中非经贸合作下非洲基础设施建设的现状与挑战——以亚吉铁路建设为例

在分析非洲基础设施建设现状和特点的基础上,通过亚吉铁路建设的案例研究,探讨了中非经贸合作下非洲基础设施建设的成功效应和存在的主要问题,得出中国标准缺乏国际认可、中非双方存在文化冲突、对非“全产业链”与投融资需要强化和产业结构相似的结论。同时,对未来中非经贸合作下非洲基础设施建设的发展从消除文化差异、提高合作层次、加强投融资、改进中国标准、明确合作区发展定位、后疫情时代加快构建更紧密的中非命运共同体和加强产能合作并发挥产能优势等角度提出可行性建议。     

Enhancing momentum investment strategy using leverage

Previous studies examine investment strategies based on leverage and momentum; none investigates both variables jointly as an investment strategy. This paper is the first incorporating leverage and momentum together. We show that low past returns (losers) forecast future negative abnormal returns only among stocks with high leverage levels, but not among stocks with low leverage levels. However, high past returns (winners) forecast future positive abnormal returns independently of leverage level. As a result, the negative relation between leverage and future abnormal returns is only observed among loser stocks, and the positive relation between past returns and future abnormal returns is only shown among non‐low leverage stocks. Our results are important in achieving better investment strategies: buying winners' stocks (independently of their level of leverage) and short‐selling losers' stocks with high leverage yield higher abnormal returns than strategies based on only one of these variables. Our two‐dimensional strategy yields risk‐adjusted abnormal returns of 15.66% per annum, whereas the single leverage or momentum strategies yield 7.70% and 7.96% per annum, respectively. The difference is nearly 8% and economically significant. If leverage is considered as proxy for default risk, our results, contrary to previous evidence, show that momentum profits are not exclusive of default stocks, and that momentum returns are not only driven by negative returns yielded by distress stocks.     

Heston模型下考虑工资风险和保费退还条款的DC型养老金时间一致性投资策略

DC型养老金投资者通常可以将保费投资于金融市场中无风险资产、风险资产以及通胀指数化债券3种资产。在均值-方差准则下，为了充分考虑市场风险因素和保障参保人利益，将通胀风险、波动风险、工资风险以及保费退还条款引进投资模型中。利用博弈论思想和随机最优控制技术，通过求解一个扩展HJB方程组，得到了最优时间一致性投资策略和有效前沿的解析表达。最后，通过数值分析比较了有、无保费退还条款两种情形下的最优投资策略。此外，还分析了一些主要参数对最优投资策略和有效前沿的影响，并给出了经济意义上的解释。     

不同主导力量下供应商减排投资的谎报与协调策略

在碳交易政策下的两级低碳供应链中，针对供应商可能利用私有成本信息增加自身利润损害零售商和供应链绩效的问题，探讨供应商投资减排后不同主导力量下供应商的成本信息谎报行为和供应链协调策略。研究发现，供应链主导力量对供应链利润在供应链成员间的分配、供应链的整体绩效和供应商的最优成本谎报策略均有影响。供应商主导型供应链中，供应商不会谎报其成本信息；零售商主导型供应链中，供应商在一定条件下会采取相应的谎报策略以使自身利润最大化，影响减排量、低碳产品零售价格以及零售商和供应链的绩效等。因此，设计一种固定减排量下依赖于批发价格的线性补贴惩罚机制进行协调。在合适的契约参数设置下，此机制在激励供应商反馈真实成本信息的同时能够实现低碳供应链的完美协调，且能将供应链利润在零售商和供应商之间进行自由划分。最后，通过数值分析对结论进行验证并探讨了谎报因子与零售商和供应商利润的关系。     

基于融资约束的投资时机与债务规模

研究了融资约束模式下的中小企业投资时机和融资规模。利用风险中性定价方法给出了公司债券、股权、公司价值和担保成本定价的显式解；确定了投资时机与债务规模的函数关系；解释了担保换股权融资模式的优势。数值分析结果表明：投资触发水平随融资规模先减后增呈U型变化；被担保的公司价值大于股权融资的公司价值。随着风险的增大，两价值之差越来越小。比较静态分析也表明，担保换股权使得公司价值增加，投资被加速。     

Forecasting of dependence,market, and investment risks of a global index portfolio

This paper undertakes an in-sample and rolling-window comparative analysis of dependence, market, and portfolio investment risks on a 10-year global index portfolio of developed, emerging, and commodity markets. We draw our empirical results by fitting vine copulas (e.g., r-vines, c-vines, d-vines), IGARCH(1,1) RiskMetrics value-at-risk (VaR), and portfolio optimization methods based on risk measures such as the variance, conditional value-at-risk, conditional drawdown-at-risk, minimizing regret (Minimax), and mean absolute deviation. The empirical results indicate that all international indices tend to correlate strongly in the negative tail of the return distribution; however, emerging markets, relative to developed and commodity markets, exhibit greater dependence, market, and portfolio investment risks. The portfolio optimization shows a clear preference towards the gold commodity for investment, while Japan and Canada are found to have the highest and lowest market risk, respectively. The vine copula analysis identifies symmetry in the dependence dynamics of the global index portfolio modeled. Large VaR diversification benefits are produced at the 95% and 99% confidence levels by the modeled international index portfolio. The empirical results may appeal to international portfolio investors and risk managers for advanced portfolio management, hedging, and risk forecasting.     

考虑排班的人力资源投入问题的建模与优化

结合实际生产或项目中的排班情况,提出考虑排班的人力资源投入问题。针对该问题建立了以最小化人力资源投入为目标的数学模型。根据资源投入量与排班约束的性质,将原问题数学模型简化,证明简化后问题的数学模型与原问题最优解一致,并通过CPLEX软件求解过程,说明简化后的数学模型在求解速度上表现出很大的优越性。对于大规模问题,由于排班约束会导致班次间资源占用,使用传统任务列表编码方式难以获得较优的解。为此,提出了一种新型编码方式的遗传算法。该算法采用对作业延迟时间进行编码的方式,对作业开始时间进行搜索。为了提升算法的局部搜索能力,对作业延迟时间和开始时间进行局部优化。最后,通过数值实验与CPLEX和文献的算法比较,表明该算法的有效性。     

因素挖掘法在投资学课程中的教学实践

投资学课程的时代背景及中国投资学教材的特点决定了投资学课程教学方式的特殊性.构建了一种基于概率测度的因素挖掘法的教学过程设计模式,将课程知识点的难易程度转化为授课时间分配比例,并与学生素质的量化分布一致.投资学课程教学设计案例表明,基于因素挖掘法的课程教学设计效果较传统教学模式有显著性提高.     

随机利率和通货膨胀下DC养老金的鲁棒最优投资策略

针对通货膨胀、随机利率、随机薪酬和模型不确定性影响下的确定缴费(Defined Contribution,DC)型养老金的鲁棒最优投资策略问题,首先假设市场是由无风险资产、滚动债券以及股票3种资产组成,给出这3种资产以及随机薪酬的动力学公式;然后通过消费者价格指数刻画通货膨胀的水平,应用伊藤公式,得到通货膨胀环境下3种资产价格以及随机薪酬的动力学公式;接着应用Girsanov定理,得到新测度下随机利率、3种资产以及随机薪酬的动力学公式,并得到养老金账户的财富过程;最后在期望效用最大化的原理下,应用随机控制理论求解HJB方程(Hamilton-Jacobi-Bellman equation),得到了DC养老金的鲁棒最优投资策略;通过数值分析得出通货膨胀对鲁棒最优投资策略的影响。