and Initial Public Offers and corresponding timing models. Furthermore, thresholds of cash flows as well as value of real options are derived. Finally, decision criteria of exit of venture capital are obtained and empirical evidence shows that the criteria agree with the real investment activities very well.展开更多
This paper developed a model for pricing catastrophe bond whose trigger is loss index. In the model Esscher transform which is a facility usually used in actuarial science now provides an easy way to calculate Radon-N...This paper developed a model for pricing catastrophe bond whose trigger is loss index. In the model Esscher transform which is a facility usually used in actuarial science now provides an easy way to calculate Radon-Nikodym derivative so that the whole pricing process becomes easier to understand. At the end of this paper we use this model to price a China typhoon catastrophe bond which is also designed by us.展开更多
The pricing theories of capital assets are the principal part in the modern financial theories. Presently, the capital asset pricing model and the arbitrage pricing theory, including their evolutional forms, all don＇...The pricing theories of capital assets are the principal part in the modern financial theories. Presently, the capital asset pricing model and the arbitrage pricing theory, including their evolutional forms, all don＇t embody the premium of non-system risks and non-factor risks. This paper analyses the risk reward of traditional capital assets pricing models, revises the traditional capital assets pricing models, and advances the revised models of capital assets pricing theories basing on full-risk reward.展开更多
In this paper, the surplus process is assumed to be a periodic risk model and the insurer is allowed to invest in multiple risky assets described by the Black-Scholes market model. Under shortselling prohibition, the ...In this paper, the surplus process is assumed to be a periodic risk model and the insurer is allowed to invest in multiple risky assets described by the Black-Scholes market model. Under shortselling prohibition, the authors consider the optimal investment from an insurer＇s point of view by maximizing the adjustment coefficent and the expected exponential utility of wealth at one period, respectively. It is shown that the optimal strategies of both of optimization problems are to invest a fixed amount of money in each risky asset.展开更多
文摘This paper addresses a dynamic portfolio investment problem. It discusses how we can dynamically choose candidate assets, achieve the possible maximum revenue and reduce the risk to the minimum level. The paper generalizes Markowitz’s portfolio selection theory and Sharpe’s rule for investment decision. An analytical solution is presented to show how an institu- tional or individual investor can combine Markowitz’s portfolio selection theory, generalized Sharpe’s rule and Value-at-Risk (VaR) to find candidate assets and optimal level of position sizes for investment (dis-investment). The result shows that the gen- eralized Markowitz’s portfolio selection theory and generalized Sharpe’s rule improve decision making for investment.
文摘This paper uses the input-output tables from 2007 to estimate the exchangerate risk exposure of all 42 sectors of the Chinese economy. It then demonstrates a new quantitative approach for examining the differential impacts of Renminbi appreciation on the export of finished goods and the import of intermediate inputs in each sector, and estimates the changes in profitability of each sector under different degrees of Renminbi appreciation. The results indicate that appreciation of the Renminbi will increase the profitability of 22 sectors, which are generally monopolistic, capital-intensive, and reliant on R＆D, and reduce the profitability of 20 sectors, which are generally competitive, labor-intensive, and less reliant on R＆D. This suggests that the degree and pace of Renminbi appreciation must be coordinated with industrial and employment policies in order to reduce exchange-rate risk exposure through trade restructuring, to improve economic structure, to promote competition and employment, and to maintain steady and sustainable economic growth.
文摘The emergence of Yu＇E Bao and the like provides Chinese investors with a new and flexible investment option. Such new investment instrument forces up the cost of capital of local banks and also takes away the market share from them. Yu＇E Bao has allocated most investments in inter-bank money market due to the liquidity concerns. This study investigates Yu＇E Bao＇s portfolio allocation and potential risk, and also provides policy implications for regulators. The research findings suggest that regulators should issue more provisions to further regulate the operation of online investment products and keep the liquidity risk under control, i.e. require money market funds to hold more capital in reserve on a gradual basis. By examining the case of Yu＇E Bao, a new online investment product in China, this study sheds light on the recent financial development and reform of China.
文摘Two important issues in exit of venture capital, exit timing and exit approaches, are analyzed. Based on the real options theory and the contingent claims analysis, it develops approach-selecting models in terms of Trade-sales and Initial Public Offers and corresponding timing models. Furthermore, thresholds of cash flows as well as value of real options are derived. Finally, decision criteria of exit of venture capital are obtained and empirical evidence shows that the criteria agree with the real investment activities very well.
文摘This paper developed a model for pricing catastrophe bond whose trigger is loss index. In the model Esscher transform which is a facility usually used in actuarial science now provides an easy way to calculate Radon-Nikodym derivative so that the whole pricing process becomes easier to understand. At the end of this paper we use this model to price a China typhoon catastrophe bond which is also designed by us.
文摘The pricing theories of capital assets are the principal part in the modern financial theories. Presently, the capital asset pricing model and the arbitrage pricing theory, including their evolutional forms, all don＇t embody the premium of non-system risks and non-factor risks. This paper analyses the risk reward of traditional capital assets pricing models, revises the traditional capital assets pricing models, and advances the revised models of capital assets pricing theories basing on full-risk reward.
基金supported by National Basic Research Program of China(973 Program) under Grant No. 2007CB814905the Natural Science Foundation of China under Grant No.11171164
文摘In this paper, the surplus process is assumed to be a periodic risk model and the insurer is allowed to invest in multiple risky assets described by the Black-Scholes market model. Under shortselling prohibition, the authors consider the optimal investment from an insurer＇s point of view by maximizing the adjustment coefficent and the expected exponential utility of wealth at one period, respectively. It is shown that the optimal strategies of both of optimization problems are to invest a fixed amount of money in each risky asset.
