金融代写归档 - avatest

2023年7月20日2023年7月20日数学代写, 衍生品, 金融代写, 金融衍生品

金融代写|金融衍生品代写Financial Derivatives代考|FIN35

如果你也在怎样代写金融衍生品Financial Derivatives 这个学科遇到相关的难题，请随时右上角联系我们的24/7代写客服。金融衍生品Financial Derivatives是金融工具的三大类之一，另外两类是股权（即股票或股份）和债权（即债券和抵押贷款）。历史上最古老的衍生品例子，由亚里士多德证明，被认为是古希腊哲学家泰勒斯签订的橄榄合同交易，他在交换中获利。1936年被取缔的桶装水商店是一个较近的历史例子。

金融衍生品Financial Derivatives在金融领域，衍生品是一种合同，其价值来自于一个基础实体的表现。衍生品可用于多种目的，包括对价格变动进行保险（套期保值），为投机增加价格变动的风险，或进入其他难以交易的资产或市场。一些更常见的衍生品包括远期、期货、期权、掉期，以及这些的变体，如合成抵押债务和信用违约掉期。大多数衍生品在场外（场外）或芝加哥商品交易所等交易所进行交易，而大多数保险合同已经发展成为一个独立的行业。在美国，在2007-2009年的金融危机之后，将衍生品转移到交易所进行交易的压力越来越大。

金融衍生品Financial Derivatives代写，免费提交作业要求，满意后付款，成绩80\%以下全额退款，安全省心无顾虑。专业硕博写手团队，所有订单可靠准时，保证 100% 原创。最高质量的金融衍生品Financial Derivatives作业代写，服务覆盖北美、欧洲、澳洲等国家。在代写价格方面，考虑到同学们的经济条件，在保障代写质量的前提下，我们为客户提供最合理的价格。由于作业种类很多，同时其中的大部分作业在字数上都没有具体要求，因此金融衍生品Financial Derivatives作业代写的价格不固定。通常在专家查看完作业要求之后会给出报价。作业难度和截止日期对价格也有很大的影响。

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我们在数学Mathematics代写方面已经树立了自己的口碑, 保证靠谱, 高质且原创的数学Mathematics代写服务。我们的专家在金融衍生品Financial Derivatives代写方面经验极为丰富，各种金融衍生品Financial Derivatives相关的作业也就用不着说。

金融代写|金融衍生品代写Financial Derivatives代考|FIN35

金融代写|金融衍生品代写Financial Derivatives代考|FOREIGN EXCHANGE FORWARD AND FUTURES CONTRACTS

The foreign exchange forward market is an over-the-counter (OTC) market that trades on a worldwide basis and is dominated by large financial institutions. Typical contract amounts are quite large, and the market sees very few individual investors. By contrast, there are foreign exchange futures markets in many countries. In comparison with the forward market, these futures markets are quite small. The discussion of these markets will focus on the forward market, which will be contrasted with a single foreign exchange futures market, the Chicago Mercantile Exchange in the United States. ${ }^1$

The Bank for International Settlements (BIS 2007, p. 4) reports estimates of market size in its surveys of central banks. For 2007, the BIS reported that the average daily turnover for foreign exchange forwards was $\$ 362$ billion. Exhibit 8.1 shows the main currency pairings in the foreign exchange forward market. In spite of the emergence of the euro as an important international currency, the U.S. dollar continues to dominate the market, with fully 71 percent of all foreign exchange transactions involving the dollar as one of the currencies in each pair. As Exhibit 8.1 shows, the dollar/euro currency pair is the most heavily traded type of transaction in the FX forward market. Contract maturities in the OTC FX forward market are determined by agreement between the contracting parties and can be of any duration. Typical terms are 90,180 , or 270 days and one year, and the normal contract size is reckoned in the millions to many millions of dollars. Most FX forward contracts are settled by actual delivery.

The Futures Industry Association (2008) reported that worldwide volume in foreign exchange futures in 2007 was 335 million contracts. With total futures contract volume across the world and all kinds of instruments of 15.18 billion, foreign exchange futures account for only 2.2 percent of the total. As mentioned at the outset of our discussion, we take the foreign exchange futures market of the Chicago Mercantile Exchange (CME) as an example. The CME trades a wide variety of futures contracts. Compared to the OTC market for forwards, all of the futures volumes are quite small. The main volume is concentrated in the currencies of major industrialized countries: the United States, European Union, Switzerland, United Kingdom, and Japan. However, the CME lists futures for many relatively obscure currency pairs, such as the dollar/ruble and the dollar/shekel. In general, these markets see little volume and are relatively illiquid.

金融代写|金融衍生品代写Financial Derivatives代考|FOREIGN EXCHANGE OPTIONS

Much of the preceding discussion of FX forwards and futures also apply to FX options. The OTC FX options market dwarfs exchange-traded options. The OTC FX options market is a worldwide market dominated by institutional investors, with contract maturities and quantities being flexible and determined by negotiation. BIS (2007, p. 14) gauges daily average turnover of FX options on the OTC as $\$ 212$ billion in 2007 . As with forwards and futures, the main markets for FX options involve the currencies of the large industrial countries. However, virtually any kind of option with any pair of currencies is available in the OTC market upon request. Exchanges generally trade FX options on all of the currency pairs for which they list FX futures. The common pricing relationships between options and futures stimulate traders to trade FX options and futures in concert. While most of the trading volume of FX options is concentrated in plain vanilla options, there is a robust market in exotic FX options as well. As with forwards and futures, the OTC market for foreign exchange dwarfs trading on organized exchanges, with average daily turnover in OTC-traded FX options exceeding $\$ 31$ billion in 2007 (BIS 2007, p. 15).
FX OPTION PRICING
For plain vanilla FX options, pricing generally conforms quite closely to appropriately adjusted Black-Scholes model values, and models of this type are used throughout the market to price FX options. While the Black-Scholes options pricing model strictly pertains only to options on stocks that pay no dividends, FX option models using the Black-Scholes technology developed quickly following the publication of the original Black-Scholes paper. $^2$

The essential insight was to see that the existence of a continuous payoff from an asset, whether it is a continuous dividend rate or a rate of interest, was to treat that outflow as a diminution of the interest rate in the original Black-Scholes model.
$$
\begin{aligned}
C_t & =e^{-r_F(T-t)} F C N\left(d_1\right)-X e^{-r_d(T-t)} N\left(d_2\right) \
P_t & =X e^{-r_F(T-t)} N\left(-d_2\right)-F C e^{-r_F(T-t)} N\left(-d_1\right) \
d_1 & =\frac{\ln (F C / X)\left(r_D-r_F+0.5 \sigma^2\right)(T-t)}{\sigma \sqrt{T-t}} \
d_2 & =d_1-\sigma \sqrt{T-t}
\end{aligned}
$$
where
$$
\begin{aligned}
C_t & =\text { price of a call option (priced in the domestic currency) on } \
& \text { foreign currency } F C \
P_t & =\text { price of a put option (priced in the domestic currency) on } \
& \text { foreign currency } F C \
F C & =\text { a quantity of the foreign currency } \
r_D, r_F & =\text { domestic and foreign interest rates, respectively } \
X & =\text { exercise price } \
T-t & =\text { time until expiration } \
\sigma^2 & =\text { variance of the foreign currency value } \
\mathrm{N}(\bullet) & =\text { cumulative normal function }
\end{aligned}
$$

金融衍生品代写

金融代写|金融衍生品代写Financial Derivatives代考|FOREIGN EXCHANGE FORWARD AND FUTURES CONTRACTS

外汇远期市场是一个在全球范围内进行交易的场外交易市场，由大型金融机构主导。典型的合约金额相当大，市场上很少有个人投资者。相比之下，许多国家都有外汇期货市场。与远期市场相比，这些期货市场规模很小。对这些市场的讨论将集中在远期市场，它将与单一的外汇期货市场，即美国的芝加哥商品交易所形成对比。${} ^ 1美元

国际清算银行(BIS, 2007, p. 4)在其对各国央行的调查中报告了市场规模的估计。国际清算银行报告说，2007年外汇远期的日均成交额为3620亿美元。表8.1显示了外汇远期市场上的主要货币对。尽管欧元已成为一种重要的国际货币，但美元仍继续主导市场，在所有外汇交易中，有整整71%的交易将美元作为每对货币中的一种。如图8.1所示，美元/欧元货币对是外汇远期市场上交易量最大的交易类型。场外外汇远期市场的合约期限由合约双方协议确定，可以是任意期限。典型的期限是90,180，即270天加一年，正常的合同规模在数百万美元到数百万美元之间。大多数外汇远期合约通过实际交割结算。

期货行业协会(2008年)报告称，2007年全球外汇期货交易量为3.35亿份合约。全球各类期货合约总量为151.8亿笔，外汇期货仅占2.2%。正如我们在讨论开始时提到的，我们以芝加哥商品交易所(CME)的外汇期货市场为例。芝加哥商品交易所交易种类繁多的期货合约。与远期的场外交易市场相比，所有的期货交易量都相当小。主要的交易量集中在主要工业化国家的货币上:美国、欧盟、瑞士、英国和日本。然而，芝加哥商品交易所列出了许多相对不知名的货币对的期货，比如美元/卢布和美元/谢克尔。总的来说，这些市场成交量很小，流动性相对较差。

金融代写|金融衍生品代写Financial Derivatives代考|FOREIGN EXCHANGE OPTIONS

前面关于外汇远期和期货的许多讨论也适用于外汇期权。场外外汇期权市场令交易所交易期权相形见绌。外汇期权场外交易市场是一个以机构投资者为主体的全球性市场，其合约期限和数量具有灵活性，可通过协商确定。国际清算银行(2007年，第14页)估计，2007年场外外汇期权的日均成交量为$\$ 212$亿美元。与远期和期货一样，外汇期权的主要市场涉及大型工业国家的货币。然而，在场外交易市场上，几乎任何一种货币对的期权都可以根据要求提供。交易所通常对列出外汇期货的所有货币对进行外汇期权交易。期权和期货之间的共同定价关系刺激交易者一致交易外汇期权和期货。虽然外汇期权的大部分交易量集中在普通的香草期权上，但奇异的外汇期权也有一个强劲的市场。与远期和期货一样，外汇场外交易市场使有组织的交易所交易相形见绌，2007年场外交易外汇期权的平均日营业额超过$\$ 31$亿(BIS 2007，第15页)。
外汇期权定价
对于普通的外汇期权，定价通常与经过适当调整的Black-Scholes模型值非常接近，这种类型的模型在整个市场中被用来为外汇期权定价。虽然Black-Scholes期权定价模型严格地只适用于不支付股息的股票期权，但使用Black-Scholes技术的外汇期权模型在Black-Scholes原始论文发表后迅速发展。 $^2$

最重要的观点是，在最初的布莱克-斯科尔斯模型中，无论是连续的股息率还是利率，资产连续支付的存在，都是将流出视为利率的减少。
$$
\begin{aligned}
C_t & =e^{-r_F(T-t)} F C N\left(d_1\right)-X e^{-r_d(T-t)} N\left(d_2\right) \
P_t & =X e^{-r_F(T-t)} N\left(-d_2\right)-F C e^{-r_F(T-t)} N\left(-d_1\right) \
d_1 & =\frac{\ln (F C / X)\left(r_D-r_F+0.5 \sigma^2\right)(T-t)}{\sigma \sqrt{T-t}} \
d_2 & =d_1-\sigma \sqrt{T-t}
\end{aligned}
$$
在哪里
$$
\begin{aligned}
C_t & =\text { price of a call option (priced in the domestic currency) on } \
& \text { foreign currency } F C \
P_t & =\text { price of a put option (priced in the domestic currency) on } \
& \text { foreign currency } F C \
F C & =\text { a quantity of the foreign currency } \
r_D, r_F & =\text { domestic and foreign interest rates, respectively } \
X & =\text { exercise price } \
T-t & =\text { time until expiration } \
\sigma^2 & =\text { variance of the foreign currency value } \
\mathrm{N}(\bullet) & =\text { cumulative normal function }
\end{aligned}
$$

