In this paper,we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model.Investment in the foreign markets is allowed,and the...In this paper,we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model.Investment in the foreign markets is allowed,and therefore,the foreign exchange rate model is incorporated.Under the allowing of selling and borrowing,the problem of maximizing the expected exponential utility of terminal wealth is studied.By solving the corresponding Hamilton-Jacobi-Bellman equations,the optimal investment strategies and value functions are obtained.Finally,numerical analysis is presented.展开更多
Under the S-shaped utility of loss aversion,this paper considers the bequest motivation of pension plan participants,random salary income before retirement and the substitution rate between receiving pension benefits ...Under the S-shaped utility of loss aversion,this paper considers the bequest motivation of pension plan participants,random salary income before retirement and the substitution rate between receiving pension benefits after retirement and wages before retirement,and studies the optimal investment strategy of defined contribution(DC)pension.Assuming that pension funds can invest in a financial market consisting of three assets(risk-free asset cash,rolling bonds and stocks),inflation is considered by discount.Under the S-shaped utility,the Lagrange method is used to find the terminal optimal surplus of pensions in retirement,so as to find the terminal optimal wealth,and then the martingale method is used to find the optimal wealth process and investment strategy.Finally,a sensitivity analysis is carried out on the the influence of bequest motivation and loss aversion on the optimal investment strategy of DC pension.展开更多
This paper firstly introduces the definition and features of QFII, and then mainly analyzes the QFII＇s portfolio performance and investment yield, as welt as stock market. And at last, it refers to the impacts of QFI...This paper firstly introduces the definition and features of QFII, and then mainly analyzes the QFII＇s portfolio performance and investment yield, as welt as stock market. And at last, it refers to the impacts of QFII＇s companies and supervision systems in China security market. the investment ideas and strategies of QFII in China investment styles and strategies on investors, listed展开更多
The Goodgrant Foundation is a charitable organization that wants to improve education performance of undergraduates attending colleges and universities in the US. So the foundation plans to contribute a total of US 50...The Goodgrant Foundation is a charitable organization that wants to improve education performance of undergraduates attending colleges and universities in the US. So the foundation plans to contribute a total of US 50 million for a suitable team of schools per year under the condition of avoiding repeated other large grant organizations’ investment. The DEA (Data Estimate Analysis) model is developed to determine an optimal investment strategy for the Goodgrant Foundation. In this paper, two questions were solved: how to choose a suitable team of schools and how to allocate the investment. Before the establishment of the model, the EXCEL software is used to preprocess data. Then the DEA model which includes two models in the paper is developed. For the first question, the CCR model is established to rank schools which used efficiency from DEAP 2.1. For the second question, the resource allocation model is established to allocate investment amount by weights of allocation from MATLAB software. Accordingly, the optimal investment strategy is received for the Goodgrant Foundation. Through the analysis above, 23 from 293 schools are selected to invest. Then the schools are ranked and the investment of US 50 million for 23 schools is allocated.展开更多
This paper aims to derive the time-consistent investment strategy for the defined contribution(DC) pension plan under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset of...This paper aims to derive the time-consistent investment strategy for the defined contribution(DC) pension plan under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset of which price process satisfies the constant elasticity of variance(CEV) model.Compared with the geometric Brownian motion model,the CEV model has the ability of capturing the implied volatility skew and explaining the volatility smile.The authors assume that the contribution to the pension fund is a constant proportion of the pension member's salary.Meanwhile,the salary is stochastic and its volatility arises from the price process of the risky asset,which makes the proposed model different from most of existing researches and more realistic.In the proposed model,the optimization problem can be decomposed into two sub-problems:Before and after retirement cases.By applying a game theoretic framework and solving extended Hamilton-Jacobi-Bellman(HJB) systems,the authors derive the time-consistent strategies and the corresponding value functions explicitly.Finally,numerical simulations are presented to illustrate the effects of model parameters on the time-consistent strategies.展开更多
