In order to deal with the problem that exists in current teaching of English writing,this thesis aims to explore a new process writing approach which combines process-based approach with portfolios assessment.
Purpose:Interdisciplinarity is a hot topic in science and technology policy.However,the concept of interdisciplinarity is both abstract and complex,and therefore difficult to measure using a single indicator.A variety...Purpose:Interdisciplinarity is a hot topic in science and technology policy.However,the concept of interdisciplinarity is both abstract and complex,and therefore difficult to measure using a single indicator.A variety of metrics for measuring the diversity and interdisciplinarity of articles,journals,and fields have been proposed in the literature.In this article,we ask whether institutions can be ranked in terms of their(inter-)disciplinary diversity.Design/methodology/approach:We developed a software application(interd_vb.exe)that outputs the values of relevant diversity indicators for any document set or network structure.The software is made available,free to the public,online.The indicators it considers include the advanced diversity indicators Rao-Stirling(RS)diversity and DIV*,as well as standard measures of diversity,such as the Gini coefficient,Shannon entropy,and the Simpson Index.As an empirical demonstration of how the application works,we compared the research portfolios of 42“Double First-Class”Chinese universities across Web of Science Subject Categories(WCs).Findings:The empirical results suggest that DIV*provides results that are more in line with one’s intuitive impressions than RS,particularly when the results are based on sampledependent disparity measures.Furthermore,the scores for diversity are more consistent when based on a global disparity matrix than on a local map.Research limitations:“Interdisciplinarity”can be operationalized as bibliographic coupling among(sets of)documents with references to disciplines.At the institutional level,however,diversity may also indicate comprehensiveness.Unlike impact(e.g.citation),diversity and interdisciplinarity are context-specific and therefore provide a second dimension to the evaluation.Policy or practical implications:Operationalization and quantification make it necessary for analysts to make their choices and options clear.Although the equations used to calculate diversity are often mathematically transparent,the specification in terms of computer code helps the analyst to further precision in decisions.Although diversity is not necessarily a goal of universities,a high diversity score may inform potential policies concerning interdisciplinarity at the university level.Originality/value:This article introduces a non-commercial online application to the public domain that allows researchers and policy analysts to measure“diversity”and“interdisciplinarity”using the various indicators as encompassing as possible for any document set or network structure(e.g.a network of co-authors).Insofar as we know,such a professional computing tool for evaluating data sets using diversity indicators has not yet been made available online.展开更多
Equipment selection is an essential work in the research and development planning of equipment.The scientific and rational development of weapons equipment portfolios is of considerable significance to the optimizatio...Equipment selection is an essential work in the research and development planning of equipment.The scientific and rational development of weapons equipment portfolios is of considerable significance to the optimization of equipment architecture design,the adequate resources allocation,and the joint combat performance.From the system view,this paper proposes a method of weapons equipment portfolios selection(WEPS)based on the contribution rate of weapon systems,providing a new idea for weapon equipment portfolio selection.Firstly,we analyze the WEPS problem and the concept of the contribution rate under the systems background.Secondly,we propose a combat network modeling method for weapon equipment systems based on the function chain.Thirdly,we propose a WEPS method based on the contribution rate,fully considering the correlation relationships between potential weapons and the old weapon systems by the combat network model,under the limitation of capability demands and budget resources,with the objective to maximally increasing the combat ability of weapon systems.Finally,we make a case study with a specific WEPS problem where the whole calculation processes and results are analyzed and exhibited to verify the feasibility and effectiveness of the proposed method model.展开更多
In order to study the effect of different risk measures on the efficient portfolios （fron- tier） while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper ...In order to study the effect of different risk measures on the efficient portfolios （fron- tier） while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios （frontier） based on risk measures such as variance, value at risk （VaR）, and expected shortfall （ES） is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance （MV） efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision.展开更多
This paper makes use of statistical tools of parameter correlation, multi-parameter regression, and does experimental analysis on issues of risk diversification of portfolios entrusted by National Social Security Fund...This paper makes use of statistical tools of parameter correlation, multi-parameter regression, and does experimental analysis on issues of risk diversification of portfolios entrusted by National Social Security Fund (NSSF). The issues are industry related investment fields distribution, the trend of capitalization movement, and investment style factors in stock selection. The results show that there are risk problems with portfolios entrusted by NSSF, which include similar investment fields distribution trend, little difference among portfolios, and high risk preference degree.展开更多
