Some Financial Problems in the Light of EMM Results:Asset Pricing and Efficient Portfolio Allocation

Discussing results in asset pricing and efficient portfolio allocation,we show that mixed success and errors in these results often follow from a lack of information about the asset return distribution and wrong assumptions about its properties.Some mistakes in asset pricing come from the assumption of symmetry in return distributions.Some errors in efficient portfolio allocation follow from Markowitz’s approach when applying it to portfolio optimization of skewed asset returns.The Extended Merton model(EMM),generating skewed return distributions,demonstrates that(i)in skewed asset returns,the variance is not an adequate measure of risks and(ii)positive skewness in the asset returns comes together with a high default probability.Thus,the maximization of the mean portfolio returns and skewness with controlled variance used in mainstream papers can critically increase portfolio risks.We present the new settings of the optimal portfolio allocation problem leading to less risky efficient portfolios than the solutions suggested in all previous papers.

基于GM—周期扩展组合模型的铁路客运量预测

铁路客运量的准确预测对我国铁路建设项目投资和决策具有重要意义。由于铁路客运量预测系统本身是一个信息不完全的灰色系统,因此,可以通过建立(灰色)GM-周期扩展组合模型对铁路客运量的非线性动态变化进行预测。该模型运用灰色预测理论GM(1,1)与周期扩展模型结合,不但可以进行客运量的趋势预测,同时也可以充分考虑铁路客运量的周期波动性这一特征。最后,结合具体的实例验证说明该模型是科学合理的,预测值与实际值较吻合。