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中国的股权溢价之谜:基于Hansen-Jagannathan方差界的实证研究 被引量:18
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作者 林鲁东 《南方经济》 北大核心 2007年第12期12-23,共12页
本文使用HJ方差界检验了我国的股权溢价之谜,并比较了CRRA、递归效用与习惯形成三种不同的效用函数下模型的定价能力。本文的实证研究发现:(1)我国不存在股权溢价之谜,也不存在无风险利率之谜,该结论有别于以往的研究;(2)对该结论的可... 本文使用HJ方差界检验了我国的股权溢价之谜,并比较了CRRA、递归效用与习惯形成三种不同的效用函数下模型的定价能力。本文的实证研究发现:(1)我国不存在股权溢价之谜,也不存在无风险利率之谜,该结论有别于以往的研究;(2)对该结论的可能解释在于,较高的股权溢价来自于对消费风险的补偿,而较强的预防性储蓄动机抵消了借贷以增加当期消费的效应;(3)相对基于CRRA效用函数的模型,引入递归效用和习惯形成的模型具有更强的定价能力。 展开更多
关键词 股权溢价之谜 无风险利率之谜 Hansen—Jagannathan方差界 递归效用 习惯形成
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习惯形成和股权风险溢价之谜:基于中国数据的实证研究 被引量:5
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作者 邓学斌 陆家骝 《商业经济与管理》 CSSCI 北大核心 2010年第8期46-52,共7页
文章对Campbell和Cochrane的习惯形成模型进行修正,使用HJ方差界检验中国的股权溢价之谜,并比较CRRA模型和修正模型的定价能力。实证分析发现:中国不存在股权溢价之谜,也不存在无风险利率之谜;与CRRA模型相比,文章采用的模型有更强的定... 文章对Campbell和Cochrane的习惯形成模型进行修正,使用HJ方差界检验中国的股权溢价之谜,并比较CRRA模型和修正模型的定价能力。实证分析发现:中国不存在股权溢价之谜,也不存在无风险利率之谜;与CRRA模型相比,文章采用的模型有更强的定价能力。 展开更多
关键词 股权溢价之谜 随机贴现因子 习惯形成 Hansen-Jagannathan方差界
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选择偏差与股权溢价之谜——中国股票市场的风险厌恶程度测算 被引量:2
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作者 刘俊玮 王一鸣 宁叶 《证券市场导报》 CSSCI 北大核心 2017年第7期25-33,共9页
针对以往在我国股权溢价之谜研究中结论迥异的现象,本文创新性地从时间、消费和偏好3个选择维度,探讨了我国股权溢价之谜问题,并且解释了选择偏差对结论的影响,其中还包括构造了一种不包含耐用品的消费指代变量。研究发现,由于我国市场... 针对以往在我国股权溢价之谜研究中结论迥异的现象,本文创新性地从时间、消费和偏好3个选择维度,探讨了我国股权溢价之谜问题,并且解释了选择偏差对结论的影响,其中还包括构造了一种不包含耐用品的消费指代变量。研究发现,由于我国市场发展过程中的独特性,选择偏差不仅会导致我国投资者风险厌恶程度的高估,也会影响溢价之谜存在性的判断。整体上看,我国虽然存在基础意义下的股权溢价之谜,但稳定性有限,市场整体的风险厌恶程度比以往想象的要更低。与西方成熟市场相比,投资者追逐高风险高收益的偏好较为明显。 展开更多
关键词 选择偏差 股权溢价之谜 风险厌恶 H-J方差界
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股市理性泡沫的检验方法比较研究 被引量:2
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作者 胡江锋 杨德权 《价值工程》 2007年第1期143-147,共5页
首先在理性预期和无套利条件下得到理性泡沫模型;然后基于实证对理性泡沫的四种典型检验方法:方差界检验、设定检验、单位根和协整检验、内在性泡沫检验方法进行比较分析,并得出结论。
关键词 理性泡沫 方差界 单位根 内在性泡沫
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Lower bound on BER performance for maximal ratio combining with weighting errors 被引量:1
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作者 盛彬 尤肖虎 《Journal of Southeast University(English Edition)》 EI CAS 2005年第4期379-384,共6页
The theoretical lower bounds on mean squared channel estimation errors for typical fading channels are presented by the infinite-length and non-causal Wiener filter and the exact closed-form expressions of the lower b... The theoretical lower bounds on mean squared channel estimation errors for typical fading channels are presented by the infinite-length and non-causal Wiener filter and the exact closed-form expressions of the lower bounds for different channel Doppler spectra are derived. Based on the obtained lower bounds on mean squared channel estimation errors, the limits on bit error rate (BER) for maximal ratio combining (MRC) with Gaussian distributed weighting errors on independent and identically distributed (i. i. d) fading channels are presented. Numerical results show that the BER performances of ideal MRC are the lower bounds on the BER performances of non-ideal MRC and deteriorate as the maximum Doppler frequency increases or the SNR of channel estimate decreases. 展开更多
关键词 lower bound bit error rate minimum mean-square error channel estimation maximal ratio combining
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火电厂协调控制系统的性能评价 被引量:5
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作者 李小军 张锐锋 +3 位作者 柏毅辉 南浩 陆斯悦 牛玉广 《控制工程》 CSCD 北大核心 2017年第9期1871-1876,共6页
基于多变量系统的性能评价,论文首先提出了一套完整的基于最小方差基准界的性能评价体系,该体系包括4个最小方差基准界,2个最小方差上界,2个最小方差下界。然后将此应用到火电厂协调控制系统的性能评价中,通过对比不同控制策略下系统的... 基于多变量系统的性能评价,论文首先提出了一套完整的基于最小方差基准界的性能评价体系,该体系包括4个最小方差基准界,2个最小方差上界,2个最小方差下界。然后将此应用到火电厂协调控制系统的性能评价中,通过对比不同控制策略下系统的性能,找到了适合于多变量系统的较好控制策略。对比结果表明,自抗扰解耦控制综合了自抗扰控制和解耦补偿器的优点,能更进一步解除变量间的耦合,从而能更进一步提高系统的性能。 展开更多
关键词 性能评价 最小方差基准 自抗扰控制器 解耦控制 关联矩阵 多变量系统
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双率采样量化控制系统参数辨识方法 被引量:1
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作者 张涛 谢林柏 丁锋 《科学技术与工程》 2008年第21期5833-5837,共5页
针对双率采样和信号量化的控制系统,当估计误差方差无界时,采用随机重复性试验测量信息,提出基于辅助模型的双率采样量化控制系统辨识方法。首先分析了在随机重复性试验下双率采样量化系统当估计误差方差无界时的模型特征。推导了进行... 针对双率采样和信号量化的控制系统,当估计误差方差无界时,采用随机重复性试验测量信息,提出基于辅助模型的双率采样量化控制系统辨识方法。首先分析了在随机重复性试验下双率采样量化系统当估计误差方差无界时的模型特征。推导了进行参数辨识所满足的持续激励条件,给出了估计误差方差无界时基于辅助模型的量化辨识递推算法;接着研究了所给出量化辨识递推算法的收敛性。最后数字仿真验证了算法的有效性。 展开更多
关键词 信号量化 估计误差方差 双率采样系统 辅助模型