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微观经济学代写

微观经济学是主流经济学的一个分支，研究个人和企业在做出有关稀缺资源分配的决策时的行为以及这些个人和企业之间的相互作用。my-assignmentexpert™ 为您的留学生涯保驾护航在数学Mathematics作业代写方面已经树立了自己的口碑, 保证靠谱, 高质且原创的数学Mathematics代写服务。我们的专家在图论代写Graph Theory代写方面经验极为丰富，各种图论代写Graph Theory相关的作业也就用不着说。

线性代数代写

线性代数是数学的一个分支，涉及线性方程，如：线性图，如：以及它们在向量空间和通过矩阵的表示。线性代数是几乎所有数学领域的核心。

博弈论代写

现代博弈论始于约翰-冯-诺伊曼（John von Neumann）提出的两人零和博弈中的混合策略均衡的观点及其证明。冯-诺依曼的原始证明使用了关于连续映射到紧凑凸集的布劳威尔定点定理，这成为博弈论和数学经济学的标准方法。在他的论文之后，1944年，他与奥斯卡-莫根斯特恩（Oskar Morgenstern）共同撰写了《游戏和经济行为理论》一书，该书考虑了几个参与者的合作游戏。这本书的第二版提供了预期效用的公理理论，使数理统计学家和经济学家能够处理不确定性下的决策。

微积分代写

微积分，最初被称为无穷小微积分或 “无穷小的微积分”，是对连续变化的数学研究，就像几何学是对形状的研究，而代数是对算术运算的概括研究一样。

它有两个主要分支，微分和积分；微分涉及瞬时变化率和曲线的斜率，而积分涉及数量的累积，以及曲线下或曲线之间的面积。这两个分支通过微积分的基本定理相互联系，它们利用了无限序列和无限级数收敛到一个明确定义的极限的基本概念。

计量经济学代写

什么是计量经济学？
计量经济学是统计学和数学模型的定量应用，使用数据来发展理论或测试经济学中的现有假设，并根据历史数据预测未来趋势。它对现实世界的数据进行统计试验，然后将结果与被测试的理论进行比较和对比。

根据你是对测试现有理论感兴趣，还是对利用现有数据在这些观察的基础上提出新的假设感兴趣，计量经济学可以细分为两大类：理论和应用。那些经常从事这种实践的人通常被称为计量经济学家。

MATLAB代写

MATLAB 是一种用于技术计算的高性能语言。它将计算、可视化和编程集成在一个易于使用的环境中，其中问题和解决方案以熟悉的数学符号表示。典型用途包括：数学和计算算法开发建模、仿真和原型制作数据分析、探索和可视化科学和工程图形应用程序开发，包括图形用户界面构建MATLAB 是一个交互式系统，其基本数据元素是一个不需要维度的数组。这使您可以解决许多技术计算问题，尤其是那些具有矩阵和向量公式的问题，而只需用 C 或 Fortran 等标量非交互式语言编写程序所需的时间的一小部分。MATLAB 名称代表矩阵实验室。MATLAB 最初的编写目的是提供对由 LINPACK 和 EISPACK 项目开发的矩阵软件的轻松访问，这两个项目共同代表了矩阵计算软件的最新技术。MATLAB 经过多年的发展，得到了许多用户的投入。在大学环境中，它是数学、工程和科学入门和高级课程的标准教学工具。在工业领域，MATLAB 是高效研究、开发和分析的首选工具。MATLAB 具有一系列称为工具箱的特定于应用程序的解决方案。对于大多数 MATLAB 用户来说非常重要，工具箱允许您学习和应用专业技术。工具箱是 MATLAB 函数（M 文件）的综合集合，可扩展 MATLAB 环境以解决特定类别的问题。可用工具箱的领域包括信号处理、控制系统、神经网络、模糊逻辑、小波、仿真等。

2023年7月20日2023年7月20日数学代写, 衍生品, 金融代写, 金融衍生品

金融代写|金融衍生品代写Financial Derivatives代考|FINS5535

avatest™帮您通过考试

•最快12小时交付

•200+ 英语母语导师

•70分以下全额退款

想知道您作业确定的价格吗? 免费下单以相关学科的专家能了解具体的要求之后在1-3个小时就提出价格。专家的报价比上列的价格能便宜好几倍。

金融代写|金融衍生品代写Financial Derivatives代考|FINS5535

金融代写|金融衍生品代写Financial Derivatives代考|Single-Stock Futures

Single-stock futures have been developed as an alternative for managing the risk of investing in stocks. Single-stock futures offer a market to buy or sell the underlying stock at some future date, typically at some short horizon (within a year). They represent a somewhat lower-cost alternative to stock options, since entering into a futures contract requires only margins. Worldwide, and most predominantly in South Africa, single-stock futures trade on a wide variety of stocks. As with stock options, however, trading is likely to be concentrated in firms where uncertainty is greatest.

Although in the United States, single-stock futures typically are settled on a $T+3$ basis with the delivery of the underlying stock, the use of single-stock futures facilitates short positions in stock. By using single-stock futures, an investor avoids the costly logistics required for borrowing shares in a short sale arrangement. Further, the relatively low ( 20 percent) margins on U.S. single-stock futures make for a low-cost competitive alternative to options for hedging purposes.

Single-stock futures are priced with a simple present value/future value relation. More specifically, the price of a single-stock future should represent the present value of today’s stock price along with the present value of any future dividends that might be paid out before the futures contract expires. Mathematically, we can state that the value of a single-stock future $F$ is
$$
F=\left(S_o-D\right) e^{r T}
$$
where
$S_o=$ current stock price
$D=$ present value of dividends paid during the life of the futures contract
$T=$ time to maturity (in years)
$r=$ continuously compounded risk-free rate of interests over the life of the futures contract

金融代写|金融衍生品代写Financial Derivatives代考|Futures on Stock Indexes

Some of the most actively traded futures contracts involve stock index futures. Stock index futures range from broad-based to narrow-based indexes. The most broadly traded index futures are based on country-specific indexes such as the S\&P 500, the Financial Times Stock Index FTSE 100 (London-listed companies), the Deutschen Actien Index DAX 30 (Frankfurt-listed companies), and the Cotation Assistee en Continu CAC 40 (Euronext Paris-listed companies). Stock indexes based on other countries typically are narrower in scope. For instance, the Portugese Stock Index PSI-20 index includes 20 Euronext Lisbon-listed companies, with the top 5 firms representing approximately 75 percent of the market capitalization of the entire index.

In the United States, OneChicago lists a number of narrow-based index futures. The indexes traded here are typically comprised of portfolios of four to seven stocks, many slanted toward Canadian stocks.

Portfolio managers at mutual funds, hedge funds, insurance companies, and other institutions face systematic portfolio risks when they hold equity portfolios. Likewise, market makers and dealers who sell index products to clients also can be exposed to systematic risk. Stock index futures provide an efficient mechanism for managing this portfolio risk at a relatively low cost. Since entering into a futures contract requires only margin payments, these institutions can avoid the premium payment that accompanies index options.

金融衍生品代写

金融代写|金融衍生品代写Financial Derivatives代考|Single-Stock Futures

单一股票期货是作为管理股票投资风险的一种选择而发展起来的。单一股票期货提供了一个在未来某个日期买卖标的股票的市场，通常是在某个短期(一年内)。与股票期权相比，期货合约是一种成本较低的选择，因为签订期货合约只需要保证金。在世界范围内，尤其是在南非，单一股票期货交易的股票种类繁多。然而，与股票期权一样，交易可能集中在不确定性最大的公司。

虽然在美国，单股期货通常是在$T+3$的基础上交割标的股票，但单股期货的使用促进了股票的空头头寸。通过使用单一股票期货，投资者避免了在卖空安排中借入股票所需的昂贵物流。此外，美国单一股票期货的利润率相对较低(20％)，为对冲目的的期权提供了一种低成本的竞争性选择。

单一股票期货以简单的现值/未来价值关系定价。更具体地说，单一股票期货的价格应该代表今天股票价格的现值，以及在期货合约到期之前可能支付的任何未来股息的现值。从数学上讲，我们可以说单股期货$F$的价值是
$$
F=\left(S_o-D\right) e^{r T}
$$
在哪里
$S_o=$当前股价
$D=$在期货合约有效期内支付的股息的现值
$T=$成熟期(年)
$r=$在期货合约有效期内连续复合无风险利率

金融代写|金融衍生品代写Financial Derivatives代考|Futures on Stock Indexes

一些交易最活跃的期货合约涉及股指期货。股指期货的范围从基础广泛的指数到基础狭窄的指数。交易最广泛的指数期货是基于特定国家的指数，如标准普尔500指数、金融时报股票指数富时100指数(伦敦上市公司)、德国Actien指数DAX 30(法兰克福上市公司)和coation assstee en Continu CAC 40(巴黎泛欧交易所上市公司)。基于其他国家的股票指数通常范围较窄。例如，葡萄牙股票指数PSI-20指数包括20家泛欧交易所里斯本上市公司，前5家公司约占整个指数市值的75％。

在美国，OneChicago列出了一些窄幅指数期货。在这里交易的指数通常由四到七只股票组成，其中许多倾向于加拿大股票。

共同基金、对冲基金、保险公司和其他机构的投资组合经理在持有股票投资组合时面临系统性投资组合风险。同样，向客户销售指数产品的做市商和交易商也可能面临系统性风险。股指期货为以相对较低的成本管理这种投资组合风险提供了一种有效的机制。由于签订期货合约只需要支付保证金，这些机构可以避免指数期权附带的溢价支付。

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2023年7月20日2023年7月20日数学代写, 衍生品, 金融代写, 金融衍生品

金融代写|金融衍生品代写Financial Derivatives代考|FM360

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金融代写|金融衍生品代写Financial Derivatives代考|FM360

金融代写|金融衍生品代写Financial Derivatives代考|Theory of Normal Backwardation

According to the theory of normal backwardation, speculators in commodity futures will receive a positive return as compensation for the price risk transferred to them by the hedger. Keynes’s (1930) original theory assumed that the hedger, as a producer, would sell futures. The risk premium would be paid to the long speculator by setting the futures price below the expected future spot price: The futures prices would, on average, rise through time, resulting in a positive rate of return for the long speculator.

Note that this use of the term backwardation differs from that used in describing the basis or futures curve. Backwardation occurs when the current spot price is greater than a futures price. Normal backwardation, however, describes the relationship between the forward price and the expected spot price: The forward price is set below the expected spot price, and this persistent downward bias in the forward price rewards the long speculator with positive returns.

A modification of the normal backwardation model argues that not all markets will return a risk premium to the speculator (Telser 1958). Competition between speculators normally will drive the risk premium to zero, so only markets in which there are too few speculators willing to take on hedger risk will pay a risk premium to a long position. Such a thin market would be characterized by low liquidity, with few transactions, a low volume of trade in the commodity relative to its production, and consequently large price fluctuations.

Keynes’s original model has been modified to recognize that not all hedging interest will be short. Hedgers can be producers or consumers, and speculators will garner positive returns if they take a position opposite to the majority of hedgers in the market. If hedgers are net short, then a long speculative position should result in a positive return, as in the original backwardation model. If hedgers are net long in a particular market, then speculators are paid to go short, and a short position will reap positive returns. Thus, to reap consistently positive returns, speculators must be able to tell where hedging net interest will be in a particular market.
It is important to recognize that the risk premium on commodity futures contracts can be linked to convenience yield. We have seen that if futures prices are at less than full carry because of inadequate inventories, then convenience yield will be relatively large; this implies increased uncertainty and a demand for risk transference. If speculators are to be rewarded for providing a risk transfer function, then periods of high convenience yield (when futures are driven below the current spot price- the traditional definition of backwardation) may also be periods in which long futures positions exhibit positive returns. The size of the risk premium will depend on inventory levels, which drive the convenience yield, and the relative risk sensitivities of inventory holders (hedgers) and investors (speculators).

