Global Risk Appetite,US Economic Policy Uncertainties and Cross-Border Capital Flow

Based on the global asset portfolio model,this paper created a panel threshold model using EPFR fund data to empirically test the non-linear spillover effects of US economic policy uncertainties on cross-border capital flow for emerging economies.Our study led to the following findings:(1)When the level of global investor risk tolerance is high,rising US EPU will induce a capital inflow into emerging economies,as manifested in the“portfolio rebalancing effect.”When the level of global investor risk tolerance is below a critical threshold,this gives rise to risk aversion and emerging economies will experience net capital outflow,i.e.the“flight to quality effect”.(2)Equity fund investors have a lower risk tolerance threshold than bond fund investors.(3)According to our heterogeneity analysis,more attention should be paid to monitoring capital flow through actively managed funds,ETF funds,and retail investor funds.The economy should increase financial efficiency and economic resiliency to mitigate capital outflow pressures from the external environment.

Intelligent option portfolio model with perspective of shadow price and risk‑free profit

Since Markowitz proposed modern portfolio theory,portfolio optimization has been being a classic topic in financial engineering.Although it is generally accepted that options help to improve the market,there is still an improvement for the portrayal of their unique properties in portfolio problems.In this paper,an intelligent option portfolio model is developed that allows selling options contracts to earn option fees and considers the high leverage of options in the market.Deep learning methods are used to predict the forward price of the underlying asset,making the model smarter.It can find an optimal option portfolio that maximizes the final wealth among the call and put options with multiple strike prices.We use the duality theory to analyze the marginal contribution of initial assets,risk tolerance limit,and portfolio leverage limit for the final wealth.The leverage limit of the option portfolio has a significant impact on the return.To satisfy the investors with different risk preferences,we also give the conditions for the option portfolio to gain a risk-free return and replace the Conditional Value-at-Risk.Numerical experiments demonstrate that the intelligent option portfolio model obtains a satisfactory out-of-sample return,which is significantly positively correlated with the volatility of the underlying asset and negatively correlated with the forecast error of the forward price.The risk-free option model is effective in achieving the goal of no drawdown and gaining satisfactory returns.Investors can adjust the balance point between returns and risks according to their risk preference.

Network Evolution Analysis of Vehicle Road-Driving Behavior Strategies and Design of Information Guidance Algorithm

By analyzing the influence of time and safety factors on the behavior strategies of vehicles on the road,a network game evolution model between drivers that considers the behavior strategies of the driving vehicle itself and its neighbors is constructed,and the competition relationship between different types of cars is studied.The influence of the proportion of driving vehicle types on the potential risk of the road is also discussed.This paper presents a guidance algorithm for vehicle dynamic behavior preference information.The correctness of the algorithm is verified by an example.Research shows:The choice of behavior strategies,such as speeding and lane changing,is related to the expected benefits of time,safety,and neighboring vehicle strategies,and the critical value of payable benefits is obtained.The higher the proportion of aggressive vehicles on the road,the greater the potential risk on the road.Whether there is a vehicle in the adjacent lane of the driving vehicle will affect the type of driving vehicle.Information guidance helps to stabilize the state of vehicles on the road,and the policy transition probability also helps stabilize the form of vehicles cars on the road.Still,information guidance has a more significant impact on the transition of vehicle types.Finally,the guidance strategy of managers is given when the road is smooth and congested.