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Pure quasi-P wave equation and numerical solution in 3D TTI media 被引量:3
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作者 张建敏 何兵寿 唐怀谷 《Applied Geophysics》 SCIE CSCD 2017年第1期125-132,191,共9页
Based on the pure quasi-P wave equation in transverse isotropic media with a vertical symmetry axis (VTI media), a quasi-P wave equation is obtained in transverse isotropic media with a tilted symmetry axis (TTI me... Based on the pure quasi-P wave equation in transverse isotropic media with a vertical symmetry axis (VTI media), a quasi-P wave equation is obtained in transverse isotropic media with a tilted symmetry axis (TTI media). This is achieved using projection transformation, which rotates the direction vector in the coordinate system of observation toward the direction vector for the coordinate system in which the z-component is parallel to the symmetry axis of the TTI media. The equation has a simple form, is easily calculated, is not influenced by the pseudo-shear wave, and can be calculated reliably when δ is greater than ε. The finite difference method is used to solve the equation. In addition, a perfectly matched layer (PML) absorbing boundary condition is obtained for the equation. Theoretical analysis and numerical simulation results with forward modeling prove that the equation can accurately simulate a quasi-P wave in TTI medium. 展开更多
关键词 TTI media the pure quasi-P wave equation high-order finite PML boundary conditions BP model
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Edge detection in the potential field using the correlation coefficients of multidirectional standard deviations 被引量:5
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作者 徐梦龙 杨长保 +2 位作者 吴燕冈 陈竞一 郇恒飞 《Applied Geophysics》 SCIE CSCD 2015年第1期23-34,120,121,共14页
Most edge-detection methods rely on calculating gradient derivatives of the potential field, a process that is easily affected by noise and is therefore of low stability. We propose a new edge-detection method named c... Most edge-detection methods rely on calculating gradient derivatives of the potential field, a process that is easily affected by noise and is therefore of low stability. We propose a new edge-detection method named correlation coefficient of multidirectional standard deviations(CCMS) that is solely based on statistics. First, we prove the reliability of the proposed method using a single model and then a combination of models. The proposed method is evaluated by comparing the results with those obtained by other edge-detection methods. The CCMS method offers outstanding recognition, retains the sharpness of details, and has low sensitivity to noise. We also applied the CCMS method to Bouguer anomaly data of a potash deposit in Laos. The applicability of the CCMS method is shown by comparing the inferred tectonic framework to that inferred from remote sensing(RS) data. 展开更多
关键词 Edge detection Correlation coefficient multidirectional standard deviation Bouguer anomaly
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Real-world characteristics of hospitalized frail elderly patients with atrial fibrillation: can we improve the current prescription of anticoagulants? 被引量:4
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作者 Giorgio Annoni Paolo Mazzola 《Journal of Geriatric Cardiology》 SCIE CAS CSCD 2016年第3期226-232,共7页
Background In elderly patients, especially those older than 80 years, atrial fibrillation (AF) is associated with an almost 25% in- creased risk of stroke. Stroke prophylaxis with anticoagulants is therefore highly ... Background In elderly patients, especially those older than 80 years, atrial fibrillation (AF) is associated with an almost 25% in- creased risk of stroke. Stroke prophylaxis with anticoagulants is therefore highly recommended. The prevalence of factors that have been associated with a lower rate of prescription and adherence to anticoagulant therapy in these patients is little known. The objective of this study was to explore the clinical characteristics of elderly subjects, with and without AF, consecutively admitted to an acute geriatric unit, discussing factors that may decrease the persistence on stroke prophylaxis therapy. We also highlight possible strategies to overcome the barriers conditioning the current underuse of oral anticoagulants in this segment of