金融代写|金融衍生品代写Financial Derivatives代考|COMMODITY INVESTMENT STRATEGIES

Commodity indexes are used to track commodity prices and to represent a portfolio of commodity positions. Since commodities are extremely heterogeneous, the behavior of a particular index, and comparisons of index performance, can be very sensitive to how a given index is constructed. Indexes vary by the selection and weighting of constituent components, and how components are rebalanced.

The Standard \& Poor’s Goldman Sachs Commodity Index (SP-GSCI) and the Dow Jones-AIG Commodity Index (DJ-AIGCI) are the most widely used in structuring tradable commodity index products, and futures are traded on these indexes at the CMEG. Other indexes include the Reuters/Jeffries Commodity Research Bureau (CRB) and the Deutsche Bank Liquid Commodity Index (DBLCI).

All the indexes just mentioned include a range of commodity sectors, but specific commodities and their weights differ. Component selection involves a trade-off between the index’s ability to represent commodities as an asset class and the ease with which the index can be replicated. For instance, the CRB gives a broad picture of overall commodity price movements while the DJ-AIG selects components based on the liquidity of the futures contract. TheSP-GSCI contains the largest number of commodities (25), while the DJ-AIG constrains the weighting that any individual sector can have in the index. Many indexes use only nearby prices, but others (CRB) include other delivery months. A different index approach is taken by the Nasdaq/OMX Global Agriculture Index, which tracks the performance of shares in companies with activity in agriculture or farming. Since a commodity index cannot use market capitalization for a weighting scheme (all futures involve an equal long and short position), weights are determined by other means. The CRB uses equal weighting, but other indexes use world production or consumption data to reflect relative economic importance.

Changes in relative prices can alter the original weighting scheme over time, so an index may be rebalanced periodically. However, how an index is rebalanced can affect its performance since rebalancing can imply a particular investment strategy for the index portfolio. Rebalancing an equally weighted portfolio, for instance, necessitates selling appreciating commodities and buying depreciating commodities. Similarly, infrequent rebalancing can mimic a momentum investment strategy.

金融衍生品代写

金融代写|金融衍生品代写Financial Derivatives代考|Theory of Normal Backwardation

根据正常现货溢价理论，商品期货的投机者将获得正回报，作为对冲者转移给他们的价格风险的补偿。凯恩斯(1930)最初的理论假设，作为生产者的套期保值者将出售期货。风险溢价将通过设定期货价格低于预期的未来现货价格来支付给多头投机者:期货价格平均会随着时间的推移而上涨，从而导致多头投机者的回报率为正。

请注意，现货溢价一词的用法不同于描述基差曲线或期货曲线的用法。现货溢价发生在现货价格高于期货价格的时候。然而，正常的现货溢价描述的是远期价格和预期现货价格之间的关系:远期价格被设定在预期现货价格以下，而远期价格的这种持续下行倾向会让多头投机者获得正回报。

对常规现货溢价模型的修正认为，并非所有市场都会给投机者带来风险溢价(Telser 1958)。投机者之间的竞争通常会将风险溢价推至零，因此只有那些愿意承担对冲风险的投机者太少的市场才会为多头头寸支付风险溢价。这种稀薄的市场的特点是流动性低，交易少，商品的贸易量相对于其产量来说很低，因此价格波动很大。

凯恩斯最初的模型已被修改，以认识到并非所有对冲利益都将是空头。对冲者可以是生产者，也可以是消费者，如果投机者采取与市场上大多数对冲者相反的立场，他们将获得正回报。如果套期保值者是净空头，那么多头投机头寸应该会产生正回报，就像最初的现货溢价模型一样。如果套期保值者在一个特定市场上是净多头，那么投机者就会得到做空的报酬，而做空的头寸将获得正回报。因此，为了获得持续的正回报，投机者必须能够判断对冲净利息在特定市场中的位置。
认识到商品期货合约的风险溢价可以与便利收益挂钩是很重要的。我们已经看到，如果由于库存不足导致期货价格低于满额，那么便利收益率将相对较大;这意味着不确定性的增加和风险转移的需求。如果投机者因提供风险转移函数而获得回报，那么高便利收益率时期(期货价格低于当前现货价格——这是现货溢价的传统定义)也可能是多头期货头寸表现出正回报的时期。风险溢价的大小将取决于库存水平，库存水平驱动便利收益，以及库存持有者(套期保值者)和投资者(投机者)的相对风险敏感性。

金融代写|金融衍生品代写Financial Derivatives代考|COMMODITY INVESTMENT STRATEGIES

商品指数用于跟踪商品价格并代表商品头寸组合。由于大宗商品具有极大的异质性，特定指数的行为以及指数表现的比较可能对给定指数的构建方式非常敏感。指数随组成成分的选择和权重以及成分如何重新平衡而变化。

标准普尔高盛商品指数(SP-GSCI)和道琼斯- aig商品指数(DJ-AIGCI)是构建可交易的商品指数产品时最广泛使用的，期货是在CMEG根据这些指数进行交易的。其他指数包括路透/杰富瑞商品研究局(CRB)和德意志银行流动性商品指数(DBLCI)。

上述所有指数都包括一系列商品部门，但具体的商品及其权重有所不同。成分股的选择需要在指数将大宗商品作为一种资产类别的能力与指数的可复制性之间进行权衡。例如，CRB给出了大宗商品整体价格走势的概貌，而DJ-AIG则根据期货合约的流动性选择组成部分。标普- gsci包含的大宗商品数量最多(25种)，而道琼斯- aig则限制了任何单个行业在指数中的权重。许多指数只使用近期价格，但其他指数(CRB)包括其他交割月份。纳斯达克/OMX全球农业指数(Nasdaq/OMX Global Agriculture index)采用了一种不同的指数方法，该指数追踪从事农业或农业活动的公司的股票表现。由于商品指数不能使用市值作为加权方案(所有期货都涉及相等的多头和空头头寸)，权重由其他方式确定。CRB使用相同的权重，但其他指数使用全球生产或消费数据来反映经济的相对重要性。

随着时间的推移，相对价格的变化会改变最初的权重方案，因此指数可能会周期性地重新平衡。然而，指数如何再平衡会影响其表现，因为再平衡可能意味着指数投资组合的特定投资策略。例如，平衡一个同等权重的投资组合，就需要卖出升值的大宗商品，买入贬值的大宗商品。同样，不频繁的再平衡可以模仿动量投资策略。

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2023年7月20日2023年7月20日 Investment Portfolio, 投资组合, 金融代写

金融代写|投资组合代写Investment Portfolio代考|FIN465

如果你也在怎样代写投资组合Portfolio Theory 这个学科遇到相关的难题，请随时右上角联系我们的24/7代写客服。投资组合Portfolio Theory是管理是构建投资组合的持续过程，它平衡了投资者的目标和投资组合经理对未来的期望。这一动态过程为投资者提供了回报。

投资组合Portfolio Theory管理中，单个资产或投资是根据其对投资者投资组合的风险和回报的贡献来评估的，而不是孤立地评估。这被称为投资组合视角。在这个过程中，与投资于单个资产或证券相比，通过构建多样化的投资组合，投资组合经理可以在给定的预期回报水平上降低风险。根据现代投资组合理论(MPT)，不遵循投资组合观点的投资者承担了没有获得更高预期回报的风险。与2007-2008年金融危机等市场动荡时期相比，投资组合多元化在金融市场正常运行时效果最佳。在动荡时期，相关性往往会增加，从而降低了多样化的好处。相关性是衡量两种证券或市场之间收益变动的标准化指标。

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金融代写|投资组合代写Portfolio Theory代考|ESTIMATING MODELS WITH EXCESS RETURNS

When excess returns $\left(R^e\right)$ are used to estimate and test asset pricing models, the moment conditions (pricing equations) are
$$
E\left(m R^e\right)=0_N \cdot
$$
Let $m=\theta_0-\left(\theta_1 f_1+\cdots+\theta_K f_K\right)$. In this case, the mean of the SDF cannot be identified or, equivalently, the parameters $\theta_0$ and $\left(\theta_1, \ldots, \theta_K\right)$ cannot be identified separately. This requires a particular choice of normalization. One popular normalization is to set $\theta_0=1$, in which case $m=1-\left(\theta_1 f_1+\cdots+\theta_K f_K\right)$. An alternative (preferred) normalization is to set $\theta_0=1+\theta_1 E\left(f_1\right)+\cdots+\theta_K E\left(f_K\right)$, in which case $m=1-\theta_1\left[f_1-E\left(f_1\right)\right]-\cdots-\theta_K\left[f_K-E\left(f_K\right)\right]$ with $E(m)=1$. These two normalizations can give rise to very different results (see Kan and Robotti, 2008; Burnside, 2010).

Kan and Robotti (2008) argue that when the model is misspecified, the first (raw) and the second (de-meaned) normalizations of the SDF produce different GMM estimates that minimize the quadratic form of the pricing errors. Hence, the pricing errors and the $p$-values of the specification tests are not identical under these two normalizations. Moreover, the second (de-meaned) specification imposes the constraint $E(m)=1$ and, as a result, the pricing errors and the $\mathrm{HJ}$-distances are invariant to affine transformations of the factors. This is important because in the first normalization, the outcome of the model specification test can be easily manipulated by simple scaling of factors and changing the mean of the SDF. This problem is not only a characteristic of linear SDFs but also arises in nonlinear models. The analysis in Burnside (2010) further confirms these findings and links the properties of the different normalizations to possible model misspecification and identification problems discussed in the previous two subsections.

金融代写|投资组合代写Portfolio Theory代考|CONDITIONAL MODELS WITH HIGHLY PERSISTENT PREDICTORS

The usefulness of the conditional asset pricing models crucially depends on the existence of some predictive ability of the conditioning variables for future stock returns. While a large number of studies report statistically significant coefficients for various financial and macro variables in in-sample linear predictive regressions of stock returns, several papers raise the concern that some of these regressions may be spurious. For example, Ferson, Sarkissian, and Simin (2003) call into question the predictive power of some widely used predictors, such as the term spread, the book-to-market ratio, and the dividend yield. Spurious results arise when the predictors are strongly persistent (near unit root processes) and their innovations are highly correlated with the predictive regression errors. In this case, the estimated slope coefficients in the predictive regression are biased and have a nonstandard (nonnormal) asymptotic distribution (Elliott and Stock, 1994; Cavanagh, Elliott, and Stock, 1995; Stambaugh, 1999). As a result, $t$-tests for statistical significance of individual predictors based on standard normal critical values could reject the null hypothesis of no predictability too frequently and falsely signal that these predictors have predictive power for future stock returns. Campbell and Yogo (2006) and Torous, Valkanov, and Yan (2004) develop valid testing procedures when the predictors are highly persistent and revisit the evidence on the predictability of stock returns.

Spuriously significant results and nonstandard sampling distributions also tend to arise in long-horizon predictive regressions, where the regressors and/or the returns are accumulated over $r$ time periods so that two or more consecutive observations are overlapping. The time overlap increases the persistence of the variables and renders the sampling distribution theory of the slope coefficients, $t$-tests and $R^2$ coefficients, nonstandard. Campbell (2001) and Valkanov (2003) point out several problems that emerge in long-horizon regressions with highly persistent regressors. First, the $R^2$ coefficients and $t$-statistics tend to increase with the horizon, even under the null of no predictability, and the $R^2$ is an unreliable measure of goodness of fit in this situation. Furthermore, the $t$-statistics do not converge asymptotically to well-defined distributions and need to be rescaled to ensure valid inference. Finally, the estimates of the slope coefficients are biased and, in some cases, not consistently estimable. All these statistical problems provide a warning to applied researchers and indicate that the selection of conditioning variables for predicting stock returns should be performed with extreme caution.

