考虑组合预测股价的泛证券投资组合选择策略北大核心CSCD

Online portfolio selection is regarded as an important research issue in the field of quantitative finance, which often aims to maximize returns or risk-adjusted returns. Mean-variance model, a classic portfolio model, assumes that the returns on assets obey a certain probability distribution, which characterizes the return and risk by calculating the mean value and covariance matrix of the portfolio, respectively. However, it is difficult to accurately obtain the future return or return distribution of assets, and the only information that can be accurately grasped is historical price data. Therefore, some scholars try to use only historical information to construct portfolio strategy, so they pay more and more attention to online portfolio selection problem. The so-called “online” means that when making decisions in the current period, the updated investment proportion only depends on the historical data obtained up to the beginning of the current investment, and the cycle is carried out until the end of the whole investment. Stock price prediction based on past information is one of the key problems of online portfolio selection without statistical assumption. In this paper, historical price data are used to predict the stock prices, and then a new online portfolio selection strategy is constructed. In the first part of this paper, we design a new online portfolio selection strategy based on the predicted stock prices with the goal of maximizing expected returns. First of all, in order to minimize the influence of market outliers or white noise, we adopt multiperiod historical price information to predict the stock prices for the next period. Secondly, in order to reduce the prediction bias caused by a single prediction model, the exponential smoothing method and L1-median estimation method are combined to construct a combination forecasting model. Then, the stock estimator can be obtained based on the above-mentioned combination forecasting model. Finally, a new online portfolio selection strategy named Combination Forecasting for Exponential Gradient (CFEG) is proposed by taking the maximization of expected return as the goal and adding a penalty term into the objective function to reduce the transaction costs caused by each transaction adjustment. In the second part, the competitive ratio analysis is adopted to analyze the competitive performance of the proposed strategy theoretically, and the Best Constant Rebalanced Portfolios (BCRP) strategy is regarded as a straw man. After a series of derivations, it is proven that the average logarithmic growth rate of CFEG strategy is asymptotically consistent with that of the BCRP strategy, namely, the proposed strategy CFEG is a universal strategy. In the third part, numerical examples are conducted to test the performance of the proposed strategy in terms of final cumulative wealth, statistical t-test, Sharpe ratio, Calmar ratio, transaction cost sensitivity, and other parameter sensitivities. It is necessary to test the performance of our proposed CFEG strategy. Therefore, this paper further demonstrates the performance of CFEG through numerical experiments related to 8 real stock market datasets in China and the United States. First of all, the most important indicator to judge the performance of a strategy is its final cumulative wealth. We compare the final cumulative wealth between the CFEG strategy with 3 benchmark strategies and 6 related online strategies, and compare the difference of the average logarithmic growth rate between CFEG strategy and BCRP strategy. On 8 datasets, the final cumulative wealth of CFEG strategy is stably higher than that of all online strategies, and the difference of the average logarithmic growth rate between CFEG and BCRP is almost zero. The CFEG strategy has a good performance on the whole, and the p-value is very small on each dataset in the statistical t-test. Secondly, the Sharpe ratio and Calmar ratio of CFEG strategy are compared with other strategies. The results show that CFEG strategy can better balance the returns and risks, and obtain higher risk-adjusted returns. Since the transaction costs are an important realistic constraint, the sensitivity analysis of the transaction cost rate of CFEG strategy is carried out subsequently. Meanwhile, 4 strategies are also selected for the purpose of comparison. The results show that CFEG strategy can withstand reasonable transaction costs and still obtain high returns. Finally, we conduct the sensitivity analyses of 3 parameters included in the design of CFEG strategy. The results show that the proposed CFEG strategy is stable and insensitive to parameter selection. Although the best parameter values are not selected, the CFEG strategy maintains excellent performance. Therefore, effective parameters can be selected easily in practical applications. In conclusion, the proposed strategy CFEG is suitable for investors to make investment decisions effectively and efficiently. The CFEG strategy is able to update the investment proportion in time without the future stock price information, so as to achieve the goal of maximizing returns, and provide some guidance for online investors. © (2023). All Rights Reserved.     

