投资组合均值-方差模型和极小极大模型的实证比较

本文针对传统的Markowitz均值-方差(MV)模型和Young(1998)提出的极小极大(Minimax)模型进行了实证比较研究。我们将2001年上证30指数的实际数据分成两部分,一部分作为样本数据进行优化组合分析,另一部分作为非样本数据进行模拟投资,检验绩效。结果发现:在同样的样本数据下,由两种模型的解描绘的风险-收益率有效前沿图非常相似;将两组模型的最优解分别进行模拟投资,Minimax模型的结果明显优于MV模型。本文的实证结果检验了Minimax模型的理论结论,表明其在实际投资中具有良好的可操作性和实用价值。     

我国股票市场指数及指数证券投资组合

运用主成分分析法分析我国上海和深圳两个交易所几个市场指数对市场变化的反应情 况, 结果表明两个股票市场的综合指数和A 股指数可以反应市场的变化, 而其他指数不能反 映各自代表的股票市场变化. 由于这4 个指数都不是一个好的投资组合, 要得到与指数一致的 投资收益需要构造指数投资组合. 本文利用多因子定价模型, 结合统计分析和优化方法, 从每 个股票市场上选取20 余支股票, 经过适当的组合就可以得到与指数一致的收益.     

Nonparametric Tests for Stratum Effects in the Cox Model

Thispaper considers the stratified proportional hazards model witha focus on the assessment of stratum effects. The assessmentof such effects is often of interest, for example, in clinicaltrials. In this case, two relevant tests are the test of stratuminteraction with covariates and the test of stratum interactionwith baseline hazard functions. For the test of stratum interactionwith covariates, one can use the partial likelihood method (Kalbfleischand Prentice, 1980; Lin, 1994). For the test of stratum interactionwith baseline hazard functions, however, there seems to be noformal test available. We consider this problem and propose aclass of nonparametric tests. The asymptotic distributions ofthe tests are derived using the martingale theory. The proposedtests can also be used for survival comparisons which need tobe adjusted for covariate effects. The method is illustratedwith data from a lung cancer clinical trial.     

试析辛提卡的语言博弈论

辛提卡提出语言博弈理论旨在建立一种能用于系统分析或摹拟人的认识活动的过程及其结果的理论。这一理论以可能世界理论为基础 ,它把形式逻辑的模型集合建构看做一种特殊的博弈活动 ,用“寻找且找到博弈”描述以现实为对象的语言活动 ,并刻画了两种博弈之间的联系。“寻找且找到博弈”不同于运算 ,它的结局不是预先可断定的 ;而这一博弈规则是制约着语句F的整个证实过程的规则。     

Social mobility and personal satisfaction: evidence from ten countries

This paper examines survey data relating class mobility to satisfaction and dissatisfaction with seven different domains of everyday life among nationally representative samples of men and women living in ten industrialized nations. The evidence is set against competing pessimistic and optimistic accounts of the mobility experience found in earlier literature. Results show that individuals who move from working-class origins to middle-class destinations are no more likely to be systematically satisfied or dissatisfied with life than are the socially immobile or even those downwardly mobile from advantaged backgrounds into the working class. Indeed, in all nations, the overall association between class experience and satisfaction with life is both weak and uneven across the different life-domains. The study also serves to illustrate an important principle of research methodology more generally.     

Mixed Levels of Uncertainty in Complex Policy Models

The characterization and treatment of uncertainty poses special challenges when modeling indeterminate or complex coupled systems such as those involved in the interactions between human activity, climate and the ecosystem. Uncertainty about model structure may become as, or more important than, uncertainty about parameter values. When uncertainty grows so large that prediction or optimization no longer makes sense, it may still be possible to use the model as a behavioral test bed to examine the relative robustness of alternative observational and behavioral strategies. When models must be run into portions of their phase space that are not well understood, different submodels may become unreliable at different rates. A common example involves running a time stepped model far into the future. Several strategies can be used to deal with such situations. The probability of model failure can be reported as a function of time. Possible alternative surprises can be assigned probabilities, modeled separately, and combined. Finally, through the use of subjective judgments, one may be able to combine, and over time shift between models, moving from more detailed to progressively simpler order-of-magnitude models, and perhaps ultimately, on to simple bounding analysis.     

布莱克─肖尔斯期权定价模型在公司价值评估中的应用

公司股票、债券在本质上可看成是基于公司资产的期权,因而可用期权定价方法对其价值进行评估。本文介绍了最典型的期权定价模型─布莱克一肖尔斯期权定价模型,分析了该模型在公司证券价值评估中的应用。     

魏晋南北朝文学表现家族观念的情感模式

魏晋南北朝时作家多出于世家大族 ,这些作家在他们的作品中表现了强烈的家族观念。家族观念是魏晋南北朝诗文作品表现的一种常见主题 ,但这一主题所呈现出来的情感色彩却有着明显的区别。纵观魏晋南北朝文学创作 ,我们可以将家族观念所表现的情感概括为几种模式 ,一是寄托式 ,二是追忆式 ,三是幻灭式     

浅谈社会发展的双重结构模式

探索适合于研究发展中国家的社会结构模式 ,从而突破单一结构模式的现代化理论的局限性是本文的主旨。运用分析和比较的方法 ,指出社会结构具有多重性、多层次性 ,发展中国家的社会结构具有独特性。发展中国家只有形成社会表层结构与社会深层结构良性互动的模式 ,才能保持结构张力 ,焕发社会活力 ,促进社会发展。     

试论高等教育“学、研、产”的关系

简论了教学、科研、生产三者的关系,认为三者相互依存、相互需求、相互促进、相互补充,同时指出高等教育是产学研结合组织基础中的中心主体。