概率扭曲与A股市场风险定价

在等级依赖效用(RDU)框架下研究了概率扭曲对于A股市场的风险定价影响.理论上,通过推导概率扭曲下的CAPM模型,发现概率扭曲会通过影响投资者对于尾部风险的感知强弱程度而扭曲定价核,进而影响风险与收益的定价关系.当投资者低估(高估)尾部风险时,定价核呈钟型(U型),风险与收益之间负向(正向)关联.实证上,通过上证50ETF期权和A股截面数据证实了本文的理论发现.首先,由期权数据估计经验定价核,发现A股市场钟型定价核占主导,即大部分时期投资者会低估尾部风险.随后,构建概率扭曲指标将市场区分为高估时期和低估时期,回归结果发现：当市场处于低估(高估)尾部时期,系统性风险和特质风险都与预期收益显著负(正)相关.     

基于私人过度自信的PPP项目最优补偿契约设计与选择

基于政府对PPP项目补偿决策的困境,引入一种单期补偿契约,同时考虑到私人投资者在政府补偿下会存在过度自信倾向,通过“均值-方差”描述而引入私人过度自信系数,建立私人投资的期望效用函数,从而运用主从博弈方法分析私人过度投资行为以及对政府最优补偿契约的影响,进而在私人过度自信不可观察情形下,讨论政府最优补偿契约的设计与选择。研究表明：虽然私人过度投资行为并不一定有助于项目预期社会效益改善,但政府总可通过相应地调整契约参数来设计适应私人不同过度自信行为的最优补偿契约,并当私人过度投资不可观测时,可根据其过度自信的概率分布情况来选择使项目预期社会效益比较大的最优补偿契约。研究结果不仅有利于政府的补偿决策,也为PPP项目的实施提供了一种较好的理论支持。     

基于内生后验异质信念的资产定价研究

本文通过建立市场中存在过度自信非理性投资者的两类代表投资者的三期资产定价模型,研究投资者内生的后验异质信念与资产定价的关系。本文的研究发现,投资者的异质信念平均来说与资产价格的高估程度正相关,但就信号的具体实现值来看,异质信念的增大也可能与资产价格被低估的程度正相关。本文讨论了各种均衡状态下,信号的具体实现值对投资者异质信念与资产定价关系的影响。基于中国上市公司的实证研究为模型结论提供了很好的支持。     

虚假促销中消费者购买决策的认知机制:基于时间压力和过度自信的实证研究

促销是利用时间压力引诱消费者作出购买决策的营销手段,而虚假促销则是商家利用促销原理设计的带有欺骗性质的促销活动.在虚假促销活动中,消费者是否作出购买决策,与消费者决策理性、时间压力感知以及是否过度自信密切相关.依据经典文献,本文将时间压力分为“个人时间约束、促销时间限制及机会成本感知”三个维度,将虚假促销决策中的过度自信分为“夸大感知利得和忽略感知风险”两个维度.在此基础上,本文通过实证调研获得的数据对所构建的虚假促销购买决策认知机制模型进行了检验和分析.数据分析结果表明,在虚假促销活动中,消费者购买决策中的时间压力与决策自信程度有着显著的正相关关系,而过度自信又对购买意愿有着显著的影响.因此,将过度自信看作虚假促销活动诱致的“热”心理状态,很好地解释了消费者上当受骗的认知机制.从各变量的具体维度来看,促销时间压力比个人时间约束更易引起过度自信,且机会成本感知更易导致夸大感知利得.此外,过度自信中的夸大感知利得比风险意识缺失对购买意愿的影响更大.     

基于个人投资者过度自信的中国股票市场定价模型

根据中国股票市场的实际情况,在假设个人投资者过度自信、风险厌恶、且是市场上的价格接受者的条件下,建立数学模型、从理论上研究个人投资者过度自信对中国股票市场定价的影响机理.研究结果表明:个人投资者过度自信程度提高将增大股票市场价格波动性和预期价格、降低股票市场价格质量和个人投资者的总体投资收益;个人投资者风险厌恶程度提高和股票平均供给量增加将降低股票市场预期价格和增加个人投资者总体投资收益.论文研究结果可以在一定程度上合理地解释中国股票市场存在的暴涨暴跌现象、相对于发达国家和地区股票市场的高溢价现象、严重偏离于中国经济发展基本面的高波动现象以及个人投资者总体投资收益比较低的现象.     

