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Foundation Management Regulation has promulgated since 2004. University education foundations have sprung up, especially among the 985 and 211 key universities The Ministry of Finance and the Ministry of Education have implemented donation matching policy towards subordinate universities since 2009, leading to a rapid growth of donated funds. The university education fund starts to put attention on...
As the amount of asset is decreased, this paper gives the characteristic of the efficient frontier under the sense of CVaR risk measurement, examines the economic implications and compares with the Mean-Variance boundary. We find that when CVaR is used as risk measurement, investors will become more stable, which is useful to risk decentralization and controlling.
Research on the similarity between securities portfolio diversity and forest biodiversity and the return-risk problem of forest biodiversity is preliminarily recognized. This article first comments on Markowitz's portfolio theory, then analyzes the feasibility to introduce this theory to value measurement of forest biodiversity assets, and explores how to make use of this theory to price forest biodiversity,...
Considering the valuation of forest stands based on uncertain revenue from wood sales, concession policy (such as carbon subsidies), and associated costs, the paper focuses on building a stochastic control model to study the forest asset dynamic management. The key contributions are to establish a stochastic control model and to find the optimal dynamic strategy about harvesting quantity in the continual...
This paper studies the relationship between uncertainty and portfolio of household financial assets by empirical analysis. Our study aim is to provide households with more theoretical guidance and practice mode about portfolio of financial assets. In this paper, we regard Beijing households as investigative objects. Firstly, based on the Chow test, we find that uncertainty aroused by China' institution...
In this paper, the concept of liquidity risk in the sense of asset pricing is discussed firstly, and then all the liquidity risks are analyzed from two different aspects. From the whole market, there are two liquidity risks, namely, market returns sensitivity to aggregate liquidity level and volatility of aggregate liquidity level, while from the point of portfolio or individual security, there are...
An improved model for portfolio selection based on particle swarm optimization with escape velocity (EVPSO) algorithm is proposed. Firstly, the predilection coefficient is introduced to the model to make the investor choose the invest project according to their preference and find the balance between the invest income and risk conveniently. Secondly, the EVPSO algorithm is applied to the model to...
The optimal portfolio problem for a bank account, single risky stock is developed. The investment objective is maximizing the utility of the investorpsilas consumption and terminal wealth. The problem has been solved by the stochastic dynamic programming principle. For the constant relative risk aversion utility case, the explicitly optimal investment consumption strategies are obtained. A numerical...
Assume the stochastic short-term interest rate follows the Vasieck dynamics. The optimal investment problem for a riskless asset, a rolling horizon bond, and single risky stock is developed. The investment objective is maximizing the expected utility from the terminal wealth with minimum performance constraints. The problem has been solved by the martingale approach. The explicitly optimal investment...
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