A NOTE ON OPTIMAL PORTFOLIO SELECTION UNDER STABLE PARETIAN DISTRIBUTIONS*

Elton, Gruber, and Padberg's [2] [3] ranking procedure and Kwan's [6] nonranking procedure for optimal portfolio selection lead to the same solution. This is because of a particular functional property of the cutoff rate for security performance. In this note, the robustness of that functional property is demonstrated the normality of security returns assumed in the above studies is relaxed to encompass the general family of stable Paretian distributions. The proof here is an important step toward portfolio analysis using some multiindex models when securities cannot be ranked.     

机会约束下的均值-VaR投资组合模型研究

本文在投资组合回报率服从正态分布的前提下,建立了具有投资机会约束的均值-VaR投资组合模型,讨论了模型最优解的存在唯一性,并得到了最优解的解析表达式;通过比较分析得出,具有投资机会约束的均值-方差投资组合模型只是本文讨论的模型的特款。     

Two tests of the erogodicity of monthly security return distributions

A popular technique in finance research is to use time averaged statistics from monthly security return time series as estimates of the properties of the process generating the returns. This procedure requires the process generating returns to be ergodic. Two tests of this property are applied to monthly return data on 160 securities. The trends tests on mean and variance supports the ergodicity property on two-thirds of the securities. The rank sum test supports this property on less than half the tests. The conclusion is against the ergodicity assumption.     

引入无风险证券的均值——VaR投资组合模型研究

本文根据Markowitz均值-方差模型的研究发展过程,结合机会约束模型,引入无风险证券,建立了用VaR代替方差作为风险度量指标的机会约束下均值———VaR投资组合模型,讨论了模型最优解的存在性和唯一性,并得到了模型最优解的解析表达式。     

Application of the Fuzzy Weighted Average in Strategic Portfolio Management*

We propose a systematic approach that incorporates fuzzy set theory in conjunction with portfolio matrices to assist managers in reaching a better understanding of the overall competitiveness of their business portfolios. Integer linear programming is also accommodated in the proposed integrated approach to help select strategic plans by using the results derived from the previous portfolio analysis and other financial data. The proposed integrated approach is designed from a strategy‐oriented perspective for portfolio management at the corporate level. It has the advantage of dealing with the uncertainty problem of decision makers in doing evaluation, providing a technique that presents the diversity of confidence and optimism levels of decision makers. Furthermore, integer linear programming is used because it offers an effective quantitative method for managers to allocate constrained resources optimally among proposed strategies. An illustration from a real‐world situation demonstrates the integrated approach. Although a particular portfolio matrix model has been adopted in our research, the procedure proposed here can be modified to incorporate other portfolio matrices.     

基于资产链的异质投资者资本资产定价模型

本文基于资产链理论给出投资者的异质预期假设,通过对资产链各节点系统风险的分解,将传统的资本市场线转变为资本市场超平面,建立基于资产链的资本资产定价模型。本文使用小波滤波分解资产收益,对模型在上海A股市场的适用性进行检验,结果表明模型能够区分各类系统风险对资产收益的影响,对资产的平均收益具有显著的解释能力。     

具有模糊收益的项目投资组合优化方法

基于可能性理论,研究了投资项目具有模糊收益的多项目投资组合的决策问题。在假设投资项目各年净现金流为三角模糊数的条件下,运用可能性均值和方差,建立了基于现值指数法的单投资项目模糊收益指标和模糊风险评价指标,同时,在此基础上建立了基于模糊可能性均值与方差的多项目投资组合优化模型,提出了最优项目投资组合的算法。最后,给出实际算例说明了方法的可行性和有效性。     

考虑交易成本的投资组合效率估计方法

投资组合绩效评价是学术界研究的热点问题。本文在经典的经济学框架下,基于真实前沿面,给出了投资组合效率的明确定义。由于实际投资环境的影响,投资组合优化模型非常复杂,难以获得真实前沿面的解析解,这给投资组合效率的应用带来了很大的困难。本文基于投资组合理论,在投资组合模型所对应的前沿面为凹函数的情况下,采用基于数据的投资组合DEA评价模型构造前沿面来逼近真实的前沿面,从而估计一般情形下投资组合的效率。在此基础上研究了考虑交易成本的投资组合效率评价问题,并用实例说明了本文方法的合理性与可行性。     

基于非参数估计框架的期望效用最大化最优投资组合

本文基于期望效用最大化和非参数估计框架研究了最优投资组合选择问题。和以往大多文献假定资产收益率服从某些特定分布不同资产收益率的分布类型无需作任何假设。首先在一般效用函数下,利用组合收益率密度函数的非参数核估计给出了期望效用的基本非参数估计公式,并建立了期望效用最大化投资组合选择问题的基本框架。然后,在投资者具有幂效用函数的假定下,给出了期望效用具体的非参数计算公式,并给出了求解最大期望效用的数值算法。最后,利用中国证券交易所11支股票日收益率的真实数据给出了一个数值算例。本文提出的非参数估计框架具有一般性,还可以进一步用来研究各种现实条件下（如各种现实不等式约束和具有交易成本）的投资组合管理问题。     

具有资本结构因子和交易成本的证券组合投资模型

在介绍经典的Harry Markowitz均值-方差投资组合模型的基础上,建立了含有资本结构因子和交易成本的证券组合最优化模型,在组合中不含有无风险证券和含有无风险证券的条件下,分别给出最优投资比例及有效边界,并讨论了资本结构因子与交易成本对有效边界的影响.     

