The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the c...The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the closed-form solution of optimal dynamic portfolio,and used the Bayesian rule to estimate the model parameters to do an empirical study on two different samples of Shanghai Exchange Composite Index.Results show,model uncertainty results in positive or negative hedging demand of portfolio,which depends on investor's attitude toward risk;the effect of model uncertainty is more significant with the increasing of investment horizon,the decreasing of investor's risk-aversion degree,and the decreasing of information;predictability of risky asset return increases its allocation in portfolio,at the same time,the effect of model uncertainty also strengthens.展开更多
In applications, the traditional estimation procedure generally begins with model selection.Once a specific model is selected, subsequent estimation is conducted under the selected model withoutconsideration of the un...In applications, the traditional estimation procedure generally begins with model selection.Once a specific model is selected, subsequent estimation is conducted under the selected model withoutconsideration of the uncertainty from the selection process. This often leads to the underreportingof variability and too optimistic confidence sets. Model averaging estimation is an alternative to thisprocedure, which incorporates model uncertainty into the estimation process. In recent years, therehas been a rising interest in model averaging from the frequentist perspective, and some importantprogresses have been made. In this paper, the theory and methods on frequentist model averagingestimation are surveyed. Some future research topics are also discussed.展开更多
Compared with standard logit-based stochastic user equilibrium assignment model,the C-logit model describes route choice behavior in a more realistic way by considering the overlapping effect between routes.This paper...Compared with standard logit-based stochastic user equilibrium assignment model,the C-logit model describes route choice behavior in a more realistic way by considering the overlapping effect between routes.This paper investigates the inefficiency upper bounds of this model against the deterministic system optimum and the C-logit stochastic system optimum in terms of the total network travel time.It is found that the commonality factor of overlapping routes significantly affects the inefficiency bound,besides link congestion degree,total demand and the number of feasible routes.If the commonality factor is not considered,the efficiency loss resulting from selfishly stochastic travel behavior will be to large extent underestimated.展开更多
基金Key program of Natural Science Research of High Education of Anhui Province of China(No.KJ2009A157)
文摘The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the closed-form solution of optimal dynamic portfolio,and used the Bayesian rule to estimate the model parameters to do an empirical study on two different samples of Shanghai Exchange Composite Index.Results show,model uncertainty results in positive or negative hedging demand of portfolio,which depends on investor's attitude toward risk;the effect of model uncertainty is more significant with the increasing of investment horizon,the decreasing of investor's risk-aversion degree,and the decreasing of information;predictability of risky asset return increases its allocation in portfolio,at the same time,the effect of model uncertainty also strengthens.
基金supported by the National Natural Science Foundation of China under Grant Nos. 70625004, 10721101, and 70221001
文摘In applications, the traditional estimation procedure generally begins with model selection.Once a specific model is selected, subsequent estimation is conducted under the selected model withoutconsideration of the uncertainty from the selection process. This often leads to the underreportingof variability and too optimistic confidence sets. Model averaging estimation is an alternative to thisprocedure, which incorporates model uncertainty into the estimation process. In recent years, therehas been a rising interest in model averaging from the frequentist perspective, and some importantprogresses have been made. In this paper, the theory and methods on frequentist model averagingestimation are surveyed. Some future research topics are also discussed.
基金supported by the National Basic Research Program of China under Grant No.2012CB725401the National Natural Science Foundation of China under Grant Nos.71271001 and 71401083the Program for New Century Excellent Talents in University under Grant No.NCET-13-0025
文摘Compared with standard logit-based stochastic user equilibrium assignment model,the C-logit model describes route choice behavior in a more realistic way by considering the overlapping effect between routes.This paper investigates the inefficiency upper bounds of this model against the deterministic system optimum and the C-logit stochastic system optimum in terms of the total network travel time.It is found that the commonality factor of overlapping routes significantly affects the inefficiency bound,besides link congestion degree,total demand and the number of feasible routes.If the commonality factor is not considered,the efficiency loss resulting from selfishly stochastic travel behavior will be to large extent underestimated.
