通货膨胀分配效应与持有资产损益核算

通货膨胀分配效应与持有资产损益核算杨缅昆联合国于９０年代初公布的ＳＮＡ《修订草案》（以下简称《草案》）,涉及多个方面的修订内容。其中使国内统计界感到最为陌生的,莫过于持有资产损益核算了。由于该核算在指标概念上是全新的,加之《草案》在阐述核算方法时,起...     

全国功能收入分配格局分析

我国功能收入分配格局分析向书坚ＡＢＳＴＲＡＣＴＴｈｅｆｕｎｃｔｉｏｎｉｎｃｏｍｅｄｉｓｔｒｉｂｕｔｉｏｎｍｅａｎｓｔｈａｔｔｈｅｐｒｏｄｕｃｔｉｖｅａｃｈｉｅｖｅｍｅｎｔｓａｒｅｄｉｓｔｒｉｂｕｔｅｄａｃｃｏｒｄｉｎｇｔｏｔｈｅｒｏｌｅｏｒｃｏｎｔｒ...     

改革以来国民收入分配变化的分析

对改革以来国民收入分配格局变化的判断和评价,是当前经济学界所面临的一个重要课题。一个时期以来,很多经济学者在这方面做了大量有益的尝试,但判断结果差异很大,评价意见分歧不一,不利于宏观经济政策的制定。因此,有必要对这一问题作进一步的分析研究。     

国民收入分配:经济分析中的统计界定

1992年,我国经济摆脱了前两年的疲软状态,再一次纳入了高速发展的轨道。随之而来的是一场经济是否已经过热的讨论。然而,很多人已经注意到,这次经济高速增长的背景已于1985年大相径庭,其中的一个重要因素就是我国国民收入分配格局的重大变化,其基特本征是向个人倾斜。从某种意义上说,这种倾斜是培育我国社会主义市场经济体制的基础。因此,在我国经济转轨过程中,对国民收入分配关系的分析受到人们的普遍重视。     

三年积极财政政策的扩张和分配效果分析

 从1998年上半年中央开始实施积极财政政策以来，三年多的时间过去了。三年来的积极财政政策的力度是前所未有的。积极财政政策在刺激经济增长方面的效果是引人瞩目的，但在改善收入分配方面仍有所不足，下一步应完善积极财政政策。使其发挥更大的作用。     

对证券投资基金的比较分析

 证券投资基金的出现是我国证券市场发展的结果。自1998年以来,已经有6家基金上市交易。成立基金的初衷是增加市场中机构投资者。向市场导入稳健的投资理念,同时通过专家理财提高投资收益率,推动市场的健康成长。那么,如何评价基金的积极作用,基金的操作到底怎样,新基金应当从旧基金学习什么如何改进？我们试作一些具体分析,同时避免先入为主的某些成见。     

量化分析与模糊量化分析的比较研究

本文对量化分析和模糊量化分析的异国进行比较。限于篇幅,这里仅讨论量化分析和模糊量化分析的第1,2类。     

直接消耗系数变动的比较分析

一、引言自从Ｗ．Ｌｅｏｎｔｉｅｆ提出投入产出技术以来,投入产出技术在分析经济问题时取得了很大的成功。由于投入产出表的编制及出版一般要滞后于编表年份大约５年左右,并且,投入产出技术的两个基本假定（比例性假定和同质性假定）以及用于实际预测时常假定直接消耗...     

分配系数及其应用

经典投入产出理论中忽视对分配系数的讨论,对其应用就更不论及了。本文目的在于开辟这方面的研究,试图就分配系数的概念、性质及其应用方面作一探讨。 一、分配系数概念和性质 在投入产出表中,对于同一个部门可以读出其经济活动的两种结果,即从列上看的投入量和从行上看的产出量。而对于中间产品流量矩阵,任何一个元素都具有从两种不     