Purpose In response to the growing importance of understanding individual investment strategies,the present study aimed to develop a new scale for measuring both the short-and long-term investment strategies of indivi...Purpose In response to the growing importance of understanding individual investment strategies,the present study aimed to develop a new scale for measuring both the short-and long-term investment strategies of individuals.Design/methodology/approach The study assessed the psychometric properties of the investment strategies scale(ISS)using data collected from 1428 individual investors.In the initial study,an exploratory factor analysis(EFA)was conducted to investigate the factor structure of the proposed scale(N=700).The EFA results yielded a two-factor structure,and Cronbach’s alpha values for short-and long-term investment strategies were 0.90 and 0.88,respectively.A confirmatory factor analysis was performed to validate the factor structure of the scale in the second study(N=728).Findings The results demonstrated that the two-factor model fit the data well.In the third study,the correlation between Hofstede’s long-term orientation and the two dimensions of the scale was investigated.The results indicated that long-term investment strategies significantly predict long-term orientation,thus confirming the concurrent validity of the scale.Research implications These findings demonstrate that the proposed ISS is a reliable and valid instrument for measuring individuals’short-and long-term investment strategies,contributing to a deeper understanding of investment decision-making processes.Originality/value This study introduces a novel measurement tool—ISS—specifically designed to comprehensively assess both short-and long-term investment strategies among individual investors.展开更多
Thanks to the development of the digital economy and green eco“nomy,the clothing industry is undergoing disruptive changes:sustainable fashion has shifted from a bonus point”to a.basic requirement.According to the“...Thanks to the development of the digital economy and green eco“nomy,the clothing industry is undergoing disruptive changes:sustainable fashion has shifted from a bonus point”to a.basic requirement.According to the“2025-2030 Fashion Clothing Industry Development Trend Analysis and Future Investment Strategy Consulting Research Report”.展开更多
Human activities widely exhibit a power-law distribution.Considering stock trading as a typical human activity in the financial domain,the first aim of this paper is to validate whether the well-known power-law distri...Human activities widely exhibit a power-law distribution.Considering stock trading as a typical human activity in the financial domain,the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity.Interestingly,this paper determines that the number of accumulated lead–lag days between stock pairs meets the power-law distribution in both the U.S.and Chinese stock markets based on 10 years of trading data.Based on this finding this paper adopts the power-law distribution to formally define the lead–lag effect,detect stock pairs with the lead–lag effect,and then design a pure lead–lag investment strategy as well as enhancement investment strategies by integrating the lead–lag strategy into classic alpha-factor strategies.Tests conducted on 20 different alpha-factor strategies demonstrate that both perform better than the selected benchmark strategy and that the lead–lag strategy provides useful signals that significantly improve the performance of basic alpha-factor strategies.Our results therefore indicate that the lead–lag effect may provide effective information for designing more profitable investment strategies.展开更多
The investment strategy choice of state-owned commercial bank is related to its franchise value change information. This paper analyzes the franchise value change information of state-owned commercial bank. The franch...The investment strategy choice of state-owned commercial bank is related to its franchise value change information. This paper analyzes the franchise value change information of state-owned commercial bank. The franchise value change information shows that the franchise value of state-owned Commercial Bank is descending. Along with the descending of the franchise value, state-owned commercial bank strengthens its high risk investment motive when it chooses its investment strategy. State-owned commercial bank tends to run the high risk of investing securities because its investment variety is very sparse. Based on the theoretical principle of how to control securities investment risk, this paper proposes some countermeasures and suggestions that state-owned commercial bank strengthen the control of its securities investment risk in order to perfect its investment strategy.展开更多
Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as gla...Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.展开更多
Mining industry is the basic industry in the national economy. Under the background of obvious changes in the relationship between supply and demand of mineral resources, the development and utilization of mineral res...Mining industry is the basic industry in the national economy. Under the background of obvious changes in the relationship between supply and demand of mineral resources, the development and utilization of mineral resources are severely tested. For mining enterprises, making full use of the existing evaluation index and evaluation system, carrying out scientific evaluation on the mineral investment environment and actively constructing diversified investment and financing strategies are important prerequisites for exploring the road of sustainable development in the new era. Based on this, this paper discusses the assessment of mining investment environment, and on the basis of briefly analyzing the characteristics of mining investment environment, puts forward some suggestions on how to scientifically assess the mining investment environment.展开更多