投资组合代写

金融代写|投资组合代写Portfolio Theory代考|ESTIMATING MODELS WITH EXCESS RETURNS

当使用超额收益$\left(R^e\right)$来估计和检验资产定价模型时，时刻条件(定价方程)为
$$
E\left(m R^e\right)=0_N \cdot
$$
让$m=\theta_0-\left(\theta_1 f_1+\cdots+\theta_K f_K\right)$。在这种情况下，无法识别SDF的均值，即无法单独识别$\theta_0$和$\left(\theta_1, \ldots, \theta_K\right)$参数。这需要选择特定的规范化。一种流行的规范化是设置$\theta_0=1$，在这种情况下是$m=1-\left(\theta_1 f_1+\cdots+\theta_K f_K\right)$。另一种(首选的)规范化是设置$\theta_0=1+\theta_1 E\left(f_1\right)+\cdots+\theta_K E\left(f_K\right)$，在这种情况下$m=1-\theta_1\left[f_1-E\left(f_1\right)\right]-\cdots-\theta_K\left[f_K-E\left(f_K\right)\right]$与$E(m)=1$。这两种归一化可以产生非常不同的结果(见Kan和Robotti, 2008;Burnside, 2010)。

Kan和Robotti(2008)认为，当模型被错误指定时，SDF的第一次(原始)和第二次(去均值)归一化会产生不同的GMM估计，从而使定价误差的二次形式最小化。因此，在这两种归一化下，规范测试的定价误差和$p$ -值是不相同的。此外，第二个(去均值)规范施加了约束$E(m)=1$，因此，定价误差和$\mathrm{HJ}$ -距离对因子的仿射变换是不变的。这很重要，因为在第一个归一化中，模型规范测试的结果可以通过简单的因子缩放和改变SDF的平均值来轻松地操纵。这个问题不仅是线性sdf的一个特点，而且在非线性模型中也会出现。Burnside(2010)的分析进一步证实了这些发现，并将不同归一化的特性与前两小节中讨论的可能的模型错误规范和识别问题联系起来。

金融代写|投资组合代写Portfolio Theory代考|CONDITIONAL MODELS WITH HIGHLY PERSISTENT PREDICTORS

条件资产定价模型的有效性关键取决于条件变量对未来股票收益的预测能力。虽然大量研究报告了股票收益样本内线性预测回归中各种金融和宏观变量的统计显著系数，但有几篇论文提出了一些回归可能是虚假的担忧。例如，Ferson、Sarkissian和Simin(2003)对一些广泛使用的预测指标的预测能力提出了质疑，如期限价差、账面市值比和股息收益率。当预测者是强持续性的(接近单位根过程)并且他们的创新与预测回归误差高度相关时，就会出现虚假的结果。在这种情况下，预测回归中估计的斜率系数是有偏差的，并且具有非标准(非正态)渐近分布(Elliott和Stock, 1994;Cavanagh, Elliott, and Stock, 1995;Stambaugh, 1999)。因此，$t$ -基于标准正态临界值的个体预测因子的统计显著性检验可能过于频繁地拒绝无可预测性的原假设，并错误地表明这些预测因子对未来股票回报具有预测能力。Campbell和Yogo(2006)以及Torous、Valkanov和Yan(2004)在预测者具有高度持续性时开发了有效的测试程序，并重新审视了股票收益可预测性的证据。

在长期预测回归中也容易出现虚假的显著结果和非标准抽样分布，其中回归量和/或回报在$r$时间周期内累积，以便两个或更多连续观察重叠。时间重叠增加了变量的持久性，使得斜率系数$t$ -test和$R^2$系数的抽样分布理论不规范。Campbell(2001)和Valkanov(2003)指出了在具有高度持续性回归量的长视界回归中出现的几个问题。首先，$R^2$系数和$t$ -统计量倾向于随着视界的增加而增加，即使在没有可预测性的情况下也是如此，在这种情况下，$R^2$是一个不可靠的拟合优度度量。此外，$t$ -统计量不会渐近地收敛于定义良好的分布，需要重新缩放以确保有效的推断。最后，斜率系数的估计是有偏差的，在某些情况下，不一致的估计。所有这些统计问题都给应用研究人员提供了一个警告，并表明在预测股票收益的条件变量的选择上应该非常谨慎。

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2023年7月20日2023年7月20日 Investment Portfolio, 投资组合, 金融代写

金融代写|投资组合代写Investment Portfolio代考|FIN406

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金融代写|投资组合代写Investment Portfolio代考|FIN406

金融代写|投资组合代写Portfolio Theory代考|GMM Estimation and Evaluation of Asset Pricing Models in SDF Form

Using Equation 3.11, the pricing errors of the $N$ test assets can be expressed as
$$
g(\theta)=E[m(1+R)]-1_N=E\left[(1+R) \tilde{f}^{\prime} \theta\right]-1_N=D \theta-1_N,
$$
where $D=E\left[(1+R) \tilde{f}^{\prime}\right]$. Let $t=1,2, \ldots, T$ denote the number of time series observations on the test assets and the factors. The sample analog of the pricing errors is given by
$$
g_T(\theta)=\frac{1}{T} \sum_{t=1}^T\left(1+R_t\right) \tilde{f}t^{\prime} \theta-1_N . $$ For a given weighting matrix $W_T$, the GMM estimator of $\theta$ minimizes the quadratic form $$ g_T(\theta)^{\prime} W_T g_T(\theta) $$ and solves the first-order condition $$ D_T^{\prime} W_T\left(D_T \theta-1_N\right)=0 $$ where $D_T=\frac{\partial g_T(\theta)}{\partial \theta^{\prime}}=\frac{1}{T} \sum{t=1}^T\left(1+R_t\right) \tilde{f}_t^{\prime}$. Solving this system of linear equations for $\theta$ yields
$$
\hat{\theta}=\left(D_T^{\prime} W_T D_T\right)^{-1}\left(D_T^{\prime} W_T 1_N\right)
$$

金融代写|投资组合代写Portfolio Theory代考|Beta-Pricing Models and Two-Pass Cross-Sectional Regressions

From Equation 3.13, the expected-return errors of the $N$ assets are given by
$$
e=E[R]-B \gamma .
$$
A popular goodness-of-fit measure used in many empirical studies is the crosssectional $R^2$. Following Kandel and Stambaugh (1995), this is defined as
$$
R^2=1-\frac{Q}{Q_0},
$$
where $Q=e^{\prime} W e, Q_0=e_0^{\prime} W e_0, e_0=\left[I_N-1_N\left(1_N^{\prime} W 1_N\right)^{-1} 1_N^{\prime} W\right] E[R]$ represents the deviations of mean returns from their cross-sectional average and $W$ is a positive-definite weighting matrix. Popular choices of $W$ in the literature are $W=$ $I_N$ (ordinary least squares $[\mathrm{OLS}]$ ), $W=\operatorname{Var}[R]^{-1}$ (generalized least squares $[\mathrm{GLS}]$ ), and $W=\Sigma_d^{-1}$ (weighted least squares [WLS]), where $\Sigma_d$ is a diagonal matrix containing the diagonal elements of $\Sigma$, the variance-covariance matrix of the residuals from the first-pass time series regression. In order for $R^2$ to be well defined requires assuming that $E[R]$ is not proportional to $1_N$ (the expected returns are not all equal) so that $Q_0>0$. Note that $0<R^2<1$ and it is a decreasing function of the aggregate pricing-error measure $Q$. Thus, $R^2$ is a natural measure of goodness of fit.

As emphasized by Kan and Zhou (2004), $R^2$ is oriented toward expected returns whereas the HJ-distance evaluates a model’s ability to explain prices. With the zero-beta rate as a free parameter, the most common approach in the asset pricing literature, Kan and Zhou show that the two measures need not rank models the same way. Thus, both measures are of interest, with the choice depending on the economic context and perhaps the manner in which a researcher envisions applying the models.

投资组合代写

金融代写|投资组合代写Portfolio Theory代考|GMM Estimation and Evaluation of Asset Pricing Models in SDF Form

利用式3.11,$N$测试资产的定价误差可表示为
$$
g(\theta)=E[m(1+R)]-1_N=E\left[(1+R) \tilde{f}^{\prime} \theta\right]-1_N=D \theta-1_N,
$$
在哪里$D=E\left[(1+R) \tilde{f}^{\prime}\right]$。设$t=1,2, \ldots, T$表示对测试资产和因子的时间序列观察的个数。给出了定价误差的样例模拟
$$
g_T(\theta)=\frac{1}{T} \sum_{t=1}^T\left(1+R_t\right) \tilde{f}t^{\prime} \theta-1_N . $$对于给定的权重矩阵$W_T$, $\theta$的GMM估计量最小化了二次形式$$ g_T(\theta)^{\prime} W_T g_T(\theta) $$并解决了一阶条件$$ D_T^{\prime} W_T\left(D_T \theta-1_N\right)=0 $$，其中$D_T=\frac{\partial g_T(\theta)}{\partial \theta^{\prime}}=\frac{1}{T} \sum{t=1}^T\left(1+R_t\right) \tilde{f}_t^{\prime}$。求解$\theta$产量的线性方程组
$$
\hat{\theta}=\left(D_T^{\prime} W_T D_T\right)^{-1}\left(D_T^{\prime} W_T 1_N\right)
$$

金融代写|投资组合代写Portfolio Theory代考|Beta-Pricing Models and Two-Pass Cross-Sectional Regressions

的期望返回误差由式3.13可知 $N$ 资产是由
$$
e=E[R]-B \gamma .
$$
在许多实证研究中使用的一种流行的拟合优度测量是横截面 $R^2$．根据Kandel和Stambaugh(1995)，这被定义为
$$
R^2=1-\frac{Q}{Q_0},
$$
在哪里 $Q=e^{\prime} W e, Q_0=e_0^{\prime} W e_0, e_0=\left[I_N-1_N\left(1_N^{\prime} W 1_N\right)^{-1} 1_N^{\prime} W\right] E[R]$ 表示平均收益相对于其横截面平均值和的偏差 $W$ 是一个正定加权矩阵。流行的选择 $W$ 在文献中有 $W=$ $I_N$ 普通最小二乘 $[\mathrm{OLS}]$ )， $W=\operatorname{Var}[R]^{-1}$ 广义最小二乘 $[\mathrm{GLS}]$ )，及 $W=\Sigma_d^{-1}$ (加权最小二乘[WLS])，其中 $\Sigma_d$ 一个对角矩阵是否包含对角元素 $\Sigma$，第一次时间序列回归残差的方差协方差矩阵。为了 $R^2$ 定义得好需要假设 $E[R]$ 不与 $1_N$ (预期收益并不都是相等的)所以 $Q_0>0$．请注意 $0<R^2<1$ 它是总定价误差测度的递减函数 $Q$．因此， $R^2$ 是衡量契合度的自然标准。

正如Kan和Zhou(2004)所强调的那样，$R^2$面向的是预期收益，而HJ-distance评估的是模型解释价格的能力。在资产定价文献中，最常见的方法是将0 -beta利率作为自由参数，Kan和Zhou表明，这两种指标不需要以相同的方式对模型进行排序。因此，这两种方法都是有趣的，选择取决于经济背景，也许取决于研究人员设想应用模型的方式。

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2023年7月20日2023年7月20日 Investment Portfolio, 投资组合, 金融代写

金融代写|投资组合代写Investment Portfolio代考|FNCE463

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金融代写|投资组合代写Investment Portfolio代考|FNCE463

金融代写|投资组合代写Portfolio Theory代考|THE EFFICIENT FRONTIER AND ASSET PRICING

The previous section detailed the various scenarios of portfolio optimization available to an investor. The chapter now adds the assumptions of homogeneous information about $\mu, V, R_f$, market efficiency, and frictionless and costless trading to show the implications for equilibrium of portfolio theory.

Recall the case with $N$ risky assets and a risk-free asset. This section now shows how the Sharpe-Lintner CAPM (Sharpe, 1964) follows directly. If all investors have the same information $\mu, V$, they all agree on the tangency portfolio, which is $T$ in Figure 2.3. In equilibrium, demand meets supply and this tangency portfolio must be the capitalization-weighted portfolio of all risky assets, also known as the market portfolio. Therefore, the cap-weighted market portfolio is the tangency portfolio on the efficient frontier. It is the mean-variance efficient portfolio because no other portfolio has a higher Sharpe ratio. This is the basis for indexing investment. The CAL defined by the market is called the capital market line (hereafter, the CML). It is the optimal CAL given the assumptions made at the beginning of the section.