This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent yea...This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent years, especially after the 2008 crisis, a new technique to evaluate the risk has become more popular, the so-called risk parity, which seeks to equalise the contributions to risk of the portfolio constituents. Our study analyses 17 variants of risk parity portfolio design for groups with the minimum variance strategy and equally weighted portfolio over a pool of 56 ETFs—listed on the Italian Stock Exchange—of eight different categories of specialisation. Empirical results confirm the usefulness of the group risk parity strategies in improving outcomes regarding diversification of risks among classes with good out-of-sample performance with respects to the target models.展开更多
This paper is concerned with a study on the efficient frontier characters of portfolio with transaction cost. The conclusion is drawn that all portfolios are of positive correlation on the efficient frontier with tran...This paper is concerned with a study on the efficient frontier characters of portfolio with transaction cost. The conclusion is drawn that all portfolios are of positive correlation on the efficient frontier with transaction cost; the sufficient condition for the derivable efficient frontier has also been achieved. Meanwhile, in comparison with the position of the efficient frontier without transaction cost in the plane (σ 2,R), the conclusion has been made that the efficient frontiers with transaction cost drift and its opening shrinks correspondingly. With this study, the content of the efficient frontier is further enriched. It’s very constructive and important for the practical portfolio investment strategy.展开更多
This paper is trying to make some improvement to Markowitz＇s Mean-Variance Model. In this paper, we try to solve the model of portfolio by using Evolutionary Programming under the condition of the covariance matrix w...This paper is trying to make some improvement to Markowitz＇s Mean-Variance Model. In this paper, we try to solve the model of portfolio by using Evolutionary Programming under the condition of the covariance matrix which is a non-positive matrix, and design a new method which can improve Markowitz＇s model. At last, we give an illustrative example with the new method.展开更多
Purpose： This paper suggests a framework to identify important patents for building potential patent portfolios based on patents owned by different assignees so as to highlight the value of individual patents in tech...Purpose： This paper suggests a framework to identify important patents for building potential patent portfolios based on patents owned by different assignees so as to highlight the value of individual patents in technology transfer and identify potential collaborators for patent assignees. Design/methodology/approach： The analysis framework includes the following steps： l） co-classification analysis based on the International Patent Classification （IPC） codes and Derwent Manual Codes （DMC） to detect sub-tech fields, 2） keyword co-occurrence analysis aiming to understand the core technology information in each patent, and 3） social network analysis used for identifying important technologies and partnerships of key assignees. A case study was conducted with 27,401 chemistry patents filed by a Chinese national research institute. Findings： The results show that this framework is effective in building potential technological patent portfolios based on patents owned by different assignees and identifying future collaborators for the assignees. This integrated approach based on topic identification and correlation analysis that combines network-based analysis with keyword-based analysis can reveal important patented technologies and their connections and help understand detailed technological information mentioned in patents. Research limitations： In keywords analysis, only titles and abstracts of patent documents were used and weights of keywords in different parts of the documents were not considered.Practical implications： The analysis framework provides valuable information for decision- makers of large institutions which have many patents with broad application prospects. Originality/value： Different from previous patent portfolio studies based on the use of a combination of patent analysis indicators, this study provides insights into a method of building patent portfolios to discover the potential of individual patents in technology transfer and promote cooperation among different patent assignees.展开更多
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets.Both the asset value and the volatility processes are correlated through systemic Brownian motions,with d...We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets.Both the asset value and the volatility processes are correlated through systemic Brownian motions,with default determined by the asset value reaching a lower boundary.We prove that if our volatility models are picked from a class of mean-reverting diffusions,the system converges as the portfolio becomes large and,when the vol-of-vol function satisfies certain regularity and boundedness conditions,the limit of the empirical measure process has a density given in terms of a solution to a stochastic initial-boundary value problem on a half-space.The problem is defined in a special weighted Sobolev space.Regularity results are established for solutions to this problem,and then we show that there exists a unique solution.In contrast to the CIR volatility setting covered by the existing literature,our results hold even when the systemic Brownian motions are taken to be correlated.展开更多