Leaf economics spectrum(LES)describes the fundamental trade-offs between leaf structural,chemical,and physiological investments.Generally,structurally robust thick leaves with high leaf dry mass per unit area(LMA)exhi...Leaf economics spectrum(LES)describes the fundamental trade-offs between leaf structural,chemical,and physiological investments.Generally,structurally robust thick leaves with high leaf dry mass per unit area(LMA)exhibit lower photosynthetic capacity per dry mass(Amass).Paradoxically,“soft and thinleaved”mosses and spikemosses have very low Amass,but due to minute-size foliage elements,their LMA and its components,leaf thickness(LT)and density(LD),have not been systematically estimated.Here,we characterized LES and associated traits in cryptogams in unprecedented details,covering five evolutionarily different lineages.We found that mosses and spikemosses had the lowest LMA and LT values ever measured for terrestrial plants.Across a broad range of species from different lineages,Amass and LD were negatively correlated.In contrast,Amass was only related to LMA when LMA was greater than 14 g cm^(-2).In fact,low Amass reflected high LD and cell wall thickness in the studied cryptogams.We conclude that evolutionarily old plant lineages attained poorly differentiated,ultrathin mesophyll by increasing LD.Across plant lineages,LD,not LMA,is the trait that represents the trade-off between leaf robustness and physiology in the LES.展开更多
Convertible bonds are an important segment of the corporate bond market,however,as hybrid instruments,convertible bonds are difficult to value because they depend on variables related to the underlying stock,the fixed...Convertible bonds are an important segment of the corporate bond market,however,as hybrid instruments,convertible bonds are difficult to value because they depend on variables related to the underlying stock,the fixed-income part,and the interaction between these components.Besides,embedded options,such as conversion,call,and put provisions are often restricted to certain periods,may vary over time,and are subject to additional path-dependent features of the state variables.Moreover,the most challenging problem in convertible bond valuation is the underlying stock return process modeling as it retains various complex statistical properties.In this paper,we propose DeepPricing,a novel data-driven convertible bonds pricing model,which is inspired by the recent success of generative adversarial networks(GAN),to address the above challenges.The method introduces a new financial time-series generative adversarial networks(FinGAN),which is able to reproduce risk-neutral stock return process that retains the unique statistical properties such as the fat-tailed distributions,the long-range dependence,and the asymmetry structure etc.,and then transit to its risk-neutral distribution.Thus it is more flexible and accurate to capture the dynamics of the underlying stock return process and keep the rich set of real-world convertible bond specifications compared with previous model-driven models.The experiments on the Chinese convertible bond market demonstrate the effectiveness of DeepPricing model.Compared with the convertible bond market prices,our model has a better convertible bonds pricing performance than both model-driven models,i.e.Black-Scholes,the constant elasticity of variance,GARCH,and the state-of-the-art GAN-based models,i.e.FinGAN-MLP,FinGAN-LSTM.Moreover,our model has a better fitting capacity for higher-volatility convertible bonds and the overall convertible bond market implied volatility smirk,especially for equity-liked convertible bonds,convertible bonds trading in the bull market,and out-of-the-money convertible bonds.Furthermore,the Long-Short and Long-Only investment strategies based on our model earn a significant annualized return with 41.16%and 31.06%,respectively,for the equally-weighted portfolio during the sample period.展开更多
The empirical study uses black swan approach to analyze the performance of South African （ZA） listed property loan stocks （PLSs）. Although there are no empirical studies on black swan perspective and performance o...The empirical study uses black swan approach to analyze the performance of South African （ZA） listed property loan stocks （PLSs）. Although there are no empirical studies on black swan perspective and performance of listed real estate funds, the study found that there are similar traits of investing in listed real estate funds from emerging markets＇ perspective and what black swan advocates such as passive investment strategy and non-normality distribution of returns from listed real estate funds. Furthermore, the individual return of each fund was higher the return of the property loan stocks index and the probabilities of all variables confirm that they （variables） are significant when alpha is 10% at confidence level of 90%.展开更多
This study focuses on investigating the optimal investment strategy for an optimization problem with delay using the uncertainty theory. The financial market is composed of a risk-free asset and a risk asset with an u...This study focuses on investigating the optimal investment strategy for an optimization problem with delay using the uncertainty theory. The financial market is composed of a risk-free asset and a risk asset with an uncertain price process described by an uncertain differential equation. An optimization problem is assumed that its objective is a nonlinear function of decision variable. By deriving the equation of optimality, an analytical solution is obtained for the optimal delay investment strategy, and the optimal delay value function. Finally, an economic analysis and numerical sensitivity analysis are conducted to evaluate the research results.展开更多