Consider now a risk-free rate $R_f$ and a frontier of two risky assets, $i$ and $M$. Quadratic optimization shows that the portfolio with the maximum Sharpe ratio, the tangency portfolio, has a weight as shown in Equation 2.6:
$$
w_i^=\frac{\left(\mu_i-R_f\right) \sigma_M^2-\left(\mu_M-R_f\right) \sigma_{i M}}{\left.\left(\mu_i-R_f\right) \sigma_M^2+\left(\mu_M-R_f\right) \sigma_i^2-\mu_i+\mu_M-2 R_f\right) \sigma_{i M}} $$ Let us apply this result to the context of equilibrium, with $M$ representing the market portfolio, and $i$ representing any security. In equilibrium, $M$ already contains $i$ in the optimal amount because it is already the mean-variance efficient, tangency portfolio of the frontier of all securities in the economy. Therefore, the weight $w_i^$ must be zero in equilibrium. Now set the numerator in Equation 2.6 to equal to zero. This immediately yields the well-known CAPM equation
$$
\mu_i=R_f+\left(\mu_M-R_f\right) \beta_{i M}
$$
where beta $\left(\beta_{i M}\right)$ is now considered with respect to the market portfolio. In Figure 2.4 , the solid lines show a two-asset frontier of the market and a security $P_1 \cdot M$ is the tangency portfolio of that frontier because the expected return of $P_1$ was set equal to the CAPM.

金融代写|投资组合代写Portfolio Theory代考|ACTIVE MANAGEMENT AND THE INFORMATION RATIO

This section discusses active management and portfolio performance evaluation. The best-known measure of performance, the Sharpe ratio, discussed in the previous sections, is only valid to rank mutually exclusive investments. The Sharpe ratio does not indicate how to optimally combine competing funds.

The previous section explains how in equilibrium, the capitalization-weighted market portfolio $\mathrm{M}$ achieves the best Sharpe ratio. In the active asset allocation framework, the manager identifies securities that may help improve upon the market portfolio’s Sharpe ratio. This section introduces the information ratio, widely used in quantitative active asset management, which indicates how a security contributes to the Sharpe ratio of a portfolio. The reasoning will parallel the Sharpe-Lintner CAPM proof seen above, incorporating the fact that the expected returns of some securities differ from the CAPM prediction and therefore will improve upon the Sharpe ratio of the market. Departures from the CAPM are modeled via Jensen’s (1968) apha, $a$, as shown in Equation 2.9:
$$
\mathrm{E}\left(\mathrm{R}{\mathrm{i}}\right)=\alpha_1+\mathrm{R}_f+\beta_i \mathrm{E}\left(\mathrm{R}{\mathrm{M}}-\mathrm{R}{\mathrm{f}}\right) $$ Equation 2.9 nests the CAPM, in which case $a$ is 0 . To estimate alpha and beta, Jensen runs the time series regression shown in Equation 2.10: $$ R{i t}-R_{f t}=\alpha_i+\beta_i\left(R_{M t}-R_{f t}\right)+\varepsilon_{i t},
$$
where $R_{i t}$ is the return on the asset $\mathrm{i} ; R_{f t}$ is the risk-free rate; $R_{M t}$ is the market index return; and $\varepsilon$ is the random error of the regression, also known as the unsystematic or idiosyncratic return. The regression in Equation 2.10 also estimates the standard deviation of the idiosyncratic return $\sigma_{\varepsilon}$. In fact, it performs the variance decomposition for security $i$, shown in Equation 2.11:
$$
\sigma_i^2=\beta_i^2 \sigma_M^2+\sigma_{\varepsilon, i}^2
$$

投资组合代写

金融代写|投资组合代写Portfolio Theory代考|THE EFFICIENT FRONTIER AND ASSET PRICING

前一节详细介绍了投资者可以使用的投资组合优化的各种场景。现在，本章增加了关于$\mu, V, R_f$、市场效率和无摩擦无成本交易的同质信息假设，以显示投资组合理论均衡的含义。

回想一下$N$风险资产和无风险资产的例子。本节现在展示夏普-林特纳CAPM(夏普，1964)是如何直接遵循的。如果所有投资者都有相同的信息$\mu, V$，他们都同意切线投资组合，即图2.3中的$T$。在均衡状态下，需求满足供给，这个切线投资组合必须是所有风险资产的资本加权投资组合，也称为市场投资组合。因此，市值加权市场投资组合是有效边界上的切线投资组合。它是均值方差有效投资组合因为没有其他投资组合有更高的夏普比率。这是指数投资的基础。市场定义的CAL称为资本市场线(以下简称CML)。这是本节开头所作假设的最优CAL。

现在考虑无风险利率$R_f$和两种风险资产$i$和$M$的边界。二次优化得到夏普比率最大的投资组合即切线投资组合，其权重如式2.6所示:
$$
w_i^=\frac{\left(\mu_i-R_f\right) \sigma_M^2-\left(\mu_M-R_f\right) \sigma_{i M}}{\left.\left(\mu_i-R_f\right) \sigma_M^2+\left(\mu_M-R_f\right) \sigma_i^2-\mu_i+\mu_M-2 R_f\right) \sigma_{i M}} $$让我们把这个结果应用到均衡的背景下，$M$代表市场投资组合，$i$代表任何证券。在均衡中，$M$已经包含了最优数量的$i$，因为它已经是经济中所有证券边界的均值-方差有效切线投资组合。因此，在平衡状态下，权重$w_i^$必须为零。现在将方程2.6中的分子设为0。这立即产生了著名的CAPM方程
$$
\mu_i=R_f+\left(\mu_M-R_f\right) \beta_{i M}
$$
这里的beta $\left(\beta_{i M}\right)$现在考虑的是市场投资组合。在图2.4中，实线显示了市场的两种资产边界，而证券$P_1 \cdot M$是该边界的切线投资组合，因为$P_1$的预期收益被设置为等于CAPM。

金融代写|投资组合代写Portfolio Theory代考|ACTIVE MANAGEMENT AND THE INFORMATION RATIO

本节讨论主动管理和投资组合绩效评估。在前几节中讨论过的最著名的业绩衡量指标夏普比率(Sharpe ratio)，只适用于对互斥投资进行排名。夏普比率并没有说明如何最优地组合竞争基金。

前一节解释了在均衡状态下，市值加权市场投资组合$\mathrm{M}$如何达到最佳夏普比率。在主动资产配置框架中，经理识别可能有助于提高市场投资组合夏普比率的证券。本节介绍在量化主动资产管理中广泛使用的信息比率，它表示证券对投资组合的夏普比率的贡献。推理将与上文所见的夏普-林特纳CAPM证明相平行，并考虑到某些证券的预期收益与CAPM预测不同，因此会随着市场的夏普比率而提高。从CAPM的偏离通过Jensen (1968) apha, $a$建模，如公式2.9所示:
$$
\mathrm{E}\left(\mathrm{R}{\mathrm{i}}\right)=\alpha_1+\mathrm{R}f+\beta_i \mathrm{E}\left(\mathrm{R}{\mathrm{M}}-\mathrm{R}{\mathrm{f}}\right) $$公式2.9嵌套CAPM，此时$a$为0。为了估计alpha和beta, Jensen运行了公式2.10所示的时间序列回归:$$ R{i t}-R{f t}=\alpha_i+\beta_i\left(R_{M t}-R_{f t}\right)+\varepsilon_{i t},
$$
其中$R_{i t}$为资产收益率$\mathrm{i} ; R_{f t}$为无风险利率;$R_{M t}$为市场指数回报;$\varepsilon$是回归的随机误差，也被称为非系统或特殊回归。公式2.10中的回归也估计了特质收益率的标准差$\sigma_{\varepsilon}$。实际上，它对安全性$i$进行方差分解，如式2.11所示:
$$
\sigma_i^2=\beta_i^2 \sigma_M^2+\sigma_{\varepsilon, i}^2
$$

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2023年7月5日2023年7月5日 Corporate Finance, 企业融资, 公司金融学, 金融代写

金融代写|公司金融学代写Corporate Finance代考|Position of the Creditors in a Solvent Company

如果你也在怎样代写公司金融学Corporate Finance 这个学科遇到相关的难题，请随时右上角联系我们的24/7代写客服。公司金融学Corporate Finance是金融的一个领域，涉及资金来源、公司的资本结构、管理者为增加公司对股东的价值而采取的行动，以及用于分配金融资源的工具和分析。公司金融的主要目标是最大化或增加股东价值。

公司金融学Corporate Finance相应地，公司财务包括两个主要的分支学科。[引用]资本预算涉及到设定标准，以确定哪些增值项目应该获得投资资金，以及是否用股权或债务资本为该投资融资。营运资金管理是对公司货币资金的管理，涉及流动资产和流动负债的短期经营平衡；这里的重点是管理现金、存货和短期借贷（如提供给客户的信贷条件）。

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金融代写|公司金融学代写Corporate Finance代考|Position of the Creditors in a Solvent Company

As will be seen from the discussion in chapter two, there are many different types of creditors, who advance money to the company based on different contractual and proprietary structures. All creditors, however, have one thing in common: they are owed money by the company to which they have a legal right to payment at some time. ${ }^{139}$ This right is usually, but not always, based on a pre-existing contract. Some creditors, such as trade creditors and tort claimants, have a right to a single payment, which they would like to be paid as soon as possible. However, most lenders who are in the business of providing finance do so in order to obtain an income stream, which, depending on the terms of the loan, will comprise interest or repayment of capital or a combination of both. In a sense, then, this contractual right to periodic payments can be compared and contrasted with the shareholders’ right to a dividend, which is not contractually enforceable until the dividend is declared. ${ }^{140}$

Further, the payments to which the lender has a right are fixed, at least in the sense that they do not depend upon whether the company has made profits, although they may depend on other variables such as the current rate of interest. This means that, in relation to the lenders’ right to income, they have no incentive for the company to engage in risky activity which increases profits, provided that sufficient profits are generated to meet the company’s contractual obligations. In most financing structures, the profit which the lenders make comes from these periodic payments (here loosely called ‘interest’), and so the lenders’ incentive while the company is solvent is to keep the capital part of the loan outstanding for as long as possible so that they can make as much profit as possible. However, the lenders also have an incentive to ensure that the company remains solvent, since on insolvency it will lose not only the future profit of interest payments, but possibly also the capital repayment.

Many lenders will also have a long-term contractual right to repayment of capital. This may be deeply subordinated or have a very long maturity date, as in a hybrid security. ${ }^{141}$ Conversely, capital may be repaid totally through periodic payments, but the lender will usually have the right to accelerate repayment of the whole amount due if the borrower company defaults. ${ }^{142}$ If the company remains solvent, this capital debt will eventually have to be repaid (unlike the capital contributed by the shareholders). This will often be by refinancing, whereby the company just rolls over the debt with the same lenders or takes out new debt with different lenders. As mentioned above, most lenders do not have an incentive to seek early repayment, and would wish the lending relationship to go on for as long as possible if the company is solvent. However, the risk of losing the capital repayment if the company becomes insolvent is severe, and it is largely the protection against this risk that is discussed below. It is a risk which all creditors bear equally although their claims rank ahead of all shareholders. Creditors are not, on the whole, protected by the general law, although the legal capital rules, discussed in chapter five, are one significant exception to that principle. Creditors generally have the ability to protect themselves by a variety of means, which are discussed generally in chapter two, as well as in the discussion following and in more detail in chapters six and seven.