Pattern matching method is one of the classic classifications of existing online portfolio selection strategies. This article aims to study the key aspects of this method—measurement of similarity and selection of si...Pattern matching method is one of the classic classifications of existing online portfolio selection strategies. This article aims to study the key aspects of this method—measurement of similarity and selection of similarity sets, and proposes a Portfolio Selection Method based on Pattern Matching with Dual Information of Direction and Distance (PMDI). By studying different combination methods of indicators such as Euclidean distance, Chebyshev distance, and correlation coefficient, important information such as direction and distance in stock historical price information is extracted, thereby filtering out the similarity set required for pattern matching based investment portfolio selection algorithms. A large number of experiments conducted on two datasets of real stock markets have shown that PMDI outperforms other algorithms in balancing income and risk. Therefore, it is suitable for the financial environment in the real world.展开更多
Famure et al describe that close to 50%of their patients needed early or very early hospital readmissions after their kidney transplantation.As they taught us the variables related to those outcomes,we describe eight ...Famure et al describe that close to 50%of their patients needed early or very early hospital readmissions after their kidney transplantation.As they taught us the variables related to those outcomes,we describe eight teaching capsules that may go beyond what they describe in their article.First two capsules talk about the ideal donors and recipients we should choose for avoiding the risk of an early readmission.The third and fourth capsules tell us about the reality of cadaveric donors and recipients with comorbidities,and the way transplant physicians should choose them to maximize survival.Fifth capsule shows that any mistake can result in an early readmission,and thus,in poorer outcomes.Sixth capsule talks about economic losses of early readmissions,cost-effectiveness of tran-splantation,and how to improve outcomes and reduce costs by managing a risky patient-portfolio.Seventh capsule argues about knowing your risk behavior to better manage your portfolio;and Eighth capsule about the importance of the center experience in transplanting complex patients.We finish with some lessons of the importance of the transplantation process and the collaboration with other disciplines in order to prevent the conditions that lead to early readmissions.展开更多
Modern financial theory, commonly known as portfolio theory, provides an analytical framework for the investment decision to be made under uncertainty. It is a well-established proposition in portfolio theory that whe...Modern financial theory, commonly known as portfolio theory, provides an analytical framework for the investment decision to be made under uncertainty. It is a well-established proposition in portfolio theory that whenever there is an imperfect correlation between returns risk is reduced by maintaining only a portion of wealth in any asset, or by selecting a portfolio according to expected returns and correlations between returns. The major improvement of the portfolio approaches over prior received theory is the incorporation of 1) the riskiness of an asset and 2) the addition from investing in any asset. The theme of this paper is to discuss how to propose a new mathematical model like that provided by Markowitz, which helps in choosing a nearly perfect portfolio and an efficient input/output. Besides applying this model to reality, the researcher uses game theory, stochastic and linear programming to provide the model proposed and then uses this model to select a perfect portfolio in the Cairo Stock Exchange. The results are fruitful and the researcher considers this model a new contribution to previous models.展开更多
Portfolios is a well-known investment technique of handling multiple stocks, bonds and securities. However, the previous portfolios investment lack of incorporating the various possible opinions from several experts o...Portfolios is a well-known investment technique of handling multiple stocks, bonds and securities. However, the previous portfolios investment lack of incorporating the various possible opinions from several experts on an given portfolios investment problem. This paper proposes an MC2 linear programming approach to determining weighted coefficients of portfolios that involves multiple experts. The numerical example of the paper shows that the proposed approach likely outperforms the current techniques of portfolios in dealing with the case of multiple experts.展开更多