我国居民收入分配格局的统计分析

一、引言收入分配方式与结果影响和制约社会经济的有序发展。经过 2 0多年的改革 ,我国居民收入分配格局发生了很大变化。特别是收入差距拉大引起人们关注。本文对这个问题进行统计分析并指出其政策意义。　　二、改革以来居民收入分配格局的基本情况　　改革以前我国均等化程度很高 ,文献表明当时城市基尼系数在 0 2以下 ,农村多数估计都在 0 2 1— 0 2 4之间。而许多发展中国家 ,城市基尼系数在 0 37— 0 43之间 ,农村基尼系数则在 0 34— 0 40之间 ,我国显然比世界上大多数发展中国家都要低。这主要是由于收入分配中强调公平而忽…     

Optimal asset allocation for participating contracts with mortality risk under minimum guarantee

Abstract

We investigate an optimal investment problem of participating insurance contracts with mortality risk under minimum guarantee. The insurer aims to maximize the expected utility of the terminal payoff. Due to its piecewise payoff structure, this optimization problem is a non-concave utility maximization problem. We adopt a concavification technique and a Lagrange dual method to solve the problem and derive the representations of the optimal wealth process and trading strategies. We also carry out some numerical analysis to show how the portfolio insurance constraint impacts the optimal terminal wealth.     

Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation

This paper assesses the econometric and economic value consequences of neglecting structural breaks in dynamic correlation models and in the context of asset allocation framework. It is shown that changes in the parameters of the conditional correlation process can lead to biased estimates of persistence. Monte Carlo simulations reveal that short-run persistence is downward biased while long-run persistence is severely upward biased, leading to spurious high persistence of shocks to conditional correlation. An application to stock returns supports these results and concludes that neglecting such structural shifts could lead to misleading decisions on portfolio diversification, hedging, and risk management.     

Water cycle algorithm for solving the reliability-redundancy allocation problem with a choice of redundancy strategies

Abstract

This paper proposes a new mathematical model for the reliability-redundancy allocation problem (RRAP) with a choice of redundancy strategies. To maximize the reliability of a system, this model chooses the best redundancy strategy from among both active and standby ones for each subsystem. For those with a standby strategy, a continuous time Markov chain model is used to calculate the exact reliability values. In order to solve the proposed mixed-integer non-linear programing model, a powerful evolutionary algorithm, called water cycle algorithm (WCA), is developed and implemented on three famous benchmark problems. Finally, the results of different benchmark problems are compared with those previously reported to show the superiority of the proposed model and the efficiency of WCA.     

Treatment allocation strategies for umbrella trials in the presence of multiple biomarkers: A comparison of methods

Umbrella trials are an innovative trial design where different treatments are matched with subtypes of a disease, with the matching typically based on a set of biomarkers. Consequently, when patients can be positive for more than one biomarker, they may be eligible for multiple treatment arms. In practice, different approaches could be applied to allocate patients who are positive for multiple biomarkers to treatments. However, to date there has been little exploration of how these approaches compare statistically. We conduct a simulation study to compare five approaches to handling treatment allocation in the presence of multiple biomarkers – equal randomisation; randomisation with fixed probability of allocation to control; Bayesian adaptive randomisation (BAR); constrained randomisation; and hierarchy of biomarkers. We evaluate these approaches under different scenarios in the context of a hypothetical phase II biomarker-guided umbrella trial. We define the pairings representing the pre-trial expectations on efficacy as linked pairs, and the other biomarker-treatment pairings as unlinked. The hierarchy and BAR approaches have the highest power to detect a treatment-biomarker linked interaction. However, the hierarchy procedure performs poorly if the pre-specified treatment-biomarker pairings are incorrect. The BAR method allocates a higher proportion of patients who are positive for multiple biomarkers to promising treatments when an unlinked interaction is present. In most scenarios, the constrained randomisation approach best balances allocation to all treatment arms. Pre-specification of an approach to deal with treatment allocation in the presence of multiple biomarkers is important, especially when overlapping subgroups are likely.     

Statistical inference of the efficient frontier for dependent asset returns

In the paper we consider the three characteristics of the efficient frontier. These characteristics are estimated by substituting the unknown parameters by the sample counterparts. Assuming that the asset returns follow a stationary Gaussian process it is shown that the estimated characteristics are asymptotically normally distributed. This result is used to determine the joint asymptotic distribution of the estimated portfolio return and the estimated portfolio variance in the case of the expected utility portfolio and the tangency portfolio, respectively.