认知偏差视角的管理创新引进机制实证研究

引进型管理创新的风靡突显其在提高组织绩效和获取持续竞争优势中不可替代的作用,与此同时,失败率居高不下的问题亦日益显现,究其原因在于作为管理创新决策直接负责人的核心管理者受到认知偏差的影响,导致所感知的创新风险偏低。由此,从认知偏差视角出发,收集237位企业核心管理者的数据,分析得出:过度自信、控制错觉和代表性法则与管理者管理创新风险感知负相关;风险感知与管理创新引进水平负相关;风险感知部分中介过度自信和控制错觉对管理创新引进水平的影响,并完全中介代表性法则对管理创新引进水平的影响。     

规避通胀风险的结构性理财产品设计与定价

在资产通胀风险日益增加的背景下,如何设计出更加符合市场的结构性理财产品并给予其合理定价是目前亟待解决的问题。运用金融工程组合分解技术构建一种创新型幂式双障碍敲出期权,该期权可以作为银行结构性理财产品的内嵌期权,从而获得一种创新型幂式双障碍理财产品,运用风险中性定价理论将复平面的围道积分应用于Laplace逆变换给出期权定价模型,以中国银行HJB0903v为例,研究中国规避通胀风险的黄金挂钩双障碍理财产品定价的合理性,并分析黄金价格波动对HJB0903v触及障碍的概率和理论价格的影响。研究结果表明,产品发行价格稍高于其理论价值,隐含溢价率为0.81%;波动率的增加使触及障碍的概率增加,使理论价格先小幅增加后大幅降低,最终趋于某一稳定值。     

黄金挂钩型理财产品投资分析

理财产品已经走进千家万户,然而对理财产品尤其是挂钩型结构性理财产品了解甚少。本文阐述了黄金挂钩型理财产品的特点和分类以及其挂钩标的的短期投资分析。旨在为投资者选购黄金挂钩型理财产品时提供参考意义。     

基于理性预期均衡框架下的价格泡沫与过度反应研究

基于理性预期均衡框架,分别在私人信息外生和内生获取的条件下研究知情交易者对新信息过度反应与价格泡沫之间的联系。研究发现：在私人信息外生获取的情况下,知情交易者对新信息过度反应会提高价格信息量。在私人信息内生获取的情况下,过度反应挤出了私人信息的生产,导致价格信息量降低,价格泡沫由此形成,此时流动性可能呈先降低后提高的U型变化。这为管理层加强私人信息披露和弱化投资者的过度反应程度提供了依据。     

金融推荐服务的渠道竞争策略研究

投资者对理财产品的认知能力有限,主要依赖外部“价值信号”形成自己对收益期望的“愿景”,从而简化投资过程。据此,本文通过构建一个新的三方博弈模型研究银行与数字金融平台之间的竞争决策,以探讨当银行有选择其销售顾问能力水平时,如何利用投资者的价值感知和对手特征来占客户对“愿景”错误理解的“便宜”,从而将这种系统性偏差转化为另一种获利来源。研究表明,金融服务强度的有效配置提升了银行的竞争力,但投资者剩余往往被完全剥夺。有趣的是,在同平台竞争中,银行增加了提供金融知识培训的额外动机,并且可能更喜欢强敌而不是弱者。此外,银行应该努力控制服务成本,以规避监管者为防止恶意竞争而禁止银行销售理财产品的风险。     

Criteria for selecting a production control philosophy

Logistic objectives constitute a compromise between having short leadtimes and a low volume of work in progress on the one hand and a high resource loading and due date obligation on the other. Miscellaneous production planning approaches offered today provide different combinations of logistic objectives for satisfying a manufacturing strategy. To combine the strength of the various approaches into a unified system, a new approach based on a dynamic and distributed production planning methodology is proposed. To customize the approach, various analyses and specifications have to be made and for that reason some important characteristics and criteria for analysing production control philosophies will be given.     