In recent years, digital investment portfolios have become a significant area of interest in the field of machine learning. To tackle the issue of neglecting the momentum effect in risk asset prices within the follow-...In recent years, digital investment portfolios have become a significant area of interest in the field of machine learning. To tackle the issue of neglecting the momentum effect in risk asset prices within the follow-the-winner strategy and to evaluate the significance of this effect, a novel measure of risk asset price momentum trend is introduced for online investment portfolio research. Firstly, a novel approach is introduced to quantify the momentum trend effect, which is determined by the product of the slope of the linear regression model and the absolute value of the linear correlation coefficient. Secondly, a new investment portfolio optimization problem is established based on the prediction of future returns. Thirdly, the Lagrange multiplier method is used to obtain the analytical solution of the optimization model, and the soft projection optimization algorithm is used to map the analytical solution to obtain the investment portfolio of the model. Finally, experiments are conducted on five benchmark datasets and compared with popular investment portfolio algorithms. The empirical findings indicate that the algorithm we are introduced is capable of generating higher investment returns, thereby establishing its efficacy for the management of the online investment portfolios.展开更多
The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic pr...The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming(MSSP). The authors note particularly the novel consideration and signi?cant bene?t of basket options in the context of portfolio optimization and risk management.Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation,and a suitable test bed to empirically investigate the performance of alternative strategies.展开更多
Health insurance lowers the medical financial burden of the insured through a risk-sharing mechanism, and more importantly, reduces the motivation for precautionary saving. This paper explores the relationship between...Health insurance lowers the medical financial burden of the insured through a risk-sharing mechanism, and more importantly, reduces the motivation for precautionary saving. This paper explores the relationship between health insurance coverage and household financial portfolios. We choose 2002 urban China as a case study when the health insurance system had a problem of limited adverse selection. Using data from the 2002 Chinese Household Income Project Survey, we find that health insurance coverage influences households＇ preference for financial assets, especially for the risky financial assets. These effects become more pronounced as the coverage rate of health insurance in the family increases. Our results are consistent with precautionary saving theory which suggests that future expenditure risk could affect household asset portfolios. Therefore, development of social security or a health insurance system could effectively promote the development of financial markets, especially riskier aspects of financial markets.展开更多
In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and...In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and jump ambiguity occurring in the traditional stock market and the cryptocurrency market into a single framework.We reach the following conclusions in both markets:first,price diffusion and jump ambiguity mainly determine detection-error probability;second,optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity,and trivially affected by volatility diffusion ambiguity.In addition,investors tend to be more aggressive in a stable market than in a volatile one.Next,given a larger volatility jump size,investors tend to increase their portfolio during downward price jumps and decrease it during upward price jumps.Finally,the welfare loss caused by price diffusion ambiguity is more pronounced than that caused by jump ambiguity in an incomplete market.These findings enrich the extant literature on effects of ambiguity on the traditional stock market and the evolving cryptocurrency market.The results have implications for both investors and regulators.展开更多
Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon among investors,although the long-term benefits of this strategy remain unclear.This study examines the long-term benefits of...Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon among investors,although the long-term benefits of this strategy remain unclear.This study examines the long-term benefits of the correlation strategy for portfolios based on the stock market in Asia,Central and Eastern Europe,the Middle East and North Africa,and Latin America from 2000 to 2016.Our strategy is as follows.We develop five portfolios based on the average unconditional correlation between domestic and foreign assets from 2000 to 2016.This yields five regional portfolios based on low to high correlations.In the presence of selected economic and financial conditions,long-term diversification gains for each regional portfolio are evaluated using a panel cointegration-based testing method.Consistent across all portfolios and regions,our key cointegration results suggest that selecting a low-correlated portfolio to maximize diversification gains does not necessarily result in long-term diversification gains.Our empirical method,which also permits the estimation of cointegrating regressions,provides the opportunity to evaluate the impact of oil prices,U.S.stock market fluctuations,and investor sentiments on regional portfolios,as well as to hedge against these fluctuations.Finally,we extend our data to cover the years 2017–2022 and find that our main findings are robust.展开更多
文摘In order to deal with the problem that exists in current teaching of English writing,this thesis aims to explore a new process writing approach which combines process-based approach with portfolios assessment.