the population. Methods A retrospective observational study was performed on a cohort of elderly patients with and without AF admitted to the Acute Geriatric Unit of San Gerardo Hospital (Monza, Italy). Results Compared to patients without AF (n = 1216), those with AF (n = 403) had a higher Charlson Comorbidity Index (3 vs. 2, P 〈 0.001), number of administered drugs (4 vs. 3, P 〈 0.001), rate of heart failure (36.5% vs. 12%, P 〈 0.001) and chronic kidney disease (20.6 vs. 13.2, P 〈 0.001). Many patients with AF were frail (54%) or pre-frail (29%). Conclusions Elderly patients with AF have higher rates of conditions that affect adherence to traditional anticoagulant therapy (vitamin K antagonists, VKA). New direct oral anticoagulants (DOAs) can help overcome this problem. In order to prescribe the most appropriate VKA or DOAs, with the best efficacy/safety profile and the highest compliance, a comprehensive geriatric assessment should always accompany the scores for thrombotic and hemorrhagic risk stratification. 展开更多
关键词 Anticoagulant prescription Atrial fibrillation COMORBIDITY Comprehensive geriatric assessment FRAILTY
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On a max-type difference equation
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作者 张渝 《Journal of Chongqing University》 CAS 2006年第1期27-29,共3页
This paper studies the asymptotic behavior of solutions of the difference equation X(n+1)=max{C1/Xn,C2/X(n-1)},n=0,1,…,where the parameters C1, C2 and the initial conditions x(-1), xo are nonzero real numbers... This paper studies the asymptotic behavior of solutions of the difference equation X(n+1)=max{C1/Xn,C2/X(n-1)},n=0,1,…,where the parameters C1, C2 and the initial conditions x(-1), xo are nonzero real numbers. More precisely, it has been proved that: (1) if Ct 〈 0 and C2 〉 0, then every solution of the equation is eventually periodic; (2) if Ct 〈 0 and C2 〈 0, then every solution of the equation is unbounded when C1≠P C2 or is eventually periodic when C1 = C2. 展开更多
关键词 difference equation periodic solutions unbounded solutions
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On the Solutions of xn+1=f(xn)/xn-1Where fis Piecewise Linear
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作者 M. B. Foreman R. B. Holmes W. E. Taylor 《Journal of Mathematics and System Science》 2016年第9期348-351,共4页
Our goal in this paper is to examine the long-term behavior of solutions of the following difference equation xn+1=f(xn)/xn-1 wherefis piecewise linear, and the initial values x-1 and xoare non-zero real numbers. W... Our goal in this paper is to examine the long-term behavior of solutions of the following difference equation xn+1=f(xn)/xn-1 wherefis piecewise linear, and the initial values x-1 and xoare non-zero real numbers. We examine the boundedness, periodicity, and the existence of oscillatory solutions. 展开更多
关键词 nonlinear difference equations PERIODICITY oscillation
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Numerical Solution of Some Diffusion Problems in 3-Layered 3D Domain
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作者 Harijs Kalis Ilmars Kangro Aigars Gedroics 《Journal of Mathematics and System Science》 2013年第6期309-318,共10页
In this paper we consider averaging and finite difference methods for solving the 3-D boundary-value problem in a multilayered domain. We consider the metal concentration in the 3 layered peat blocks. Using experiment... In this paper we consider averaging and finite difference methods for solving the 3-D boundary-value problem in a multilayered domain. We consider the metal concentration in the 3 layered peat blocks. Using experimental data the mathematical model for calculating the concentration of metal at different points in peat layers is developed. A specific feature of these problems is that it is necessary to solve the 3-D boundary-value problems for the partial differential equations (PDEs) of the elliptic type of second order with piece-wise diffusion coefficients in the three layer domain. We develop here a finite-difference method for solving a problem of the above type with the periodical boundary condition in x direction. This procedure allows reducing the 3-D problem to a system of 2-D problems by using a circulant matrix. 展开更多
关键词 3D diffusion problem finite difference method averaged method heavy metals Ca Fe peat bog.
