共查询到16条相似文献，搜索用时 797 毫秒
1.
研究了经济代理人面临红利支付和劳动负效用情形下投资与退休选择问题,其中考虑了风险资产派发红利及 劳动会给经济代理人带来效用损失的情形.代理人享有退休选择权,退休决策使得代理人避免了劳动负效用,却必须要放弃工资收入.代理人效用来自消费,并且受劳动负效用的直接影响.利用动态规划的方法去解自由边值问题,得到了代理人临界财富水平和最优消费投资组合策略显示解. 相似文献
2.
随着倒向随机微分方程理论的不断发展和完善,其在数理金融中的应用越来越广泛,随机控制也逐渐成为研究投资组合风险管理问题的重要方法.本文侧重于展示基于不完备信息的随机控制方法在研究期权定价、均值-方差、期望效用最大化这三类投资组合问题中的简单应用. 相似文献
3.
中美在气候谈判中的共识和分歧已成为影响未来气候谈判走向的重要因素。基于效用和博弈理论,考虑温升幅度及其对GDP影响等因素的不确定性,以及气候变化相关投资对各国净现值效用的负面、正面和外溢影响,对中美气候谈判进行博弈策略模拟及敏感性分析。结果表明,中美气候谈判博弈存在先动劣势,且中美在非合作博弈下的气候变化投资远远无法实现全球2℃控温目标;在合作博弈情景下,为确保实现全球温升控制目标的合作框架的稳定和双赢,未来的气候制度框架需要关注对中国的技术、资金支持和补偿。 相似文献
4.
自Markowitz投资组合理论问世以来,投资组合选择问题就受到了国内外很多学者的关注,并对其进行了大量研究.本文首先阐述了现代投资组合的理论框架,然后介绍了不同时期国内外学者的研究成果和方法,接着较为详细地介绍了带有行为投资的最优消费和投资组合问题并给出了含损失厌恶的投资组合模型,最后在通胀、跳扩散以及Knight不确定环境下对含有损失厌恶的最优消费和投资组合模型进行了拓展. 相似文献
5.
现代投资组合理论一直是金融工程中活跃的研究方向.首先阐述了消费-投资组合问题的研究现状,介绍了不同时期国内外学者的研究成果和方法,接着较为详细地论述了带有劳动收入的最优消费和投资组合问题并给出了所要研究的模型,即含有时变的投资机会和动态劳动收入的模型,最后给出所要研究模型在通胀环境和Knight不确定下的拓展框架. 相似文献
6.
为提高投资效益,本文针对传统投资组合模型的缺陷,结合经验模态分解（EMD）去噪法和多重分形消除趋势交叉相关分析法（MF-DCCA）,提出经验模态分解去噪下的多重分形投资组合模型（简称EMD-Mean-MF-DCCA）.将新模型应用于极具投机性的加密货币投资组合,结合滚动窗口技术进行样本外检验和分析,实证结果显示：无论加密货币价格处于上升还是下降趋势,EMD-Mean-MF-DCCA相对于其他传统投资组合模型及未去噪的分形投资组合模型,均在盈利能力和夏普比率方面具有明显优化效果,且当加密货币价格大幅下跌时,基于新模型的组合投资策略也具有较好的抵抗风险能力. 相似文献
7.
基于遗传算法的最优证券投资组合模型 总被引：2，自引：0，他引：2
为了研究能使风险损失率最小、收益最大的最优证券投资组合问题，首先提出了多目标规划模型，并采用模糊优选法将多目标模型单目标化。随后尝试采用遗传算法来对其求解，给出了模型的遗传算法编码规则和算法步骤。最后通过实例论证了模型的合理性及遗传算法的有效性。 相似文献
8.
阐述了私募股权投资的估值问题.首先简要介绍了投资组合问题的发展历史与研究成果.接着较为详细地论述了私募股权投资的估值问题的研究现状,包括有限合伙人的投资组合选择,以及对投资企业的价值评估体系和评估方法的研究,并给出了所要研究的模型,即含有未支撑风险的私募股权投资模型.最后给出所要研究模型在通胀环境、Knight不确定环境下以及跳扩散环境下的拓展框架. 相似文献
9.
