信息对称资本市场的实验研究

在实验室资本市场中,如果资产收益可以通过概率明确计算出来,且所有交易者都知道这一信息时,那么,在少数交易中资产交易价格就偏离了资产的基本价值,出现了价格"泡沫"现象。但在大多数交易中,资产的交易价格还是接近资产的基本价值,符合有效市场假说的预期。     

Portfolio optimization: New capabilities and future methods

Summary  This paper addresses the problem of portfolio selection in finance. In many cases, currently available software to compute the efficient frontier runs into difficulty in problems with more than about 600 securities. To proceed beyond this size, it is often necessary to modify the problem in which case there is typically a loss of information. In this paper, we discuss a computer capability that can exactly compute mean-variance efficient frontiers of problems with up to 2,000 securities in very reasonable time (even if a problem’s covariance matrix is 100% dense). The paper also discusses an augmentation to the theory of portfolio selection that allows multiple objectives (such as dividends, liquidity, social responsibility, amount invested in R&D, and so forth) to be incorporated into the portfolio selection process. In such problems, the efficient set is no longer a “frontier,” but is now best described as a “surface” with the interesting property that it is composed of platelets (like on the back of a turtle). Moreover, the computer capability that can compute the exact efficient frontier of a mean-variance problem with up to 2,000 securities also has, after additional coding, the ability to compute exactly all platelets of the efficient surface of a tri-criterion portfolio problem with up to 400 securities.

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Zusammenfassung  In dieser Arbeit stellen wir einen leistungsf?higen Rechenalgorithmus vor, um den effizienten Rand (die nichtdominierten Alternativen) von Portfolio-Auswahlproblemen in der Finanzierung zu bestimmen. Wir bezeichnen den Berechnungsalgorithmus, der in Java programmiert ist, mit MPQ (multi-parametric quadratic programming). MPQ weist gegenüber bisherigen Berechnungsverfahren eine Reihe von Vorteilen auf: Es kann für umfangreiche Anwendungsf?lle genutzt werden, ist durch passable Rechenzeiten charakterisiert und kann die Menge effizienter Alternativen in einem Bruchteil bisher üblicher Rechenzeiten bestimmen.

     

On Robust and Efficient Designs for Risk Estimation in Epidemiological Studies

Abstract.  We consider the design problem for the estimation of several scalar measures suggested in the epidemiological literature for comparing the success rate in two samples. The designs considered so far in the literature are local in the sense that they depend on the unknown probabilities of success in the two groups and are not necessarily robust with respect to their misspecification. A maximin approach is proposed to obtain efficient and robust designs for the estimation of the relative risk, attributable risk and odds ratio, whenever a range for the success rates can be specified by the experimenter. It is demonstrated that the designs obtained by this method are usually more efficient than the commonly used uniform design, which allocates equal sample sizes to the two groups.     

国有资本从竞争领域有效退出的控制系统

本文构建了包括有关国有资本从竞争领域企业退出的系列法律法规、专门负责退出机构和退出援助等三大要素的控制系统。通过控制系统三要素相互作用和制约 ,使国有资本从竞争领域企业有效退出 ,实现产权结构多元化 ,促进社会主义市场经济体制的实现     

ASYMPTOTIC DEFICIENCY OF THE JACKKNIFE ESTIMATOR

In this paper it is shown that the bias-adjusted maximum likelihood estimator (MLE) is asymptotically equivalent to the jackknife estimator in the variance up to the order n^-1 and the asymptotic deficiency of the jackknife estimator relative to the bias-adjusted MLE is equal to zero.     

对西部大开发中降低行政成本的一些思考

行政效率是评估行政活动的重要尺度 ,降低行政成本始终是提高行政效率的基础环节。在西部大开发中注重对降低行政成本、提高行政效率的研究 ,是理论与实践相结合环节上的重要课题。由于行政效率的衡量是多维度的 ,因此提高途径就是方方面面的     

法律制度的效率价值追求

法律价值目标是马克思主义法理学和法哲学研究的重要课题。深入探讨法律价值目标问题,具有重大的理论意义和实践价值。效率是当代法律的一个基本价值目标。市场经济的效率性要求法律制度的效率价值的形成。市场经济法律制度的效率价值就是所有的法律规范、法律制度及其运作活动,归根到底,都是以有效的利用资源、最大限度地增加社会财富为目的,亦即以法律手段促进资源的最佳配置。     

效率与公平:市场经济的法律价值分析

分析了作为工具的法律与作为价值的法律 ,揭示了市场经济中人的经济行为的两个基本价值取向 ,即效率与公平。在此基础上 ,阐明了市场经济法律价值分析的哲学意蕴就在于从法哲学角度探讨法律如何促进和保障市场经济的效率与公平价值的实现。指出 ,效率与公平是社会主义市场经济法律价值的基本取向和目标。     

求解不允许卖空证券组合前沿的区间搜索方法

综合分析了不允许卖空时证券组合前沿的构成和性质 ,在此基础上给出了求解不允许卖空时证券组合前沿的区间搜索方法 .应用该方法可以方便迅速地求出带有大型协方差矩阵的非负证券组合前沿及构成前沿的全部抛物的解析式 .对于大型证券组合优化问题的求解以及最优证券组合选择理论和方法的实用化具有重要的理论意义和实用价值     

现代金融投资理论的发展和现实意义

金融投资理论的内容是如何配置和选择金融资产,如何衡量金融资产的风险和收益。内容包含三个主要部分:有效率市场假说,资本均衡理论和现代公司金融理论。