美国资本市场历史数据显示股票收益远远高于债券收益,不能用基于消费的资产定价模型解释,Mehra and Prescott提出了所谓的股权溢价之谜,而Campbell and Cochrane的习惯形成模型在用HJ方差界检验股权溢价之谜时受到局限。对Epstein and Z...美国资本市场历史数据显示股票收益远远高于债券收益,不能用基于消费的资产定价模型解释,Mehra and Prescott提出了所谓的股权溢价之谜,而Campbell and Cochrane的习惯形成模型在用HJ方差界检验股权溢价之谜时受到局限。对Epstein and Zin(1991)的广义期望效用模型进行修正,使用随机贴现因子的HJ方差界来检验中国股票市场是否存在股权溢价之谜,并比较CRRA模型、Epstein and Zin的模型及修正模型的定价能力。实证分析发现:(1)修正后的模型要求消费者的相对风险厌恶系数为2左右就可以解释中国的高股权溢价现象,而且中国股票市场不存在股权溢价之谜,也不存在无风险利率之谜;(2)同CRRA模型、Epstein and Zin的模型相比,修正后的模型具有更强的定价能力。展开更多
The paper investigates the consumption–investment problem for an investor with Epstein–Zin utility in an incomplete market.Closed but not necessarily convex constraints are imposed on strategies.The optimal consumpt...The paper investigates the consumption–investment problem for an investor with Epstein–Zin utility in an incomplete market.Closed but not necessarily convex constraints are imposed on strategies.The optimal consumption and investment strategies are characterized via a quadratic backward stochastic differential equation(BSDE).Due to the stochastic market environment,solutions to this BSDE are unbounded,so the BMO argument breaks down.After establishing the martingale optimality criterion and carefully selecting Lyapunov functions,the verification theorem is ultimately obtained.In addition,several examples and numerical simulations of optimal strategies are provided and illustrated.展开更多
In arid and semi-arid regions, the availability of adequate water of appropriate quality has become a limiting factor for development. This paper aims to evaluate the potential for rainwater harvesting in the arid to ...In arid and semi-arid regions, the availability of adequate water of appropriate quality has become a limiting factor for development. This paper aims to evaluate the potential for rainwater harvesting in the arid to semi-arid Faria Catchment, in the West Bank, Palestine. Under current conditions, the supply-demand gap is increasing due to the increasing water demands of a growing population with hydrologically limited and uncertain supplies. By 2015, the gap is estimated to reach 4.5 x 106 m3. This study used the process-oriented and physically-based TRAIN-ZIN model to evaluate two different rainwater harvesting techniques during two rainfall events. The analysis shows that there is a theoretical potential for harvesting an additional 4 x 106 m3 of surface water over the entire catchment. Thus, it is essential to manage the potential available surface water supplies in the catchment to save water for dry periods when the supply-demand gap is comparatively high. Then a valuable contribution to bridging the supply-demand gap can be made.展开更多
Interest in nanowires of semiconducting oxides is exponentially grown in the last years,due to their attracting potential applications in electronic,optical and sensor field.We have focused our attention on the sensin...Interest in nanowires of semiconducting oxides is exponentially grown in the last years,due to their attracting potential applications in electronic,optical and sensor field.We have focused our attention on the sensing properties of indium and zinc oxide nanostructures.We have studied the influence of the deposition conditions on the nanostructures morphology and sensing properties.We report on the growth of ZnO and In_2O_3 nanostructures on silicon and alumina substrates,using vapour phase technique.We have synthesized,depending on the growth conditions,different structures such as nano-wires, tetrapod,nano-comb,nano-necklace,nano-pencil ZnO/In_2O_3 without using any metal catalyst.展开更多
文摘美国资本市场历史数据显示股票收益远远高于债券收益,不能用基于消费的资产定价模型解释,Mehra and Prescott提出了所谓的股权溢价之谜,而Campbell and Cochrane的习惯形成模型在用HJ方差界检验股权溢价之谜时受到局限。对Epstein and Zin(1991)的广义期望效用模型进行修正,使用随机贴现因子的HJ方差界来检验中国股票市场是否存在股权溢价之谜,并比较CRRA模型、Epstein and Zin的模型及修正模型的定价能力。实证分析发现:(1)修正后的模型要求消费者的相对风险厌恶系数为2左右就可以解释中国的高股权溢价现象,而且中国股票市场不存在股权溢价之谜,也不存在无风险利率之谜;(2)同CRRA模型、Epstein and Zin的模型相比,修正后的模型具有更强的定价能力。
基金supported by the National Natural Science Foundation of China(Grant No.12171471).
文摘The paper investigates the consumption–investment problem for an investor with Epstein–Zin utility in an incomplete market.Closed but not necessarily convex constraints are imposed on strategies.The optimal consumption and investment strategies are characterized via a quadratic backward stochastic differential equation(BSDE).Due to the stochastic market environment,solutions to this BSDE are unbounded,so the BMO argument breaks down.After establishing the martingale optimality criterion and carefully selecting Lyapunov functions,the verification theorem is ultimately obtained.In addition,several examples and numerical simulations of optimal strategies are provided and illustrated.
基金supported by the GLOWA-JR Project of the German Federal Ministry of Education and Research (BMBF)
文摘In arid and semi-arid regions, the availability of adequate water of appropriate quality has become a limiting factor for development. This paper aims to evaluate the potential for rainwater harvesting in the arid to semi-arid Faria Catchment, in the West Bank, Palestine. Under current conditions, the supply-demand gap is increasing due to the increasing water demands of a growing population with hydrologically limited and uncertain supplies. By 2015, the gap is estimated to reach 4.5 x 106 m3. This study used the process-oriented and physically-based TRAIN-ZIN model to evaluate two different rainwater harvesting techniques during two rainfall events. The analysis shows that there is a theoretical potential for harvesting an additional 4 x 106 m3 of surface water over the entire catchment. Thus, it is essential to manage the potential available surface water supplies in the catchment to save water for dry periods when the supply-demand gap is comparatively high. Then a valuable contribution to bridging the supply-demand gap can be made.
文摘Interest in nanowires of semiconducting oxides is exponentially grown in the last years,due to their attracting potential applications in electronic,optical and sensor field.We have focused our attention on the sensing properties of indium and zinc oxide nanostructures.We have studied the influence of the deposition conditions on the nanostructures morphology and sensing properties.We report on the growth of ZnO and In_2O_3 nanostructures on silicon and alumina substrates,using vapour phase technique.We have synthesized,depending on the growth conditions,different structures such as nano-wires, tetrapod,nano-comb,nano-necklace,nano-pencil ZnO/In_2O_3 without using any metal catalyst.
