持有期

基本假设如下：（1）一个最优的投资组合模型，将在所选定的投资持有期以及给定的置信水平下，满足其最大预期损失不会超过VAR；

Principle hypothesizes are as follows : ( 1 ) a best portfolio model will meet that the maximum expected loss will not exceed the restrictive VaR given the holding period and believer level ;

由于选取的观测样本量较大且设定的持有期较短，本文假定VaR模型中收益率序列呈正态分布，因此可以采用参数法下的GARCH模型对其进行计算。

Because the selected samples is large and the holding period what I set is short , this paper assumes that the sequence of return rate in the VaR model is normally distributed , so it can be used in GARCH model under parameters method to calculate .

他管理的diversifiedprogram每年进行数千笔交易，持有期从几小时到一周不等，偶尔会更长一些。

His diversified program makes thousands of trades a year , ranging in duration from several hours to a week , and occasionally longer .

骑乘收益率曲线策略的研究基于对利率期限结构的分析，本文使用了B样条拟合国债隐含的利率期限结构，并比较了策略在不同期限的债券、不同持有期的情况下的不同表现。

For analyzing the term structure in Riding the yield curve , B-spline is used to fit the interest rate term structure implied by treasury bonds . Performance is compared between bonds with different maturity and different holding period .

文中提出了一个资产配置模型，即证券投资基金的风险管理者在确定持有期内，如何构建满足VAR限制条件下求解期望收益最优化时达到的投资组合结构模型，即我们要求的资产配置。

The thesis proposed a model of asset allocation we required , How to establish the portfolio model which can achieve the maximum profits given a restrictive VaR value .

基于对Hong-Stein模型的讨论，我们构建了随机持有期动量策略，并重新在A股市场及商品期货市场上检验其有效性。

Based on the discussion of Hong-Stein model , we construct the momentum strategy with stochastic holding period and we also test its profitability in A share market and commodity futures market .

事先批准，最短持有期，限制交易名单。

Pre-Approval , Minimum Holding Period , Restricted Trading Lists .

斯通表示，相对较长的持有期是产生回报率的必要条件。

Mr Stone says relatively long holding periods are necessary to generate returns .

受限制股票不能公开发卖，直至持有期结束。

Restricted stock cannot be sold publicly until the end of a holding period .

这或许算不上风投行业的本垒打，但对于18-20个月的持有期，这样的投资回报并不赖。

Not a venture home-run , but not terrible for an 18-20 month hold .

艺术品的持有期也是产生回报率的一个关键因素。

The holding period of art works is also a key factor for generating return .

这家公司的投资持有期通常为5-7年，长于很多竞争对手。

The firm typically holds on to its investments for five to seven years , longer than many of its rivals .

从发行公司购买的额外股票不影响以前购买的同一类股票的持有期。

Additional securities purchased from the issuer do not affect the holding period of previously purchased securities of the same class .

回归方程检验结果显示中长期水平上不同形成期和持有期的反转策略存在时变风险溢价所不能解释的超额收益。

The regression equation shows that the risk premium hypothesis cannot fully explain the contrariant strategies profits . the complete period ;

持有期固定的移动平均线方法则不具备预测能力。

And for the moving average rules with variable holding horizons , the profitability increases when the period of rule calculation becomes shorter .

采用重叠抽样方法研究了形成期和持有期相同情况下十分位组合的收益特性。

Analysis also unfolds income characters of equally weighted deciles portfolios when developing period coincides with holding period with method of overlapping sampling .

测算市盈率对于确定证券组合预期的持有期收益率非常重要，这正是估价任何证券组合的基础。

Measuring the price-earnings ratio of share is important for determining the expected holding-period return which can be used as a basis for valuing any portfolio .

而且随着持有期的延长，反转效应变强；熊市时的反转效应强于牛市时的反转效应。

And the reversal effect got stronger as the holding period extended , the reversal effect in bear market was stronger than the reversal effect in bull market .

证券交易利得税率设计考虑持有期和上市与否两个要素，设置不同的优惠税率，以鼓励长期稳定投资。

There are two elements should be considered : the holding period and the market state . We should design different preferential tax rate to encourage long-term investment .

剖析家的选择都是完整免费的总收益可能每十年的持有期和相关条件概率。

The analyst is completely free in specifying both the range of possible gross receipts for each of the years in the holding period and the associated conditional probabilities .

王凯表示，在美国，一只艺术品基金的持有期通常是7到8年，但在中国，投资者不想等那么久。

Mr Wang says in the US , an art fund would usually hold for seven to eight years but in China , investors do not want to wait that long .

检验结果表明，在A股市场及商品期货市场上，随机持有期动量策略均能产生显著的正收益。

From the test results we can find that that the momentum strategy with stochastic holding period can generate significantly positive profit both in A share market and commodity futures market .

例如，在韩国等新兴市场，他一直在买入收益率为2.5%至3%的短期债券，在持有期内他还有望从汇率变动中获利。

For instance , in emerging markets such as South Korea he has been buying short-dated bonds paying 2.5 to 3 per cent , with the prospect of gains from currency movements over time .

本文构建了不同形成期和持有期的投资组合，发现短期内投资者对坏消息反应过度，长期来说投资者对好消息反应过度，对坏消息反应不足。

This article construct investment portfolio that have different formation and holding period , and find that investors overreact to bad news in short-term , overreact to good news and underreact to bad news for long-term .

所以在以一周内交易日为单位的短期，零投资策略在持有期内发生显著的反向效应，收益率变为负值，存在统计显著的反向利润。

Therefore , in order for the unit of trading days within a week of short-term , zero-investment strategy of holding a significant place during the reverse effect , rate of return becomes negative , there is a statistically significant contrarian profits .

因为现货和期货的价格基差并不是固定的，在合约的存续期，两个价格往往会出现偏离的走势，如果将套期保值比率简单地设定为1，同样也可能面临持有期风险。

Because the price basis between spot and future is not fixed , they appear to be deviant most of the time . So if we simply set the hedging ratio to be one , the portfolio will still face the holding risk .

但是虽然在以交易日为持有期的零投资策略获得显著的日度反向利润，但是日度反向利润的绝对值非常小，其中最高的收益率簇只有0.231%。

But even though the trading day as the holding period with the zero-investment strategy to obtain a significant degree-reverse-profit , but the day-degree reverse the absolute value of the profit is very small , with the highest rate of return is only 0.231 % clusters .

我们需要建立一种鼓励长期投资的税收结构：因此符合长期资本利得税待遇的投资的持有期应从目前的12个月延长到3年，随着投资持有期的延长，税率应下滑。

We need a tax structure that encourages long-term investment : so the holding period for an investment to qualify for long-term capital gains tax treatment should be extended to three years , from the current 12 months , and the rate should decline the longer the investment is held .

这与美国国债的外国持有者持有较长期且收益率更高债券的举动相符。

This matches a move by foreign holders of Treasuries to own longer dated and higher yielding bonds .

其它投资者则愿意继续持有，以期收回失地。

Others are willing to hold positions longer in hope of a recovery .