冰冻圈资源可持续利用探讨 总被引：1，自引：0，他引：1
冰冻圈资源是寒区旱区社会经济发展的重要物质基础,在气候变化背景下受到了深刻的影响。在人类需求日益增长、冰冻圈资源稀缺性不断加剧的情况下,如何妥善开发利用冰冻圈资源已成为保证区域可持续发展的核心问题之一。基于“资源—资产—资本”视角的冰冻圈资源可持续利用路径为这一问题提供了新的思路,探讨了以资源资产化、资产资本化为核心的冰冻圈资源运营管理过程,并基于这一视角进行了冰冻圈服务过程的讨论,分析了中国冰冻圈流量资产效用潜力空间格局与三种潜力之间的协调程度。结果表明,东北地区大部、新疆自治区西部与藏南地区为人口与经济效用高等级流域聚集区,华北、东北、新疆西部、藏南及青藏高原东缘等地区为高潜力协调度流域聚集区。这种基于“人口-经济-生态”三大系统的效用潜力识别,有利于冰冻圈资源“提质”与“增效”两个目标的达成,进而促进冰冻圈资源可持续利用的实现。 相似文献
10.
杨德胜 《高原山地气象研究》2003,23(1)
运用方差分析、模糊聚类、判别分析等方法,对麦桐间作田内受树龄、行距、距树距离影响的小麦产量分布状况作了初步分析,找出了使二者均能获得较好的经济效益的间作组合方式,即初期泡桐行距为20m,当泡桐长至4年时,隔行砍伐,使行距变为40m. 相似文献
11.
Insights into the composition of household vulnerability from multicriteria decision analysis 总被引：5，自引：0，他引：5
Vulnerability is a multidimensional concept associated with high uncertainty in measurement and classification. Developing a vulnerability index from the diverse and often incommensurate data that form the basis of vulnerability assessments is often a core challenge of vulnerability research. Problematically, many vulnerability indices are based on the implicit or explicit assumption that each indicator of vulnerability is of equal importance. In this paper we propose a procedure to engage constructively with the inherent subjectivity and uncertainty of assigning weights to disparate indicators used in vulnerability assessments, using common tools of multicriteria decision analysis (MCDA) and fuzzy logic. To illustrate our proposed methodology, we present a case study of rural livelihood vulnerability in the state of Tamaulipas, México. In our case study, we combine a livelihoods framework with MCDA to weigh household attributes according to their relative importance in driving household vulnerability. This approach requires the explicit articulation of the relationship of each indicator to the umbrella concept (vulnerability) as well as of each indicator to every other indicator. In recognition of the inherent uncertainties involved in assigning any particular unit of analysis to a specific vulnerability class, we use fuzzy logic to create the final categories of household livelihood vulnerability to climatic risk. Our analysis reveals how different structures of livelihood assets and activities contributes to household sensitivity and capacities in a region characterized by variable climatic conditions, stagnant incomes, increasing market stress and declining farm productivity. 相似文献
12.
José I. Muñoz 《Climate Policy》2013,13(2):87-105
How does financial performance risk affect investments in low-carbon electricity-generating technologies to achieve climate policy targets? A detailed risk simulation of price formation in the Great Britain wholesale power market is used to show that the increasing replacement of fossil facilities with wind, ceteris paribus, may cause a deterioration of the financial risk–return performance metrics for incremental investments. Low-carbon investments appear to be high risk, low return, and as such may require a progressively higher level of support over time than envisaged by the conventional degression trajectories. The increasing riskiness of the wholesale market will to some extent offset the benefits of lower capital costs and operational efficiencies if investors need to satisfy cautious debt coverage ratios alongside positive expected returns. This increased risk is additional to the well-known ‘merit order effect’ of low-carbon investments progressively depressing wholesale prices and hence their expected investment returns. Policy relevance Policy support for renewable technologies such as wind is usually based upon levelized costs and is expected to reduce over time as capital costs and operational efficiencies improve. However, levelized costs do not take full account of the risk aversion that investors may have in practice. Expected policy support reductions may be moderated to some extent by the increased financial performance risk that intermittent technologies bring to the power market. The annual risk-return profiles for incremental investments deteriorate for all technologies as wind replaces fossil fuels. This extra risk premium will need to be incorporated into evaluating policy incentives for new investments in a decarbonizing power market. 相似文献
13.
Damages from weather related disasters are projected to increase, due to a combination of increasing exposure of people and assets, and expected changes in the global climate. Only few studies have assessed in detail the potential range of losses in the future and the factors contributing to the projected increase. Here we estimate future potential damage from river flooding, and analyse the relative role of land-use, asset value increase and climate change on these losses, for a case study area in The Netherlands. Projections of future socioeconomic change (land-use change and increase in the value of assets) are used in combination with flood scenarios, projections of flooding probabilities, and a simple damage model. It is found that due to socioeconomic change, annual expected losses may increase by between 35 and 172% by the year 2040, compared to the baseline situation in the year 2000. If no additional measures are taken to reduce flood probabilities or consequences, climate change may lead to an increase in expected losses of between 46 and 201%. A combination of climate and socioeconomic change may increase expected losses by between 96 and 719%. Asset value increase has a large role, as it may lead to a doubling of losses. The use of single loss estimates may lead to underestimation of the impact of extremely high losses. We therefore also present loss–probability curves for future risks, in order to assess the increase of the most extreme potential loss events. Our approach thus allows a more detailed and comprehensive assessment than previous studies that could also be applied in other study areas to generate flood risk projections. Adaptation through flood prevention measures according to currently planned strategies would counterbalance the increase in expected annual losses due to climate change under all scenarios. 相似文献
14.