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罕见灾难风险与中国股权溢价 被引量:10
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作者 赵向琴 袁靖 《系统工程理论与实践》 EI CSSCI CSCD 北大核心 2016年第11期2764-2777,共14页
本文计算了我国1996-2014年平均股权溢价,并通过基于传统效用函数及广义预期效用函数的资产定价模型计算的相对风险规避系数、GMM估计方法及H-J最小方差界验证了我国的确存在股权溢价之谜,以此构建灾难风险模型对我国股权溢价之谜进行解... 本文计算了我国1996-2014年平均股权溢价,并通过基于传统效用函数及广义预期效用函数的资产定价模型计算的相对风险规避系数、GMM估计方法及H-J最小方差界验证了我国的确存在股权溢价之谜,以此构建灾难风险模型对我国股权溢价之谜进行解释,结论包括:1)我国1996-2014平均股权溢价为8.64%,股票收益波动性较大;2)我国的确存在股权溢价之谜,仅考虑广义期望效用函数无法合理解释我国股权溢价之谜;3)时变灾难模型可以较好地解释我国股权溢价之谜,尤其股市熊市模型更能体现灾难对投资者行为的影响从而影响资产价格风险溢价;4)我国股票收益率波动较大,而股息增长率波动较小,本文验证了灾难视角下股利价格比可以有效预测股票超额收益,为今后投资决策提供稳定科学指标和研究框架. 展开更多
关键词 罕见灾难 股权溢价 广义预期效用函数 H-J最小方差界
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选择偏误对资产定价谜团的实证影响--基于中国股票市场的分析
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作者 刘俊玮 王一鸣 《当代财经》 CSSCI 北大核心 2017年第11期58-68,共11页
股权溢价之谜与无风险利率之谜在不同市场具有不同的表现。从时间频度、消费变量和效用偏好三个选择维度出发,系统探讨股权溢价之谜和无风险利率之谜在中国市场的表现后发现:时间频度的选择偏误容易得到异常的时间贴现率,影响无风险利... 股权溢价之谜与无风险利率之谜在不同市场具有不同的表现。从时间频度、消费变量和效用偏好三个选择维度出发,系统探讨股权溢价之谜和无风险利率之谜在中国市场的表现后发现:时间频度的选择偏误容易得到异常的时间贴现率,影响无风险利率之谜的结论;而时间频度和消费变量的选择偏误还容易导致中国市场风险厌恶程度的高估,影响股权溢价之谜的判断;在HFU与GEU偏好下,中国既不存在股权溢价之谜,也不存在无风险利率之谜。总体上看,不同于西方成熟市场,中国不存在无风险利率之谜;并且,虽然存在基础意义下(CRRA偏好)的股权溢价之谜,但稳健性不足。因此,能否准确刻画中国投资者的偏好,成为股权溢价之谜是否稳定成立的关键。 展开更多
关键词 选择偏误 股权溢价之谜 无风险利率之谜 H-J方差界 理性偏好
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Necessary and Sufficient Conditions for Oscillation ofBounded Solutions of Nonlinear Second Order Difference Equations
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作者 张振国 张彩顺 俞元洪 《Journal of Mathematical Research and Exposition》 CSCD 北大核心 2002年第4期561-566,共6页
In this paper, we give necessary and sufficient conditions for oscillation of bounded solutions of nonlinear second order difference equation △(pn△yn)+ qnf(yn-rn) = 0. Obtained results improve theorems in the litera... In this paper, we give necessary and sufficient conditions for oscillation of bounded solutions of nonlinear second order difference equation △(pn△yn)+ qnf(yn-rn) = 0. Obtained results improve theorems in the literature [3,6,7]. 展开更多
关键词 second order difference equation oscillation delay.