Several mobile telecommunication companies(MTCs),such as AT&T,Verizon,and China Mobile,are investing in content services to drive continued growth as the telecom industry has become saturated.In this study,we inve...Several mobile telecommunication companies(MTCs),such as AT&T,Verizon,and China Mobile,are investing in content services to drive continued growth as the telecom industry has become saturated.In this study,we investigate the competition between two MTCs,one of which(MTC 1)provides both data and content services,while the other(MTC 2)provides only data services.We propose a two-stage game-theoretic model to analyze the two MTCs'optimal pricing strategies for data service and content service as well as the investment strategy for the content service.Our analysis reveals that a higher value of value-added service offered by MTC 1 will incentivize it to raise its subscription fee for the content service and induce both MTCs to reduce the prices of their data services,which results in an increased demand for the content service and a decreased demand for MTC 2's data service.As MTC 1 invests further in the quality of the content service,it would benefit from increasing the subscription fee for the content service,and the two MTCs should increase the subscription fee for the data service.However,compared to the decisions in the scenario where MTC 1 does not provide content service,the provision of this service by MTC 1 leads to a lower subscription fee for the two MTCs'data services,an increase in the demand for MTC 1's data service,and a decrease in the demand for MTC 2's data service.These findings reveal that regularly monitoring market competition,as well as adjusting pricing strategies based on market scenarios and the value of services,can enhance competitiveness and long-term profitability for MTCs.展开更多
基金supported by the National Natural Science Foundation of China(Grant No.12301603).
文摘In this paper,we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model.Investment in the foreign markets is allowed,and therefore,the foreign exchange rate model is incorporated.Under the allowing of selling and borrowing,the problem of maximizing the expected exponential utility of terminal wealth is studied.By solving the corresponding Hamilton-Jacobi-Bellman equations,the optimal investment strategies and value functions are obtained.Finally,numerical analysis is presented.
基金Supported by the National Social Science Foundation of China(20BTJ048)Anhui University Humanities and Social Science Research Major Project(SK2021ZD0043)
文摘Under the S-shaped utility of loss aversion,this paper considers the bequest motivation of pension plan participants,random salary income before retirement and the substitution rate between receiving pension benefits after retirement and wages before retirement,and studies the optimal investment strategy of defined contribution(DC)pension.Assuming that pension funds can invest in a financial market consisting of three assets(risk-free asset cash,rolling bonds and stocks),inflation is considered by discount.Under the S-shaped utility,the Lagrange method is used to find the terminal optimal surplus of pensions in retirement,so as to find the terminal optimal wealth,and then the martingale method is used to find the optimal wealth process and investment strategy.Finally,a sensitivity analysis is carried out on the the influence of bequest motivation and loss aversion on the optimal investment strategy of DC pension.
文摘This paper firstly introduces the definition and features of QFII, and then mainly analyzes the QFII＇s portfolio performance and investment yield, as welt as stock market. And at last, it refers to the impacts of QFII＇s companies and supervision systems in China security market. the investment ideas and strategies of QFII in China investment styles and strategies on investors, listed
文摘The Goodgrant Foundation is a charitable organization that wants to improve education performance of undergraduates attending colleges and universities in the US. So the foundation plans to contribute a total of US 50 million for a suitable team of schools per year under the condition of avoiding repeated other large grant organizations’ investment. The DEA (Data Estimate Analysis) model is developed to determine an optimal investment strategy for the Goodgrant Foundation. In this paper, two questions were solved: how to choose a suitable team of schools and how to allocate the investment. Before the establishment of the model, the EXCEL software is used to preprocess data. Then the DEA model which includes two models in the paper is developed. For the first question, the CCR model is established to rank schools which used efficiency from DEAP 2.1. For the second question, the resource allocation model is established to allocate investment amount by weights of allocation from MATLAB software. Accordingly, the optimal investment strategy is received for the Goodgrant Foundation. Through the analysis above, 23 from 293 schools are selected to invest. Then the schools are ranked and the investment of US 50 million for 23 schools is allocated.