OPTIMAL PORTFOLIO SELECTION OF BONDS AND STOCKS*

In the present study, we offer an alternative approach to bond portfolio management which differs from the traditional immunization approach. In doing so, we formalize what has been a common practice among some investors who form portfolios of bonds and stocks with a view to optimizing the trade-off between risk and return. By using the general multiindex model to characterize the variance-covariance structure of security returns, both duration theory and modern equilibrium theories of the term structure are incorporated in the analysis. In addition, a simplified selection procedure based on a single-index model is derived. This procedure is intuitively appealing to practitioners since it selects assets on the basis of reward per unit of risk of individual assets.     

Estimation of Jump Tails

We propose a new and flexible nonparametric framework for estimating the jump tails of Itô semimartingale processes. The approach is based on a relatively simple‐to‐implement set of estimating equations associated with the compensator for the jump measure, or its intensity, that only utilizes the weak assumption of regular variation in the jump tails, along with in‐fill asymptotic arguments for directly estimating the “large” jumps. The procedure assumes that the large‐sized jumps are identically distributed, but otherwise allows for very general dynamic dependencies in jump occurrences, and, importantly, does not restrict the behavior of the “small” jumps or the continuous part of the process and the temporal variation in the stochastic volatility. On implementing the new estimation procedure with actual high‐frequency data for the S&P 500 aggregate market portfolio, we find strong evidence for richer and more complex dynamic dependencies in the jump tails than hitherto entertained in the literature.     

非平移收益曲线的风险免疫策略

在债券收益曲线呈刚体运动的假设条件下,引入Fisher&Weil久期的概念.从收益曲线的运动分析出发,提出了非平移收益曲线的风险免疫模型,基于该模型研究了风险最小化债券组合的对冲技术和方法.通过数值模拟实验,采用风险值VaR次序统计量估计技术对不同免疫策略下债券组合的风险敞口进行了分析.结果表明,所提出的风险免疫策略能有效地防范和控制无违约债券的利率风险.     

参数不确定性和效用最大化下的动态投资组合选择

标准投资组合选择理论假设投资者准确地知道与资产收益率相关的各种参数(例如均值和方差),忽视了参数不确定性引致的估计风险给投资决策带来的影响.本文研究引入参数不确定和学习时的连续时间动态投资组合选择问题,使用鞅方法求导出了具有CRRA型效用函数的投资者的最优投资策略的显式表达式.在此基础上,我们结合中国证券市场中的实际数据深入分析了参数不确定性以及投资者初始信念对最优投资策略的影响.     

Analysing the information embedded in the optimal mean–variance weights: CAPM versus Bamberg and Dorfleitner model

This paper is centred on the analysis of the information embedded in the optimal weights of the assets in the CAPM and the Bamberg–Dorfleitner model. On this basis, first we find a functional relationship between the optimal weights of both models. Next, we find a set of performance indicators that express the contribution of each asset to the reward/volatility ratio measured as the Sharpe ratio or through a utility function. For the Bamberg–Dorfleitner model these indicators also lead to identify the contribution of each independent variable to the reward/volatility ratio. Technically, these connections are obtained through the covariance-normalized portfolio that consists of a transformation of the inverted covariance matrix. The additive property of covariances is transmitted to the indicators. These results enable investors and portfolio managers to obtain a precise knowledge of the causes of the value of the reward/volatility ratio. From the corporate point of view, this approach contributes to a better identification of the features of the different types of investors to whom to focus the corporate financial policy.     

基于风险计量指标的证券组合投资的数学模型及其应用

本文建立的证券组合投资的数学模型采用风险系数β作为控制证券投资风险的参数,其经济意义明确,实用性强。该模型应用于证券组合投资,效果明显,操作方便。     

Portfolio theory—A planning tool

Portfolio theory is a relatively new development in the area of asset selection and diversification. Nevertheless, many articles, books and dissertations have been written to elaborate on the original concepts to such an extent that portfolio theory is now accepted doctrine in the field of finance.Portfolio theory deals with the rules for the intelligent selection of assets under conditions of risk. In this respect it is similar to planning, part of which consists of examining alternative courses of future action. Most of the research concerning portfolio theory has been directed toward the securities markets. Therefore, some of the terminology is investment oriented. Nevertheless, the concepts developed in portfolio theory can be applied to decisions concerning investments or to decisions that are part of a corporate plan. Think of investing in a security as being analogous to investing in a subsidiary, division, or product line. This article explains the major features of portfolio theory with the hope that corporate decision makers will use portfolio theory as a planning tool.     

基于股价预测的泛证券投资组合策略

本文基于期望效用最大化和L₁-中位数估计研究了在线投资组合选择问题。与EG（Exponential Gradient）策略仅利用单期价格信息估计价格趋势不同,本文将利用多期价格信息估计价格趋势,以提高在线策略的性能。首先,基于多期价格数据,利用L₁-中位数估计得到预期价格趋势。然后,通过期望效用最大化,提出一个新的具有线型时间复杂度的在线策略,EGLM（Exponential Gradient via L₁-Median）。并通过相对熵函数定义资产权重向量的距离,进而证明了EGLM策略具有泛证券投资组合性质。最后,利用国内外6个证券市场的历史数据进行实证分析,结果表明相较于UP（Universal Portfolio）策略和EG策略,EGLM策略有更好的竞争性能。     

Management Support for Portfolio Companies of Venture Capital Firms: An Empirical Study of German Venture Capital Investments

To date, there is a dearth of research on strategic antecedents and consequences of management support activities which German venture capital firms (VCFs) provide for the portfolio companies (PCs) they have invested in. This article provides insights regarding such support practices, their main determinants and impacts on the economic performance of PCs. Hypotheses were derived regarding usage of various types of management support, typical functional foci of management support and the influence of VCF and PC characteristics on management support practice. Hypotheses also cover relationships between type, intensity, and frequency of management support and PC performance. Data for 103 PCs of 12 German VCFs indicate the VCFs can improve the performance of their PCs by providing consultative management support, including active involvement in key functional decisions.