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我国社保基金投资管理初探
社保基金 投资管理 风险管理
2011/8/26
我国的社保基金关系着我国的国计民生。在全球性的次贷危机的背景下，随着国内外投资环境的恶化，国内外的社会各界人士对社保基金的投资管理越来越重视。本文将首先分析我国社保基金投资管理的现状，在此基础上分析我国社保基金投资管理的风险，并进一步指出加强我国社保基金投资管理的具体策略。
浅析MAI的失败原因及未来国际投资多边立法的发展趋势
国际多边投资协议 MAI 多边立法
2011/9/1
近年来国际直接投资迅猛增长，多边投资的立法研究越来越受到重视，一些国际组织开始对多边投资立法进行尝试，其中以OECD的MAI协议影响最大。本文简要介绍了MAI协议的基本情况，并对未来立法进行了探讨。
A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
Evolution of worldwide stock markets, correlation structure and correlation based graphs
stock exchanges The fast dynamics measure of mutual information
2011/3/31
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market in...
Stochastic evolution equations in portfolio credit modelling
credit risky assets large portfolio numerical methods
2011/3/30
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the ...
Minimum Capital Requirement Calculations for UK Futures
appropriate minimum capital requirements continuous time Squared and absolute returns
2011/3/31
Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high...
Record statistics for biased random walks, with an application to financial data
asymmetric jump distributions finite variance mechanism
2011/3/30
We consider the occurrence of record-breaking events in random walks with asymmetric jump distributions. The statistics of records in symmetric random walks was previously analyzed by Majumdar and Zif...
Bayesian Model Choice of Grouped t-copula
modeling dependence a priori grouping historical data
2011/3/30
One of the most popular copulas for modeling dependence structures is t-copula.Recently the grouped t-copula was generalized to allow each group to have one mem-ber only,so that a priori grouping is n...
Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/23
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/23
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
Utility Indifference Pricing: A Time Consistent Approach
Time consistency time inconsistent control incomplete market utility indifference price
2011/3/23
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute ...
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes Poisson point processes L´ evy processes HJB PIDE policy improvement parabolic PDE classical solutions viscosity solutions.
2011/3/23
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices...
Minimizing shortfall risk for multiple assets derivatives
shortfall risk multiple assets options correlated assets quantile hedging
2011/3/23
The risk minimizing problem $\mathbf{E}[l((H-X_T^{x,\pi})^{+})]\overset{\pi}{\longrightarrow}\min$ in the Black-Scholes framework with correlation is studied. General formulas for the minimal risk fun...
Optimal dividend control for a generalized risk model with investment incomes and debit interest
Absolute ruin dividend optimization stochastic control value function viscosity solution
2011/3/23
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound ...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...