投资组合信用风险的测度和优化——基于Copula理论

使用四种copula(即Gaussian copula、Student’s t-copula、grouped t-copula和Clayton n-copula)对投资组合信用风险进行度量,并在此基础上,利用线性规划方法优化投资组合。研究结果比较发现,几种copula中t-copula度量投资组合信用风险相依最合适,并给出了相应的最优资产配置。     

国外企业“专利悖论”行为及其政策启示

摘要：随着世界范围内对专利保护强度的加大,特别是美国亲专利（pro-patent）政策实施以来,国外企业“专利悖论”行为在现实中开始大量存在。论文在对国外企业“专利悖论”行为的心理、实践和结果等三个方面的特征进行分析后,从美国实施的亲专利政策、企业R&D活动效率的提高、企业专利价值的策略性应用以及企业专利组合策略的产生与发展等四个方面,详细分析了“专利悖论”行为产生的原因;最后,结合中国的实际,给出了一些规范性的对策和建议。     

企业中政府投资行为方式研究

文章论证了企业中政府投资行为能力的有限性根源于政府与国民签定具有规避风险性质的固定“授权合同”,不过,政府投资的有限性并不妨碍政府为了社会效益最大化在其投资边界内进行公共品投资。政府企业投资应是规避风险投资,以确保政府资本保值增值。文章又分析,随着企业经济效益的变化,企业控制权随机依存于企业不同的利益相关者。只有企业破产时,债权人才控制企业,并且债权合同对企业经营者和股东有激励效应,债权风险小于股权风险。由此得出,在我国,企业中政府投资方式债权化是可行的。     

交互关系视角下项目组合风险系统架构及其复杂性

研究从来源、产生范式和功能特征等三个维度扩展项目间交互关系分类体系,分析交互关系视角下项目组合风险的产生和变化,在此基础上构建基于逻辑维和认识维的项目组合风险系统架构模型,并对其系统复杂性展开讨论。     

基于创新价值的农业科技项目立项评价指标体系构建及实证研究

通过文献研究、案例分析与专家访谈,初步提出农业科技项目的创新性评价指标后基于调查问卷的大样本数据,选用验证性因子分析对指标进行删减与分类,得到9个一级指标及35个二级指标,这是在农业领域首次以科技项目创新价值为核心的立项评价指标。而后在主观层次分析法与客观熵值法基础上,运用层次-熵值组合赋权方法得到指标权重。该方法与较为常见的偏差最大化组合赋权法所得的权重数值具有较高的相关度,而定量评价结果与实际同行评议结果具有较高的相似度。     

基于专利共被引聚类和组合分析的产业关键技术识别方法研究——以作物育种技术为例

[目的/意义]基于专利共被引聚类和专利组合分析构建关键技术识别分析框架,可为产业、企业决策和规划提供参考依据。[方法/过程]首先通过专利共被引聚类获得若干个聚类簇;再通过领域专家对聚类簇进行判读和命名;最后从专利活动和专利质量两个维度对聚类簇进行专利组合分析,其中专利申请数量和被引频次均较高的专利簇即为关键技术。[结果/结论]与已有方法比较研究表明,本方法不仅可以有效识别产业关键技术,还能在中观的产业层面揭示出切合实际需求的技术方向,也可为企业根据自身需求制定不同的技术发展战略提供指导。     

Matrix decomposition and Lagrangian dual method for discrete portfolio optimization under concave transaction costs

In this paper, the discrete mean-variance model is considered for portfolio selection under concave transaction costs. By using the Cholesky decomposition technique, the convariance matrix to obtain a separable mixed integer nonlinear optimization problem is decomposed. A brand-and-bound algorithm based on Lagrangian relaxation is then proposed. Com-putational results are reported for test problems with the data randomly generated and those from the US stock market.     

Multi-period model of portfolio investment and adjustment based on hybrid genetic algorithm

This paper proposes a multi-period portfolio investment model with class constraints, transaction cost, and indivisible securities. When an investor joins the securities market for the first time, he should decide on portfolio investment based on the practical conditions of securities market. In addition, investors should adjust the portfolio according to market changes, changing or not changing the category of risky securities. Markowitz mean-variance approach is applied to the multi-period portfolio selection problems. Because the sub-models are optimal mixed integer program, whose objective function is not unimodal and feasible set is with a particular structure, traditional optimization method usually fails to find a globally optimal solution. So this paper employs the hybrid genetic algorithm to solve the problem. Investment policies that accord with finance market and are easy to operate for investors are put forward with an illustration of application.     

行为资本资产定价模型标注

根据大量实证数据显示股票收益率服从尾部指数为3的情况,构造了特殊的三次价值函数．基于行为金融中的展望理论和处置效应,通过分析价值函数,建立了一个行为资本资产定价模型,并分析了新模型的特点同时将该模型与传统CAPM进行了比较．     

How to capture growth? – Video narratives as an instrument for assessment in teacher education

Portfolios are widely used as instruments for assessment in initial teacher education courses. They are claimed to present a comprehensive picture of student teachers' knowledge and performance. But what type of evidence is needed to safely say that an aspiring teacher has not only grasped essential notions and concepts from the teacher education course, but is also able to implement them in real world classroom situations? This paper reports on the design process of one portfolio assignment that has been developed specifically to capture students' classroom performance and development in their portfolio. Data from the portfolio entries of one student from a small-scale pilot conducted with the assignment are analyzed in detail followed by a discussion of the implications of the case study.