基金the National Natural Science Foundation of China under Grant Nos.11201335,11301376,and 71573110
文摘This paper aims to derive the time-consistent investment strategy for the defined contribution(DC) pension plan under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset of which price process satisfies the constant elasticity of variance(CEV) model.Compared with the geometric Brownian motion model,the CEV model has the ability of capturing the implied volatility skew and explaining the volatility smile.The authors assume that the contribution to the pension fund is a constant proportion of the pension member's salary.Meanwhile,the salary is stochastic and its volatility arises from the price process of the risky asset,which makes the proposed model different from most of existing researches and more realistic.In the proposed model,the optimization problem can be decomposed into two sub-problems:Before and after retirement cases.By applying a game theoretic framework and solving extended Hamilton-Jacobi-Bellman(HJB) systems,the authors derive the time-consistent strategies and the corresponding value functions explicitly.Finally,numerical simulations are presented to illustrate the effects of model parameters on the time-consistent strategies.
文摘Purpose In response to the growing importance of understanding individual investment strategies,the present study aimed to develop a new scale for measuring both the short-and long-term investment strategies of individuals.Design/methodology/approach The study assessed the psychometric properties of the investment strategies scale(ISS)using data collected from 1428 individual investors.In the initial study,an exploratory factor analysis(EFA)was conducted to investigate the factor structure of the proposed scale(N=700).The EFA results yielded a two-factor structure,and Cronbach’s alpha values for short-and long-term investment strategies were 0.90 and 0.88,respectively.A confirmatory factor analysis was performed to validate the factor structure of the scale in the second study(N=728).Findings The results demonstrated that the two-factor model fit the data well.In the third study,the correlation between Hofstede’s long-term orientation and the two dimensions of the scale was investigated.The results indicated that long-term investment strategies significantly predict long-term orientation,thus confirming the concurrent validity of the scale.Research implications These findings demonstrate that the proposed ISS is a reliable and valid instrument for measuring individuals’short-and long-term investment strategies,contributing to a deeper understanding of investment decision-making processes.Originality/value This study introduces a novel measurement tool—ISS—specifically designed to comprehensively assess both short-and long-term investment strategies among individual investors.
文摘Thanks to the development of the digital economy and green eco“nomy,the clothing industry is undergoing disruptive changes:sustainable fashion has shifted from a bonus point”to a.basic requirement.According to the“2025-2030 Fashion Clothing Industry Development Trend Analysis and Future Investment Strategy Consulting Research Report”.
基金supported by the National Natural Science Foundation of China(72171059,71771041)the Fundamental Research Funds for the Central Universities(FRFCU5710000220)the Natural Science Foundation of Heilongjiang Province,China(No.YQ2020G003).
文摘Human activities widely exhibit a power-law distribution.Considering stock trading as a typical human activity in the financial domain,the first aim of this paper is to validate whether the well-known power-law distribution can be observed in this activity.Interestingly,this paper determines that the number of accumulated lead–lag days between stock pairs meets the power-law distribution in both the U.S.and Chinese stock markets based on 10 years of trading data.Based on this finding this paper adopts the power-law distribution to formally define the lead–lag effect,detect stock pairs with the lead–lag effect,and then design a pure lead–lag investment strategy as well as enhancement investment strategies by integrating the lead–lag strategy into classic alpha-factor strategies.Tests conducted on 20 different alpha-factor strategies demonstrate that both perform better than the selected benchmark strategy and that the lead–lag strategy provides useful signals that significantly improve the performance of basic alpha-factor strategies.Our results therefore indicate that the lead–lag effect may provide effective information for designing more profitable investment strategies.