家族身份维持、正式组织制度与泛家族化管理

职业经理人泛家族化管理是我国家族企业实现治理转型的关键。本文基于组织身份理论认为泛家族化在某种程度上会导致家族身份泛化和家族成员对家族身份控制的冲突和矛盾,通过全国私营企业抽样调查数据实证结果表明:企业主家族主义观念较强、家族股东涉入程度较高以及具有传承意愿的家族企业具有较强家族身份控制需求,导致在经营上表现较低的泛家族化管理。进一步研究发现正式组织制度有利于提高泛家族化程度,同时正式组织制度的完善也减弱了核心家族身份维持、企业所有权家族身份的控制与延续对泛家族化的负向效应。研究结果厘清了家族企业中阻碍实现职业经理人泛家族化管理的家族身份因素,揭示了家族身份色彩越浓厚,其越难以打破原有家族边界进行泛家族化管理,对我国家族企业制定治理转型决策具有一定的参考价值。     

数字身份的泛在形态及其伦理风险治理研究

数字身份是以数字化形式存在的身份形态,与网络空间相伴而生。网络无处不在、无时不在的泛在特征使数字身份呈现出云形态、微形态、超文本形态、可视化形态和碎片化形态,为人们生产生活带来便利的同时,也在一定程度上存在伦理风险。数字身份的不合理应用总体指向了认同、隐私、自由和正义等4个伦理议题:数字身份弱化了人的自我认同和社会认同,造成了“整合型隐私”保护困境及“隐私悖论”,遮蔽了主体的自由意志和社会遗忘能力,隐含了“数据偏差”和“算法逻辑”不正义等问题。随着互联网日益普及,传统身份逐步向数字身份转型,加强数字身份伦理风险治理成为重要的时代议题。在新发展阶段,应充分利用技术、法律、伦理的协作互动,实现数字身份伦理风险的协同治理,提升数字社会认同感,维护数字身份隐私权,克服数字身份的异化,消解算法逻辑的歧视性影响,使其更好服务于社会政治经济发展和满足人民的美好生活需要。从技术治理层面来看,要加强技术的创新和发展,克服技术自身存在的负效应;从法律治理层面来看,应坚持权利与义务辩证统一的立法原则,为数字身份应用提供法律保障;从伦理治理层面来看,各个主体要加强自我约束,自觉成为数字身份治理的重要补充力量。     

“泛90后”用户心智模型引导下的旅游App界面设计

随着移动互联网的应用市场不断扩大,旅游App逐渐成为大众旅游所依赖的工具,在旅游App市场稳步增长的同时,“泛90后”群体逐步成为当今旅游消费的主力军。本文先对“泛90后”用户心智模型的概念、特性及构建方法进行研究分析,并提出相应的设计原则,后结合相关设计实践总结“泛90后”用户心智模型引导下旅游App界面设计策略。验证了心智模型应用于旅游App设计领域的可行性,研究获取到的“泛90后”用户心智模型为旅游App提供可供参考的设计策略,同时也为未来设计者提供新的思路。     

后疫情时代西方对华舆论泛政治化批判之批判

后疫情时代,西方对华舆论泛政治化批判现象明显,这种批判话语将公共卫生安全、国际贸易、宗教信仰等非政治问题政治化,严重损害了我国的国家利益与国际形象。中国发展对内展现出的中国特色社会主义制度的韧性和力量、对外提出的“构建人类命运共同体”等新理论及其实践强化了西方国家长期以来的防备和规制心理。拥有优势话语权的西方资本主义国家为遏制中国发展,维护西方主导的国际秩序稳定,利用信息强权和话语霸权对华进行泛政治化批判,以期剥夺、打压我国正常发展的权利和自由。因此,中国的应对思路是：不断推进中国特色社会主义经济的高质量发展,落实“人民至上”的执政理念以彰显中国特色社会主义的科学真理性与价值合理性;加强人类命运共同体的理论建构与实践践行,打破“国强必霸”的思维定式,以中国之治推动世界之治;利用好网络信息传播新技术,揭露西方批判话语的虚伪性,以贴合西方文化基因的方式传递中国声音。     

