标签: potential经管大学堂：名校名师名课

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分享 Part 2: accumulation 2016-12-27 19:39; Simulate two security daily returns with stochastic volatility and jumps . Allow for potential correlation of the jumps and have a parameter that can set that correlation to high or low . Calculate the correlation of the two assets and the value at risk for this portfolio . How does correlation change when jump correlation increases? How does value at risk change?; 个人分类: 金融工程|0 个评论

分享金融预测模型评价的几个指标: accumulation 2015-5-1 12:42; 在一篇文献上看到关于模型预测结果的评价方面有五个指标：Sharpe ratio、 hit rate、 realized potential、 profit loss curve 和 annuliazed return of investment 请问关于这几个指标（主要是后面三个）的定义还有计算方法、计算公式是什么啊？ sharpe ratio 1990年度诺贝尔经济学奖得主威廉-夏普（William Sharpe）以投资学最重要的理论基础CAPM（Capital Asset Pricing Model，资本资产定价模式）为出发，发展出名闻遐迩的夏普比率（Sharpe Ratio），用以衡量金融资产的绩效表现。威廉-夏普理论的核心思想是：理性的投资者将选择并持有有效的投资组合，即那些在给定的风险水平下使期望回报最大化的投资组合，或那些在给定期望回报率的水平上使风险最小化的投资组合。解释起来非常简单，他认为投资者在建立有风险的投资组合时，至少应该要求投资回报达到无风险投资的回报，或者更多。夏普比率计算公式：＝ /σp 其中E(Rp)：投资组合预期报酬率 Rf：无风险利率 σp：投资组合的标准差; 个人分类: 金融工程|0 个评论

分享 Growth Economics: accumulation 2015-4-28 23:10; Based on the argument of growth accounting and other determinants, how would you anticipate the potential room for the future growth of China under the new normal steady state? China’s prospect for moderate growth are quite good given the track record of total factor productivity (TFP) growth over the last 20 years. A country’s growth potential is determined in large part by its ability to efficiently combine the factors of production with the highest productivity possible. Economic advancement based on superficial determinants such as increasing the quantity of the factors of production (i.e. increasing the number of physical capital devices and simply increasing the number of years in school), is not sustainable, because it does not address the performance of these factors, the deeper driver of growth. While China’s TFP has consistently lagged behind many Western countries, the growth in China’s TFP has been significant and sustained since Reform and Opening, suggesting that as long as the government continues to invest in policies that increase factor productivity, such as supportive infrastructure for physical capital, quality of education, and other efficiency-increasing investments, reasonable growth is highly probable.; 个人分类: 宏观经济学|0 个评论

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