基金support from the National Natural Science Foundation of China(Grant No.71573085,71974150).
文摘Purpose:Interdisciplinarity is a hot topic in science and technology policy.However,the concept of interdisciplinarity is both abstract and complex,and therefore difficult to measure using a single indicator.A variety of metrics for measuring the diversity and interdisciplinarity of articles,journals,and fields have been proposed in the literature.In this article,we ask whether institutions can be ranked in terms of their(inter-)disciplinary diversity.Design/methodology/approach:We developed a software application(interd_vb.exe)that outputs the values of relevant diversity indicators for any document set or network structure.The software is made available,free to the public,online.The indicators it considers include the advanced diversity indicators Rao-Stirling(RS)diversity and DIV*,as well as standard measures of diversity,such as the Gini coefficient,Shannon entropy,and the Simpson Index.As an empirical demonstration of how the application works,we compared the research portfolios of 42“Double First-Class”Chinese universities across Web of Science Subject Categories(WCs).Findings:The empirical results suggest that DIV*provides results that are more in line with one’s intuitive impressions than RS,particularly when the results are based on sampledependent disparity measures.Furthermore,the scores for diversity are more consistent when based on a global disparity matrix than on a local map.Research limitations:“Interdisciplinarity”can be operationalized as bibliographic coupling among(sets of)documents with references to disciplines.At the institutional level,however,diversity may also indicate comprehensiveness.Unlike impact(e.g.citation),diversity and interdisciplinarity are context-specific and therefore provide a second dimension to the evaluation.Policy or practical implications:Operationalization and quantification make it necessary for analysts to make their choices and options clear.Although the equations used to calculate diversity are often mathematically transparent,the specification in terms of computer code helps the analyst to further precision in decisions.Although diversity is not necessarily a goal of universities,a high diversity score may inform potential policies concerning interdisciplinarity at the university level.Originality/value:This article introduces a non-commercial online application to the public domain that allows researchers and policy analysts to measure“diversity”and“interdisciplinarity”using the various indicators as encompassing as possible for any document set or network structure(e.g.a network of co-authors).Insofar as we know,such a professional computing tool for evaluating data sets using diversity indicators has not yet been made available online.
基金supported by the National Natural Science Foundation of China(71690233)the Scientific Research Foundation of National University of Defense Technology(ZK19-16)the PLA military graduate student funding project.
文摘Equipment selection is an essential work in the research and development planning of equipment.The scientific and rational development of weapons equipment portfolios is of considerable significance to the optimization of equipment architecture design,the adequate resources allocation,and the joint combat performance.From the system view,this paper proposes a method of weapons equipment portfolios selection(WEPS)based on the contribution rate of weapon systems,providing a new idea for weapon equipment portfolio selection.Firstly,we analyze the WEPS problem and the concept of the contribution rate under the systems background.Secondly,we propose a combat network modeling method for weapon equipment systems based on the function chain.Thirdly,we propose a WEPS method based on the contribution rate,fully considering the correlation relationships between potential weapons and the old weapon systems by the combat network model,under the limitation of capability demands and budget resources,with the objective to maximally increasing the combat ability of weapon systems.Finally,we make a case study with a specific WEPS problem where the whole calculation processes and results are analyzed and exhibited to verify the feasibility and effectiveness of the proposed method model.
基金Supported by the NNSF of China (10571141) the Key Project of the NNSF of China (70531030).
文摘In order to study the effect of different risk measures on the efficient portfolios （fron- tier） while properly describing the characteristic of return distributions in the stock market, it is assumed in this paper that the joint return distribution of risky assets obeys the multivariate t-distribution. Under the mean-risk analysis framework, the interrelationship of efficient portfolios （frontier） based on risk measures such as variance, value at risk （VaR）, and expected shortfall （ES） is analyzed and compared. It is proved that, when there is no riskless asset in the market, the efficient frontier under VaR or ES is a subset of the mean-variance （MV） efficient frontier, and the efficient portfolios under VaR or ES are also MV efficient; when there exists a riskless asset in the market, a portfolio is MV efficient if and only if it is a VaR or ES efficient portfolio. The obtained results generalize relevant conclusions about investment theory, and can better guide investors to make their investment decision.