金融代写|公司金融学代写Corporate Finance代考|Non-Adjusting Creditors

To see who these non-adjusting creditors are, it is instructive to consider the types of creditor that exist. One could see creditors as falling into three categories: those who consciously extend credit to the company (whether in the form of loans or trade credit or otherwise); those who deal with the company without intending to extend credit, but who become creditors because the company becomes liable to them for breach of contract or otherwise (such as customers of goods or services); and those who have no prior contact with the company before becoming creditors (this category is mainly tort victims and the tax authorities).
The ability of some members of the first category (lenders, investors and other financiers) to protect themselves and to influence the company’s activities is discussed extensively throughout this book. Two categories of lenders other than financiers or suppliers may also be present. Directors may extend loans to the company, particularly when it is in difficulties. Such loans are usually unsecured. Other companies in the same group may also lend to the company, and often this lending will be unsecured and, maybe, subordinated. ${ }^{148}$ It should be remembered that directors and group companies may also guarantee loans to the company, and so will be unsecured creditors in any insolvency through their right of subrogation. $^{149}$

Trade creditors also have means of protection at their disposal, although they may not be able to use them fully because of market pressure. ${ }^{150}$ First, they can reflect the credit risks they face in the prices that they charge, either generally for all customers or in relation to a particular customer. ${ }^{151}$ If they supply goods, they can protect themselves by the use of retention of title clauses, which are effective in relation to the goods themselves though not usually as regards the products of the goods or the proceeds of sale. ${ }^{152}$ Certain protection is also afforded by the general law: under the Sale of Goods Act an unpaid seller has a lien on the goods before delivery, ${ }^{153}$ and a right to stop the goods in transit if the buyer becomes insolvent. ${ }^{154}$ These devices are not available to those who supply services, and they have to rely on more general measures (which are also available to those supplying goods). These include requiring payment in advance (if the market will bear this), spreading the risk of customer default by contracting with a wide number and variety of customers, and monitoring the credit of customers so that they can refuse to supply to a customer in difficulties. This latter device depends on the terms of the original contract: either the supplier has to protect itself with a term enabling it to terminate the contract if the customer gets into difficulties, or it has to operate on the basis of separate contracts for each supply, which involves the risk of losing the business for reasons other than the customer’s financial position.

公司金融学代写

金融代写|公司金融学代写Corporate Finance代考|Position of the Creditors in a Solvent Company

从第二章的讨论中可以看出，有许多不同类型的债权人，他们根据不同的合同和所有权结构向公司预付资金。然而，所有的债权人都有一个共同点:他们是公司欠他们的钱，他们有在某个时候支付的合法权利。${}^{139}$此权利通常(但并非总是)基于预先存在的合同。一些债权人，如贸易债权人和侵权索赔人，有权获得一次付款，他们希望尽快得到支付。然而，大多数从事融资业务的贷款人这样做是为了获得收入流，这取决于贷款的条款，将包括利息或偿还资本或两者的结合。从某种意义上说，这种定期支付的合同权利可以与股东的股息权进行比较和对比，后者在宣布股息之前在合同上是不可执行的。$ {} ^ {140} $

此外，贷款人有权支付的款项是固定的，至少从某种意义上说，它们不取决于公司是否盈利，尽管它们可能取决于其他变量，如当前的利率。这意味着，就出借人获得收入的权利而言，只要产生足够的利润来履行公司的合同义务，他们就没有激励公司从事增加利润的风险活动。在大多数融资结构中，出借人的利润来自这些定期支付(这里宽泛地称为“利息”)，因此，当公司有偿付能力时，出借人的动机是尽可能长时间地保持贷款的资本部分未偿还，这样他们就可以赚取尽可能多的利润。然而，贷款人也有动力确保公司保持偿付能力，因为在破产时，它不仅会失去未来的利息支付利润，还可能失去资本偿还。

许多贷款人还将拥有偿还资本的长期合同权利。这可能是非常次要的，或者有很长的到期日，如混合证券。${}^{141}$相反，资本可以通过定期支付全部偿还，但如果借款人公司违约，贷款人通常有权加速偿还全部到期金额。${}^{142}$如果公司仍然有偿付能力，这笔资本债务最终将不得不偿还(不像股东出资)。这通常是通过再融资来实现的，即公司只是向同一家贷款机构展期债务，或者向不同的贷款机构借入新债务。如上所述，大多数贷款人没有寻求提前还款的动机，如果公司有偿付能力，他们会希望贷款关系尽可能长地继续下去。然而，如果公司资不抵债，失去资本偿还的风险是严重的，下面讨论的主要是针对这种风险的保护。这是一种所有债权人都要承担的风险，尽管他们的债权优先于所有股东。总的来说，债权人不受一般法律的保护，尽管第五章讨论的法定资本规则是该原则的一个重要例外。债权人一般有能力通过各种手段保护自己，这在第二章中进行了一般性讨论，并在接下来的讨论中进行了讨论，在第六章和第七章中进行了更详细的讨论。

金融代写|公司金融学代写Corporate Finance代考|Non-Adjusting Creditors

要了解这些非调整债权人是谁，考虑存在的债权人类型是有指导意义的。人们可以将债权人分为三类:那些有意识地向公司提供信贷的人(无论是以贷款或贸易信贷的形式还是以其他方式);与公司打交道的人士，并非有意提供信贷，但因公司违反合约或有其他责任而成为债权人的人士(例如货品或服务的顾客);以及在成为债权人之前与公司没有事先联系的人(这一类主要是侵权受害者和税务机关)。
第一类人(出借人、投资者和其他金融家)保护自己和影响公司活动的能力在本书中得到了广泛的讨论。除了融资人或供应商以外，还可能存在两类贷款机构。董事可以向公司提供贷款，特别是在公司陷入困境时。这种贷款通常是无担保的。同一集团中的其他公司也可能向该公司提供贷款，而且这种贷款通常是无担保的，可能是次级的。${}^{148}$应当记住，董事和集团公司也可以保证向公司提供贷款，因此在任何破产情况下，通过其代位求偿权将成为无担保债权人。$ ^ {149} $

贸易债权人也有可以使用的保护手段，尽管由于市场压力，他们可能无法充分利用这些手段。首先，他们可以在他们收取的价格中反映他们所面临的信用风险，这些价格通常是针对所有客户的，或者是针对某一特定客户的。如果他们提供货物，他们可以使用所有权保留条款来保护自己，这些条款对货物本身有效，但通常对货物的产品或销售收益无效。一般法律也提供某些保护:根据《货物销售法》，未付款的卖方在交货前对货物有留置权，如果买方破产，卖方有权停止运输中的货物。${}^{154}$这些设备对于提供服务的人来说是不可用的，他们必须依靠更一般的措施(这些措施也适用于提供货物的人)。这些措施包括要求提前付款(如果市场能承受的话)，通过与数量众多、种类繁多的客户签订合同来分散客户违约的风险，以及监控客户的信用，使他们能够拒绝向陷入困境的客户供货。后一种方法取决于原始合同的条款:要么供应商必须用一个条款来保护自己，使其能够在客户陷入困境时终止合同，要么它必须为每次供应分别签订合同，这涉及到因客户财务状况以外的原因而失去业务的风险。

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2023年7月5日2023年7月5日 Corporate Finance, 企业融资, 公司金融学, 金融代写

金融代写|公司金融学代写Corporate Finance代考|The Debt/Equity Mix

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金融代写|公司金融学代写Corporate Finance代考|The Debt/Equity Mix

A company’s capital structure comprises its mix of debt and equity. The question then arises as to whether an optimal capital structure exists for all companies that will maximise every company’s value.

It is suggested by financial economists that a company’s cost of capital, ie the total return expected by the providers of its debt and equity finance, is unaffected by its debt to equity ratio. ${ }^{325}$ The Modigliani-Miller propositions suggest that no combination of debt and equity is better than any other, and that a company’s overall market value is independent of its capital structure. Although borrowing increases the expected rate of return on shareholders’ investments, adding debt to a company’s capital structure increases the risk of insolvency, and shareholders, whose investment will be wiped out first in the event, require compensation for this risk. According to Modigliani and Miller, although debt financing can be regarded as a cheaper source of finance than equity, due to its reduced risk (for example, as a result of its prior ranking on insolvency), the additional return expected by equity investors as a result of the increased risk which they face exactly offsets this advantage. If this is correct then the amount of debt entered into by a company should be irrelevant and debt to equity ratios should vary randomly from company to company and from industry to industry. Yet this is not what is observed in practice. Almost all banks, for example, rely heavily on debt ${ }^{326}$ whereas in other sectors, such as pharmaceuticals and advertising, almost all companies have traditionally been mainly equity financed.

Clearly, the original Modigliani-Miller propositions do not explain these observations. In part this is because the Modigliani-Miller model was developed on the basis of certain restrictive assumptions, including the existence of well-functioning capital markets ${ }^{328}$ and the absence of taxes, transaction costs and insolvency costs. These assumptions are highly artificial. In practice these issues are important and will affect the relative cost of debt and equity to a company and are very likely to affect the debt to equity ratios within a company. In relation to taxes, for example, companies can deduct the interest payable on debt from their profits for the purpose of assessing corporation tax: dividends are not deductible in this way. Once these assumptions are relaxed, it becomes clear that some debt can be added to a company’s capital structure without affecting the return expected by its shareholders. ${ }^{329}$ As the proportion of debt in the company increases, however, it becomes more likely that the company will default and enter into insolvency. At a certain point these costs of distress will outweigh the tax benefit of debt. Financial distress and insolvency is costly, in terms of the direct costs of lawyers, courts and insolvency practitioners, as well as the reduction in the value of the company associated with insolvency. There are also the indirect costs attached to the difficulties of running a company while going through this process. ${ }^{330}$ Even if the company avoids insolvency it will still face the costs of financial distress-for example, the suppliers may demand more protection, creditors may charge more and employees may leave and look for other jobs. When considering the costs of distress it is also important to have regard to the nature of the company’s assets. If the assets are ‘real’, such as property, then there will be reduced distress costs because this will provide at least some of the creditors with the assurance that even if the company is distressed there are assets available which can be used to repay their debts. By contrast, in companies such as high tech companies where the principal assets are ideas and people, it is much more difficult on insolvency to cash in by selling off the assets. In order to understand the debt to equity ratio adopted by companies it is therefore relevant to consider not only the likelihood of insolvency, but also the value of the company that is likely to be realisable if insolvency occurs.

金融代写|公司金融学代写Corporate Finance代考|The Relationship between Equity and Debt in a Solvent Company

In this section the rights and roles of shareholders and creditors in a solvent company are compared and contrasted. It is important to separate the solvent and insolvent scenarios because, as will become apparent, the positions of shareholders and of creditors in these two periods change markedly.

For these purposes a slightly more constrained view of solvency is adopted than is required if the strict legal definition is applied. A company is insolvent for the purposes of the law if it becomes unable to pay its debts. ${ }^9$ There are two different approaches that can be adopted to determine when a company becomes unable to pay its debts. The first is the balance sheet test. This test measures the excess of liabilities over assets and considers whether the company’s assets are insufficient to discharge its liabilities ‘taking into account its contingent and prospective liabilities. ${ }^{10}$ The second is the cash flow test, which assesses the ability of the company to meet its debts and liabilities as they become due. ${ }^{11}$ Both tests operate in the UK. ${ }^{12}$ Nevertheless, it is recognised that there is likely to be a period prior to formal insolvency when the roles of creditors and shareholders begin to change, and when the analysis entered into in this section will not necessarily be appropriate. A discussion of this twilight period prior to insolvency, and when that twilight period can be said to begin, is undertaken in the following section, 3.3. In this section, then, the concept of solvency is intended to encompass the scenario outside insolvency (as strictly defined), but also outside this twilight period; that is, for the purposes of this section solvency encompasses the scenario in which there remain significant shareholder funds within the company and the company remains a profitable going concern.

In order to determine the position of shareholders in a solvent company, it is first necessary to understand the rights that are typically held by those shareholders. The rights attaching to shares are laid down in the company’s constitution, in case law and in statute. It is usual for a company’s share capital to comprise different classes of shares, the most common being ordinary shares and preference shares, ${ }^{13}$ although under English law a company has practically unlimited freedom to create the capital structure that it wishes for itself.

The rights attached to shares can usefully be divided into three types: rights to capital, rights to income and voting rights. ${ }^{14}$ The capital, income and voting rights typically attached to ordinary and preference shares are discussed next. These rights will generally be class rights. ${ }^{15}$ According to the Companies Act 2006, shares will be regarded as being of one class where the rights attached to them are uniform. ${ }^{16}$ Consequently, preference shares carrying different rights to dividend and/or to capital will be treated as constituting a different class of shares from the ordinary shares. Equally, however, there may be different classes of ordinary shares, for example where some ordinary shares carry rights to vote but others do not, and different classes of preference shares, for example where different preference shares carry different entitlements to a particular dividend.

