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美国风险投资业的发展及其对我国的启示
美国 风险投资 机制
2008/9/2
本人在回顾美国风险投资业发展的历程过程，具体分析了美国风险投资在投资主体、投资客体以及投资运行机制方面所独具的特点，从而得到一些启示，提出一些建立我国风险投资运行机制的具体建议。
Revealing the implied risk-neutral MGF from options: The wavelet method
Waveletanalysis Option pricing Laplace transform
2011/4/2
Options are believed to contain unique information on the risk-neutral moment generating function(MGF) or the risk-neutral probability density function(PDF) of the underlying asset. This paper applies...
Nonparametric estimation of conditional VaR and expected shortfall
Boundary effects, Empirical likelihood, Expected shortfall, Local linear estimation,Nonparametric smoothing, Value-at-risk, Weighted double kernel
2011/4/2
This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local ...
我国对外直接投资的动因分析和模式选择
模式选择 动因分析 直接投资
2008/8/29
近几年来，福建省对外直接投资呈现较快增长。据国家统计局数据显示，2007年福建省对外直接投资额在全国省区市排名中名列第四。本文利用发展中国家和中小企业对外直接投资理论解释了福建省对外直接投资的动因，并分析了对外直接投资的模式选择。关于福建省对外直接投资动因分析和模式选择对其他地区具有一定的现实意义和借鉴意义。
一、对外直接投资发展阶段
福建省对外直接投资起步于改...
THE “ADDICTION”WITH FDI AND CURRENT ACCOUNTBALANCE
current account factors services foreign direct investments
2014/6/24
The EU new member states (NMS) have been recipients of substantial net capital inflowsin the form of FDI. Economic policy makers and development strategists often regard them as the pillar of the ...
中国企业海外投资的几个问题
海外投资 中国企业
2008/7/1
加入WTO以来，我们原以为一马平川的出口道路频频受阻，在WTO框架内、外的各种贸易壁垒此起彼伏，在此背景下，关于中国企业“走出去”、避开贸易壁垒，开展对外直接投资的呼声又开始高涨，关于中国企业对外直接投资的论文汗牛充栋。本文力图梳理主要观点，发现薄弱的研究环节，梳理出有价值的研究线索。
一、关于投资动机
刘新民将海尔进军美国的动机总结为：1、进一步开拓国际市场...
Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
Dual method continuous-time Markowitz's Problems nonlinear wealth equations
2010/12/20
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the op...
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler t...
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
explicit solution optimal stopping/optimal control problem models asset sale
2010/12/20
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposu...
This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker. Following Ekeland...
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Heterogeneous credit portfolios dynamics aggregate losses
2010/12/20
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that make...
Optimal investment and consumption in a Black--Scholes market with Lévy-driven stochastic coefficients
Optimal investment consumption Black--Scholes market Lévy-driven stochastic coefficients
2010/12/20
In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black--Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornst...
Detrended fluctuation analysis of intertrade durations
Detrended fluctuation analysis intertrade durations
2010/12/20
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the li...
Minimizing the Probability of Ruin when Consumption is Ratcheted
Self-annuitization optimal investment stochastic optimal control probability of ruin ratcheting of consumption
2010/12/20
We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investmen...