文摘This paper makes use of statistical tools of parameter correlation, multi-parameter regression, and does experimental analysis on issues of risk diversification of portfolios entrusted by National Social Security Fund (NSSF). The issues are industry related investment fields distribution, the trend of capitalization movement, and investment style factors in stock selection. The results show that there are risk problems with portfolios entrusted by NSSF, which include similar investment fields distribution trend, little difference among portfolios, and high risk preference degree.
文摘This research aims to compare different strategies that a non-professional investor in exchange-traded funds (ETFs) could employ to reach a good performance both from profits and from a risk perspective. In recent years, especially after the 2008 crisis, a new technique to evaluate the risk has become more popular, the so-called risk parity, which seeks to equalise the contributions to risk of the portfolio constituents. Our study analyses 17 variants of risk parity portfolio design for groups with the minimum variance strategy and equally weighted portfolio over a pool of 56 ETFs—listed on the Italian Stock Exchange—of eight different categories of specialisation. Empirical results confirm the usefulness of the group risk parity strategies in improving outcomes regarding diversification of risks among classes with good out-of-sample performance with respects to the target models.
文摘This paper is concerned with a study on the efficient frontier characters of portfolio with transaction cost. The conclusion is drawn that all portfolios are of positive correlation on the efficient frontier with transaction cost; the sufficient condition for the derivable efficient frontier has also been achieved. Meanwhile, in comparison with the position of the efficient frontier without transaction cost in the plane (σ 2,R), the conclusion has been made that the efficient frontiers with transaction cost drift and its opening shrinks correspondingly. With this study, the content of the efficient frontier is further enriched. It’s very constructive and important for the practical portfolio investment strategy.
文摘This paper is trying to make some improvement to Markowitz＇s Mean-Variance Model. In this paper, we try to solve the model of portfolio by using Evolutionary Programming under the condition of the covariance matrix which is a non-positive matrix, and design a new method which can improve Markowitz＇s model. At last, we give an illustrative example with the new method.
基金supported by the Science and Technology Service Network Initiative of Chinese Academy of Sciences(Grant No.:KFJ-EW-STS-032)the West Light Foundation of Chinese Academy of Sciences(Grant No.:Y4C0091001)the National Social Science Foundation of China(Grant No.:14CTQ033)
文摘Purpose： This paper suggests a framework to identify important patents for building potential patent portfolios based on patents owned by different assignees so as to highlight the value of individual patents in technology transfer and identify potential collaborators for patent assignees. Design/methodology/approach： The analysis framework includes the following steps： l） co-classification analysis based on the International Patent Classification （IPC） codes and Derwent Manual Codes （DMC） to detect sub-tech fields, 2） keyword co-occurrence analysis aiming to understand the core technology information in each patent, and 3） social network analysis used for identifying important technologies and partnerships of key assignees. A case study was conducted with 27,401 chemistry patents filed by a Chinese national research institute. Findings： The results show that this framework is effective in building potential technological patent portfolios based on patents owned by different assignees and identifying future collaborators for the assignees. This integrated approach based on topic identification and correlation analysis that combines network-based analysis with keyword-based analysis can reveal important patented technologies and their connections and help understand detailed technological information mentioned in patents. Research limitations： In keywords analysis, only titles and abstracts of patent documents were used and weights of keywords in different parts of the documents were not considered.Practical implications： The analysis framework provides valuable information for decision- makers of large institutions which have many patents with broad application prospects. Originality/value： Different from previous patent portfolio studies based on the use of a combination of patent analysis indicators, this study provides insights into a method of building patent portfolios to discover the potential of individual patents in technology transfer and promote cooperation among different patent assignees.
基金supported financially by the United Kingdom Engineering and Physical Sciences Research Council (Grant No.EP/L015811/1)by the Foundation for Education and European Culture (founded by Nicos&Lydia Tricha).