The social construction of the meaning of acute stressors: a qualitative study of the personal accounts of police officers using a stress counselling service

The police profession is one in which acute stressors are encountered more frequently than in other occupations. Using the personal accounts of 35 police officers attending an in-house stress counselling clinic, the aim of the present study was to provide a qualitative examination of how the institutional context of policing influenced the ways in which acute stressors signified to individual police officers experiencing felt distress. Using the framework of Rational Emotive Behaviour Therapy as an analytical tool, it is argued that beliefs contributing to the experience of felt distress are related to the way in which policing as both an identity and an activity is constructed through the police organizational culture. Not only do these constructions influence the ways in which officers perceive themselves and their environments, but they also operate at the collective level to 'normalize' some emotional responses and to 'pathologize' others which, it is argued, could impact upon the outcomes of interventions such as stress counselling.     

The moderating role of social support in Karasek's job strain model

This paper examines whether social support is a boundary-determining criterion in the job strain model of Karasek (1979). The particular focus is the extent to which different sources of social support, work overload and task control influence job satisfaction, depersonalization and supervisor assessments of work performance. Hypotheses are tested using prospective survey data from 80 clerical staff in a university setting. Results revealed 3-way interactions among levels of support (supervisor, co-worker, non-work), perceived task control and work overload on levels of work performance and employee adjustment (self-report). After controlling for levels of negative affect in all analyses, there was evidence that high levels of supervisor support mitigated against the negative effects of high strain jobs on levels of job satisfaction and reduced reported levels of depersonalization. Moreover, high levels of non-work support and co-worker support also mitigated against the negative effects of high strain jobs on levels of work performance. The results are discussed in terms of the importance of social support networks both at, and beyond, the work context.     

Job insecurity, coping resources and personality dispositions in occupational strain

This paper presents research on the relationships between the work-related stressor of perceived job insecurity and various indicators of occupational strain, taking into account employees' personality dispositions (trait negative and positive affectivity) and coping resources. Respondents were 222 Australian public servants surveyed during organizational restructuring that involved downsizing and threat to job certainty. The research was formulated within an adaptation of Osipow, Doty, and Spokane's (1985) framework of stress-strain-coping that included the possible direct as well as moderating effects of personality dispositions in reporting occupational strain (Parkes, 1990). Findings from hierarchical regression analyses indicate consistent significant independent effects of personality dispositions, coping resources and perceived job insecurity on various indicators of strain. There was also support for the moderating roles of negative affectivity and self-care in the relation between perceived job insecurity and physical strain. Implications for the role of dispositional factors, especially negative affectivity, and the utility of various coping resources in accounting for occupational strain in times of threatened job security are discussed.     

Introduction to Special Section on Sensitivity Analysis and Summary of NCSU/USDA Workshop on Sensitivity Analysis

This guest editorial is a summary of the NCSU/USDA Workshop on Sensitivity Analysis held June 11–12, 2001 at North Carolina State University and sponsored by the U.S. Department of Agriculture's Office of Risk Assessment and Cost Benefit Analysis. The objective of the workshop was to learn across disciplines in identifying, evaluating, and recommending sensitivity analysis methods and practices for application to food‐safety process risk models. The workshop included presentations regarding the Hazard Assessment and Critical Control Points (HACCP) framework used in food‐safety risk assessment, a survey of sensitivity analysis methods, invited white papers on sensitivity analysis, and invited case studies regarding risk assessment of microbial pathogens in food. Based on the sharing of interdisciplinary information represented by the presentations, the workshop participants, divided into breakout sessions, responded to three trigger questions: What are the key criteria for sensitivity analysis methods applied to food‐safety risk assessment? What sensitivity analysis methods are most promising for application to food safety and risk assessment? and What are the key needs for implementation and demonstration of such methods? The workshop produced agreement regarding key criteria for sensitivity analysis methods and the need to use two or more methods to try to obtain robust insights. Recommendations were made regarding a guideline document to assist practitioners in selecting, applying, interpreting, and reporting the results of sensitivity analysis.     

Job stress, job strain, and psychological withdrawal among Dutch university staff: towards a dualprocess model for the effects of occupational stress

This study examined the antecedents of job strain (emotional exhaustion, health complaints) and withdrawal behaviour (e.g. lowered organizational commitment) among a cross-sectional sample of 131 academic staff members of the law department of a large Dutch university. Conservation of resources theory (Hobfoll, 1989) provided the theoretical background for this study. Strains and withdrawal behaviours were expected to be most prominent among those who reported having few resources and/or who reported high job demands. Structural equation modelling revealed that this was indeed the case. As predicted, differential patterns of effects emerged for job demands and job resources. Analysis of the effects of four job-specific stressors revealed that especially the structural aspects of a staff member's teaching task (e.g. the number of students in their classes) contributed strongly to perceived job demands. Theoretical and practical implications of the study are discussed.     

