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Purpose – The purpose of this paper is to empirically analyze the relationship between risky asset allocation and background risk of Chinese residents. Design/methodology/approach – Using Chinese macroeconomic data, this study uses numerical method to solve dynamic stochastic optimal problem....
Purpose – The purpose of this paper is to present a discrete quantitative trading strategy to directly control a portfolio's maximum percentage of drawdown losses while trying to maximize the portfolio's long‐term growth rate. Design/methodology/approach – The loss control target is defined...
Purpose – The purpose of this paper is to investigate how to determine optimal investing stopping time in a stochastic environment, such as with stochastic returns, stochastic interest rate and stochastic expected growth rate. Design/methodology/approach – Transformation method was used for...
Purpose – Reverse floating interest rate‐linked structured products are important innovative products for investors to achieve a relatively high yield at low interest rates, and the reasonable pricing of such products is an important factor to influence investors' needs and issuers' profits. The...
Purpose – The purpose of this paper is to analyze and examine the relationship between busy boards and corporate performance in China. Design/methodology/approach – Based on a sample of non‐financial listed companies in the Chinese stock market from 2007 to 2010, by defining several measures of...
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