文摘We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets.Both the asset value and the volatility processes are correlated through systemic Brownian motions,with default determined by the asset value reaching a lower boundary.We prove that if our volatility models are picked from a class of mean-reverting diffusions,the system converges as the portfolio becomes large and,when the vol-of-vol function satisfies certain regularity and boundedness conditions,the limit of the empirical measure process has a density given in terms of a solution to a stochastic initial-boundary value problem on a half-space.The problem is defined in a special weighted Sobolev space.Regularity results are established for solutions to this problem,and then we show that there exists a unique solution.In contrast to the CIR volatility setting covered by the existing literature,our results hold even when the systemic Brownian motions are taken to be correlated.
文摘Pattern matching method is one of the classic classifications of existing online portfolio selection strategies. This article aims to study the key aspects of this method—measurement of similarity and selection of similarity sets, and proposes a Portfolio Selection Method based on Pattern Matching with Dual Information of Direction and Distance (PMDI). By studying different combination methods of indicators such as Euclidean distance, Chebyshev distance, and correlation coefficient, important information such as direction and distance in stock historical price information is extracted, thereby filtering out the similarity set required for pattern matching based investment portfolio selection algorithms. A large number of experiments conducted on two datasets of real stock markets have shown that PMDI outperforms other algorithms in balancing income and risk. Therefore, it is suitable for the financial environment in the real world.
文摘Famure et al describe that close to 50%of their patients needed early or very early hospital readmissions after their kidney transplantation.As they taught us the variables related to those outcomes,we describe eight teaching capsules that may go beyond what they describe in their article.First two capsules talk about the ideal donors and recipients we should choose for avoiding the risk of an early readmission.The third and fourth capsules tell us about the reality of cadaveric donors and recipients with comorbidities,and the way transplant physicians should choose them to maximize survival.Fifth capsule shows that any mistake can result in an early readmission,and thus,in poorer outcomes.Sixth capsule talks about economic losses of early readmissions,cost-effectiveness of tran-splantation,and how to improve outcomes and reduce costs by managing a risky patient-portfolio.Seventh capsule argues about knowing your risk behavior to better manage your portfolio;and Eighth capsule about the importance of the center experience in transplanting complex patients.We finish with some lessons of the importance of the transplantation process and the collaboration with other disciplines in order to prevent the conditions that lead to early readmissions.
文摘Modern financial theory, commonly known as portfolio theory, provides an analytical framework for the investment decision to be made under uncertainty. It is a well-established proposition in portfolio theory that whenever there is an imperfect correlation between returns risk is reduced by maintaining only a portion of wealth in any asset, or by selecting a portfolio according to expected returns and correlations between returns. The major improvement of the portfolio approaches over prior received theory is the incorporation of 1) the riskiness of an asset and 2) the addition from investing in any asset. The theme of this paper is to discuss how to propose a new mathematical model like that provided by Markowitz, which helps in choosing a nearly perfect portfolio and an efficient input/output. Besides applying this model to reality, the researcher uses game theory, stochastic and linear programming to provide the model proposed and then uses this model to select a perfect portfolio in the Cairo Stock Exchange. The results are fruitful and the researcher considers this model a new contribution to previous models.
基金Thisresearch is supported by Naiton Excellent Youth Science Foundation of China (No.7972 50 0 2 )
文摘Portfolios is a well-known investment technique of handling multiple stocks, bonds and securities. However, the previous portfolios investment lack of incorporating the various possible opinions from several experts on an given portfolios investment problem. This paper proposes an MC2 linear programming approach to determining weighted coefficients of portfolios that involves multiple experts. The numerical example of the paper shows that the proposed approach likely outperforms the current techniques of portfolios in dealing with the case of multiple experts.
文摘In recent years, digital investment portfolios have become a significant area of interest in the field of machine learning. To tackle the issue of neglecting the momentum effect in risk asset prices within the follow-the-winner strategy and to evaluate the significance of this effect, a novel measure of risk asset price momentum trend is introduced for online investment portfolio research. Firstly, a novel approach is introduced to quantify the momentum trend effect, which is determined by the product of the slope of the linear regression model and the absolute value of the linear correlation coefficient. Secondly, a new investment portfolio optimization problem is established based on the prediction of future returns. Thirdly, the Lagrange multiplier method is used to obtain the analytical solution of the optimization model, and the soft projection optimization algorithm is used to map the analytical solution to obtain the investment portfolio of the model. Finally, experiments are conducted on five benchmark datasets and compared with popular investment portfolio algorithms. The empirical findings indicate that the algorithm we are introduced is capable of generating higher investment returns, thereby establishing its efficacy for the management of the online investment portfolios.