文摘The investment strategy choice of state-owned commercial bank is related to its franchise value change information. This paper analyzes the franchise value change information of state-owned commercial bank. The franchise value change information shows that the franchise value of state-owned Commercial Bank is descending. Along with the descending of the franchise value, state-owned commercial bank strengthens its high risk investment motive when it chooses its investment strategy. State-owned commercial bank tends to run the high risk of investing securities because its investment variety is very sparse. Based on the theoretical principle of how to control securities investment risk, this paper proposes some countermeasures and suggestions that state-owned commercial bank strengthen the control of its securities investment risk in order to perfect its investment strategy.
文摘Background:We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios.Methods:Following Lakonishok et al.(J Financ 49:1541–1578,1994),we assess the illiquidity characteristics of portfolios that underlie contrarian investment strategies that are based on the level of stock’s book to market.Results:We find strong evidence that those portfolios characterized as value investments are associated with dramatically greater levels of illiquidity than glamour portfolios.We further demonstrate that strategies based on the illiquidity in the year prior to portfolio formation result in return characteristic of ostensibly contrarian strategies.Conclusions:These results suggest that the higher returns associated with contrarian investment strategies are the result of the higher illiquidity associated with value portfolios and represent compensation that the investor receives for accepting illiquidity.They also suggest that researchers should be cautious before attributing apparent anomalies to behavior-driven expectational errors rather than to other attributes unrelated to behavior,such as illiquidity.
文摘Mining industry is the basic industry in the national economy. Under the background of obvious changes in the relationship between supply and demand of mineral resources, the development and utilization of mineral resources are severely tested. For mining enterprises, making full use of the existing evaluation index and evaluation system, carrying out scientific evaluation on the mineral investment environment and actively constructing diversified investment and financing strategies are important prerequisites for exploring the road of sustainable development in the new era. Based on this, this paper discusses the assessment of mining investment environment, and on the basis of briefly analyzing the characteristics of mining investment environment, puts forward some suggestions on how to scientifically assess the mining investment environment.
基金funded by the EU Regional Development Fund within the framework of the Centre of Excellence EcolChange(2014-2020.4.01.15-0002),the European Commission through the European Research Council(advanced grant 322603,SIPVOL+),the Estonian Research Council(personal grant PSG884)base funding nr 190200,the National Natural Science foundation of China(31711530648)+2 种基金the Personnel Startup Project of the Scientific Research and Development Foundation of Zhejiang A&F University(2021FR041)the study was partly purchased from funding by the EU Regional Development Fund(AnaEE Estonia,2014-2020.4.01.20-0285,and the project“Plant Biology Infrastructure-TAIM”,2014-2020.4.01.20-0282)the Estonian Research Council(“Plant Biology Infrastructure-TAIM”,TT5).
文摘Leaf economics spectrum(LES)describes the fundamental trade-offs between leaf structural,chemical,and physiological investments.Generally,structurally robust thick leaves with high leaf dry mass per unit area(LMA)exhibit lower photosynthetic capacity per dry mass(Amass).Paradoxically,“soft and thinleaved”mosses and spikemosses have very low Amass,but due to minute-size foliage elements,their LMA and its components,leaf thickness(LT)and density(LD),have not been systematically estimated.Here,we characterized LES and associated traits in cryptogams in unprecedented details,covering five evolutionarily different lineages.We found that mosses and spikemosses had the lowest LMA and LT values ever measured for terrestrial plants.Across a broad range of species from different lineages,Amass and LD were negatively correlated.In contrast,Amass was only related to LMA when LMA was greater than 14 g cm^(-2).In fact,low Amass reflected high LD and cell wall thickness in the studied cryptogams.We conclude that evolutionarily old plant lineages attained poorly differentiated,ultrathin mesophyll by increasing LD.Across plant lineages,LD,not LMA,is the trait that represents the trade-off between leaf robustness and physiology in the LES.