The significance of this differentiation is that there is a statutory procedure that needs to be followed where class rights are varied. ${ }^{17}$ A class right found in the articles, for example, can only be changed by at least a 75 per cent majority of the class concerned. Any other right found in the articles can prima facie be altered by a 75 per cent majority of all members. ${ }^{19}$ This appears to provide significant protection to the holders of class rights. This potential protection is diminished, however, due to the extremely restrictive interpretation of the concept of ‘variation’ adopted by the courts for this purpose. ${ }^{20}$ The courts have drawn a distinction between varying a right (in which case the statutory procedure must be followed) and merely varying the enjoyment of the right (in which case the procedure need not be followed). For example, the courts have determined that issuing new preference shares pari passu to existing preference shareholders might vary the enjoyment of the rights of the existing shareholders, but does not vary the right itself, and so the statutory procedure need not be followed.

公司金融学代写

金融代写|公司金融学代写Corporate Finance代考|The Debt/Equity Mix

公司的资本结构包括债务和股权的组合。接下来的问题是，是否存在一种对所有公司都能实现价值最大化的最优资本结构?

金融经济学家认为，公司的资本成本，即债务和股权融资提供者预期的总回报，不受债务与股权比率的影响。${}^{325}$ Modigliani-Miller命题表明，没有哪一种债务和股权的组合比其他组合更好，公司的整体市值与其资本结构无关。尽管借款提高了股东投资的预期回报率，但在公司的资本结构中增加债务会增加破产的风险，而在这种情况下，股东的投资将首先被抹去，因此需要对这种风险进行补偿。根据Modigliani和Miller的观点，虽然债务融资可以被视为比股权融资更便宜的融资来源，因为它的风险更低(例如，由于它在破产方面的优先排名)，但股权投资者由于他们面临的风险增加而期望的额外回报恰恰抵消了这种优势。如果这是正确的，那么公司的债务数额应该是无关的，债务与权益比率应该随公司和行业的不同而随机变化。然而，实际情况并非如此。例如，几乎所有的银行都严重依赖债务，而在其他部门，如制药和广告，几乎所有的公司传统上主要是股权融资。

显然，最初的莫迪利亚尼-米勒命题并不能解释这些观察结果。在某种程度上，这是因为莫迪利亚尼-米勒模型是在某些限制性假设的基础上发展起来的，包括存在运作良好的资本市场，以及没有税收、交易成本和破产成本。这些假设是高度人为的。在实践中，这些问题很重要，会影响公司的债务和股权的相对成本，并很可能影响公司内部的债务与股权比率。例如，在税收方面，公司可以从利润中扣除应付债务的利息，以评估公司税:股息不能以这种方式扣除。一旦放松了这些假设，很明显，一些债务可以添加到公司的资本结构中，而不会影响股东的预期回报。${}^{329}$然而，随着公司债务比例的增加，公司违约和破产的可能性越来越大。在某种程度上，这些困境的成本将超过债务的税收收益。就律师、法院和破产从业人员的直接成本以及与破产相关的公司价值减少而言，财务困境和破产是代价高昂的。在这一过程中，经营公司的困难也带来了间接成本。${}^{330}$即使公司避免了破产，它仍将面临财务困境的成本——例如，供应商可能会要求更多的保护，债权人可能会收取更多的费用，员工可能会离开并寻找其他工作。在考虑破产成本时，考虑公司资产的性质也很重要。如果资产是“真实的”，比如财产，那么就会减少困境成本，因为这至少会向一些债权人提供保证，即使公司陷入困境，也有可用的资产可以用来偿还债务。相比之下，在高科技公司等主要资产是创意和人才的公司，通过出售资产来套现要困难得多。因此，为了理解公司采用的债务权益比率，不仅要考虑破产的可能性，还要考虑公司在破产时可能实现的价值。

金融代写|公司金融学代写Corporate Finance代考|The Relationship between Equity and Debt in a Solvent Company

在本节中，股东和债权人在有偿债能力的公司中的权利和角色进行了比较和对比。区分有偿付能力和无偿付能力的情况是很重要的，因为很明显，股东和债权人在这两个时期的立场会发生显著变化。

为了这些目的，对偿付能力采取了比适用严格的法律定义所要求的更为严格的看法。根据法律规定，如果一家公司无力偿还债务，就属于资不抵债。有两种不同的方法可以用来确定公司何时无法偿还债务。首先是资产负债表测试。该测试衡量负债超过资产，并考虑公司的或有负债和预期负债，考虑公司的资产是否不足以清偿其负债。${}^{10}$第二种是现金流量测试，它评估公司在到期时偿还债务和负债的能力。${}^{11}$两项测试均在英国进行。${}^{12}$然而，人们认识到，在正式破产之前很可能有一段时间，债权人和股东的作用开始发生变化，而本节所作的分析也不一定是适当的。在以下第3.3节中，将讨论破产前的这一黄昏期，以及可以说黄昏期何时开始。因此，在本节中，偿付能力的概念旨在包括破产(严格定义)之外的情况，但也包括这一黄昏期之外的情况;也就是说，就本节而言，偿付能力包括公司内部仍有大量股东资金并且公司仍然是盈利的持续经营的情况。

为了确定股东在一家有偿债能力的公司中的地位，首先有必要了解这些股东通常持有的权利。附属于股票的权利在公司章程、判例法和成文法中都有规定。公司的股本通常由不同类别的股份组成，最常见的是普通股和优先股，尽管根据英国法律，公司实际上有无限的自由来创造它想要的资本结构。

附属于股票的权利可以分为三种类型:资本权、收益权和表决权。${}^{14}$接下来将讨论普通股和优先股的资本、收入和表决权。这些权利通常是阶级权利。${}^{15}$根据《2006年公司法》，股票将被视为一类，其附带的权利是统一的。${}^{16}$因此，具有不同股息和/或资本权利的优先股将被视为与普通股构成不同类别的股票。然而，同样地，也可能存在不同类别的普通股，例如，某些普通股具有投票权，而其他普通股没有投票权，以及不同类别的优先股，例如，不同的优先股具有不同的特定股息权利。

这种区别的意义在于，当阶级权利不同时，需要遵循一个法定程序。${}^{17}$例如，条款中规定的一类权利只能由至少75%的有关类多数加以改变。条款中规定的任何其他权利，经全体成员75%多数同意，可以表面上加以修改。${}^{19}$这似乎为类权持有人提供了重要的保护。然而，由于法院为此目的对“变异”概念的解释极为严格，这种潜在的保护被削弱了。法院区分了改变权利(在这种情况下必须遵循法定程序)和仅仅改变权利的享有(在这种情况下无需遵循程序)。例如，法院认定，向现有优先股股东发行新的优先股可能会改变现有股东享有的权利，但不会改变权利本身，因此不需要遵循法定程序。

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线性代数代写

线性代数是数学的一个分支，涉及线性方程，如：线性图，如：以及它们在向量空间和通过矩阵的表示。线性代数是几乎所有数学领域的核心。

博弈论代写

微积分代写

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2023年7月5日2023年7月5日 Corporate Finance, 企业融资, 公司金融学, 金融代写

金融代写|公司金融学代写Corporate Finance代考|Asset Finance

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金融代写|公司金融学代写Corporate Finance代考|Asset Finance

Whether a company which needs money issues equity or debt securities depends on a number of factors. ${ }^{202}$ One particular advantage of debt securities over equity securities is that the interest paid on debt securities is tax deductible for the company, unlike dividends, which cannot be deducted. ${ }^{203}$ This makes debt a much cheaper option than equity, at least up to a certain point. ${ }^{204}$

In one sense, the tradability of debt securities makes them similar, from an investor’s point of view, to equity securities. Debt securities are traded on the secondary market and are frequently listed on a stock market, although much of the trading takes place over the counter (OTC). ${ }^{205}$ The big difference is that the owner of equity securities has a stake in the company and shares its profits and its losses. Another advantage of debt securities, particularly for private companies, is that the existing shareholders do not dilute their control of the company (or the value of their shares). The owner of debt securities does not share in the profits, and, as a creditor, ranks above shareholders if the company is insolvent. These issues are discussed further in chapter three. The exact priority of the owner of debt securities will depend on various matters, such as whether the securities are backed by security over other assets and whether they are the subject of a subordination agreement. There is also a twilight zone occupied by what are known as ‘hybrid’ instruments. ${ }^{206}$ These are securities which have some characteristics of debt and some of equity, and are an attempt to give investors some of the best of both worlds, although, of course, they end up without the full benefits of either. For example, securities may be deeply subordinated, or perpetual, or convertible into equity.

While they can be used for any sort of tangible asset, finance leases are often used for ‘big ticket’ items, such as aeroplanes ${ }^{262}$ and large vehicles. An alternative, though similar, structure is hire purchase. Here the financier retains ownership of the item, but, as with a finance lease, all the risks and rewards are transferred to the company. The company (the ‘hirer’) makes periodic payments which in part reflect the hire charge and in part reflect the capital value of the item. At the end of the hire period the hirer has the option to purchase the item for a nominal fee. This structure does not attract the favourable tax and accounting treatment of a finance lease: the financier cannot claim capital allowance, and the payments made by the hirer are treated as partly rent (which is deductible from profits) and partly capital expenditure (on which capital allowance can be claimed) ${ }^{263}$

A similar structure, less common in the commercial sector than in the consumer sector, is conditional sale, where the owner agrees to sell at the beginning, but title is not transferred until the end of the agreed period, once all the instalment payments have been made. $^{264}$

金融代写|公司金融学代写Corporate Finance代考|Stock Finance

Stock finance is a term that can cover a number of different structures based on the concepts already discussed. One, which is a variant of acquisition finance, involves the company entering into a hire purchase or conditional sale agreement as a temporary measure in order to fund the period between obtaining the item to display to potential customers and selling the item to a customer, rather than in order to own the item. This form of finance is usually provided in relation to motor vehicles, and the financier is likely to be a company associated with the manufacturer of the vehicles.

Another possible model is where, in order to ‘lend’ money against stock already owned by the company, the financier buys the stock from the company and the company sells it to customers as the undisclosed agent of the financier. ${ }^{266}$ The company then holds the proceeds of sale on trust for the financier, in a similar way to an invoice discounting arrangement. Both of the arrangements discussed in this section are alternatives to a lender taking a charge over stock; while this will normally be floating, it may be fixed if sufficient control methods are put in place.

The funding of the period between acquisition of raw materials or stock and the point at which these goods are disposed of (in their original state or after manufacture into something else) can be achieved, at least partly, by credit extended to the buyer by the seller. The seller is then exposed to the credit risk of the buyer. To protect itself, the seller will usually retain title to the goods in the sale agreement. ${ }^{269}$ While the goods are in the possession of the buyer, if the buyer does not pay, the seller has the right to retake the goods, and, since the seller has a proprietary right, this will survive the buyer’s insolvency. However, this form of protection has its limitations. Any attempt by a seller to gain proprietary protection in the products of the raw materials supplied, ${ }^{270}$ or in the proceeds of sale ${ }^{271}$ of the stock supplied, is very likely to be characterised as a charge and will therefore be registrable. Since it is impractical to register every sale agreement, this registrability means that the seller’s proprietary protection is limited to an interest in the goods themselves.