基金the National Natural Science Foundation of the People’s Republic of China with financially funding under Grant Nos.71401193 and 71371022
文摘The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming(MSSP). The authors note particularly the novel consideration and signi?cant bene?t of basket options in the context of portfolio optimization and risk management.Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation,and a suitable test bed to empirically investigate the performance of alternative strategies.
文摘Health insurance lowers the medical financial burden of the insured through a risk-sharing mechanism, and more importantly, reduces the motivation for precautionary saving. This paper explores the relationship between health insurance coverage and household financial portfolios. We choose 2002 urban China as a case study when the health insurance system had a problem of limited adverse selection. Using data from the 2002 Chinese Household Income Project Survey, we find that health insurance coverage influences households＇ preference for financial assets, especially for the risky financial assets. These effects become more pronounced as the coverage rate of health insurance in the family increases. Our results are consistent with precautionary saving theory which suggests that future expenditure risk could affect household asset portfolios. Therefore, development of social security or a health insurance system could effectively promote the development of financial markets, especially riskier aspects of financial markets.
基金support from the Fundamental Research Funds for the Central Universities(22D110913)Jingzhou Yan gratefully acknowledges the financial support from the National Social Science Foundation Youth Project(21CTJ013)+1 种基金Natural Science Foundation of Sichuan Province(23NSFSC2796)Fundamental Research Funds for the Central Universities,Postdoctoral Research Foundation of Sichuan University(Skbsh2202-18).
文摘In response to the unprecedented uncertain rare events of the last decade,we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity,volatility diffusion ambiguity,and jump ambiguity occurring in the traditional stock market and the cryptocurrency market into a single framework.We reach the following conclusions in both markets:first,price diffusion and jump ambiguity mainly determine detection-error probability;second,optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity,and trivially affected by volatility diffusion ambiguity.In addition,investors tend to be more aggressive in a stable market than in a volatile one.Next,given a larger volatility jump size,investors tend to increase their portfolio during downward price jumps and decrease it during upward price jumps.Finally,the welfare loss caused by price diffusion ambiguity is more pronounced than that caused by jump ambiguity in an incomplete market.These findings enrich the extant literature on effects of ambiguity on the traditional stock market and the evolving cryptocurrency market.The results have implications for both investors and regulators.
基金supported by the National Natural Science Foundation of China(No.72104075,71850012,72274056)the National Office for Philosophy and Social Sciences Fund of China(No.19AZD014),Natural Science Foundation Project of Hunan Province(No.2022JJ40106)the Hunan University Youth Talent Program.
文摘Using negative to low-correlated assets to manage short-term portfolio risk is not uncommon among investors,although the long-term benefits of this strategy remain unclear.This study examines the long-term benefits of the correlation strategy for portfolios based on the stock market in Asia,Central and Eastern Europe,the Middle East and North Africa,and Latin America from 2000 to 2016.Our strategy is as follows.We develop five portfolios based on the average unconditional correlation between domestic and foreign assets from 2000 to 2016.This yields five regional portfolios based on low to high correlations.In the presence of selected economic and financial conditions,long-term diversification gains for each regional portfolio are evaluated using a panel cointegration-based testing method.Consistent across all portfolios and regions,our key cointegration results suggest that selecting a low-correlated portfolio to maximize diversification gains does not necessarily result in long-term diversification gains.Our empirical method,which also permits the estimation of cointegrating regressions,provides the opportunity to evaluate the impact of oil prices,U.S.stock market fluctuations,and investor sentiments on regional portfolios,as well as to hedge against these fluctuations.Finally,we extend our data to cover the years 2017–2022 and find that our main findings are robust.
