This paper investigates an optimal investment strategy on consumption and portfolio problem, in which the investor must withdraw funds continuously at a given rate. By analyzing the evolving process of wealth, we give...This paper investigates an optimal investment strategy on consumption and portfolio problem, in which the investor must withdraw funds continuously at a given rate. By analyzing the evolving process of wealth, we give the definition of safe-region for investment. Moreover, in order to obtain the target wealth as quickly as possible, using Bellman dynamic programming principle, we get the optimal investment strategy and corresponding necessary expected time. At last we give some numerical computations for a set of different parameters.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
This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric ...This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.展开更多
This paper considers the Merton portfolio optimization problem for an investor that aims at maximizing the expected power utility of the terminal wealth and intermediate consumption.Applying the homotopy analysis meth...This paper considers the Merton portfolio optimization problem for an investor that aims at maximizing the expected power utility of the terminal wealth and intermediate consumption.Applying the homotopy analysis method,an analytical solution for value function as well as optimal strategy under the 3/2 model is derived,respectively.Compared with the existing explicit solutions for Merton problem under the 3/2 model,the formulas provide certain parameters with less requirement since the homotopy analysis method does not depend on the existence of small parameters in the equation.Finally,numerical examples are examined with the approach,and the proposed solution provides more accurate approximation as the number of terms in infinite series increases.展开更多
The modified Cholesky decomposition(MCD)is an efficient technique for estimating a covariance matrix.However,it is known that the MCD technique often requires a pre-specified variable ordering in the estimation proced...The modified Cholesky decomposition(MCD)is an efficient technique for estimating a covariance matrix.However,it is known that the MCD technique often requires a pre-specified variable ordering in the estimation procedure.In this work,we propose a weighted average ensemble covariance estimation for high-dimensional data based on the MCD technique.It canflexibly accommodatethehigh-dimensional case and ensure the positive definiteness property of the resultant estimate.Our key idea is to obtain different weights for different candidate estimates by minimizing an appropriate risk function with respect to the Frobenius norm.Different from the existing ensemble estimation based on the MCD,the proposed method provides a sparse weighting scheme such that one can distinguish which variable orderings employed in the MCD are useful for the ensemble matrix estimate.The asymptotically theoretical convergence rate of the proposed ensemble estimate is established under regularity conditions.The merits of the proposed method are examined by the simulation studies and a portfolio allocationexampleofrealstockdata.展开更多
Estimation of large covariance matrices is of great importance in multivariate analysis.The modified Cholesky decomposition is a commonly used technique in covariance matrix estimation given a specific order of variab...Estimation of large covariance matrices is of great importance in multivariate analysis.The modified Cholesky decomposition is a commonly used technique in covariance matrix estimation given a specific order of variables.However,information on the order of variables is often unknown,or cannot be reasonably assumed in practice.In this work,we propose a Choleskybased model averaging approach of covariance matrix estimation for high dimensional datawith proper regularisation imposed on the Cholesky factor matrix.The proposed method not only guarantees the positive definiteness of the covariance matrix estimate,but also is applicable in general situations without the order of variables being pre-specified.Numerical simulations are conducted to evaluate the performance of the proposed method in comparison with several other covariance matrix estimates.The advantage of our proposed method is further illustrated by a real case study of equity portfolio allocation.展开更多
The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential e...The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.展开更多
This study presents a comprehensive and innovative analysis of dynamic tail risk in the Chinese stock market utilizing the localizing conditional autoregressive expectiles(LCARE)model.We consider the dynamic changes i...This study presents a comprehensive and innovative analysis of dynamic tail risk in the Chinese stock market utilizing the localizing conditional autoregressive expectiles(LCARE)model.We consider the dynamic changes in the tail distribution of stock market returns and the associated time-varying parameters,which is relatively rare in existing literature on tail risk in the Chinese stock market.We first determine homogeneous intervals through the local parametric approach(LPA)and then establish a CARE model with constant parameters within the homogeneous intervals.The lengths of the homogeneity intervals obtained through LPA provide strong evidence for the presence of potential structural changes in tail risk measurement.The efficacy of the LCARE model in predicting outcomes at various time scales has also been demonstrated effectively.The empirical evidence on portfolio strategies shows that the time-invariant portfolio protection(TIPP)strategy with time-varying multipliers,which is grounded in the LCARE framework,exhibits enhanced performance in comparison to other strategies.Thus,this study has the potential to serve as a valuable reference for government departments and investors seeking to assess and alert to the time-varying tail risk of the stock market across various market conditions and investment horizons.展开更多
文摘This paper investigates an optimal investment strategy on consumption and portfolio problem, in which the investor must withdraw funds continuously at a given rate. By analyzing the evolving process of wealth, we give the definition of safe-region for investment. Moreover, in order to obtain the target wealth as quickly as possible, using Bellman dynamic programming principle, we get the optimal investment strategy and corresponding necessary expected time. At last we give some numerical computations for a set of different parameters.