韩非情、法关系研究

韩非认为,君王立法应将人的情感作为制定法律的重要考量。在治国中,他认为君王应排斥自己的私情,因为私情在政治当中不利于以法治国,而且纵情对身体有害。在执法中,韩非又主张执法者应做到情与法交融。韩非所讲的“情”,始终是处于“法”之下,他主张君王在政治生活中排斥人的情感并非排斥情感本身,而是避免个人情感在政治生活中产生消极作用。     

“泛阿拉伯主义”在美国媒体的“帝国”意象

20世纪上半叶,面对阿拉伯人的统一诉求,有相当一部分人通过美国媒体,结合西方世界对伊斯兰教的刻板印象,将“泛阿拉伯主义”附会到中世纪的“阿拉伯帝国”,进而视其为西方文明的对立面。纳赛尔掌权后,美国媒体出于对埃及亲苏外交的敌视,纷纷指责埃及政府试图仰仗苏联支持,建立“阿拉伯帝国”。随着埃及(阿联)与苏联之间矛盾的加剧,美国舆论界仍继续敌视纳赛尔的“泛阿拉伯主义”,认为纳赛尔建立“阿拉伯帝国”的“野心”虽然导致其与苏联的纷争,但仍是西方的威胁。美国人对纳赛尔的敌视,虽然伴有强烈的冷战心态,但他们频繁以“阿拉伯帝国”或“穆斯林帝国”的历史意象,比附纳赛尔的“泛阿拉伯主义”实践,实际上是对“东西对立”叙事模式的延续,反映出西方世界长久以来对“伊斯兰征服”的历史记忆,并连带着对中东地区整合倾向的担忧。     

国内外学者关于西方马克思主义与经济学研究述评

西方马克思主义作为一个专门的术语是由西方学者首先提出的.围绕西方马克思主义看待马克思经济理论的态度,西方学者阐释为:20世纪70年代之前,西方马克思主义拒绝从经济和政治结构入手批判资本主义现实,特别轻视乃至反对马克思经济理论;在此之后,西方马克思主义开始注重对经济问题的研究,致力于复兴历史唯物主义.与之对应,国内学界描摹出西方马克思主义从去经济学化到泛经济学化的视域嬗变轨迹.     

孝对仁的限制:论曾子学派孝思想中的仁孝关系

作为早期儒学的一个重要阶段,曾子学派的仁孝关系无疑具有考察意义,其典型仁孝关系体现在以泛孝论为突出特色的孝思想之中.作为孝道起点的爱敬涉及两个层面:主体态度与对象利益,在前一层面,曾子学派发展出一种超越精神,即忠之概念,与此一层面之仁相呼应;在后一层面,其仁孝关系中以德致位、以德保位的主张产生了仁与孝的有益互动.但此互动受到孝道对象利益的限制,这种限制也体现在其敬身、保身、谏诤从亲及谕父母于道等思想中.     

论托尔斯泰的"泛现实主义化"创作及其得失

托尔斯泰并没有按照一种"标准"意义上的现实主义进行创作,而是走向了泛现实主义化创作.所谓"泛现实主义化"创作,即作者不拘泥于一种模式,而是运用各种创作手法,去不断开拓现实主义"疆域",具体表现在创作中分别向心理的、自然的、古典的三个领域拓展,由此形成了三种"新"的现实主义:即心理主义的现实主义、自然主义的现实主义和古典主义的现实主义,其相应的代表作分别为<伊凡·伊里奇之死>、<哈吉穆拉特>和<复活>."泛现实主义化"创作现象的出现,既与作者旺盛的艺术创造力使其不甘于一种表现形式有关;也与当时现实主义文学在欧洲趋于衰落有关.托尔斯泰的"泛现实主义化"创作一方面使托尔斯泰的现实主义焕发出新的活力,暂时化解了现实主义所遭遇的危机;但另一方面也带来了一些新问题.总的来看,"泛现实主义化"创作是对托尔斯泰一生创作风格摇曳多变的概括.