Anthropogenic greenhouse gas emissions may trigger climate threshold responses, such as a collapse of the North Atlantic meridional overturning circulation (MOC). Climate threshold responses have been interpreted as an example of “dangerous anthropogenic interference with the climate system” in the sense of the United Nations Framework Convention on Climate Change (UNFCCC). One UNFCCC objective is to “prevent” such dangerous anthropogenic interference. The current uncertainty about important parameters of the coupled natural – human system implies, however, that this UNFCCC objective can only be achieved in a probabilistic sense. In other words, climate management can only reduce – but not entirely eliminate – the risk of crossing climate thresholds. Here we use an integrated assessment model of climate change to derive economically optimal risk-reduction strategies. We implement a stochastic version of the DICE model and account for uncertainty about four parameters that have been previously identified as dominant drivers of the uncertain system response. The resulting model is, of course, just a crude approximation as it neglects, for example, some structural uncertainty and focuses on a single threshold, out of many potential climate responses. Subject to this caveat, our analysis suggests five main conclusions. First, reducing the numerical artifacts due to sub-sampling the parameter probability density functions to reasonable levels requires sample sizes exceeding 103. Conclusions of previous studies that are based on much smaller sample sizes may hence need to be revisited. Second, following a business-as-usual (BAU) scenario results in odds for an MOC collapse in the next 150 years exceeding 1 in 3 in this model. Third, an economically “optimal” strategy (that maximizes the expected utility of the decision-maker) reduces carbon dioxide(CO2) emissions by approximately 25% at the end of this century, compared with BAU emissions. Perhaps surprisingly, this strategy leaves the odds of an MOC collapse virtually unchanged compared to a BAU strategy. Fourth, reducing the odds for an MOC collapse to 1 in 10 would require an almost complete decarbonization of the economy within a few decades. Finally, further risk reductions (e.g., to 1 in 100) are possible in the framework of the simple model, but would require faster and more expensive reductions in CO2 emissions. 相似文献
15.
Using portfolio theory to guide reforestation and restoration under climate change scenarios 总被引：1，自引：0，他引：1
The general problem addressed by this study is that of designing a decision support system for planned adaptation to climate change that uses the principles of modern portfolio theory to minimise risk and maximise return of adaptive actions in an environment of deep uncertainty over future climate scenarios. Here we show how modern portfolio theory can use the results of a climate change impact model to select an optimal set of seed sources to be used in regenerating forests of white spruce in an environment of multiple, equally plausible future climates. This study shows that components of solutions are not selected to perform equally well across all plausible futures; but rather, that components are selected to specialise in particular climate scenarios. The innovation of this research rests in demonstrating that the powerful and widely used principles of quantifying and planning for risk and return in the uncertain environment of asset markets can be applied successfully to serve the objectives of planned adaptation to climate change. 相似文献
16.
Effective climate policy will consist of mitigation and adaptation implemented simultaneously in a policy portfolio to reduce the risks of climate change. Previous studies of the tradeoffs between mitigation and adaptation have implicitly framed the problem deterministically, choosing the optimal paths for all time. Because climate change is a long-term problem with significant uncertainties and opportunities to learn and revise, critical tradeoffs between mitigation and adaptation in the near-term have not been considered. We propose a new framework for considering the portfolio of mitigation and adaptation that explicitly treats the problem as a multi-stage decision under uncertainty. In this context, there are additional benefits to near-term investments if they reduce uncertainty and lead to improved future decisions. Two particular features are fundamental to understanding the relevant tradeoffs between mitigation and adaptation: (1) strategy dynamics over time in reducing climate damages, and (2) strategy dynamics under uncertainty and potential for learning. Our framework strengthens the argument for disaggregating adaption as has been proposed by others. We present three stylized classes of adaptation investment types as a conceptual framework: short-lived “flow” spending, committed “stock” investment, and lower capacity “option” stock with the capability of future upgrading. In the context of sequential decision under uncertainty, these subtypes of adaptation have important tradeoffs among them and with mitigation. We argue that given the large policy uncertainty that we face currently, explicitly considering adaptation “option” investments is a valuable component of a near-term policy response that can balance between the flexible flow and committed stock approaches, as it allows for the delay of costly stock investments while at the same time allowing for lower-cost risk management of future damages. 相似文献