随机环境中资产混合策略及对Canner问题的研究   总被引：1，自引：0，他引：1  

李晗虹  王春峰  吴启权 《预测》2006,25(3):71-75

通常的投资建议和两基金分离定理之间存在较大差异，这就是著名的Canner难题。以银行帐户、两种债券和股票作为可以交易的资产，采用了Hull＆White两因素利率期限结构模型，对以通货膨胀为背芾风险和长、短期利率为主要影响因素的资产配置问题进行了研究，并得出最优的资产配置方案：通过对该方案的经济含义进行理论分析和实例分析，对投资建议和两基金分离定理的差异给出了合理的解释，分析指出，投资期限和风险厌恶水平对投资策略的选择有很重要的影响。最后对不同风险厌恶水平的长期投资者给出了一些投资建议。  相似文献   

基于CKLS模型的银行间与上交所债券市场国债回购利率行为的比较分析   总被引：2，自引：0，他引：2  

刘薇  范龙振 《预测》2006,25(2):54-58

本文以银行间债券市场和上交所债券市场国债回购利率的行为为研究对象，利用广义矩估计方法分别估计两个市场的回购利率的CKLS模型。根据模型的经济含义发现。上交所市场的回购利率的长期均衡水平高于银行间市场约17个基点。其均值回复速度明显大于银行间市场。相比之下，银行间市场回购利率的波动对利率水平的高低更敏感。同时，实证分析结果显示，CKLS模型预测银行间市场回购利率变化的能力很弱，但对交易所市场回购利率的变化具有一定的预测能力。在两个市场中，CKLS模型均无法预测实际利率变化的波动情况。  相似文献   

资本项目开放下汇率制度与货币政策独立性的实证研究--关于亚洲国家和地区     

王华  白延红  徐剑刚 《预测》2003,22(3):17-20

本文以泰国、韩国、香港和新加坡等国或地区为研究对象，利用误差修正模型检验在资本项目开放下，不同汇率制度与货币政策独立性之间的关系。结果表明，在资本项目开放下，实行更为灵活汇率制度的国家或地区享有更多的货币政策独立性。这对我国有参考意义：将来我国资本项目开放，若要享有更多的货币政策独立性，应实行更为灵活的汇率制度。  相似文献   

具有随机投资收益率的破产概率     

王汉兴  万爱华 《上海大学学报(英文版)》2006,10(3):211-214

1 Introduction We will extend the classical ruin model withthe twomain components of premium income and clai mpayment[1 ,2].The third component reflects the randomrates of interest to the free reserve such as a currencydevaluation or credit event[3].Inthelatter case we as-sume that the free reservexis invested in bonds withcredit risk . Upon a credit event the value of the freereserve drops according to the recovery ratezfromxtozx. Then the free reserve is reinvested in bondswith si milar ris…  相似文献   

城市银行通信网络的设计与实现     

朱华 《大连大学学报》2001,22(2):45-50

提出安全可靠、实时快捷和保密性好的网络建设原则，介绍了目前我国公用分组交换数据网和公用数字数据网的现状．对ＰＳＰＤＮ和ＤＤＮ的结构、性能和访问业务做了分析比较，提出以ＤＤＮ为主，ＰＳＰＤＮ为备的思想．确定了交换中心与成员行主机之间的链接关系，分析了影响传输速率的因素．通过对各成员行主机配置的分析，提出主机联网所采取的通信协议和以 ＸＰＡＤ对 ＳＮＡ／ＳＤＬＣ主机联网的方案．  相似文献   

Smoking, discount rates, and returns to education     

Josef Fersterer  Rudolf Winter-Ebmer   《Economics of Education Review》2003,22(6):561-566

Individual time preference determines schooling enrolment. Moreover, smoking behavior in early ages has been shown to be highly related to time preference rates. Insofar as discount rates are uncorrelated to ability, predicting school enrolment by discount rates can get rid of the ability bias in an earnings regression. Accordingly, we use smoking at age 16 as an instrument for schooling. Doing this for Austrian cross-sectional data, we find no evidence of ability bias in a simple earnings regression; the results are more mixed if family background is also included.  相似文献   

一类正则化方法的收敛速率     

尹秀玲 《喀什师范学院学报》2008,29(6):6-9

考虑了解不适定问题的迭代Tikhonov正则化方法的渐近收敛速率．采用对数度量作为广义解x^4的分类标准．对于数据没有或有误差的两种情形,都得到关于渐进收敛速率的相当精细的结论．  相似文献   

多区域人口控制数学模型     

朱静萍 《赣南师范学院学报》2004,25(6):24-27

由于区域经济发展的不平衡导致人口流动频繁,影响了单区域人口模型的正确性。本文建立了多区域人口模型,并证明了解的存在性、唯一性、非负性,讨论了人口的稳定性,解释了有关定理的意义.  相似文献   

The alignment of written peer feedback with draft problems and its impact on revision in peer assessment     

Ying Gao  Qiuying Yu 《Assessment & Evaluation in Higher Education》2019,44(2):294-308

Despite the wide use of peer assessment, questions about the helpfulness of peer feedback are frequently raised. In particular, it is unknown whether, how and to what extent peer feedback can help solve problems in initial texts in complex writing tasks. We investigated this research gap by focusing on the case of writing literature reviews in an academic writing course. The dataset includes two drafts from 21 students, sampled to represent a wide range of document qualities, and 84 anonymous peer reviews, involving 1,289 idea units. Our study revealed that: (1) at both substance and high prose levels, drafts of all quality levels demonstrated more common problems on advanced writing issues (e.g. counter-argument); (2) peer feedback was driven by difficulty of the problem rather than overall draft quality, peer comments were not well aligned with the relative frequency of problems, more comments were given to less difficult problems; (3) peer feedback had a moderate impact on revision, and importantly, receiving multiple comments on the same issue led to more repairs and improvement of draft quality, but consistent with the comments received, authors tended to fix basic problems more often. Implications for practice and research are drawn from these findings.  相似文献   

理财产品能否“理财”     

方海英 《天津职业院校联合学报》2011,13(12):87-90

中国各商业银行理财产品实质上是一种金融投资产品,这些理财产品对于防范通胀,实现居民投资者保值增值的理财目标具有一定价值。  相似文献