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This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023.To this end,we used the time-varying parameter vector autoregression(TVP-VAR)asymmetric connectedness approach of Adekoya et al.(Resour Policy 77:102728,2022a,Resour Policy 78:102877,2022b)and analyzed the time-varying transmitting/receiving roles of sectors,considering the positive and negative impacts of the spillovers.We further estimate negative spillovers networks at two burst times(the declaration of the COVID-19 pandemic by the World Health Organization on 11 March 2020 and the start of Russian-Ukrainian war on 24 February 2022,respectively).Moreover,we performed a portfolio back-testing analysis to determine the time-varying portfolio allocations and hedging the effectiveness of different portfolio construction techniques.Our results reveal that(i)the sectoral return series are strongly interconnected,and negative spillovers dominate the study period;(ii)US sectoral returns are more sensitive to negative shocks,particularly during the burst times;(iii)the overall,positive,and negative connectedness indices reached their maximums on March 16,2020;(iv)the industry sector is the largest transmitter/recipient of return shocks on average;and(v)the minimum correlation and connectedness portfolio approaches robustly capture asymmetries.Our findings provide suggestions for investors,portfolio managers,and policymakers regarding optimal portfolio strategies and risk supervision.
基金supported by the Nature Science Research Project of Anhui Province,China under Grant No.1808085MA18General Program of the National Natural Science Foundation of China under Grant No.72071068。
文摘This paper considers the Merton portfolio optimization problem for an investor that aims at maximizing the expected power utility of the terminal wealth and intermediate consumption.Applying the homotopy analysis method,an analytical solution for value function as well as optimal strategy under the 3/2 model is derived,respectively.Compared with the existing explicit solutions for Merton problem under the 3/2 model,the formulas provide certain parameters with less requirement since the homotopy analysis method does not depend on the existence of small parameters in the equation.Finally,numerical examples are examined with the approach,and the proposed solution provides more accurate approximation as the number of terms in infinite series increases.
基金supported by National Natural Science Foundation of China[grant numbers 72232001 and 72371059]supported by National Natural Science Foundation of China[grant number 12001365].
文摘The modified Cholesky decomposition(MCD)is an efficient technique for estimating a covariance matrix.However,it is known that the MCD technique often requires a pre-specified variable ordering in the estimation procedure.In this work,we propose a weighted average ensemble covariance estimation for high-dimensional data based on the MCD technique.It canflexibly accommodatethehigh-dimensional case and ensure the positive definiteness property of the resultant estimate.Our key idea is to obtain different weights for different candidate estimates by minimizing an appropriate risk function with respect to the Frobenius norm.Different from the existing ensemble estimation based on the MCD,the proposed method provides a sparse weighting scheme such that one can distinguish which variable orderings employed in the MCD are useful for the ensemble matrix estimate.The asymptotically theoretical convergence rate of the proposed ensemble estimate is established under regularity conditions.The merits of the proposed method are examined by the simulation studies and a portfolio allocationexampleofrealstockdata.
基金National Science of Foundation of China[grant number NSFC-71531004]NNSF.
文摘Estimation of large covariance matrices is of great importance in multivariate analysis.The modified Cholesky decomposition is a commonly used technique in covariance matrix estimation given a specific order of variables.However,information on the order of variables is often unknown,or cannot be reasonably assumed in practice.In this work,we propose a Choleskybased model averaging approach of covariance matrix estimation for high dimensional datawith proper regularisation imposed on the Cholesky factor matrix.The proposed method not only guarantees the positive definiteness of the covariance matrix estimate,but also is applicable in general situations without the order of variables being pre-specified.Numerical simulations are conducted to evaluate the performance of the proposed method in comparison with several other covariance matrix estimates.The advantage of our proposed method is further illustrated by a real case study of equity portfolio allocation.
基金supported by the National Nature Science Foundation of China(11221061,61174092,11126214,11126208)the National Science Fund for Distinguished Young Scholars of China(11125102)the Fundamental Research Funds for the Central Universities(2010QS05)
文摘The pricing and hedging problem of foreign currency option with higher borrowing rate is discussed.The method to obtain the price and hedging portfolio of currency option is based on backward stochastic differential equations(BSDE for short) theory and Malliavin calculus technique.The sensitivity of the model parameters is also considered and some numerical simulations are given to illustrate our conclusion.
基金Supported by the Natural Science Foundation of Shandong Province(ZR2023MG037)the National Natural Science Foundation of China(72171192)。
文摘This study presents a comprehensive and innovative analysis of dynamic tail risk in the Chinese stock market utilizing the localizing conditional autoregressive expectiles(LCARE)model.We consider the dynamic changes in the tail distribution of stock market returns and the associated time-varying parameters,which is relatively rare in existing literature on tail risk in the Chinese stock market.We first determine homogeneous intervals through the local parametric approach(LPA)and then establish a CARE model with constant parameters within the homogeneous intervals.The lengths of the homogeneity intervals obtained through LPA provide strong evidence for the presence of potential structural changes in tail risk measurement.The efficacy of the LCARE model in predicting outcomes at various time scales has also been demonstrated effectively.The empirical evidence on portfolio strategies shows that the time-invariant portfolio protection(TIPP)strategy with time-varying multipliers,which is grounded in the LCARE framework,exhibits enhanced performance in comparison to other strategies.Thus,this study has the potential to serve as a valuable reference for government departments and investors seeking to assess and alert to the time-varying tail risk of the stock market across various market conditions and investment horizons.