Distinguishing traumatic, vicarious and routine operational stressor exposure and attendant adverse consequences in a sample of police officers

Problems in studying occupational stress within the police service are identified and the paucity of work on operational duties as potential stressors are discussed. The present study reports the results of a factor analysis of operational stressors (N = 601 serving British police officers) that revealed three factors: exposure to death and disaster; violence and injury; sexual crime. These were demonstrated to be reliable scales and were included in logistic regression models together with a range of demographic and psychological variables. Models were applied to men and women separately, which showed there to be different predictors of the likelihood of suffering distress (measured by the General Health Questionnaire, GHQ) in terms of the officer's gender and operational role. Overall the model for women officers was better at predicting psychological distress than that for men. These findings are related to aspects of the police occupational culture. Further discussion is offered that conceptualizes police operational stressors as traumatic, routine and vicarious. Finally, some implications are drawn for the provision of stress intervention in the light of this differentiation.     

Dermal Uptake of 18 Dilute Aqueous Chemicals: In Vivo Disappearance‐Method Measures Greatly Exceed In Vitro‐Based Predictions

Average rates of total dermal uptake (K_up) from short‐term (e.g., bathing) contact with dilute aqueous organic chemicals (DAOCs) are typically estimated from steady‐state in vitro diffusion‐cell measures of chemical permeability (K_p) through skin into receptor solution. Widely used (“PCR‐vitro”) methods estimate K_up by applying diffusion theory to increase K_p predictions made by a physico‐chemical regression (PCR) model that was fit to a large set of K_p measures. Here, K_up predictions for 18 DAOCs made by three PCR‐vitro models (EPA, NIOSH, and MH) were compared to previous in vivo measures obtained by methods unlikely to underestimate K_up. A new PCR model fit to all 18 measures is accurate to within approximately threefold (r = 0.91, p < 10^?5), but the PCR‐vitro predictions (r > 0.63) all tend to underestimate the K_up measures by mean factors (UF, and p value for testing UF = 1) of 10 (EPA, p < 10^?6), 11 (NIOSH, p < 10^?8), and 6.2 (MH, p = 0.018). For all three PCR‐vitro models, log(UF) correlates negatively with molecular weight (r² = 0.31 to 0.84, p = 0.017 to < 10^?6) but not with log(vapor pressure) as an additional predictor (p > 0.05), so vapor pressure appears not to explain the significant in vivo/PCR‐vitro discrepancy. Until this discrepancy is explained, careful in vivo measures of K_up should be obtained for more chemicals, the expanded in vivo database should be compared to in vitro‐based predictions, and in vivo data should be considered in assessing aqueous dermal exposure and its uncertainty.     

Systems Resilience for Multihazard Environments: Definition,Metrics, and Valuation for Decision Making

The United Nations Office for Disaster Risk Reduction reported that the 2011 natural disasters, including the earthquake and tsunami that struck Japan, resulted in $366 billion in direct damages and 29,782 fatalities worldwide. Storms and floods accounted for up to 70% of the 302 natural disasters worldwide in 2011, with earthquakes producing the greatest number of fatalities. Average annual losses in the United States amount to about $55 billion. Enhancing community and system resilience could lead to massive savings through risk reduction and expeditious recovery. The rational management of such reduction and recovery is facilitated by an appropriate definition of resilience and associated metrics. In this article, a resilience definition is provided that meets a set of requirements with clear relationships to the metrics of the relevant abstract notions of reliability and risk. Those metrics also meet logically consistent requirements drawn from measure theory, and provide a sound basis for the development of effective decision‐making tools for multihazard environments. Improving the resiliency of a system to meet target levels requires the examination of system enhancement alternatives in economic terms, within a decision‐making framework. Relevant decision analysis methods would typically require the examination of resilience based on its valuation by society at large. The article provides methods for valuation and benefit‐cost analysis based on concepts from risk analysis and management.     

UNIX系统性能监控简述及shell系统资源统计程序

本文简要阐述了unix系统中(主要以IBM的AIX为例)进行系统性能管理的几种命令行工具,并通过编写shell实例程序,运用其中提到的工具实现系统资源利用率的统计程序,为做好unix系统管理和调优提供参考.