合资研发中心的研发资源投入策略研究

对于生产不完全相同产品但存在很大技术相关度的多家企业建立的合资研发中心，研发资源的投入方向是各合资伙件纳什谈判的结果，通过构建模型得出结论：研发资源最优投入策略须满足投入在每个合资伙伴主导知识上的研发资源产生的净边际收益分别等于其净边际成本，合资伙伴的自身研发实力、技术对新产品利润的贡献率和销售实力等因素与净边际收益正相关，合资伙伴所在产业的技术更新率和净边际成本正相关。企业在组建合资研发中心前，须比较它的期望收益和它将来在研发中心的地位所决定的未来收益，为企业选择独立研发还是参加合资研发的决策提供依据。     

试论基础设施建设投融资体制改革

我国各类基础设施建设至今仍是垄断性行业，投资渠道单一，投资效率低下；因此，应改革基础设施建设投融资体制，加强基础设施建设。     

基于遗传算法的一种Portfolio新模型

根据中国的证券市场现状和证券交易要求 ,提出了组合投资的整数规划模型 ,并应用遗传算法对其解法进行了研究 ,给出了模型的遗传算法编码规则与算法步骤。通过实例模拟证明了模型的合理性和有效性。与传统算法比较 ,本算法是有效的 ,具有很好的收敛性与收敛速度 ,取得了较好的结果。     

基于投资心理的证券投资认知风险度量

将投资心理（过度自信心理和自我归因偏差心理）纳入到证券投资风险的度量,提出了认知方差和认知下偏距的认知风险度量方法,并讨论了认知方差与传统风险度量方差的关系,认知下偏距与传统下偏距的关系。与标准的证券投资风险度量相比较,证券投资的认知风险度量更接近于现实的证券投资。     

考虑风险偏好的项目投资风险属性数学决策模型研究

在分析传统属性数学评价模型存在的缺陷基础上,把投资者风险偏好分为喜好风险型、厌恶风险型和一般风险型等三类,引入风险偏好系数这一变量,构建了具有风险偏好的项目投资风险属性数学决策模型。     

基于实物期权方法的中小企业信息化投资决策

本文分析了实物期权方法运用于企业信息化投资决策的必要性 ,并结合实例识别了企业信息化投资项目所蕴含的几种主要的实物期权 ,在此基础上讨论了实物期权方法在中小企业信息化投资决策中的具体运用问题     

基于非对称演化博弈的农业产业投资基金寻租问题

由于农业产业投资基金市场制度的不完善、信息不对称和代理问题的存在,基金管理人的"内部人控制"成为可能,这使得农业产业投资基金在发展运作中存在寻租问题。本文通过非对称演化博弈分析了农业产业投资基金中的基金管理人和农业企业家的寻租问题。通过寻租博弈的四种情况分析了基金管理人和农业企业家寻租策略的演化路径和稳定状态,指出提高政府监管、完善市场制度是解决农业产业投资基金市场寻租问题的最好途径。     

班轮联营企业系统自组织特性与演化机制

伴随着集装箱班轮运输全球化和集装箱船舶大型化,班轮企业走向联营。将自组织理论引入到对集装箱班轮运输联营系统研究中,大大丰富了班轮企业联营运输的研究手段。通过班轮联营系统的自组织特征分析,说明联营模式是班轮企业构建合作发展及可持续经营的重要机制;从系统建模的角度揭示了在班轮联营系统演化过程中各联营企业的协同程度起到控制参量的作用,探讨了班轮联营系统和联营模式演化的内在机理。     

基于最小生成树的上证50指数分层结构

针对常用的参数分析方法在证券风格投资分析中容易导致结果的差异性问题,提出将亚超度量空间方法引入到风格投资研究中,因为具有准确定义拓扑序列的亚超度量空间与指数分层结构、风格能够一一对应.首先利用股票价格计算出股间距离,并采用关联该证券组合的最小生成树(Kruskal)优化方法,从而得到亚超度量空间;其次将此亚超度量空间转换成指数分层结构树图,最后得到风格的分布特征.2004～2007年的上证50实证结果表明:横向来看以行业分类的风格较为显著,其中以银行和钢铁也最为明显,此外还有与地区差异、交叉持股相关的风格效应显现;纵向则在股改后行业风格效应更显著,其它的风格也显现得更多.结论为此方法是有效的,同时结果也可为证券投资组合配置提供依据和参考.     

F#-Time, Functions and Processes: Towards Sustainable Investment Risk Benchmarks

‘I made a mistake’: Alan Greenspan (Financial Times: Alan Beattie and James Politi: Washington, 23rd October 2008). Such are the words of great men, for even in troubled times their self-effacing manner provides useful guidance. Whilst Mr Greenspan may feel this way, he is a product of his environment, one that has seen the cumulative development of financial instruments and strategies that have not been thought through as to their impact on a complex economy. Mainly this is because risk is thought to be discrete and the methods used to price it are flawed. To an engineer the control of a machine is built-in. Although the economy is not a machine, but an intensely connected complex of ever emerging businesses, the process of control needs to be structured in a similar manner. Pricing investment risk in this environment should never have been left to opaque institutions, or processes that do not recognise the co-dependencies of business and systemic functionality. To do so is to ignore the correlation of events in a highly connected world. These events are dynamic and conditional, whose outturns are unknowable. This does not mean unmanageable, but that the control process be built-in to businesses and government in a consistent manner, transparent yet using different parameters. Transparent means that data, assumptions and processes need to be monitored and published in timely manner. As far as accounting for results is concerned it should be recognised that budgeting and reporting to investors is founded on dynamic processes that are therefore changeable; usually out of date; and co-dependent upon others within a complex dynamic network that is both internal and external to the business. The works of Stafford Beer (Brain of the Firm, Heart of the Enterprise, Diagnosing the System) Fredrick Vestor (The Art of Interconnected Thinking) and others are examples of how to manage the internal dynamics of a business and point to a methodology that synthesises the approaches of investors such as Warren Buffett so that extreme outcomes such as the Credit-Crunch 2008 can be reduced in frequency but investors are free to ‘take their risks’. This research aims to compare two extreme events in the financial arena, the ‘Reinsurance Spiral of the late 1980s’ and the ‘2008 Credit-Crunch’, show their commonalities and propose methods that supply liquidity in all but gross systemic failure and allow investment risk to be more ably assessed and priced. It is not meant to be an exhaustive analysis but one focused on how ignoring the proper relationship of time, functions and processes brought about the current problem in both insurance and the capital markets and how a solution may be found. This research note offers an overview on the ongoing PhD research on the topic.