对Black-Litterman模型加入主观收益方法的改进

Black-Litterman模型是高盛公司提出的确定加入主观观念的资产组合模型,其显著特点是模型加入了投资者的主观观念。目前文献研究显示,模型加入投资人主观收益的方法依然是武断确定。这样加剧了主观投资组合模型使用的随意性,也必将影响其使用效果,会给投资造成巨大损失。由此本文提出使用BMA（贝叶斯移动平均法）模型预测投资者主观收益,文中利用中国上海A股市场数据,编写Matlab程序对主观资产组合模型进行了实证,实证表明预测效果得到了明显改善。该模型不但对Blackliterman模型有重要作用,而且对金融统计模型预测效果的提高也有很大启发。     

Spatial correlation matrix selection using Bayesian model averaging to characterize inter-tree competition in loblolly pine trees

Many applications of statistical methods for data that are spatially correlated require the researcher to specify the correlation structure of the data. This can be a difficult task as there are many candidate structures. Some spatial correlation structures depend on the distance between the observed data points while others rely on neighborhood structures. In this paper, Bayesian methods that systematically determine the ‘best’ correlation structure from a predefined class of structures are proposed. Bayes factors, Highest Probability Models, and Bayesian Model Averaging are employed to determine the ‘best’ correlation structure and to average across these structures to create a non-parametric alternative structure for a loblolly pine data-set with known tree coordinates. Tree diameters and heights were measured and an investigation into the spatial dependence between the trees was conducted. Results showed that the most probable model for the spatial correlation structure agreed with allometric trends for loblolly pine. A combined Matern, simultaneous autoregressive model and conditional autoregressive model best described the inter-tree competition among the loblolly pine tree data considered in this research.     

Potential Uncertainty Reduction in Model‐Averaged Benchmark Dose Estimates Informed by an Additional Dose Study

A methodology is presented for assessing the information value of an additional dosage experiment in existing bioassay studies. The analysis demonstrates the potential reduction in the uncertainty of toxicity metrics derived from expanded studies, providing insights for future studies. Bayesian methods are used to fit alternative dose‐response models using Markov chain Monte Carlo (MCMC) simulation for parameter estimation and Bayesian model averaging (BMA) is used to compare and combine the alternative models. BMA predictions for benchmark dose (BMD) are developed, with uncertainty in these predictions used to derive the lower bound BMDL. The MCMC and BMA results provide a basis for a subsequent Monte Carlo analysis that backcasts the dosage where an additional test group would have been most beneficial in reducing the uncertainty in the BMD prediction, along with the magnitude of the expected uncertainty reduction. Uncertainty reductions are measured in terms of reduced interval widths of predicted BMD values and increases in BMDL values that occur as a result of this reduced uncertainty. The methodology is illustrated using two existing data sets for TCDD carcinogenicity, fitted with two alternative dose‐response models (logistic and quantal‐linear). The example shows that an additional dose at a relatively high value would have been most effective for reducing the uncertainty in BMA BMD estimates, with predicted reductions in the widths of uncertainty intervals of approximately 30%, and expected increases in BMDL values of 5–10%. The results demonstrate that dose selection for studies that subsequently inform dose‐response models can benefit from consideration of how these models will be fit, combined, and interpreted.     

福建省高等教育水平的影响因素——基于BMA方法的实证研究

党的十八大提出推动高等教育内涵式发展,就是要不断提高高等教育的效率。基于投入产出的视角,采用DEA分解测度福建省高等教育水平。为最大限度避免人为事先设定模型及变量导致的系统性偏差,引入模型及变量的不确定性,采用贝叶斯模型平均(BMA)方法对所有可能影响福建省高等教育水平的因素按照其重要性进行分类和排序。结果发现:高等教育投入和高等教育环境对福建省高等教育水平的作用明显但影响方向各异。提升福建省高等教育水平短期应调整资源投入方式,长期应更加注重投入产出的效率。