基金supported by the Postdoctoral Science Foundation of China(Project No.2021M700055)。
文摘Convertible bonds are an important segment of the corporate bond market,however,as hybrid instruments,convertible bonds are difficult to value because they depend on variables related to the underlying stock,the fixed-income part,and the interaction between these components.Besides,embedded options,such as conversion,call,and put provisions are often restricted to certain periods,may vary over time,and are subject to additional path-dependent features of the state variables.Moreover,the most challenging problem in convertible bond valuation is the underlying stock return process modeling as it retains various complex statistical properties.In this paper,we propose DeepPricing,a novel data-driven convertible bonds pricing model,which is inspired by the recent success of generative adversarial networks(GAN),to address the above challenges.The method introduces a new financial time-series generative adversarial networks(FinGAN),which is able to reproduce risk-neutral stock return process that retains the unique statistical properties such as the fat-tailed distributions,the long-range dependence,and the asymmetry structure etc.,and then transit to its risk-neutral distribution.Thus it is more flexible and accurate to capture the dynamics of the underlying stock return process and keep the rich set of real-world convertible bond specifications compared with previous model-driven models.The experiments on the Chinese convertible bond market demonstrate the effectiveness of DeepPricing model.Compared with the convertible bond market prices,our model has a better convertible bonds pricing performance than both model-driven models,i.e.Black-Scholes,the constant elasticity of variance,GARCH,and the state-of-the-art GAN-based models,i.e.FinGAN-MLP,FinGAN-LSTM.Moreover,our model has a better fitting capacity for higher-volatility convertible bonds and the overall convertible bond market implied volatility smirk,especially for equity-liked convertible bonds,convertible bonds trading in the bull market,and out-of-the-money convertible bonds.Furthermore,the Long-Short and Long-Only investment strategies based on our model earn a significant annualized return with 41.16%and 31.06%,respectively,for the equally-weighted portfolio during the sample period.
文摘The empirical study uses black swan approach to analyze the performance of South African （ZA） listed property loan stocks （PLSs）. Although there are no empirical studies on black swan perspective and performance of listed real estate funds, the study found that there are similar traits of investing in listed real estate funds from emerging markets＇ perspective and what black swan advocates such as passive investment strategy and non-normality distribution of returns from listed real estate funds. Furthermore, the individual return of each fund was higher the return of the property loan stocks index and the probabilities of all variables confirm that they （variables） are significant when alpha is 10% at confidence level of 90%.
文摘This study focuses on investigating the optimal investment strategy for an optimization problem with delay using the uncertainty theory. The financial market is composed of a risk-free asset and a risk asset with an uncertain price process described by an uncertain differential equation. An optimization problem is assumed that its objective is a nonlinear function of decision variable. By deriving the equation of optimality, an analytical solution is obtained for the optimal delay investment strategy, and the optimal delay value function. Finally, an economic analysis and numerical sensitivity analysis are conducted to evaluate the research results.
基金supported by the National Natural Science Foundation of China(NO.71971153,NO.72231004,NO.72394373)Laboratory of Computation and Analytics of Complex Management Systems(CACMS,Tianjin University).
文摘Several mobile telecommunication companies(MTCs),such as AT&T,Verizon,and China Mobile,are investing in content services to drive continued growth as the telecom industry has become saturated.In this study,we investigate the competition between two MTCs,one of which(MTC 1)provides both data and content services,while the other(MTC 2)provides only data services.We propose a two-stage game-theoretic model to analyze the two MTCs'optimal pricing strategies for data service and content service as well as the investment strategy for the content service.Our analysis reveals that a higher value of value-added service offered by MTC 1 will incentivize it to raise its subscription fee for the content service and induce both MTCs to reduce the prices of their data services,which results in an increased demand for the content service and a decreased demand for MTC 2's data service.As MTC 1 invests further in the quality of the content service,it would benefit from increasing the subscription fee for the content service,and the two MTCs should increase the subscription fee for the data service.However,compared to the decisions in the scenario where MTC 1 does not provide content service,the provision of this service by MTC 1 leads to a lower subscription fee for the two MTCs'data services,an increase in the demand for MTC 1's data service,and a decrease in the demand for MTC 2's data service.These findings reveal that regularly monitoring market competition,as well as adjusting pricing strategies based on market scenarios and the value of services,can enhance competitiveness and long-term profitability for MTCs.