公司金融学代写

金融代写|公司金融学代写Corporate Finance代考|Asset Finance

一家需要资金的公司发行股票还是债务证券取决于许多因素。${}^{202}$债务证券相对于权益证券的一个特别优势是，公司为债务证券支付的利息是可以抵税的，而股息是不能抵税的。${}^{203}$这使得债务成为比股权更便宜的选择，至少在一定程度上是这样。$ {} ^ {204} $

从某种意义上说，从投资者的角度来看，债务证券的可交易性使它们与股权证券相似。债务证券在二级市场交易，并经常在股票市场上市，尽管大部分交易是在场外交易(OTC)进行的。{}^{205}$最大的区别是权益证券的所有者拥有公司的股份，并分享公司的利润和亏损。债务证券的另一个优势，特别是对私人公司来说，是现有股东不会稀释他们对公司的控制权(或他们股份的价值)。债务证券的所有者不能分享利润，如果公司资不抵债，作为债权人，其地位高于股东。这些问题将在第三章中进一步讨论。债务证券所有者的确切优先级将取决于各种事项，例如证券是否由其他资产担保，以及它们是否属于从属协议的主体。还有一个被称为“混合”乐器占据的模糊地带。${}^{206}$这些证券既有债务的特征，也有股权的特征，它们试图给投资者提供两种世界最好的东西，尽管，当然，它们最终没有得到任何一种的全部好处。例如，证券可能是深度次级的，或永久的，或可转换为股权。

虽然融资租赁可以用于任何类型的有形资产，但它通常用于“大件”物品，如飞机和大型车辆。另一种类似的结构是分期付款。在这种情况下，金融家保留了项目的所有权，但是，与融资租赁一样，所有的风险和回报都转移给了公司。公司(“租用人”)定期付款，部分反映租用费用，部分反映项目的资本价值。在租期结束时，租客可以选择以象征性的费用购买该物品。这种结构不能获得融资租赁的税收和会计优惠待遇:出租人不能要求资本补贴，承揽人支付的款项被视为部分租金(可从利润中扣除)和部分资本支出(可要求资本补贴)${}^{263}$

一个类似的结构是有条件出售，但在商业部门不像在消费部门那样常见，即业主在开始时同意出售，但直到约定的期限结束，即所有分期付款都付清后，所有权才转让。

金融代写|公司金融学代写Corporate Finance代考|Stock Finance

股票融资是一个可以涵盖基于已经讨论过的概念的许多不同结构的术语。一种是收购融资的一种变体，它涉及公司签订分期付款购买或有条件出售协议，作为一种临时措施，以资助从获得物品向潜在客户展示到将物品出售给客户之间的时间，而不是为了拥有该物品。这种形式的融资通常与机动车辆有关，而融资人很可能是与车辆制造商有关联的公司。

另一种可能的模式是，为了以公司已经拥有的股票为抵押“贷款”，金融家从公司购买股票，公司作为金融家的未披露代理人将其出售给客户。${}^{266}$然后，公司以类似发票贴现安排的方式为出资人托管销售收益。本节讨论的两种安排都是贷方收取股票费用的替代方案;虽然这通常是浮动的，但如果采取足够的控制方法，它可能是固定的。

从获得原材料或库存到这些货物被处理(处于原始状态或加工成其他东西后)这段时间的资金，至少部分可以通过卖方向买方提供的信贷来实现。这样卖方就面临着买方的信用风险。为了保护自己，卖方通常会在销售协议中保留货物的所有权。${}^{269}$当货物为买方所有时，如果买方不付款，卖方有权收回货物，并且，由于卖方拥有所有权，这将在买方破产后继续有效。然而，这种形式的保护也有其局限性。卖方对所供应原材料的产品${}^{270}$或所供应库存的销售收益${}^{271}$获得专有保护的任何企图都很可能被定性为收费，因此应予以登记。由于对每一份销售协议进行登记是不切实际的，这种可登记性意味着卖方的专有保护仅限于对货物本身的利益。

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微观经济学代写

线性代数代写

线性代数是数学的一个分支，涉及线性方程，如：线性图，如：以及它们在向量空间和通过矩阵的表示。线性代数是几乎所有数学领域的核心。

博弈论代写

微积分代写

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MATLAB代写

2023年6月16日2023年6月16日数学代写, 衍生品, 金融代写, 金融衍生品

金融代写|金融衍生品代写Financial Derivatives代考|SYNTHETIC ASSET ALLOCATION

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金融代写|金融衍生品代写Financial Derivatives代考|SYNTHETIC ASSET ALLOCATION

To understand whether someone is truly hedging, speculating, or engaging in some activity in between, it is useful to understand how one uses a derivatives contract to offset a cash market risk. As the CFTC definition implies, a hedge position is one that involves two positions having values that move in opposite directions. One of the positions is in the cash market and normally is held as a result of the ongoing operation of an enterprise. The other position is in a derivative, such as a futures or option contract, and is entered into for the purpose of hedging.

A classic example of a hedging transaction is the farmer trying to protect himself from a fall in the value of crops he is producing. Consider the risk a farmer faces when he plants corn in the spring. The farmer has committed a certain amount of resources in terms of seed, fertilizer, and time to producing the corn. If prices are low in the fall when the farmer goes to sell his corn, he faces the risk that he will not be able to cover the costs of his inputs. In the language of the CFTC definition, he faces financial losses from adverse price changes. This risk can be offset, however, through the use of a futures contract.

Suppose the farmer believes that he will be able to get $\$ 2.90$ per bushel at harvest for his corn. Referring to Exhibit 3.1, on May 1 the farmer consults the Chicago Board of Trade price for December delivery of corn and sees that the contract is currently selling for $\$ 3.00$ per bushel. He decides to sell 10 futures contracts to cover his expected production of 50,000 bushels. On December 1 , the price of corn in his local area is $\$ 2.65$ per bushel, insufficient to cover his production costs. However, at the same time, the price of a futures contract has fallen to $\$ 2.75$ per bushel. Since the farmer initially sold the futures contracts at $\$ 3.00$ per bushel, he can now purchase them back at $\$ 2.75$ per bushel, thereby generating a profit of $\$ 0.25$ per bushel, offsetting the lower price on his physical corn. The supplemental value from the futures transactions ultimately allows the farmer to net a sale price of $\$ 2.90$ per bushel, thereby covering his production costs.

Whether an individual or company is hedging agricultural commodities, energy commodities or financial assets, hedges using derivatives contracts, whether they are futures traded on an organized exchange or swaps traded off of an exchange, all function in generally the same fashion: They allow hedgers to hold a financial contract that fluctuates in value opposite that of the commodity or asset they are trying to hedge. In some cases, like the example of the farmer, the asset or commodity being hedged is already held by the hedger, who faces the financial risk that the commodity or asset being held will fall in value before it is sold. Under such circumstances, the hedger would sell a futures contract to hedge this exposure. Such hedges are referred to as short hedges because the hedger has sold, or “gone short,” the futures contract.

金融代写|金融衍生品代写Financial Derivatives代考|SPECULATION

If the classic depiction of hedging is the farmer locking in a sale price for a crop, the classic speculator is the commodities trader who buys a pork bellies contract for no other reason than he believes prices will rise. Years ago, such speculators were limited to agricultural products or precious metals. Today, individuals wanting to chase profits have a panoply of choices available to them, ranging from physical commodities-agricultural products, metals and energy-to financial products-interest rate instruments, stocks, and foreign currencies. In today’s markets, one can even take a view on temperature, rainfall, or even election results.
For the moment, as with the case of hedgers in the previous section, we will consider speculation in its purest form. That is, speculation is the taking on of a price risk for the simple purpose of trying to profit based on expectations of which way prices will move. Speculators who expect prices to rise will enter into long positions, while those believing they will fall short the market.

Speculators can be categorized in several different ways. One common way is to classify them by how they form their price expectations. Those relying on basic economic conditions to form expectations are referred to as fundamental traders. Traders in an alternate group, which form expectations based on analyses of price patterns and other market statistics, are called technical traders.

Fundamental traders operate on the premise that futures prices reflect the underlying conditions related to the supply and demand of commodities and the valuation of financial assets. The goal of the fundamental trader is first to identify the key economic conditions and variables that affect prices and second to observe changes in those conditions, it is hoped, before they are incorporated into the market price. For example, a fundamental trader interested in trading Eurodollar futures would be concerned with Fed policy, inflation rates, and other economic indicators that would signal upcoming changes to Eurodollar rates. A fundamental trader of physical commodities similarly would be concerned with factors that would increase or decrease the supply or demand for a commodity. If the trader can gain an edge in terms of gathering information on these factors and take a position in the market before the market has incorporated the information, she stands to gain from her efforts.

金融衍生品代写

金融代写|金融衍生品代写Financial Derivatives代考|HEDGING TRANSACTIONS

要了解某人是否真的在对冲、投机或从事介于两者之间的某些活动，了解一个人如何使用衍生品合约来抵消现金市场风险是有用的。正如商品期货交易委员会的定义所暗示的那样，对冲头寸是指两个价值方向相反的头寸。其中一种头寸位于现货市场，通常是企业持续经营的结果。另一种头寸是衍生品，如期货或期权合约，其目的是对冲。

对冲交易的一个经典例子是农民试图保护自己免受他所生产的作物价值下跌的影响。想想一个农民在春天种玉米时所面临的风险。农民已经投入了一定数量的资源，如种子、肥料和时间来生产玉米。如果秋天价格很低，当农民去卖玉米时，他将面临无法收回投入成本的风险。按照商品期货交易委员会的定义，他面临着不利价格变化带来的财务损失。然而，这种风险可以通过使用期货合约来抵消。

假设农民相信他的玉米在收获季节能得到每蒲式耳2.90美元的收益。参考表3.1,5月1日，农场主查询了芝加哥期货交易所12月交割的玉米价格，看到合约当前的售价为每蒲式耳3.00美元。他决定卖出10份期货合约，以满足5万蒲式耳的预期产量。12月1日，他所在地区的玉米价格为每蒲式耳2.65美元，不足以支付他的生产成本。然而，与此同时，期货合约的价格已跌至每蒲式耳2.75美元。由于农民最初以每蒲式耳3.00美元的价格出售期货合约，他现在可以以每蒲式耳2.75美元的价格买回期货合约，从而产生每蒲式耳0.25美元的利润，抵消了实物玉米的较低价格。期货交易的附加价值最终使农民获得每蒲式耳2.90美元的净销售价格，从而覆盖其生产成本。

无论是个人还是公司对农产品、能源商品或金融资产进行套期保值，使用衍生品合约进行套期保值，无论是在有组织的交易所进行期货交易，还是在交易所之外进行掉期交易，它们的功能都大致相同:它们允许套期保值者持有价值波动与他们试图套期保值的商品或资产相反的金融合约。在某些情况下，如农民的例子，被套期保值的资产或商品已经由套期保值者持有，他面临着所持有的商品或资产在出售之前价值下跌的金融风险。在这种情况下，对冲者将出售期货合约来对冲这种风险。这种套期保值被称为空头套期保值，因为套期保值者已经卖出或“做空”期货合约。

金融代写|金融衍生品代写Financial Derivatives代考|SPECULATION

如果对对冲的经典描述是农民锁定作物的销售价格，那么典型的投机者就是大宗商品交易员，他购买猪肚肉合约的唯一原因就是他相信价格会上涨。几年前，这类投机者仅限于农产品或贵金属。今天，想要追逐利润的个人有很多选择，从实物商品(农产品、金属和能源)到金融产品(利率工具、股票和外汇)。在今天的市场上，人们甚至可以查看温度、降雨，甚至选举结果。
就目前而言，与前一节中对冲者的情况一样，我们将以最纯粹的形式考虑投机。也就是说，投机是为了简单的目的而承担价格风险，试图根据对价格走势的预期获利。预计价格将上涨的投机者将建立多头头寸，而那些认为他们将做空市场的投机者将建立多头头寸。

投机者可以用几种不同的方式分类。一种常见的方法是根据它们形成价格预期的方式对它们进行分类。那些依靠基本经济条件形成预期的人被称为基本面交易者。另一组交易者根据对价格模式和其他市场统计数据的分析形成预期，被称为技术交易者。

基本面交易者的操作前提是，期货价格反映了与大宗商品供求和金融资产估值相关的基本情况。基础交易者的目标首先是确定影响价格的关键经济条件和变量，其次是在这些条件被纳入市场价格之前观察这些条件的变化。例如，对交易欧洲美元期货感兴趣的基本面交易者会关注美联储政策、通货膨胀率和其他预示欧洲美元利率即将变化的经济指标。实物商品的基础交易者同样会关注会增加或减少商品供应或需求的因素。如果交易者能够在收集这些因素的信息方面获得优势，并在市场吸收这些信息之前在市场中建立头寸，那么他就会从自己的努力中获益。

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Category: 金融代写

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