Markowitz组合证券投资决策模型的修正

在分析Markowitz模型不足的基础上,提出了一个修正模型。该模型将投资者所能承受的最大损失锁定,重新定义了投资组合收益和风险的概念,通过引进投资者对待收益和风险的心理取向系数,将收益和风险两目标融为一体,从而将双目标优化模型转变成单目标优化模型。并针对深圳股市上9种股票的数据进行了计算,验证了模型的有效性。

Portfolio Selection Model with Derivative Securities

Traditional portfolio theory assumes that the return rate of portfolio follows normality. However, this assumption is not true when derivative assets are incorporated. In this paper a portfolio selection model is developed based on utility function which can capture asymmetries in random variable distributions. Other realistic conditions are also considered, such as liabilities and integer decision variables. Since the resulting model is a complex mixed integer nonlinear programming problem, simulated annealing algorithm is applied for its solution. A numerical example is given and sensitivity analysis is conducted for the model.

论发达国家银行业的合并

近两年,国际金融界经历了巨大的变革与动荡,国际金融形势愈发变幻莫测。除巴林银行倒闭、墨西哥金融危机以及美元日元汇率大幅波动等事件之外,非常引人注目的是发达国家银行业的台并,日本的三鞯与东京、大和与住友、三井与太阳神,美国的芝加哥与底特律、大通与汉华、国民与南方,瑞士的信贷与大众,德国的德累斯顿与英国的本森,瑞典商业与芬兰储蓄银行等,合并浪潮风起云涌,方兴未艾。