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BERRY-ESSEEN BOUNDS OF ERROR VARIANCE ESTIMATION IN PARTLY LINEAR MODELS 被引量:1
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作者 高集体 洪圣岩 梁华 《Chinese Annals of Mathematics,Series B》 SCIE CSCD 1996年第4期477-490,共14页
Consider the regression model Y i=x τ iβ+g(t i)+ε i for i=1,…, n. Here (x i, t i) are known and nonrandom design points and ε i are i.i.d. random errors.The family of nonparametric estimates n(·) of g(·... Consider the regression model Y i=x τ iβ+g(t i)+ε i for i=1,…, n. Here (x i, t i) are known and nonrandom design points and ε i are i.i.d. random errors.The family of nonparametric estimates n(·) of g(·) including some known estimates is proposed. Based on the model Y i=x τ i+ n(t i)+ε i, the Berry-Esseen bounds of the distribution of the least-squares estimator of β are investigated. 展开更多
关键词 Partly linear model Least-squares estimate Berry-Esseen bounds
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Optimal signal design strategy with improper Gaussian signaling in the Z-interference channel
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作者 Dan LI Shan WANG Fang-lin GU 《Frontiers of Information Technology & Electronic Engineering》 SCIE EI CSCD 2017年第11期1900-1912,共13页
We propose a thoroughly optimal signal design strategy to achieve the Pareto boundary (boundary of the achievable rate region) with improper Gaussian signaling (IGS) on the Z-interference channel (Z-IC) under th... We propose a thoroughly optimal signal design strategy to achieve the Pareto boundary (boundary of the achievable rate region) with improper Gaussian signaling (IGS) on the Z-interference channel (Z-IC) under the assumption that the interference is treated as additive Gaussian noise. Specifically, we show that the Pareto boundary has two different schemes determined by the two paths manifesting the characteristic of improperly transmitted signals. In each scheme, we derive several concise closed-form expressions to calculate each user's optimally transmitted power, covariance, and pseudo-covariance of improperly transmitted signals. The effectiveness of the proposed optimal signal design strategy is supported by simulations, and the results clearly show the superiority of IGS. The proposed optimal signal design strategy also provides a simple way to achieve the required rate region, with which we also derive a closed-form solution to quickly find the circularity coefficient that maximizes the sum rate. Finally, we provide an in-depth discussion of the structure of the Pareto boundary, characterized by the channel coefficient, the degree of impropriety measured by the covariance, and the pseudo-covaxiance of signals transmitted by two users. 展开更多
关键词 Z-interference channel Improper Gaussian signaling Sum-rate Pareto boundary COVARIANCE Pseudo-covariance
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A survey on artificial boundary method Dedicated to Professor Shi Zhong-Ci on the Occasion of his 80th Birthday 被引量:3
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作者 HAN HouDe WU XiaoNan 《Science China Mathematics》 SCIE 2013年第12期2439-2488,共50页
The artificial boundary method is one of the most popular and effective numerical methods tor solving partial differential equations on unbounded domains, with more than thirty years development. The artificiM boundar... The artificial boundary method is one of the most popular and effective numerical methods tor solving partial differential equations on unbounded domains, with more than thirty years development. The artificiM boundary method has reached maturity in recent years. It has been applied to various problems in scientific and engineering computations, and the theoretical issues such as the convergence and error estimates of the artificial boundary method have been solved gradually. This paper reviews the development and discusses different forms of the artificial boundary method. 展开更多
关键词 artificial boundary method global artificial boundary condition local artificial boundary condi-tion discrete artificial boundary condition implicit artificial boundary condition nonlinear artificial boundarycondition
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MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOV REGIME SWITCHING AND UNCERTAIN TIME-HORIZON 被引量:10
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作者 Huiling WU Zhongfei LI 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2011年第1期140-155,共16页
This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to foll... This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to follow a discrete-time Markov chain. The authors derive the optimal strategy and the efficient frontier of the model in closed-form. Some results in the existing literature are obtained as special cases of our results. 展开更多
关键词 Dynamic programming Markov regime switching MEAN-VARIANCE portfolio selection uncertain time-horizon.
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